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~isPartOf:"Annals of finance"
~isPartOf:"Computational economics"
~language:"eng"
~person:"Aase Nielsen, Jørgen"
~person:"Fabozzi, Frank J."
~type_genre:"Article in journal"
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Aase Nielsen, Jørgen
Fabozzi, Frank J.
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ECONIS (ZBW)
10
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1
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
2
Robust solutions to the life-cycle consumption problem
Reus, Lorenzo
;
Fabozzi, Frank J.
- In:
Computational economics
57
(
2021
)
2
,
pp. 481-499
Persistent link: https://www.econbiz.de/10012486926
Saved in:
3
Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
Russo, Vincenzo
;
Lagasio, Valentina
;
Brogi, Marina
; …
- In:
Annals of finance
16
(
2020
)
1
,
pp. 141-157
Persistent link: https://www.econbiz.de/10012495982
Saved in:
4
Quantile-based inference for tempered stable distributions
Fallahgoul, Hasan A.
;
Veredas, David
;
Fabozzi, Frank J.
- In:
Computational economics
53
(
2019
)
1
,
pp. 51-83
Persistent link: https://www.econbiz.de/10012134536
Saved in:
5
Quanto option pricing with Lévy models
Fallahgoul, Hasan A.
;
Kim, Young Shin
;
Fabozzi, Frank J.
; …
- In:
Computational economics
53
(
2019
)
3
,
pp. 1279-1308
Persistent link: https://www.econbiz.de/10012135131
Saved in:
6
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
7
How suboptimal are linear sharing rules?
Jensen, Bjarne Astrup
;
Aase Nielsen, Jørgen
- In:
Annals of finance
12
(
2016
)
2
,
pp. 221-243
Persistent link: https://www.econbiz.de/10011555710
Saved in:
8
Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo
;
Fabozzi, Frank J.
- In:
Computational economics
46
(
2015
)
2
,
pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
Saved in:
9
Fractals in trade duration : capturing long-range dependence and heavy tailedness in modeling trade duration
Sun, Wei
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
; …
- In:
Annals of finance
4
(
2008
)
2
,
pp. 217-241
Persistent link: https://www.econbiz.de/10003644932
Saved in:
10
New no-arbitrage conditions and the term structure of interest rate futures
Miltersen, Kristian R.
;
Aase Nielsen, Jørgen
; …
- In:
Annals of finance
2
(
2006
)
3
,
pp. 303-325
Persistent link: https://www.econbiz.de/10003338003
Saved in:
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