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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

Computing VAR and AVaR in Infinitely Divisible Distributions

Kim, Young Shin - 2009

In this paper we derive closed-form solutions for the cumulative density function and the average value-at-risk for five subclasses of the infinitely divisible distributions: classical tempered stable distribution, Kim-Rachev distribution, modified tempered stable distribution, normal tempered...

Persistent link: https://www.econbiz.de/10013160026

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

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

Pricing coupon bond options and swaptions under the two-factor Hull-White model

Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 27 (2017) 2, pp. 30-36

Persistent link: https://www.econbiz.de/10011803731

Another look at the Ho-Lee bond option pricing model

Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 48-53

Persistent link: https://www.econbiz.de/10011965408

Yield measures and foreward rates

Fabozzi, Frank J.; Mann, Steven V. - In: The theory and practice of investment management, (pp. 525-548). 2002

Persistent link: https://www.econbiz.de/10001730102

A review of no arbitrage interest rate models

Buetow, Gerald W.; Fabozzi, Frank J.; Sochacki, James - In: Interest rate, term structure, and valuation modeling, (pp. 39-72). 2002

Persistent link: https://www.econbiz.de/10001734140

Yield curves and valuation lattices: a primer

Fabozzi, Frank J.; Kalotay, Andrew; Dorigan, Michael - In: Interest rate, term structure, and valuation modeling, (pp. 345-356). 2002

Persistent link: https://www.econbiz.de/10001734183

Interest rate, term structure, and valuation modeling

Fabozzi, Frank J. (contributor) - 2002

Persistent link: https://www.econbiz.de/10001674831

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