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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