//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Fanelli, Viviana"
~person:"Hull, John"
~person:"Rebonato, Riccardo"
~subject:"Interest rate derivative"
~subject:"Optionspreistheorie"
~type_genre:"Article in journal"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Expectations hypothesis of the term structure"
Narrow search
Delete all filters
| 6 applied filters
Year of publication
From:
To:
Subject
All
Interest rate derivative
Optionspreistheorie
Yield curve
24
Zinsstruktur
24
Option pricing theory
11
Zinsderivat
11
Theorie
10
Theory
10
Derivat
7
Derivative
7
CAPM
5
Risikoprämie
5
Risk premium
5
Estimation
4
Forecasting model
4
Interest rate
4
Prognoseverfahren
4
Schätzung
4
Swap
4
Volatility
4
Volatilität
4
Zins
4
Capital income
3
Government securities
3
Kapitaleinkommen
3
Public bond
3
Staatspapier
3
Stochastic process
3
Stochastischer Prozess
3
Öffentliche Anleihe
3
Anleihe
2
Bond
2
Convexity
2
Credit risk
2
Kreditrisiko
2
LIBOR
2
OIS
2
Term structure
2
USA
2
United States
2
more ...
less ...
Online availability
All
Undetermined
6
Type of publication
All
Article
14
Type of publication (narrower categories)
All
Article in journal
Aufsatz in Zeitschrift
14
Arbeitspapier
3
Graue Literatur
3
Non-commercial literature
3
Working Paper
3
Book review
1
Rezension
1
more ...
less ...
Language
All
English
14
Author
All
Fanelli, Viviana
Hull, John
Rebonato, Riccardo
Chen, Son-nan
11
Chiarella, Carl
8
Wu, Ting-pin
8
Filipović, Damir
7
Ito, Takayasu
7
Subrahmanyam, Marti G.
7
Eberlein, Ernst
6
Elliott, Robert J.
6
Jarrow, Robert A.
6
Pelsser, Antoon André Jean
6
White, Alan
6
Benth, Fred Espen
5
Chen, Ren-Raw
5
Joshi, Mark S.
5
Lin, Shih-kuei
5
Macrina, Andrea
5
Sandmann, Klaus
5
Schlögl, Erik
5
Schoenmakers, John
5
Schwartz, Eduardo S.
5
Akram, Tanweer
4
Brigo, Damiano
4
Das, Sanjiv R.
4
Deelstra, Griselda
4
Duffie, Darrell
4
Fabozzi, Frank J.
4
Grasselli, Martino
4
Grbac, Zorana
4
Ho, Thomas S. Y.
4
Levendorskij, Sergej Z.
4
Longstaff, Francis A.
4
Mamun, Khawaja Abdullah al
4
Nikitopoulos, Christina Sklibosios
4
Scaillet, Olivier
4
Takahashi, Akihiko
4
Aase Nielsen, Jørgen
3
Almeida, Caio
3
Backwell, Alex
3
more ...
less ...
Published in...
All
European journal of operational research : EJOR
3
Journal of investment management : JOIM
2
Quantitative finance
2
Annual review of financial economics
1
Journal of economic literature
1
Journal of empirical finance
1
Journal of financial and quantitative analysis : JFQA
1
The journal of computational finance
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
The journal of fixed income
1
more ...
less ...
Source
All
ECONIS (ZBW)
14
Showing
1
-
10
of
14
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
The Q-measure dynamics of forward rates
Rebonato, Riccardo
- In:
Annual review of financial economics
15
(
2023
),
pp. 493-522
Persistent link: https://www.econbiz.de/10014426352
Saved in:
2
Is convexity efficiently priced? : evidence from international swap markets
Rebonato, Riccardo
;
Ronzani, Riccardo
- In:
Journal of empirical finance
63
(
2021
),
pp. 392-413
Persistent link: https://www.econbiz.de/10013259275
Saved in:
3
Interest rate trees : extensions and applications
Hull, John
;
White, Alan
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1199-1209
Persistent link: https://www.econbiz.de/10011911532
Saved in:
4
The value of convexity : a theoretical and empirical investigation
Rebonato, Riccardo
;
Putyatin, Vladislav
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 11-30
Persistent link: https://www.econbiz.de/10011905821
Saved in:
5
Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana
- In:
European journal of operational research : EJOR
263
(
2017
)
2
,
pp. 707-718
Persistent link: https://www.econbiz.de/10011794020
Saved in:
6
A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
Saved in:
7
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
Saved in:
8
OIS discounting, interest rate derivatives, and the modeling of stochastic interest rate spreads
Hull, John
;
White, Alan
- In:
Journal of investment management : JOIM
13
(
2015
)
1
,
pp. 64-83
Persistent link: https://www.econbiz.de/10011635240
Saved in:
9
LIBOR versus OIS : the derivatives discounting dilemma
Hull, John
;
White, Alan
- In:
Journal of investment management : JOIM
11
(
2013
)
3
,
pp. 14-27
Persistent link: https://www.econbiz.de/10010196008
Saved in:
10
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
- In:
European journal of operational research : EJOR
208
(
2011
)
2
,
pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->