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Option pricing theory
67
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Fabozzi, Frank J.
Madan, Dilip B.
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Cui, Zhenyu
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70
Joshi, Mark S.
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Carr, Peter
61
Takahashi, Akihiko
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Schoutens, Wim
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Kwok, Yue-Kuen
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International journal of theoretical and applied finance
5
Valuation, financial modeling, and quantitative tools
5
The journal of fixed income
4
Computational economics
3
Interest rate, term structure, and valuation modeling
3
Journal of economic dynamics & control
3
The Frank J. Fabozzi series
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
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Bank of Italy Temi di Discussione (Working Paper)
2
European journal of operational research : EJOR
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Journal of banking & finance
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The handbook of fixed income securities
2
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Annals of operations research ; volume 275, numbers 2 (April 2019)
1
Applied economics
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Econometric reviews
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International review of financial analysis
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Review of derivatives research
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Risk assessment : decisions in banking and finance
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Risk management decisions and value under uncertainty
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Temi di discussione / Banca d'Italia
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The handbook of mortgage-backed securities
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The journal of alternative investments : JAI
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The journal of derivatives : JOD
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Wiley finance
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ECONIS (ZBW)
67
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Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo
;
Fabozzi, Frank J.
- In:
Computational economics
46
(
2015
)
2
,
pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
Saved in:
2
An improved method for pricing and hedging long dated American options
Fabozzi, Frank J.
;
Paletta, Tommaso
;
Stanescu, Silvia
; …
- In:
European journal of operational research : EJOR
254
(
2016
)
2
,
pp. 656-666
Persistent link: https://www.econbiz.de/10011509024
Saved in:
3
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:
4
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:
5
Pricing coupon bond options and swaptions under the one-factor Hull-White model
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
25
(
2016
)
4
,
pp. 76-82
Persistent link: https://www.econbiz.de/10011660738
Saved in:
6
Option pricing under stochastic volatility and tempered stable Lévy jumps
Zaevski, Tsvetelin S.
;
Kim, Young Shin
;
Fabozzi, Frank J.
- In:
International review of financial analysis
31
(
2014
),
pp. 101-108
Persistent link: https://www.econbiz.de/10010461532
Saved in:
7
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:
8
Market implied volatilities for defaultable bonds
Russo, Vincenzo
;
Giacometti, Rosella
;
Fabozzi, Frank J.
-
2019
Persistent link: https://www.econbiz.de/10012008749
Saved in:
9
Intensity-based framework for surrender modeling in life insurance
Russo, Vincenzo
;
Giacometti, Rosella
;
Fabozzi, Frank J.
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 189-196
Persistent link: https://www.econbiz.de/10011694432
Saved in:
10
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
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