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Carry strategies and the US dollar risk of US and global bonds

Konstantinov, Gueorgui S.; Fabozzi, Frank J. - In: The journal of fixed income : JFI 30 (2021) 3, pp. 26-46

Persistent link: https://www.econbiz.de/10012423026

Birth order and portfolio choice

Bonaparte, Yosef; Fabozzi, Frank J.; Koslowsky, David - In: Applied economics 52 (2020) 7, pp. 694-709

Persistent link: https://www.econbiz.de/10012197458

Detecting bubbles in the US and UK real estate markets

Fabozzi, Frank J.; Kynigakis, Iason; Panopulu, Aikaterinē - In: The journal of real estate finance and economics 60 (2020) 4, pp. 469-513

Persistent link: https://www.econbiz.de/10012226693

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

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

Cashing in on innovation : a taxonomy on FinTech

Imerman, Michael B.; Fabozzi, Frank J. - In: The journal of asset management 21 (2020) 3, pp. 167-177

Persistent link: https://www.econbiz.de/10012292760

Special issue on multi-asset strategies : introduction

Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 45 (2018) 2, pp. 1-2

Persistent link: https://www.econbiz.de/10012016848

Special issue: Multi-asset strategies

Fabozzi, Frank J. (ed.) - 2019

Persistent link: https://www.econbiz.de/10012016852

Effectiveness of developed and emerging market FX options in active currency risk management

Vohra, Suprita; Fabozzi, Frank J. - In: Journal of international money and finance 96 (2019), pp. 130-146

Persistent link: https://www.econbiz.de/10012139636

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