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~isPartOf:"Applied financial economics"
~isPartOf:"Computational economics"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Pacific economic review"
~language:"bos"
~language:"eng"
~person:"Atolia, Manoj"
~person:"Boubaker, Heni"
~person:"Elliott, Robert J."
~person:"Fabozzi, Frank J."
~person:"Lin, Sha"
~person:"Stiglitz, Joseph E."
~person:"Yu, Jun"
~subject:"Asset-Backed Securities"
~subject:"Credit derivative"
~subject:"Finanzmarkt"
~subject:"Stochastic process"
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
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Asset-Backed Securities
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23
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17
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15
Option pricing theory
12
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Atolia, Manoj
Boubaker, Heni
Elliott, Robert J.
Fabozzi, Frank J.
Lin, Sha
Stiglitz, Joseph E.
Yu, Jun
McAleer, Michael
15
Asai, Manabu
10
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9
Jawadi, Fredj
8
Maasoumi, Esfandiar
7
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4
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Applied financial economics
Computational economics
Econometric reviews
Journal of economic dynamics & control
Pacific economic review
International journal of theoretical and applied finance
9
The journal of fixed income
8
Annals of finance
7
Journal of econometrics
7
Valuation, financial modeling, and quantitative tools
6
Finance research letters
5
The journal of portfolio management : JPM
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The handbook of mortgage-backed securities
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Papers and proceedings of the ... annual congress of the European Economic Association
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The handbook of fixed income securities
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Time for a visible hand : lessons from the 2008 world financial crisis
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Advances in macroeconomic theory
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1
Latent local-to-unity models
Wang, Xiaohu
;
Yu, Jun
- In:
Econometric reviews
42
(
2023
)
7
,
pp. 586-611
Persistent link: https://www.econbiz.de/10014321656
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
Optimal execution with regime-switching market resilience
Siu, Chi Chung
;
Guo, Ivan
;
Zhu, Song-Ping
;
Elliott, …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
Saved in:
9
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:
10
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
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