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~isPartOf:"Economics and business review"
~isPartOf:"Finance research letters"
~isPartOf:"Financial markets and instruments"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The journal of fixed income : JFI"
~isPartOf:"The journal of fixed income"
~isPartOf:"The journal of futures markets"
~language:"bos"
~language:"eng"
~person:"Baviera, Roberto"
~person:"Broll, Udo"
~person:"Cui, Zhenyu"
~person:"Fabozzi, Frank J."
~person:"Hayre, Lakhbir S."
~subject:"CAPM"
~subject:"Credit rating"
~subject:"Derivat"
~subject:"Hypothek"
~subject:"Kreditrisiko"
~subject:"Kreditsicherung"
~subject:"Kreditwürdigkeit"
~subject:"Option pricing theory"
~subject:"Statistical distribution"
~subject:"Stochastic process"
~subject:"Theorie"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
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CAPM
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Option pricing theory
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32
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Baviera, Roberto
Broll, Udo
Cui, Zhenyu
Fabozzi, Frank J.
Hayre, Lakhbir S.
Lien, Da-hsiang Donald
46
Jarrow, Robert A.
17
Chen, Ren-Raw
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Kwok, Yue-Kuen
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Economics and business review
Finance research letters
Financial markets and instruments
International journal of theoretical and applied finance
The journal of fixed income : JFI
The journal of fixed income
The journal of futures markets
Valuation, financial modeling, and quantitative tools
22
The handbook of fixed income securities
18
European journal of operational research : EJOR
10
Investment management and financial management
10
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10
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8
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5
International journal of financial engineering
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Jahrbücher für Nationalökonomie und Statistik
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The handbook of mortgage-backed securities
4
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
73
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1
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10
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73
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1
Pricing arithmetic Asian and Amerasian options : a diffusion operator integral expansion approach
Ding, Kailin
;
Cui, Zhenyu
;
Yang, Xiaoguang
- In:
The journal of futures markets
43
(
2023
)
2
,
pp. 217-241
Persistent link: https://www.econbiz.de/10014293009
Saved in:
2
Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin
;
Cui, Zhenyu
;
Liu, Yanchu
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
Saved in:
3
Market risk, value-at-risk and exponential weighting
Broll, Udo
;
Förster, Andreas
- In:
Economics and business review
8/22
(
2022
)
2
,
pp. 80-91
Persistent link: https://www.econbiz.de/10013369763
Saved in:
4
The measure of model risk in credit capital requirements
Baviera, Roberto
- In:
Finance research letters
44
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014494868
Saved in:
5
Primer on agency mortgage-backed securities specified pools and their convexity profiles
Schultz, Glenn M.
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
31
(
2022
)
4
,
pp. 33-49
Persistent link: https://www.econbiz.de/10014231339
Saved in:
6
Rise of the machines : application of machine learning to mortgage prepayment modeling
Schultz, Glenn M.
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
31
(
2022
)
3
,
pp. 6-19
Persistent link: https://www.econbiz.de/10012802442
Saved in:
7
Carry strategies and the US dollar risk of US and global bonds
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
30
(
2021
)
3
,
pp. 26-46
Persistent link: https://www.econbiz.de/10012423026
Saved in:
8
From ad hoc bond-risk measures to variance-covariance forecasts
Jong, Marielle de
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
30
(
2021
)
4
,
pp. 6-16
Persistent link: https://www.econbiz.de/10012517176
Saved in:
9
Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
Saved in:
10
Synthetic forwards and cost of funding in the equity derivative market
Azzone, Michele
;
Baviera, Roberto
- In:
Finance research letters
41
(
2021
),
pp. 1-7
Persistent link: https://www.econbiz.de/10013336152
Saved in:
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