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Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
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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
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Robust solutions to the life-cycle consumption problem
Reus, Lorenzo; Fabozzi, Frank J. - In: Computational economics 57 (2021) 2, pp. 481-499
Persistent link: https://www.econbiz.de/10012486926
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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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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
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Quantile-based inference for tempered stable distributions
Fallahgoul, Hasan A.; Veredas, David; Fabozzi, Frank J. - In: Computational economics 53 (2019) 1, pp. 51-83
Persistent link: https://www.econbiz.de/10012134536