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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Option pricing theory"
~subject:"Swap"
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Option pricing theory
Swap
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The journal of derivatives : the official publication of the International Association of Financial Engineers
International journal of theoretical and applied finance
69
Journal of banking & finance
40
Applied mathematical finance
33
Review of derivatives research
31
The journal of futures markets
30
International review of financial analysis
27
The journal of fixed income
27
NBER working paper series
25
The journal of computational finance
25
Mathematical finance : an international journal of mathematics, statistics and financial theory
23
The North American journal of economics and finance : a journal of financial economics studies
22
The journal of financial crises
22
Journal of financial economics
21
Finance research letters
20
Working paper / National Bureau of Economic Research, Inc.
20
European journal of operational research : EJOR
18
NBER Working Paper
18
Finance and stochastics
17
International journal of financial engineering
17
International review of economics & finance : IREF
17
Management science : journal of the Institute for Operations Research and the Management Sciences
17
Journal of international financial markets, institutions & money
16
Quantitative finance
16
Research paper series / Swiss Finance Institute
16
The European journal of finance
16
The journal of finance : the journal of the American Finance Association
15
Applied economics letters
14
Working Paper
14
Insurance / Mathematics & economics
13
Journal of economic dynamics & control
13
Staff working papers / Bank of England
13
Journal of financial services research : JFSR
12
The review of financial studies
12
Applied economics
11
Computational economics
11
Journal of financial and quantitative analysis : JFQA
11
Journal of international money and finance
11
Journal of securities operations & custody
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The journal of credit risk : published quarterly by Incisive Media
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ECONIS (ZBW)
34
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1
The impact of margin interest on the valuation of credit default swaps
Kan, Yu Hang
;
Pedersen, Claus
- In:
The journal of derivatives : the official publication …
20
(
2012
)
1
,
pp. 60-79
Persistent link: https://www.econbiz.de/10009671707
Saved in:
2
Interest rate
swap
credit valuation adjustment
Černý, Jakub
;
Witzany, Jiří
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
Saved in:
3
Recent advances in default
swap
valuation
Cheng, Wai-yan
- In:
The journal of derivatives : the official publication …
9
(
2001
)
1
,
pp. 18-27
Persistent link: https://www.econbiz.de/10001618895
Saved in:
4
Digital premium
Berd, Arthur M.
;
Kapoor, Vivek
- In:
The journal of derivatives : the official publication …
10
(
2002
)
3
,
pp. 66-76
Persistent link: https://www.econbiz.de/10001770081
Saved in:
5
Asymmetric dynamics between informed trading activity and credit default swaps
Hu, Wen-Cheng
;
Huang, Alex
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 70-85
Persistent link: https://www.econbiz.de/10011968700
Saved in:
6
Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Brigo, Damiano
;
Morini, Massimo
- In:
The journal of derivatives : the official publication …
14
(
2006
)
1
,
pp. 40-60
Persistent link: https://www.econbiz.de/10003379121
Saved in:
7
On pricing and hedging in the swaption market : how many factors, really?
Fan, Rong
;
Gupta, Anurag
;
Ritchken, Peter H.
- In:
The journal of derivatives : the official publication …
15
(
2007
)
1
,
pp. 9-33
Persistent link: https://www.econbiz.de/10003611410
Saved in:
8
An efficient algorithm for basket default
swap
valuation
Chiang, Mi-hsiu
;
Yueh, Meng-lan
;
Hsieh, Ming-hua
- In:
The journal of derivatives : the official publication …
15
(
2007
)
2
,
pp. 8-19
Persistent link: https://www.econbiz.de/10003673297
Saved in:
9
Cross-currency equity swaps in the BGM model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
15
(
2007
)
2
,
pp. 60-76
Persistent link: https://www.econbiz.de/10003673317
Saved in:
10
A comparison of Markov-functional and market models : the one-dimensional case
Bennett, Michael N.
;
Kennedy, Joanne E.
- In:
The journal of derivatives : the official publication …
13
(
2005
)
2
,
pp. 22-43
Persistent link: https://www.econbiz.de/10003299540
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