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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Corporate liquidity"
~subject:"Hedging"
~subject:"Staatspapier"
~subject:"Zinsstruktur"
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Corporate liquidity
Hedging
Staatspapier
Zinsstruktur
Interest rate derivative
25
Zinsderivat
25
Yield curve
13
Option pricing theory
12
Optionspreistheorie
12
Theorie
11
Theory
11
USA
4
United States
4
Swap
3
Credit risk
2
Derivat
2
Derivative
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14
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English
14
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Chen, Son-nan
4
Wu, Ting-pin
4
Arvanitis, Angelo
1
Benner, Wolfgang
1
Chang, Chuang-Chang
1
Chang, Jui-jane
1
Chen, Ren-Raw
1
Chung, San-Lin
1
Gregory, Jonathon
1
Howton, Shawn D.
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Jensen, Malene Shin
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Jortzik, Stephan
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Laurent, Jean-Paul
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Moraleda Novo, Juan Manuel
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Pelsser, Antoon André Jean
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Perfect, Steven B.
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1
Sankarasubramanian, L.
1
Scott, Louis O.
1
Svenstrup, Mikkel
1
Uhrig, Marliese
1
Wang, Chun-chao
1
Xiao, Tim
1
Zyapkov, Lyudmil
1
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The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of futures markets
55
International journal of theoretical and applied finance
26
The journal of computational finance
16
The journal of fixed income
15
Journal of banking & finance
13
The journal of finance : the journal of the American Finance Association
11
Advances in futures and options research : a research annual
10
The review of financial studies
10
Applied mathematical finance
9
Interest rate modelling after the financial crisis
9
International journal of financial engineering
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Finance and stochastics
8
International review of financial analysis
8
Journal of financial economics
8
Journal of international financial markets, institutions & money
8
Applied financial economics
7
Journal of mathematical finance
7
Quantitative finance
7
Discussion paper / B
6
Journal of financial and quantitative analysis : JFQA
6
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
Review of derivatives research
6
Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
European journal of operational research : EJOR
5
NBER working paper series
5
Review of futures markets
5
Risks : open access journal
5
SFB 649 discussion paper
5
Selected writings on futures markets : explorations in financial futures markets
5
Advances in Pacific Basin financial markets
4
Economics letters
4
Europäische Hochschulschriften / 5
4
Journal of international money and finance
4
NBER Working Paper
4
Research paper series / Swiss Finance Institute
4
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
4
Working papers / The Levy Economics Institute
4
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1
Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane
;
Chen, Son-nan
;
Wang, Chun-chao
;
Wu, …
- In:
The journal of derivatives : the official publication …
21
(
2014
)
4
,
pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
Saved in:
2
Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
Saved in:
3
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:
4
Modifying the LMM to price constant maturity swaps
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
18
(
2010
)
2
,
pp. 20-32
Persistent link: https://www.econbiz.de/10008771479
Saved in:
5
Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
3
,
pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
Saved in:
6
A multi-factor cross-currency LIBOR market mode
Benner, Wolfgang
;
Zyapkov, Lyudmil
;
Jortzik, Stephan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
4
,
pp. 53-71
Persistent link: https://www.econbiz.de/10003862783
Saved in:
7
Efficient control variates and strategies for Bermudan swaptions in a LIBOR market model
Jensen, Malene Shin
;
Svenstrup, Mikkel
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 20-33
Persistent link: https://www.econbiz.de/10003010725
Saved in:
8
Pricing Asian-style interest rate swaps
Chang, Chuang-Chang
;
Chung, San-Lin
- In:
The journal of derivatives : the official publication …
9
(
2002
)
4
,
pp. 45-55
Persistent link: https://www.econbiz.de/10001708447
Saved in:
9
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:
10
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:
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