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~isPartOf:"Applied financial economics"
~isPartOf:"Computational economics"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Oxford economic papers"
~language:"bos"
~language:"eng"
~person:"Atolia, Manoj"
~person:"Boubaker, Heni"
~person:"Fabozzi, Frank J."
~person:"Lin, Sha"
~person:"Stiglitz, Joseph E."
~subject:"Asset-Backed Securities"
~subject:"Finanzmarkt"
~subject:"Stochastic process"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
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Asset-Backed Securities
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17
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11
Option pricing theory
10
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Atolia, Manoj
Boubaker, Heni
Fabozzi, Frank J.
Lin, Sha
Stiglitz, Joseph E.
McAleer, Michael
9
Asai, Manabu
6
Jawadi, Fredj
6
Kirchler, Michael
5
Li, Kai
5
Račev, Svetlozar T.
5
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4
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4
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Li, Yong
4
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4
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3
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3
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3
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3
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3
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Guo, Bin
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He, Xue-zhong
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2
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2
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2
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2
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Applied financial economics
Computational economics
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Journal of economic dynamics & control
Oxford economic papers
International journal of theoretical and applied finance
6
The journal of fixed income
5
Financial markets and instruments
4
Valuation, financial modeling, and quantitative tools
4
Investment management and financial management
3
The handbook of mortgage-backed securities
3
European economic review : EER
2
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2
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Pacific economic review
2
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International differences in growth rates : market globalization and economic areas
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Newly industrializing countries after Asian crisis ; Pt. 3
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ECONIS (ZBW)
14
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1
An analytical approximation formula for barrier option prices under the heston model
He, Xin-Jiang
;
Lin, Sha
- In:
Computational economics
60
(
2022
)
4
,
pp. 1413-1425
Persistent link: https://www.econbiz.de/10013447445
Saved in:
2
Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha
;
He, Xin-Jiang
- In:
Computational economics
59
(
2022
)
3
,
pp. 1069-1085
Persistent link: https://www.econbiz.de/10013169219
Saved in:
3
Forecasting volatility for an optimal portfolio with stylized facts using copulas
Karmous, Aida
;
Boubaker, Heni
;
Belkacem, Lotfi
- In:
Computational economics
58
(
2021
)
2
,
pp. 461-482
Persistent link: https://www.econbiz.de/10012615046
Saved in:
4
Multiple subordinated modeling of asset returns : implications for option pricing
Shirvani, Abootaleb
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Econometric reviews
40
(
2021
)
3
,
pp. 290-319
Persistent link: https://www.econbiz.de/10012515600
Saved in:
5
Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni
- In:
Computational economics
55
(
2020
)
2
,
pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
Saved in:
6
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:
7
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:
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
Extracting market information from equity options with exponential Lévy processes
Fabozzi, Frank J.
;
Leccadito, Arturo
;
Tunaru, Radu S.
- In:
Journal of economic dynamics & control
38
(
2014
),
pp. 125-141
Persistent link: https://www.econbiz.de/10010387852
Saved in:
10
Estimating the long-memory parameter in nonstationary processes using wavelets
Boubaker, Heni
;
Péguin-Feissolle, Anne
- In:
Computational economics
42
(
2013
)
3
,
pp. 291-306
Persistent link: https://www.econbiz.de/10010189026
Saved in:
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