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~person:"Arak, Marcelle V."
~person:"Gay, Gerald D."
~person:"Gupta, Anurag"
~person:"Schlögl, Erik"
~subject:"Theorie"
~subject:"USA"
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Search: subject_exact:"Zinsswap"
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USA
Interest rate derivative
33
Zinsderivat
33
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13
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13
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12
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12
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9
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Arak, Marcelle V.
Gay, Gerald D.
Gupta, Anurag
Schlögl, Erik
Hautsch, Nikolaus
15
Hess, Dieter
13
Björk, Tomas
11
Subrahmanyam, Marti G.
11
Pelsser, Antoon André Jean
10
Chiarella, Carl
9
Herwartz, Helmut
9
Jarrow, Robert A.
9
Miltersen, Kristian R.
9
Moraleda Novo, Juan Manuel
9
Sandmann, Klaus
9
Chen, Ren-Raw
8
Mercurio, Fabio
8
Schoenmakers, John
8
Ritchken, Peter H.
7
Ronn, Ehud I.
7
White, Alan
7
Bhar, Ramaprasad
6
Briys, Eric
6
Broll, Udo
6
Crouhy, Michel
6
Hegde, Shantaram P.
6
Jamshidian, Farshid
6
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6
Kolb, Robert W.
6
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6
Landén, Camilla
6
Sondermann, Dieter
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6
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5
Duffie, Darrell
5
Gerhard, Frank
5
Lekkos, Ilias
5
Malhotra, Davinder Kumar
5
Rebonato, Riccardo
5
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5
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The journal of futures markets
8
Journal of banking & finance
2
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
2
Advances in finance and stochastics : essays in honour of Dieter Sondermann
1
Advances in futures and options research : a research annual
1
Contemporary quantitative finance : essays in honour of Eckhard Platen
1
Journal of economic dynamics & control
1
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Review of futures markets
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ECONIS (ZBW)
23
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1
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
-
2017
Persistent link: https://www.econbiz.de/10011778187
Saved in:
2
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
- In:
Journal of economic dynamics & control
114
(
2020
),
pp. 1-42
Persistent link: https://www.econbiz.de/10012502563
Saved in:
3
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
4
Lognormal forward market model (LFM) volatility function approximation
Chung, In-hwan
;
Dun, Tim
;
Schlögl, Erik
- In:
Contemporary quantitative finance : essays in honour of …
,
(pp. 369-405)
.
2010
Persistent link: https://www.econbiz.de/10008749176
Saved in:
5
Arbitrage-free interpolation in models of market observable interest rates
Schlögl, Erik
-
2001
Persistent link: https://www.econbiz.de/10001732826
Saved in:
6
The economic determinants of interest rate option smiles
Deuskar, Prachi
;
Gupta, Anurag
;
Subrahmanyam, Marti G.
- In:
Journal of banking & finance
32
(
2008
)
5
,
pp. 714-728
Persistent link: https://www.econbiz.de/10003702691
Saved in:
7
Pricing and hedging interest rate options : evidence from cap-floor markets
Gupta, Anurag
;
Subrahmanyam, Marti G.
- In:
Journal of banking & finance
29
(
2005
)
3
,
pp. 701-733
Persistent link: https://www.econbiz.de/10002516999
Saved in:
8
Hedging in the possible presence of unspanned stochastic volatility : evidence from swaption markets
Fan, Rong
;
Gupta, Anurag
;
Ritchken, Peter H.
- In:
The journal of finance : the journal of the American …
58
(
2003
)
5
,
pp. 2219-2248
Persistent link: https://www.econbiz.de/10001797838
Saved in:
9
Arbitrage-free interpolation in models of market observable interest rates
Schlögl, Erik
- In:
Advances in finance and stochastics : essays in honour …
,
(pp. 198-218)
.
2002
Persistent link: https://www.econbiz.de/10001672236
Saved in:
10
Interest rate factor models : term structure dynamics and derivatives pricing
Schlögl, Erik
-
1997
Persistent link: https://www.econbiz.de/10000981246
Saved in:
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