Similar Search Results

Trends in quantitative equity management : survey results

Fabozzi, Frank J.; Focardi, Sergio; Jonas, Caroline - In: Quantitative fund management, (pp. 3-16). 2009

Persistent link: https://www.econbiz.de/10003796934

Stable distributions in the Black-Litterman approach to asset allocation

Giacometti, Rosella; Bertocchi, Marida; Račev, Svetlozar T. - In: Quantitative fund management, (pp. 359-375). 2009

Persistent link: https://www.econbiz.de/10003797016

Market efficiency and returns from convertible bond hedging and arbitrage strategies

Fabozzi, Frank J.; Liu, Jinlin; Switzer, Lorne N. - In: The journal of alternative investments 11 (2008/09) 3, pp. 37-64

Persistent link: https://www.econbiz.de/10003808894

A primer on constant proportion debt obligations

Lucas, Douglas J.; Goodman, Laurie Sharon; Fabozzi, Frank J. - In: The journal of structured finance 13 (2007/08) 3, pp. 72-80

Persistent link: https://www.econbiz.de/10003862374

Foundations and applications of the time value of money

Peterson Drake, Pamela; Fabozzi, Frank J. - 2009

Persistent link: https://www.econbiz.de/10003822892

A new approach for using Lévy processes for determining high-frequency value-at-risk predictions

Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J. - In: European financial management : the journal of the … 15 (2009) 2, pp. 340-361

Persistent link: https://www.econbiz.de/10003824799

Orderings and probability functionals consistent with preferences

Ortobelli, Sergio; Račev, Svetlozar T.; Shalit, Haim; … - In: Applied mathematical finance 16 (2009) 1/2, pp. 81-102

Persistent link: https://www.econbiz.de/10003847149

Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions

Papenbrock, Jochen; Račev, Svetlozar T.; … - In: Applied financial economics 19 (2009) 16/18, pp. 1401-1416

The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit risk models can be calibrated. Integrated risk...

Persistent link: https://www.econbiz.de/10003886215

Monetary policy and interest rate factors

Buetow, Gerald W.; Fabozzi, Frank J.; Henderson, Brian J. - In: The journal of fixed income 19 (2009/10) 2, pp. 63-70

Persistent link: https://www.econbiz.de/10003893446

An empirical analysis of the CDX index and its tranches

Fabozzi, Frank J.; Wang, Yi-Chen; Yeh, Shih-kuo; Chen, … - In: Applied economics letters 16 (2009) 13/15, pp. 1425-1431

Persistent link: https://www.econbiz.de/10003894301