The following pages link to Frank J. Fabozzi (Q257656):
Displaying 50 items.
- Discussion of `On simulation and properties of the stable law' by Devroye and James (Q257657) (← links)
- (Q323392) (redirect page) (← links)
- An improved method for pricing and hedging long dated American options (Q323396) (← links)
- (Q506088) (redirect page) (← links)
- Intensity-based framework for surrender modeling in life insurance (Q506089) (← links)
- Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration (Q665816) (← links)
- Improving corporate bond recovery rate prediction using multi-factor support vector regressions (Q724157) (← links)
- Portfolio selection with uncertain exit time: a robust CVaR approach (Q844601) (← links)
- An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve (Q856302) (← links)
- Robust portfolios: contributions from operations research and finance (Q993719) (← links)
- Stochastic models for risk estimation in volatile markets: a survey (Q993727) (← links)
- Introduction to special issue: Studies in mathematical and empirical finance (Q1028525) (← links)
- Black swans and white eagles: On mathematics and finance (Q1028527) (← links)
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach (Q1043348) (← links)
- Construction of probability metrics on classes of investors (Q1046359) (← links)
- Local volatility and the recovery rate of credit default swaps (Q1657603) (← links)
- Fuzzy decision fusion approach for loss-given-default modeling (Q1683113) (← links)
- An improved least squares Monte Carlo valuation method based on heteroscedasticity (Q1694951) (← links)
- Extracting market information from equity options with exponential Lévy processes (Q1994305) (← links)
- Intertemporal defaulted bond recoveries prediction via machine learning (Q2060436) (← links)
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis (Q2136947) (← links)
- Statistical arbitrage in jump-diffusion models with compound Poisson processes (Q2151680) (← links)
- Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules (Q2174177) (← links)
- Calibrating affine stochastic mortality models using term assurance premiums (Q2276259) (← links)
- Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions (Q2320904) (← links)
- Probability metrics with applications in finance (Q2324082) (← links)
- Market implied volatilities for defaultable bonds (Q2327695) (← links)
- Sensitivity of portfolio VaR and CVaR to portfolio return characteristics (Q2393347) (← links)
- A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates (Q2427810) (← links)
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy (Q2465952) (← links)
- Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments (Q2512336) (← links)
- 60 years of portfolio optimization: practical challenges and current trends (Q2514707) (← links)
- RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL (Q2814666) (← links)
- (Q2825434) (← links)
- FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? (Q2842533) (← links)
- PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS (Q2853378) (← links)
- METRIZATION OF STOCHASTIC DOMINANCE RULES (Q2882693) (← links)
- The Methods of Distances in the Theory of Probability and Statistics (Q2910845) (← links)
- Tempered stable Ornstein– Uhlenbeck processes: A practical view (Q2965581) (← links)
- (Q3003679) (← links)
- Approximation of aggregate and extremal losses within the very heavy tails framework (Q3064016) (← links)
- (Q3083935) (← links)
- (Q3083937) (← links)
- Multi-tail generalized elliptical distributions for asset returns (Q3161678) (← links)
- Estimating risk-neutral density with parametric models in interest rate markets (Q3182649) (← links)
- Orderings and Probability Functionals Consistent with Preferences (Q3395730) (← links)
- (Q3433875) (← links)
- ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS (Q3503046) (← links)
- DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY (Q3520392) (← links)
- Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market (Q3574716) (← links)
