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~isPartOf:"Journal of economic dynamics & control"
~language:"dan"
~language:"eng"
~language:"nor"
~language:"swe"
~language:"zho"
~person:"Fabozzi, Frank J."
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
~type_genre:"Book section"
~type_genre:"Collection of articles of several authors"
~type_genre:"Handbuch"
~type_genre:"Rezension"
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Option pricing theory
3
Optionspreistheorie
3
Portfolio selection
2
Portfolio-Management
2
Cherny-Shiryaev-Yor invariance principle
1
Credit default swap
1
Credit derivative
1
Credit risk
1
Derivat
1
Derivative
1
Exponential Lévy processes
1
Hedging
1
Hedging transaction cost
1
Implied tree models
1
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Jarrow-Rudd binomial option pricing
1
Kreditderivat
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Kreditrisiko
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Option pricing
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Option trading
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Optionsgeschäft
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Pricing kernel
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Recovery rates
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Swap
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Fabozzi, Frank J.
Hommes, Cars H.
27
Kort, Peter M.
27
Turnovsky, Stephen J.
17
Dawid, Herbert
16
Arifovic, Jasmina
15
Chiarella, Carl
15
Gallegati, Mauro
15
Den Haan, Wouter J.
14
Judd, Kenneth L.
14
Kollmann, Robert
14
Feichtinger, Gustav
13
Tuinstra, Jan
13
He, Xue-zhong
12
Hughes Hallett, Andrew
12
Levine, Paul
12
Long, Ngo Van
12
Semmler, Willi
12
Westerhoff, Frank H.
12
Anufriev, Mikhail
11
Brock, William A.
11
Evans, George W.
10
Farmer, J. Doyne
10
Hanaki, Nobuyuki
10
Reiter, Michael
10
Rustem, Berç
10
Dai, Min
9
Juillard, Michel
9
Jørgensen, Steffen
9
Lux, Thomas
9
Boucekkine, Raouf
8
Branch, William A.
8
Faia, Ester
8
Fernández-Villaverde, Jesús
8
Hartl, Richard F.
8
Honkapohja, Seppo
8
Iori, Giulia
8
Ireland, Peter N.
8
Li, Duan
8
Li, Kai
8
Lillo, Fabrizio
8
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Journal of economic dynamics & control
The journal of portfolio management : JPM
34
Investment management and financial management
29
The journal of portfolio management : a publication of Institutional Investor
29
Valuation, financial modeling, and quantitative tools
29
The handbook of fixed income securities
26
Financial markets and instruments
25
The journal of fixed income
21
International journal of theoretical and applied finance
12
Applied economics
11
Journal of banking & finance
10
The Frank J. Fabozzi series
10
European journal of operational research : EJOR
9
Finance research letters
9
The journal of fixed income : JFI
9
Applied financial economics
7
Handbook of financial markets : securities, options and futures
7
Computational economics
6
International review of financial analysis
6
The handbook of mortgage-backed securities
6
Economics letters
5
Journal of international money and finance
5
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
The journal of asset management : a major new, international quarterly journal for the financial community
5
The journal of derivatives : JOD
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
European financial management : the journal of the European Financial Management Association
4
The handbook of municipal bonds
4
The journal of asset management
4
The journal of structured finance
4
Advances in futures and options research : a research annual
3
Annals of operations research
3
Applied economics letters
3
Applied financial economics letters
3
Insurance / Mathematics & economics
3
Journal / The Capco Institute : journal of financial transformation
3
Review of quantitative finance and accounting
3
Risk assessment : decisions in banking and finance
3
The journal of financial research
3
Analytical models for financial modeling and risk management
2
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ECONIS (ZBW)
4
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1
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
2
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen
;
Das, Sanjiv R.
;
Fabozzi, Frank J.
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Saved in:
3
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:
4
Portfolio selection with uncertain exit time : a robust CVaR approach
Huang, Dashan
;
Zhu, Shu-shang
;
Fabozzi, Frank J.
; …
- In:
Journal of economic dynamics & control
32
(
2008
)
2
,
pp. 594-623
Persistent link: https://www.econbiz.de/10003642783
Saved in:
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