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~language:"bos"
~language:"eng"
~person:"Fabozzi, Frank J."
~subject:"Option pricing theory"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
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Option pricing theory
Volatility
Theorie
135
Theory
135
Portfolio selection
111
Portfolio-Management
111
USA
60
United States
60
Optionspreistheorie
47
CAPM
34
Derivat
33
Derivative
33
Capital income
30
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30
Volatilität
29
Asset-Backed Securities
28
Asset-backed securities
28
Credit risk
28
Kreditrisiko
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26
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26
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19
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54
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12
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5
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3
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Bosnian
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Fabozzi, Frank J.
Gupta, Rangan
154
Bouri, Elie
88
Ma, Feng
87
McAleer, Michael
77
Bahmani-Oskooee, Mohsen
74
Hammoudeh, Shawkat
64
Madan, Dilip B.
62
Tiwari, Aviral Kumar
58
Bollerslev, Tim
56
Carr, Peter
53
Kang, Sang Hoon
53
McMillan, David G.
49
Mensi, Walid
48
Wohar, Mark E.
48
Andersen, Torben
47
Xuan Vinh Vo
45
Kumar, Dilip
44
Wang, Yudong
44
Caporale, Guglielmo Maria
43
Pierdzioch, Christian
43
Elliott, Robert J.
42
Zhang, Yaojie
41
Ryu, Doojin
39
Zhang, Jin E.
39
Corbet, Shaen
38
Demirer, Rıza
38
Todorov, Viktor
37
Wei, Yu
37
Balcilar, Mehmet
36
Benth, Fred Espen
36
Brooks, Robert
36
Hegerty, Scott W.
36
Salisu, Afees A.
36
Takahashi, Akihiko
36
Yoon, Seong-min
36
Chevallier, Julien
35
Kwok, Yue-Kuen
34
Lucey, Brian M.
34
Roubaud, David
34
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International journal of theoretical and applied finance
6
Valuation, financial modeling, and quantitative tools
5
Computational economics
4
The journal of fixed income
4
International review of financial analysis
3
Journal of economic dynamics & control
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
3
The journal of portfolio management : JPM
3
Applied financial economics
2
European journal of operational research : EJOR
2
Finance research letters
2
Journal of banking & finance
2
The handbook of fixed income securities
2
Annals of economics and finance
1
Annals of operations research
1
Annals of operations research ; volume 275, numbers 2 (April 2019)
1
Applied economics
1
Econometric reviews
1
Economics letters
1
Emerging markets review
1
Financial markets and instruments
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance : IJTAF
1
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1
Journal of international money and finance
1
Journal of risk and financial management : JRFM
1
Mathematical methods of operations research
1
Review of derivatives research
1
Review of finance : journal of the European Finance Association
1
Risk assessment : decisions in banking and finance
1
Risk management decisions and value under uncertainty
1
The handbook of mortgage-backed securities
1
The journal of alternative investments : JAI
1
The journal of derivatives : JOD
1
The journal of portfolio management : a publication of Institutional Investor
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ECONIS (ZBW)
66
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1
Editors' introduction to the 2022 special issue on novel risks and sources of volatility : identification and measurement challenges for portfolio management
Fabozzi, Frank J.
;
Karagozoglu, Ahmet K.
- In:
The journal of portfolio management : JPM
48
(
2022
)
10
,
pp. 1-5
Persistent link: https://www.econbiz.de/10014232132
Saved in:
2
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:
3
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:
4
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
5
Portfolio volatility spillover
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-39
Persistent link: https://www.econbiz.de/10013371157
Saved in:
6
Statistical arbitrage in jump-diffusion models with compound Poisson processes
Akyildirim, Erdinc
;
Fabozzi, Frank J.
;
Goncu, Ahmet
; …
- In:
Risk management decisions and value under uncertainty
,
(pp. 1357-1371)
.
2022
Persistent link: https://www.econbiz.de/10013342121
Saved in:
7
Editors' introduction to the special issue on novel risks and sources of volatility : identification and measurement challenges for portfolio management
Fabozzi, Frank J.
;
Karagozoglu, Ahmet K.
- In:
The journal of portfolio management : JPM
47
(
2021
)
9
,
pp. 1-4
Persistent link: https://www.econbiz.de/10012613454
Saved in:
8
Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin
;
Bianchi, Michele Leonardo
;
Kim, Young Shin
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 35-62
Persistent link: https://www.econbiz.de/10012594154
Saved in:
9
Modeling price dynamics, optimal portfolios, and option valuation for cryptoassets
Hu, Yuan
;
Lindquist, W. Brent
;
Fabozzi, Frank J.
- In:
The journal of alternative investments : JAI
24
(
2021
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10012613090
Saved in:
10
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
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