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~isPartOf:"Annals of finance"
~language:"eng"
~person:"Aase Nielsen, Jørgen"
~person:"Fabozzi, Frank J."
~person:"Sarantsev, Andrey"
~type_genre:"Article in journal"
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Aase Nielsen, Jørgen
Fabozzi, Frank J.
Sarantsev, Andrey
Madan, Dilip B.
12
Tsomocos, Dimitrios P.
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The journal of portfolio management : JPM
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ECONIS (ZBW)
7
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1
A stock market model based on CAPM and market size
Flores, Brandon
;
Ofori-Atta, Blessing
;
Sarantsev, Andrey
- In:
Annals of finance
17
(
2021
)
3
,
pp. 405-424
Persistent link: https://www.econbiz.de/10012622329
Saved in:
2
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:
3
Dynamic contagion in a banking system with births and defaults
Ichiba, Tomoyuki
;
Ludkovski, Michael
;
Sarantsev, Andrey
- In:
Annals of finance
15
(
2019
)
4
,
pp. 489-538
Persistent link: https://www.econbiz.de/10012240177
Saved in:
4
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:
5
On a class of diverse market models
Sarantsev, Andrey
- In:
Annals of finance
10
(
2014
)
2
,
pp. 291-314
Persistent link: https://www.econbiz.de/10010350852
Saved in:
6
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:
7
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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