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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Yield curve"
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Yield curve
Option pricing theory
467
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467
Stochastic process
208
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156
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International journal of theoretical and applied finance
Mathematical finance : an international journal of mathematics, statistics and financial theory
33
Journal of banking & finance
25
The journal of computational finance
23
Applied mathematical finance
21
The journal of derivatives : the official publication of the International Association of Financial Engineers
19
The journal of fixed income
19
Finance and stochastics
18
Journal of international money and finance
18
Review of derivatives research
18
IMF working papers
17
Quantitative finance
17
The journal of futures markets
14
Finance research letters
13
International journal of financial engineering
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Risks : open access journal
13
Journal of international economics
12
Economic modelling
10
Emerging markets review
10
The North American journal of economics and finance : a journal of financial economics studies
10
Working papers / Bank for International Settlements
10
International review of economics & finance : IREF
9
Research paper series / Swiss Finance Institute
9
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
8
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
8
Journal of financial economics
8
The European journal of finance
8
The review of financial studies
8
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Working paper / National Bureau of Economic Research, Inc.
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Asia-Pacific financial markets
7
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7
The journal of finance : the journal of the American Finance Association
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1
Closed form solutions for quadratic and inverse quadratic term structure models
Laurence, Peter
;
Wang, Tai-Ho
- In:
International journal of theoretical and applied finance
8
(
2005
)
8
,
pp. 1059-1083
Persistent link: https://www.econbiz.de/10003280034
Saved in:
2
A new finite element method for pricing of bond options under time inhomogeneous affine term structure models of interest rates
Yang, Hongtao
- In:
International journal of theoretical and applied finance
10
(
2007
)
1
,
pp. 31-49
Persistent link: https://www.econbiz.de/10003415634
Saved in:
3
Valuation of guaranteed annuity options in affine term structure models
Chu, Chi Chiu
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
10
(
2007
)
2
,
pp. 363-387
Persistent link: https://www.econbiz.de/10003441993
Saved in:
4
Pricing CMS spread options in a Libor market model
Belomestny, Denis
;
Kolodko, Anastasia
;
Schoenmakers, John
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
Saved in:
5
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
6
Joining the Heston and a three-factor short rate model : a closed-form approach
Horsky, Roman
;
Sayer, Tilman
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011419421
Saved in:
7
The term structure of implied volatility in symmetric models with applications to Heston
De Marco, Stefano
;
Martini, Claude
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10009624467
Saved in:
8
Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.
;
Wiguna, Alexander
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
Saved in:
9
In-arrears term structure products : no arbitrage pricing bounds and the convexity adjustments
Chen, An
;
Sandmann, Klaus
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009706335
Saved in:
10
Valuing early-exercise interest-rate options with multi-factor affine models
Jaimungal, Sebastian
;
Surkov, Vladimir
- In:
International journal of theoretical and applied finance
16
(
2013
)
6
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010197181
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