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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Stochastic process"
~subject:"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
64
Journal of banking & finance
29
Applied mathematical finance
28
The journal of fixed income
26
NBER working paper series
24
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
The journal of financial crises
22
The journal of futures markets
22
Finance and stochastics
21
International review of financial analysis
21
The journal of computational finance
19
Working paper / National Bureau of Economic Research, Inc.
19
Journal of financial economics
18
Review of derivatives research
18
Insurance / Mathematics & economics
17
NBER Working Paper
17
The North American journal of economics and finance : a journal of financial economics studies
17
European journal of operational research : EJOR
16
Finance research letters
16
Management science : journal of the Institute for Operations Research and the Management Sciences
16
Journal of international financial markets, institutions & money
15
Research paper series / Swiss Finance Institute
15
International review of economics & finance : IREF
14
Working Paper
14
Risks : open access journal
13
Staff working papers / Bank of England
13
The European journal of finance
13
The journal of finance : the journal of the American Finance Association
13
Economic modelling
12
International journal of financial engineering
12
Journal of international money and finance
12
Quantitative finance
12
The journal of credit risk : published quarterly by Incisive Media
12
Applied economics
11
Journal of economic dynamics & control
11
Journal of financial and quantitative analysis : JFQA
11
Journal of securities operations & custody
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Swiss Finance Institute Research Paper
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ECONIS (ZBW)
32
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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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