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~language:"ces"
~language:"eng"
~person:"Fabozzi, Frank J."
~subject:"Stochastic process"
~type_genre:"Article in journal"
~type_genre:"Article"
~type_genre:"Lehrbuch"
~type_genre:"Working Paper"
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97
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56
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39
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Fabozzi, Frank J.
McAleer, Michael
80
Phillips, Peter C. B.
54
Koopman, Siem Jan
48
Escudero, Laureano F.
44
Platen, Eckhard
41
Ferrari, Giorgio
38
Chiarella, Carl
35
Yu, Jun
35
Asai, Manabu
33
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32
Takahashi, Akihiko
30
Barndorff-Nielsen, Ole E.
29
Escobar, Marcos
29
Gendreau, Michel
28
Gil-Alaña, Luis A.
28
Todorov, Viktor
27
Wong, Wing Keung
27
Siu, Tak Kuen
26
Chan, Joshua
25
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24
Carr, Peter
24
Gao, Jiti
24
Linton, Oliver
24
Mumtaz, Haroon
24
Post, Thierry
24
Tauchen, George Eugene
24
Hainaut, Donatien
23
Tsionas, Efthymios G.
23
Wallace, Stein W.
23
Clark, Todd E.
22
Härdle, Wolfgang
22
Račev, Svetlozar T.
22
Elliott, Robert J.
21
Hafner, Christian M.
21
Lucas, André
21
Marcellino, Massimiliano
21
Topaloglou, Nikolas
21
Alòs, Elisa
20
Cui, Zhenyu
20
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International journal of theoretical and applied finance
5
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3
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2
Annals of operations research
1
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1
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1
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1
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1
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1
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
27
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1
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:
2
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:
3
Enhancing binomial and trinomial equity option pricing models
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Finance research letters
28
(
2019
),
pp. 185-190
Persistent link: https://www.econbiz.de/10012388304
Saved in:
4
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
Saved in:
5
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:
6
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
Saved in:
7
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:
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
A one-factor shifted squared Gaussian term structure model for interest rate modeling
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
25
(
2016
)
3
,
pp. 36-45
Persistent link: https://www.econbiz.de/10011430618
Saved in:
10
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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