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Option pricing theory
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Computational economics
The Frank J. Fabozzi series
52
The journal of portfolio management : a publication of Institutional Investor
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The journal of portfolio management : JPM
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Investment management and financial management
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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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2
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
Saved in:
3
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
Saved in:
4
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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5
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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6
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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7
Traders' Long-Run Wealth in an Artificial Financial Market
Raberto, Marco
;
Cincotti, Silvano
;
Focardi, Sergio M.
; …
- In:
Computational economics
22
(
2003
)
2
,
pp. 255-272
Persistent link: https://www.econbiz.de/10007031020
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