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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
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A new approach for using Lévy processes for determining high-frequency value-at-risk predictions
Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J. - In: European financial management : the journal of the … 15 (2009) 2, pp. 340-361
Persistent link: https://www.econbiz.de/10003824799
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Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures
Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003583006
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Stochastic programming and stable distributions in asset-liability management
Grebeck, Michael J.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of risk 12 (2009/10) 2, pp. 29-47
Persistent link: https://www.econbiz.de/10003924073
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Financial models with Lévy processes and volatility clustering
Račev, Svetlozar T.; Kim, Young Shin; Bianchi, Michele … - 2011
Persistent link: https://www.econbiz.de/10008658750
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Calibrating affine stochastic mortality models using term assurance premiums
Russo, Vincenzo; Giacometti, Rosella; Ortobelli, Sergio; … - In: Insurance / Mathematics & economics 49 (2011) 1, pp. 53-60
Persistent link: https://www.econbiz.de/10009157445
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Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
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Option pricing with time-changed Lévy processes
Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238
Persistent link: https://www.econbiz.de/10010204746
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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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Stochastic alpha-beta-rho hedging for foreign exchange options : is it worth the effort?
Yang, Yifan; Fabozzi, Frank J.; Bianchi, Michele Leonardo - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 76-89
Persistent link: https://www.econbiz.de/10011404590