Narrow search
Showing 1 - 5 of 5
Cover Image
Intertemporal defaulted bond recoveries prediction via machine learning
Nazemi, Abdolreza; Baumann, Friedrich; Fabozzi, Frank J. - In: European journal of operational research : EJOR 297 (2022) 3, pp. 1162-1177
Persistent link: https://www.econbiz.de/10013263044
Cover Image
The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
Cover Image
An improved least squares Monte Carlo valuation method based on heteroscedasticity
Fabozzi, Frank J.; Paletta, Tommaso; Tunaru, Radu - In: European journal of operational research : EJOR 263 (2017) 2, pp. 698-706
Persistent link: https://www.econbiz.de/10011794017
Cover Image
Merton's portfolio problem including market frictions : a closed-form formula supporting the shadow price approach
Mariani, Francesca; Recchioni, Maria Cristina; Ciommi, … - In: European journal of operational research : EJOR 275 (2019) 3, pp. 1178-1189
Persistent link: https://www.econbiz.de/10011993680
Cover Image
From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489