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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~subject:"Staatspapier"
~subject:"Theory"
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Staatspapier
Theory
Interest rate derivative
41
Zinsderivat
41
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16
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15
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18
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Johannes, Michael
2
Arvanitis, Angelo
1
Briys, Eric
1
Chen, Ren-Raw
1
Collin-Dufresne, Pierre
1
Crouhy, Michel
1
Duffie, Darrell
1
Gregory, Jonathon
1
Hemler, Michael Lee
1
Kijima, Masaaki
1
Komoribayashi, Katsuya
1
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1
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1
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1
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1
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1
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1
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1
Solnik, Bruno
1
Sondermann, Dieter
1
Sundaresan, Suresh M.
1
Turnbull, Stuart M.
1
Uhrig, Marliese
1
Wei, Jason
1
Witzany, Jiří
1
Xiao, Tim
1
Černý, Jakub
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The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of finance : the journal of the American Finance Association
The journal of futures markets
42
Advances in futures and options research : a research annual
17
The journal of fixed income
17
International journal of theoretical and applied finance
14
Finance and stochastics
13
Journal of banking & finance
13
The journal of computational finance
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Review of futures markets
9
The review of financial studies
9
Review of derivatives research
8
SSE EFI working paper series in economics and finance
8
Journal of financial and quantitative analysis : JFQA
7
Applied mathematical finance
6
Journal of economic dynamics & control
6
Journal of financial economics
6
Discussion paper / B
5
Europäische Hochschulschriften / 5
5
Finance : revue de l'Association Française de Finance
5
Gabler Edition Wissenschaft
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Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
5
Report / Erasmus Center for Financial Research, Erasmus University
5
SFB 649 discussion paper
5
Working paper
5
Advances in Pacific Basin financial markets
4
Discussion paper / Tinbergen Institute
4
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
4
Economics letters
4
Journal of business economics : JBE
4
Lehr- und Handbücher zu Geld, Börse, Bank und Versicherung
4
Selected writings on futures markets : explorations in financial futures markets
4
SpringerLink / Bücher
4
The European journal of finance
4
Working paper series / Centre for Practical Quantitative Finance
4
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
4
Advances in investment analysis and portfolio management : a research annual
3
Bonn Econ Discussion Papers / BGSE
3
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ECONIS (ZBW)
18
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1
Interest rate swap credit valuation adjustment
Černý, Jakub
;
Witzany, Jiří
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
Saved in:
2
An efficient lattice algorithm for the LIBOR market model
Xiao, Tim
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 25-40
Persistent link: https://www.econbiz.de/10009316814
Saved in:
3
The impact of collateralization on swap rates
Johannes, Michael
;
Sundaresan, Suresh M.
- In:
The journal of finance : the journal of the American …
62
(
2007
)
1
,
pp. 383-410
Persistent link: https://www.econbiz.de/10003425912
Saved in:
4
The statistical and economic role of jumps in continuous-time interest rate models
Johannes, Michael
- In:
The journal of finance : the journal of the American …
59
(
2004
)
1
,
pp. 227-260
Persistent link: https://www.econbiz.de/10001932051
Saved in:
5
On the term structure of default premia in the swap and LIBOR markets
Collin-Dufresne, Pierre
;
Solnik, Bruno
- In:
The journal of finance : the journal of the American …
56
(
2001
)
3
,
pp. 1095-1115
Persistent link: https://www.econbiz.de/10001593029
Saved in:
6
Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel
;
Pelsser, Antoon André Jean
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 9-21
Persistent link: https://www.econbiz.de/10001497753
Saved in:
7
The bootstrap algorithm, par swaps, and the FRN method
Novak, David J.
- In:
The journal of derivatives : the official publication …
8
(
2000
)
2
,
pp. 51-54
Persistent link: https://www.econbiz.de/10001545165
Saved in:
8
Building models for credit spreads
Arvanitis, Angelo
;
Gregory, Jonathon
;
Laurent, Jean-Paul
- In:
The journal of derivatives : the official publication …
6
(
1999
)
3
,
pp. 27-43
Persistent link: https://www.econbiz.de/10001432491
Saved in:
9
A Markov chain model for valuing credit risk derivatives
Kijima, Masaaki
- In:
The journal of derivatives : the official publication …
6
(
1998
)
1
,
pp. 97-108
Persistent link: https://www.econbiz.de/10001248808
Saved in:
10
Closed form solutions for term structure derivatives with log-normal interest rates
Miltersen, Kristian R.
- In:
The journal of finance : the journal of the American …
52
(
1997
)
1
,
pp. 409-430
Persistent link: https://www.econbiz.de/10001217780
Saved in:
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