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Search: subject:"stochastic interest rate"
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Stochastic process
52
Stochastischer Prozess
52
Interest rate
45
Zins
45
Stochastic interest rate
43
stochastic interest rate
43
Option pricing theory
33
Optionspreistheorie
33
Portfolio selection
29
Portfolio-Management
29
Theorie
29
Theory
29
Yield curve
23
Zinsstruktur
23
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19
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19
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9
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9
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9
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9
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8
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8
Stochastic volatility
8
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7
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7
Kreditrisiko
7
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7
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7
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stochastic volatility
7
Derivat
6
Derivative
6
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6
Life insurance
6
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6
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5
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portfolio optimization
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24
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74
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18
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Guan, Guohui
6
Liang, Zongxia
6
Liang, Jin
4
Engler, Tina
3
Korn, Ralf
3
Melnikov, Alexander
3
Molent, Andrea
3
Prigent, Jean-Luc
3
Shen, Yang
3
Siu, Tak Kuen
3
Tong, Shuo
3
Wu, Yuan
3
Yin, Hong-Ming
3
Zanette, Antonino
3
Abid, Ilyes
2
Baldeaux, Jan
2
Bojarčenko, Svetlana I.
2
Cao, Melanie
2
Caramellino, Lucia
2
Fung, Man Chung
2
Gao, Y.
2
Hui, Cho H.
2
Li, Zhongfei
2
Lo, Chi-Fai
2
Mkaouar, Farid
2
Nordfang, Maj-Britt
2
Platen, Eckhard
2
Steffensen, Mogens
2
Wang, Alan T.
2
Wei, Jiaqin
2
Xu, Shuang
2
Xu, Wei
2
Yang, Sheng-Yung
2
Zhang, Ran
2
Alghalith, Moawia
1
Appolloni, Elisa
1
BOYARCHENKO, MITYA
1
BOYARCHENKO, SVETLANA
1
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1
Ban, Manli
1
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Departamento de Economía, Universidad Carlos III de Madrid
1
Economics Department, Queen's University
1
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1
Institut de Préparation à l'Administration et à la Gestion (IPAG)
1
University of Bonn, Germany
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Insurance / Mathematics & economics
13
Economic modelling
4
International journal of financial engineering
4
International journal of theoretical and applied finance
4
ASTIN bulletin : the journal of the International Actuarial Association
3
Economic Modelling
3
Insurance: Mathematics and Economics
3
Quantitative finance
3
Risk and decision analysis
3
The North American journal of economics and finance : a journal of financial economics studies
3
Applied mathematical finance
2
China Finance Review International
2
Computational economics
2
Finance research letters
2
IMA journal of management mathematics
2
Journal of Risk and Financial Management
2
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2
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2
Risks : open access journal
2
The journal of computational finance
2
Annals of financial economics
1
Análisis económico
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1
Asia-Pacific Journal of Risk and Insurance
1
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1
Carlo Alberto Notebooks
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Computational Management Science : CMS
1
Discussion Paper Serie B
1
Economics Working Papers / Departamento de Economía, Universidad Carlos III de Madrid
1
European journal of operational research : EJOR
1
Finance and Stochastics
1
HKIMR working paper
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
Journal of Emerging Market Finance
1
Journal of mathematical finance
1
Management Science
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Quantitative finance and economics
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Queen's Economics Department Working Paper
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ECONIS (ZBW)
65
RePEc
21
EconStor
4
Other ZBW resources
2
BASE
1
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41
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93
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41
Optimal dividends in the dual risk model under a
stochastic
interest
rate
Cheng, Zailei
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011673118
Saved in:
42
Valuing investment projects under interest rate risk : empirical evidence from European firms
Ballestra, Luca Vincenzo
;
Pacelli, Graziella
;
Radi, Davide
- In:
Applied economics
49
(
2017
)
56
,
pp. 5662-5672
Persistent link: https://www.econbiz.de/10011845287
Saved in:
43
A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya
;
Caramellino, Lucia
;
Zanette, Antonino
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
Saved in:
44
Long-term investment with stochastic interest and inflation rates : the need for inflation-indexed bonds
Mkaouar, Farid
;
Prigent, Jean-Luc
;
Abid, Ilyes
- In:
Economic modelling
67
(
2017
),
pp. 228-247
Persistent link: https://www.econbiz.de/10011813816
Saved in:
45
Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under
stochastic
interest
rate
Shevchenko, Pavel V.
;
Luo, Xiaolin
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 104-117
Persistent link: https://www.econbiz.de/10011774788
Saved in:
46
Efficent pricing of barrier options and credit default swapts in Lévy models with
stochastic
interest
rate
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
Saved in:
47
Time-consistent mean-variance asset-liability management with random coefficients
Wei, Jiaqin
;
Wang, Tianxiao
- In:
Insurance / Mathematics & economics
77
(
2017
),
pp. 84-96
Persistent link: https://www.econbiz.de/10011783919
Saved in:
48
A lattice framework with smooth convergence for pricing real estate derivatives with
stochastic
interest
rate
Zou, Dong
;
Gong, Pu
- In:
The journal of real estate finance and economics
55
(
2017
)
2
,
pp. 242-263
Persistent link: https://www.econbiz.de/10011800538
Saved in:
49
Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 224-237
Persistent link: https://www.econbiz.de/10011533911
Saved in:
50
Multi-period mean-variance portfolio selection with
stochastic
interest
rate
and uncontrollable liability
Yao, Haixiang
;
Li, Zhongfei
;
Li, Duan
- In:
European journal of operational research : EJOR
252
(
2016
)
3
,
pp. 837-851
Persistent link: https://www.econbiz.de/10011472346
Saved in:
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