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~person:"Fabozzi, Frank J."
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Real option valuation methods...
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Option pricing theory
67
Optionspreistheorie
67
Stochastic process
37
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23
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23
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18
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Fabozzi, Frank J.
McAleer, Michael
134
Moretto, Michele
114
Chen, Yu-Fu
111
Madan, Dilip B.
109
Koopman, Siem Jan
105
Härdle, Wolfgang
95
Funke, Michael
92
Chiarella, Carl
89
Joshi, Mark S.
87
Cui, Zhenyu
84
Phillips, Peter C. B.
84
Platen, Eckhard
84
Takahashi, Akihiko
77
Carr, Peter
70
Benth, Fred Espen
67
Schoutens, Wim
65
Elliott, Robert J.
64
Kapetanios, George
61
Schwartz, Eduardo S.
61
Szymanski, Stefan
61
Kort, Peter M.
58
Madlener, Reinhard
57
Scaillet, Olivier
57
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57
Asai, Manabu
55
Barndorff-Nielsen, Ole E.
54
Franck, Egon
54
Trigeorgis, Lenos
54
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53
Maennig, Wolfgang
53
Tsionas, Efthymios G.
53
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52
Jacobs, Kris
52
Korn, Ralf
52
Simmons, Robert
52
Yu, Jun
52
Frick, Bernd
51
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50
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50
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International journal of theoretical and applied finance
8
Valuation, financial modeling, and quantitative tools
6
The journal of fixed income
5
Interest rate, term structure, and valuation modeling
4
The Frank J. Fabozzi series
4
Working paper series in economics
4
Computational economics
3
Journal of economic dynamics & control
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
3
Applied economics
2
Bank of Italy Temi di Discussione (Working Paper)
2
European journal of operational research : EJOR
2
Insurance / Mathematics & economics
2
Journal of banking & finance
2
The handbook of fixed income securities
2
The theory and practice of investment management
2
Annals of operations research
1
Annals of operations research ; volume 275, numbers 2 (April 2019)
1
Applied financial economics
1
Econometric reviews
1
Econometric theory
1
Economics letters
1
European financial management : the journal of the European Financial Management Association
1
Finance research letters
1
Financial markets and instruments
1
International review of financial analysis
1
Journal of risk
1
Journal of risk and financial management : JRFM
1
Mathematical methods of operations research
1
Review of derivatives research
1
Risk assessment : decisions in banking and finance
1
Risk management decisions and value under uncertainty
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Temi di discussione / Banca d'Italia
1
The handbook of mortgage-backed securities
1
The journal of alternative investments : JAI
1
The journal of derivatives : JOD
1
The journal of trading
1
Wiley finance
1
World Scientific handbook in financial economics series
1
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ECONIS (ZBW)
89
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1
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
Saved in:
2
Statistical arbitrage in jump-diffusion models with compound Poisson processes
Akyildirim, Erdinc
;
Fabozzi, Frank J.
;
Goncu, Ahmet
; …
- In:
Risk management decisions and value under uncertainty
,
(pp. 1357-1371)
.
2022
Persistent link: https://www.econbiz.de/10013342121
Saved in:
3
Black-Scholes option pricing model
Račev, Svetlozar T.
;
Menn, Christian
;
Fabozzi, Frank J.
-
2008
Persistent link: https://www.econbiz.de/10003765707
Saved in:
4
An improved least squares Monte Carlo valuation method based on heteroscedasticity
Fabozzi, Frank J.
;
Paletta, Tommaso
;
Tunaru, Radu
- In:
European journal of operational research : EJOR
263
(
2017
)
2
,
pp. 698-706
Persistent link: https://www.econbiz.de/10011794017
Saved in:
5
Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin
;
Bianchi, Michele Leonardo
;
Kim, Young Shin
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 35-62
Persistent link: https://www.econbiz.de/10012594154
Saved in:
6
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:
7
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:
8
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:
9
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:
10
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
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