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Rating based modeling of credit risk : theory and application of migration matrices

Trueck, Stefan; Račev, Svetlozar T. - 2009

Persistent link: https://www.econbiz.de/10003767855

Pricing of credit default index swap tranches with one-factor heavy-tailed copula models

Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 16 (2009) 2, pp. 201-215

Persistent link: https://www.econbiz.de/10003839259

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

Global index on financial losses due to crime in the United States

Mahanama, Thilini; Shirvani, Abootaleb; Račev, Svetlozar T. - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-16

Despite the potential importance of crime rates in investments, there are no indices dedicated to evaluating the financial impact of crime in the United States. As such, this paper presents an index-based insurance portfolio for crime in the United States by utilizing the financial losses...

Persistent link: https://www.econbiz.de/10012626077

A natural disasters index

Mahanama, Thilini; Shirvani, Abootaleb; Račev, Svetlozar T. - In: Environmental economics and policy studies : the … 24 (2022) 2, pp. 263-284

Persistent link: https://www.econbiz.de/10013199401

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

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

Option pricing incorporating factor dynamics in complete markets

Hu, Yuan; Shirvani, Abootaleb; Lindquist, W. Brent; … - In: Journal of risk and financial management : JRFM 13 (2020) 12/321, pp. 1-33

Using the Donsker-Prokhorov invariance principle, we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options. Applying the Cherny-Shiryaev-Yor invariance principles, we formulate a new...

Persistent link: https://www.econbiz.de/10012403907

Advanced REIT Portfolio Optimization : Innovative Tools for Risk Management

Lindquist, W. Brent; Račev, Svetlozar T.; Hu, Yuan; … - 2022

Chapter 1. The Real Estate Investment Market: The Current State and Why Advances Are Needed -- Chapter 2. The Data -- Chapter 3. Modern Portfolio Theory -- Chapter 4. Historical Portfolio Optimization – Domestic REITs -- Chapter 5. Diversification with International REITs -- Chapter 6....

Persistent link: https://www.econbiz.de/10013447388

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