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~isPartOf:"The journal of computational finance"
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Option pricing theory
29
Optionspreistheorie
29
Interest rate derivative
23
Zinsderivat
23
Yield curve
19
Zinsstruktur
19
Swap
17
Theorie
16
Theory
16
Volatility
11
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Stochastic process
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Credit derivative
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Kreditderivat
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stochastic volatility
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Rebonato, Riccardo
5
Glasserman, Paul
2
Joshi, Mark S.
2
Kennedy, Joanne E.
2
Korn, Ralf
2
Piterbarg, Vladimir V.
2
Schoenmakers, John
2
Schoutens, Wim
2
Andersen, Leif
1
Andersen, Leif B. G.
1
Aspremont, Alexandre d'
1
Benninga, Simon
1
Bhuruth, Muddun
1
Brotherton-Ratcliffe, Rupert
1
Burgard, Christoph
1
Cariboni, Jessica
1
Coonjobeharry, Radha Krishn
1
Coskun, Sema
1
Denson, Nick
1
Desmettre, Sascha
1
Drimus, Gabriel
1
Fang, Fang
1
Farkas, Walter
1
Feng, Qian
1
Gogala, Jaka
1
Gourier, Elise
1
Herbertsson, Alexander
1
Jabłecki, Juliusz
1
Jaeckel, Peter
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Jain, Shashi
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Jönsson, Henrik
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1
Liang, Qian
1
Lopes, Sara Dutra
1
Lutz, Matthias
1
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The journal of computational finance
The journal of futures markets
282
Journal of banking & finance
137
NBER working paper series
132
Journal of international money and finance
130
Working paper / National Bureau of Economic Research, Inc.
111
NBER Working Paper
108
International journal of theoretical and applied finance
98
Journal of international financial markets, institutions & money
86
The journal of fixed income
82
International review of financial analysis
76
IMF working papers
73
Discussion paper / Centre for Economic Policy Research
69
The journal of derivatives : the official publication of the International Association of Financial Engineers
68
Journal of financial economics
64
Finance research letters
56
The journal of structured finance
56
The review of financial studies
56
International review of economics & finance : IREF
54
Journal of financial and quantitative analysis : JFQA
52
The journal of finance : the journal of the American Finance Association
49
Applied economics
47
Applied financial economics
47
Discussion paper
47
Economics letters
47
Advances in futures and options research : a research annual
45
Economic modelling
43
Journal of empirical finance
43
Research paper series / Swiss Finance Institute
42
The North American journal of economics and finance : a journal of financial economics studies
42
Working paper
42
Applied mathematical finance
40
Global finance journal
39
Journal of financial stability
39
The European journal of finance
39
IMF working paper
38
Review of derivatives research
38
The journal of credit risk : published quarterly by Incisive Media
37
Finance and stochastics
35
Mathematical finance : an international journal of mathematics, statistics and financial theory
35
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ECONIS (ZBW)
39
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1
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
2
Efficient pricing and super-replication of corridor variance swaps and related products
Burgard, Christoph
;
Torné, Olaf
- In:
The journal of computational finance
21
(
2017/2018
)
4
,
pp. 79-96
Persistent link: https://www.econbiz.de/10011848417
Saved in:
3
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
4
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph
;
Wissmann, Rasmus
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Saved in:
5
Bermudan swaption model risk analysis : a local volatility approach
Jabłecki, Juliusz
- In:
The journal of computational finance
22
(
2018
)
2
,
pp. 101-131
Persistent link: https://www.econbiz.de/10011976669
Saved in:
6
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf
;
Liang, Qian
- In:
The journal of computational finance
17
(
2013/2014
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
Saved in:
7
The forward smile in local-stochastic volatility models
Mazzon, Andrea
;
Pascucci, Andrea
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
Saved in:
8
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
9
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
10
Fast valuation and calibration of credit default swaps under Lévy dynamics
Fang, Fang
;
Jönsson, Henrik
;
Oosterlee, Cornelis W.
; …
- In:
The journal of computational finance
14
(
2010/11
)
2
,
pp. 57-86
Persistent link: https://www.econbiz.de/10008810136
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