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~person:"Fabozzi, Frank J."
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Option pricing theory
67
Optionspreistheorie
67
Börsenkurs
31
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Stochastic process
20
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Fabozzi, Frank J.
Caporale, Guglielmo Maria
205
Gupta, Rangan
184
Madan, Dilip B.
107
Härdle, Wolfgang
104
Narayan, Paresh Kumar
104
Zaremba, Adam
99
Stulz, René M.
94
Campbell, John Y.
84
Pierdzioch, Christian
84
McMillan, David G.
82
Ryu, Doojin
80
Chiarella, Carl
79
McAleer, Michael
79
Gil-Alaña, Luis A.
78
Engle, Robert F.
74
Cui, Zhenyu
73
Bali, Turan G.
69
Jarrow, Robert A.
69
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68
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67
Hautsch, Nikolaus
67
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67
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67
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66
Shleifer, Andrei
66
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66
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63
Schiereck, Dirk
63
Carr, Peter
62
Morck, Randall
62
Takahashi, Akihiko
62
Veronesi, Pietro
62
Faff, Robert W.
61
Schoutens, Wim
60
Theissen, Erik
57
Bekaert, Geert
56
Stentoft, Lars
56
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55
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55
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Valuation, financial modeling, and quantitative tools
6
International journal of theoretical and applied finance
5
The theory and practice of investment management
5
The journal of fixed income
4
Computational economics
3
Interest rate, term structure, and valuation modeling
3
Journal of economic dynamics & control
3
The Frank J. Fabozzi series
3
The handbook of fixed income securities
3
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3
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Temi di discussione / Banca d'Italia
1
The financial review : the official publication of the Eastern Finance Association
1
The handbook of mortgage-backed securities
1
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ECONIS (ZBW)
98
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1
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
Saved in:
2
An improved method for pricing and hedging long dated American options
Fabozzi, Frank J.
;
Paletta, Tommaso
;
Stanescu, Silvia
; …
- In:
European journal of operational research : EJOR
254
(
2016
)
2
,
pp. 656-666
Persistent link: https://www.econbiz.de/10011509024
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
Multi-purpose binomial model : fitting all moments to the underlying geometric Brownian motion
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Economics letters
145
(
2016
),
pp. 225-229
Persistent link: https://www.econbiz.de/10011618437
Saved in:
5
Pricing coupon bond options and swaptions under the one-factor Hull-White model
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
25
(
2016
)
4
,
pp. 76-82
Persistent link: https://www.econbiz.de/10011660738
Saved in:
6
Option pricing under stochastic volatility and tempered stable Lévy jumps
Zaevski, Tsvetelin S.
;
Kim, Young Shin
;
Fabozzi, Frank J.
- In:
International review of financial analysis
31
(
2014
),
pp. 101-108
Persistent link: https://www.econbiz.de/10010461532
Saved in:
7
Pricing derivatives in hermite markets
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Mittnik, Stefan
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012153100
Saved in:
8
Market implied volatilities for defaultable bonds
Russo, Vincenzo
;
Giacometti, Rosella
;
Fabozzi, Frank J.
-
2019
Persistent link: https://www.econbiz.de/10012008749
Saved in:
9
Intensity-based framework for surrender modeling in life insurance
Russo, Vincenzo
;
Giacometti, Rosella
;
Fabozzi, Frank J.
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 189-196
Persistent link: https://www.econbiz.de/10011694432
Saved in:
10
Financial markets with no riskless (safe) asset
Račev, Svetlozar T.
;
Stoyanov, Stoyan V.
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011787424
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