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~isPartOf:"Economics letters"
~isPartOf:"Financial markets and instruments"
~isPartOf:"International economic journal"
~isPartOf:"The journal of fixed income"
~language:"bos"
~language:"eng"
~person:"Broll, Udo"
~person:"Choudhry, Moorad"
~person:"Das, Sanjiv R."
~person:"Fabozzi, Frank J."
~person:"Hayre, Lakhbir S."
~subject:"CAPM"
~subject:"Derivat"
~subject:"Kreditrisiko"
~subject:"Mortgage"
~subject:"Statistical distribution"
~subject:"Theorie"
~type_genre:"Article in journal"
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Broll, Udo
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Stark, Oded
19
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10
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ECONIS (ZBW)
31
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1
A complete model for pricing coco bonds
Milanov, Krasimir
;
Kunčev, Ognjan I.
;
Fabozzi, Frank J.
- In:
The journal of fixed income
29
(
2020
)
3
,
pp. 53-67
Persistent link: https://www.econbiz.de/10012253567
Saved in:
2
Bond portfolio optimization in the presence of duration constraints
Deguest, Romain
;
Fabozzi, Frank J.
;
Martellini, Lionel
; …
- In:
The journal of fixed income
28
(
2018
)
1
,
pp. 6-26
Persistent link: https://www.econbiz.de/10011905566
Saved in:
3
CDS implied credit ratings
Jansen, Jeroen
;
Fabozzi, Frank J.
- In:
The journal of fixed income
26
(
2017
)
4
,
pp. 25-52
Persistent link: https://www.econbiz.de/10011684760
Saved in:
4
Managing rollover risk with capital structure covenants in structured finance vehicles
Das, Sanjiv R.
;
Kim, Seoyoung
- In:
The journal of fixed income
26
(
2017
)
4
,
pp. 92-112
Persistent link: https://www.econbiz.de/10011684772
Saved in:
5
Pricing coupon bond options and swaptions under the two-factor Hull-White model
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
27
(
2017
)
2
,
pp. 30-36
Persistent link: https://www.econbiz.de/10011803731
Saved in:
6
Multi-purpose binomial model : fitting all moments to the underlying geometric Brownian motion
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Economics letters
145
(
2016
),
pp. 225-229
Persistent link: https://www.econbiz.de/10011618437
Saved in:
7
A one-factor shifted squared Gaussian term structure model for interest rate modeling
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
25
(
2016
)
3
,
pp. 36-45
Persistent link: https://www.econbiz.de/10011430618
Saved in:
8
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
Kim, Woo Chang
;
Fabozzi, Frank J.
;
Cheridito, Patrick
; …
- In:
Economics letters
122
(
2014
)
2
,
pp. 154-158
Persistent link: https://www.econbiz.de/10010395223
Saved in:
9
Going for broke : restructuring distressed debt portfolios
Das, Sanjiv R.
;
Kim, Seoyoung
- In:
The journal of fixed income
24
(
2014
)
1
,
pp. 5-27
Persistent link: https://www.econbiz.de/10011293048
Saved in:
10
A binomial-tree model for convertible bond pricing
Milanov, Krasimir
;
Kunčev, Ognjan I.
;
Fabozzi, Frank J.
; …
- In:
The journal of fixed income
22
(
2013
)
3
,
pp. 79-94
Persistent link: https://www.econbiz.de/10009711223
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