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A complete model for pricing coco bonds
Milanov, Krasimir; Kunčev, Ognjan I.; Fabozzi, Frank J. - In: The journal of fixed income 29 (2020) 3, pp. 53-67
Persistent link: https://www.econbiz.de/10012253567
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Determinants of primary market spreads on U.K. residential mortgage-backed securities and the implications for investor reliance on credit ratings
Fabozzi, Frank J.; Vink, Dennis - In: The journal of fixed income 21 (2012) 3, pp. 7-14
Persistent link: https://www.econbiz.de/10009532112
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A one-factor shifted squared Gaussian term structure model for interest rate modeling
Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 25 (2016) 3, pp. 36-45
Persistent link: https://www.econbiz.de/10011430618
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Higher-order durations with respect to inflation and real rates and their portfolio management applications
Fabozzi, Frank J.; Xu, Yuewu - In: The journal of fixed income 21 (2012) 4, pp. 69-79
Persistent link: https://www.econbiz.de/10009670754
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A binomial-tree model for convertible bond pricing
Milanov, Krasimir; Kunčev, Ognjan I.; Fabozzi, Frank J.; … - In: The journal of fixed income 22 (2013) 3, pp. 79-94
Persistent link: https://www.econbiz.de/10009711223
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Bond portfolio optimization in the presence of duration constraints
Deguest, Romain; Fabozzi, Frank J.; Martellini, Lionel; … - In: The journal of fixed income 28 (2018) 1, pp. 6-26
Persistent link: https://www.econbiz.de/10011905566
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Empirical evidence on CDO performance
Newman, Daniel; Fabozzi, Frank J.; Lucas, Douglas J.; … - In: The journal of fixed income 18 (2008/09) 2, pp. 32-40
Persistent link: https://www.econbiz.de/10003777612
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Sources of credit risk : evidence from credit default swaps
Chen, Ren-Raw; Fabozzi, Frank J.; Pan, Ging-Ging; … - In: The journal of fixed income 16 (2006) 3, pp. 7-21
Persistent link: https://www.econbiz.de/10003422016
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Predictability in the shape of the term structure of interest rates
Fabozzi, Frank J.; Martellini, Lionel; Priaulet, Philippe - In: The journal of fixed income 15 (2005) 1, pp. 40-53
Persistent link: https://www.econbiz.de/10003018774
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Default rates on structured finance securities
Lucas, Douglas J.; Goodman, Laurie Sharon; Fabozzi, Frank J. - In: The journal of fixed income 14 (2004) 2, pp. 44-53
Persistent link: https://www.econbiz.de/10002421458