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~subject:"Arbitrage Pricing"
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Arbitrage Pricing
Yield curve
47
Zinsstruktur
46
Option pricing theory
33
Optionspreistheorie
33
Theorie
33
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31
CAPM
27
Arbitrage pricing
22
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21
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20
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19
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18
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13
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arbitrage-free
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arbitrage-free price
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affine arbitrage-free term structure model
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Oosterlee, Cornelis Willebrordus
2
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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
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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
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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
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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2
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ECONIS (ZBW)
22
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1
Inter-variety equilibrium of Chinese treasury futures
Wang, Jinzhong
- In:
Credit and capital markets : Kredit und Kapital
55
(
2022
)
2
,
pp. 261-290
, and the transaction cost and market friction are considered in building the
arbitrage-free
spread interval. By comparing …
Persistent link: https://www.econbiz.de/10014518583
Saved in:
2
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
3
From arbitrage to
arbitrage-free
implied volatilities
Grzelak, Lech A.
;
Oosterlee, Cornelis Willebrordus
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 31-49
Persistent link: https://www.econbiz.de/10011689678
Saved in:
4
The
arbitrage-free
generalized Nelson-Siegel term structure model : does a good in-sample fit imply better out-of-sample forecasts?
Ullah, Wali
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
3
,
pp. 1243-1284
Persistent link: https://www.econbiz.de/10012285551
Saved in:
5
Arbitrage-free
relative Nelson-Siegel model
Ishii, Hokuto
- In:
Finance research letters
37
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012484986
Saved in:
6
Arbitrage-free
conditions for implied volatility surface by Delta
Wang, Ximei
;
Zhao, Yanlong
;
Bao, Ying
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 819-834
Persistent link: https://www.econbiz.de/10012120342
Saved in:
7
Model-free stochastic collocation for an
arbitrage-free
implied volatility, part I
Le Floc'h, Fabien
;
Oosterlee, Cornelis Willebrordus
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 679-714
Persistent link: https://www.econbiz.de/10012127314
Saved in:
8
A novel method for
arbitrage-free
option surface construction
Orosi, Greg
- In:
Annals of financial economics
14
(
2019
)
4
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012226655
Saved in:
9
Pricing cross-currency interest rate swaps under the Levy market model
Wang, Ming-Chieh
;
Huang, Li-Jhang
- In:
Review of derivatives research
22
(
2019
)
2
,
pp. 329-355
Persistent link: https://www.econbiz.de/10012311817
Saved in:
10
Arbitrage-free
affine models of the forward price of foreign currency
Durham, J. Benson
-
2014
inferences about anticipated returns. This study derives
arbitrage-free
affine forward currency models (AFCMs) with closed …
Persistent link: https://www.econbiz.de/10010393225
Saved in:
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