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~language:"eng"
~person:"Christopoulos, Andreas D."
~person:"Chung, San-lin"
~person:"Fabozzi, Frank J."
~subject:"Asset-Backed Securities"
~subject:"Optionspreistheorie"
~type_genre:"Article in journal"
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Asset-Backed Securities
Optionspreistheorie
Theorie
97
Theory
97
Portfolio selection
80
Portfolio-Management
80
Option pricing theory
50
USA
39
United States
39
Volatility
29
Volatilität
29
CAPM
28
Capital income
27
Kapitaleinkommen
27
Stochastic process
24
Stochastischer Prozess
24
Credit risk
22
Estimation
21
Kreditrisiko
21
Schätzung
21
Statistical distribution
21
Statistische Verteilung
21
Derivat
20
Derivative
20
Hedging
20
Asset-backed securities
19
Risikoprämie
19
Risk management
19
Risk premium
19
Risikomanagement
18
Risikomaß
18
Risk measure
18
Börsenkurs
16
Forecasting model
16
Prognoseverfahren
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Share price
16
Welt
16
World
16
Yield curve
15
Zinsstruktur
15
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Article
68
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Article in journal
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68
Aufsatz im Buch
25
Book section
25
Collection of articles of several authors
10
Sammelwerk
10
Aufsatzsammlung
6
Handbook
5
Handbuch
5
Arbeitspapier
3
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3
Non-commercial literature
3
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3
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2
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English
Author
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Christopoulos, Andreas D.
Chung, San-lin
Fabozzi, Frank J.
Madan, Dilip B.
50
Carr, Peter
45
Kwok, Yue-Kuen
35
Elliott, Robert J.
34
Cui, Zhenyu
31
Wang, Xingchun
31
Takahashi, Akihiko
30
Siu, Tak Kuen
29
Jarrow, Robert A.
28
Schoutens, Wim
28
Zhang, Jin E.
26
Benth, Fred Espen
24
Kim, Young Shin
22
Račev, Svetlozar T.
21
Stentoft, Lars
21
Escobar, Marcos
20
Levendorskij, Sergej Z.
20
Wong, Hoi Ying
20
Joshi, Mark S.
19
Zanette, Antonino
19
Schwartz, Eduardo S.
18
Wu, Liuren
18
Chen, Ren-Raw
17
Glasserman, Paul
17
He, Xin-Jiang
17
Chen, Son-nan
16
Lin, Shih-kuei
16
Ryu, Doojin
16
Zagst, Rudi
16
Zhu, Song-Ping
16
Brigo, Damiano
15
Eberlein, Ernst
15
Jacobs, Kris
15
Chiarella, Carl
14
Christoffersen, Peter F.
14
Câmara, António
14
Fusai, Gianluca
14
Goodman, Laurie Sharon
14
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Published in...
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The journal of fixed income
8
The journal of futures markets
7
International journal of theoretical and applied finance
5
Journal of banking & finance
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
4
Computational economics
3
Finance research letters
3
Journal of economic dynamics & control
3
Journal of financial and quantitative analysis : JFQA
3
Applied financial economics
2
European journal of operational research : EJOR
2
The journal of structured finance
2
Advances in investment analysis and portfolio management : a research annual
1
Applied economics
1
Econometric reviews
1
Economics letters
1
European financial management : the journal of the European Financial Management Association
1
Insurance / Mathematics & economics
1
International review of financial analysis
1
Jingji-lunwen
1
Journal of financial intermediation
1
Journal of financial services research
1
Journal of financial stability
1
Journal of investment management : JOIM
1
Journal of risk and financial management : JRFM
1
Mathematical methods of operations research
1
Real estate economics : journal of the American Real Estate and Urban Economics Association
1
Review of derivatives research
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The European journal of finance
1
The journal of alternative investments : JAI
1
The journal of derivatives : JOD
1
The journal of fixed income : JFI
1
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ECONIS (ZBW)
68
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1
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68
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date (oldest first)
1
How much do investors rely on credit ratings : empirical evidence from the U.S. and E.U. CLO primary market
Fabozzi, Frank J.
;
Breemen, Vivian van
;
Vink, Dennis
; …
- In:
Journal of financial services research
63
(
2023
)
2
,
pp. 221-247
Persistent link: https://www.econbiz.de/10014258846
Saved in:
2
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
Saved in:
3
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:
4
Primer on agency mortgage-backed securities specified pools and their convexity profiles
Schultz, Glenn M.
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
31
(
2022
)
4
,
pp. 33-49
Persistent link: https://www.econbiz.de/10014231339
Saved in:
5
Active loan trading
Fabozzi, Frank J.
;
Klingler, Sven
;
Mølgaard, Pia
; …
- In:
Journal of financial intermediation
46
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012818064
Saved in:
6
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:
7
Modeling price dynamics, optimal portfolios, and option valuation for cryptoassets
Hu, Yuan
;
Lindquist, W. Brent
;
Fabozzi, Frank J.
- In:
The journal of alternative investments : JAI
24
(
2021
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10012613090
Saved in:
8
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:
9
Option pricing with greed and fear factor : the rational finance approach
Shirvani, Abootaleb
;
Fabozzi, Frank J.
;
Racheva-Iotova, …
- In:
The journal of derivatives : JOD
29
(
2021
)
2
,
pp. 77-119
Persistent link: https://www.econbiz.de/10012698127
Saved in:
10
A complete model for pricing coco bonds
Milanov, Krasimir
;
Kunčev, Ognjan I.
;
Fabozzi, Frank J.
- In:
The journal of fixed income
29
(
2020
)
3
,
pp. 53-67
Persistent link: https://www.econbiz.de/10012253567
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