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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
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Market implied volatilities for defaultable bonds
Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. - 2019
Persistent link: https://www.econbiz.de/10012008749
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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
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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
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Pricing coupon bond options and swaptions under the two-factor Hull-White model
Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 27 (2017) 2, pp. 30-36
Persistent link: https://www.econbiz.de/10011803731
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Fat-tailed and skewed asset return distributions : implications for risk management, portfolio selection, and option pricing
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2005
Persistent link: https://www.econbiz.de/10002817530
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Barrier option pricing by branching processes
Mitov, Georgi K.; Račev, Svetlozar T.; Kim, Young Shin; … - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1055-1073
Persistent link: https://www.econbiz.de/10003928804
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Tempered stable and tempered infinitely divisible GARCH models
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2011
In this paper, we introduce a new GARCH model with an infinitely divisible distributed innovation, referred to as the rapidly decreasing tempered stable (RDTS) GARCH model. This model allows the description of some stylized empirical facts observed for stock and index returns, such as volatility...
Persistent link: https://www.econbiz.de/10009010170
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Option pricing with time-changed Lévy processes
Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238
Persistent link: https://www.econbiz.de/10010204746
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A binomial-tree model for convertible bond pricing
Milanov, Krasimir; Kunčev, Ognjan I.; Fabozzi, Frank J.; … - In: The journal of fixed income 22 (2013) 3, pp. 79-94
Persistent link: https://www.econbiz.de/10009711223