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~isPartOf:"The journal of futures markets"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~subject:"Anleihe"
~subject:"Option pricing theory"
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Search: subject_exact:"Zinsstruktur"
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Anleihe
Option pricing theory
Zinsstruktur
298
Yield curve
296
USA
116
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115
Theorie
107
Theory
107
Estimation
46
Schätzung
46
Geldpolitik
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30
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Chen, Ren-Raw
2
Chen, Son-nan
2
Wu, Ting-pin
2
Zin, Stanley E.
2
Agarwalla, Sobhesh Kumar
1
Backus, David
1
Bali, Turan G.
1
Bauer, Michael D.
1
Brace, Alan
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
Dai, Tian-Shyr
1
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1
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1
Foresi, Silverio
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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Jones, Christopher S.
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Jubinski, Daniel
1
Karagozoglu, Ahmet K.
1
Kumar, Sudarshan
1
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The journal of futures markets
Working paper / National Bureau of Economic Research, Inc.
International journal of theoretical and applied finance
47
Journal of banking & finance
39
Mathematical finance : an international journal of mathematics, statistics and financial theory
35
The journal of fixed income
28
Finance research letters
24
The journal of computational finance
24
Applied mathematical finance
23
Finance and stochastics
20
Review of derivatives research
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Quantitative finance
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The journal of derivatives : the official publication of the International Association of Financial Engineers
19
Management science : journal of the Institute for Operations Research and the Management Sciences
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NBER working paper series
17
Journal of financial economics
16
Journal of international money and finance
16
International journal of financial engineering
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The review of financial studies
15
International review of economics & finance : IREF
13
Risks : open access journal
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The European journal of finance
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Working paper
13
Economic modelling
11
Research paper series / Swiss Finance Institute
11
The journal of finance : the journal of the American Finance Association
11
Working papers series / Federal Reserve Bank of San Francisco
11
International review of financial analysis
10
NBER Working Paper
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SpringerLink / Bücher
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The North American journal of economics and finance : a journal of financial economics studies
10
Discussion papers / CEPR
9
Emerging markets, finance and trade : EMFT
9
Insurance / Mathematics & economics
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Journal of economic dynamics & control
9
Journal of financial and quantitative analysis : JFQA
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
9
Staff reports / Federal Reserve Bank of New York
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Asia-Pacific financial markets
8
CREATES research paper
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ECONIS (ZBW)
30
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1
SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Brace, Alan
;
Gellert, Karol
;
Schlögl, Erik
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 936-985
Persistent link: https://www.econbiz.de/10014536708
Saved in:
2
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
3
Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan
;
Agarwalla, Sobhesh Kumar
;
Varma, …
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
Saved in:
4
Predictive power of the implied volatility term structure in the fixed-income market
Chen, Ren-Raw
;
Hsieh, Pei-Lin
;
Huang, Jeffrey
;
Li, Xiaowei
- In:
The journal of futures markets
43
(
2023
)
3
,
pp. 349-383
Persistent link: https://www.econbiz.de/10014293073
Saved in:
5
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi
;
Xie, Jinming
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
Saved in:
6
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 951-967
Persistent link: https://www.econbiz.de/10014293271
Saved in:
7
A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Dai, Tian-Shyr
;
Fan, Chen-Chiang
;
Liu, Liang-Chih
; …
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2103-2134
Persistent link: https://www.econbiz.de/10013465872
Saved in:
8
Robust bond risk premia
Bauer, Michael D.
;
Hamilton, James D.
-
2017
Persistent link: https://www.econbiz.de/10011684596
Saved in:
9
Bond risk premia in consumption-based models
Creal, Drew
;
Wu, Jing Cynthia
-
2016
Persistent link: https://www.econbiz.de/10011476470
Saved in:
10
Forward guidance in the yield curve : short rates versus bond supplys
Greenwood, Robin
;
Hanson, Samuel G.
;
Vayanos, Dimitri
-
2015
Persistent link: https://www.econbiz.de/10011429249
Saved in:
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