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~person:"Fabozzi, Frank J."
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Fabozzi, Frank J.
Gil-Alaña, Luis A.
347
Caporale, Guglielmo Maria
304
Phillips, Peter C. B.
289
Koopman, Siem Jan
272
McAleer, Michael
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Franses, Philip Hans
229
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169
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131
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130
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117
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111
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108
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107
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104
Linton, Oliver
104
Swanson, Norman R.
99
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97
Taylor, Robert
97
Ghysels, Eric
95
Hyndman, Rob J.
92
Platen, Eckhard
92
Nielsen, Morten Ørregaard
91
Jarrow, Robert A.
90
Kunst, Robert M.
90
Stock, James H.
90
Timmermann, Allan
90
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89
Gouriéroux, Christian
88
Johansen, Søren
87
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85
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84
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The Frank J. Fabozzi series
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International journal of theoretical and applied finance
8
The journal of fixed income
7
Valuation, financial modeling, and quantitative tools
6
Working paper series in economics
6
Applied economics
4
The handbook of fixed income securities
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3
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The journal of asset management : a major new, international quarterly journal for the financial community
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Annals of operations research
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Bank of Italy Temi di Discussione (Working Paper)
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Frank J. Fabozzi Ser
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Insurance / Mathematics & economics
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International review of financial analysis
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Investment management and financial management
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The journal of portfolio management : a publication of Institutional Investor
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Advances in futures and options research : a research annual
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Annals of operations research ; volume 275, numbers 2 (April 2019)
1
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Econometric reviews
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Econometric theory
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Emerging markets review
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Energy economics
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European financial management : the journal of the European Financial Management Association
1
Financial markets and instruments
1
Fordham University Schools of Business Research Paper
1
Frank J. Fabozzi Series
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Journal of economics & business
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Journal of international money and finance
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ECONIS (ZBW)
147
EconStor
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1
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
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2
Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
; …
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
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3
Financial models with Lévy processes and volatility clustering
Račev, Svetlozar T.
;
Kim, Young Shin
;
Bianchi, Michele …
-
2011
Persistent link: https://www.econbiz.de/10008658750
Saved in:
4
Multiple subordinated modeling of asset returns : implications for option pricing
Shirvani, Abootaleb
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Econometric reviews
40
(
2021
)
3
,
pp. 290-319
Persistent link: https://www.econbiz.de/10012515600
Saved in:
5
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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:
9
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
Saved in:
10
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
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