Pricing Coupon Bond Options and Swaptions under the One-Factor Hull-White Model

Author(s) :
Vincenzo Russo, Frank J. Fabozzi
Journal of Fixed Income, Volume 25, No. 4, Spring 2016, pp76-82.

A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance

Author(s) :
Sergio M. Focardi, Frank J. Fabozzi, Ivan K. Mitov
Journal of Banking & Finance, Volume 65, April 2016, pp134-155.

Counterparty Risk Minimization by the Optimal Netting of OTC Derivative Trades

Author(s) :
Dominic O'Kane
The Journal of Derivatives, Winter 2016, Vol. 24, No. 2: pp. 48-65

Diversified or Concentrated Factor Tilts?

Author(s) :
Noel Amenc, Frederic Ducoulombier, Felix Goltz, Ashish Lodh, Sivagaminathan Sivasubramanian
The Journal of Portfolio Management, Winter 2016, Vol. 42, No. 2, pp64-76.

A One-Factor Shifted Squared Gaussian Term Structure Model for Interest Rate Modeling

Author(s) :
Vincenzo Russo, Frank J. Fabozzi
Journal of Fixed Income, Volume 25, No 3, pp36-45, Winter 2016.

Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach

Author(s) :
Yaacov Kopeliovich, Arcady Novosyolov, Daniel Satchkov, Barry Schachter
The stress test has become an increasingly important risk assessment and management tool. But while it is easy to imagine a stress scenario and to...

Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds

Author(s) :
Lionel Martellini, Vincent Milhau, Andrea Tarelli
In the absence of inflation-linked bonds or inflation swaps, no perfect hedging strategy exists for inflation-linked liabilities, so nominal bonds...

Full versus quasi MLE for ARMA-GARCH models with infinitely divisible innovations

Author(s) :
Jimmie Goode, Young Shin Kim, Frank J. Fabozzi
Applied Economics, Volume 47, Issue 48, September 2015.

Stochastic Alpha-Beta-Rho Hedging for Foreign Exchange Options: Is It Worth the Effort?

Author(s) :
Yifan Yang, Frank J. Fabozzi, Michele Leonardo Bianchi
Journal of Derivatives, Journal of Derivatives, Volume 23, pp76-89, Winter 2015.

In search of Cash-Flow Pricing

Author(s) :
Frank J. Fabozzi, K. C. Chen, K. C. Ma, Jessica West
Journal of Financial Research, Volume 38, Issue 4, pp511-527, Winter 2015.

Mass Customization in Life-Cycle Investing Strategies with Income Risk

Author(s) :
Romain Deguest, Lionel Martellini, Vincent Milhau
Bankers, Markets & Investors, No.139, November-December 2015.

Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads

Author(s) :
Michele Leonardo Bianchi, Frank J. Fabozzi
Computational Economics, Volume 46, Issue 2, pp243-273, August 2015.

New Horizons and Familiar Landscapes: New Capital Sources Confront Shifting Real Estate Fundamentals

Author(s) :
Jim Clayton, Frank J. Fabozzi, S. Michael Giliberto, Jacques N. Gordon, Youguo Liang, Greg MacKinnon, Asieh Mansour
The Journal of Portfolio Management, Real Estate Issue, Summer 2015, Volume 41, No.6, pp11-20.

The Post-Crisis CMBS Market: Will Regulations Prevent Another Market Meltdown?

Author(s) :
Frank J. Fabozzi, Joe McBride, Manus Clancy
The Journal of Portfolio Management, Real Estate Issue, Summer 2015, Volume 41, No.6, pp118-125.

Toward Conditional Risk Parity: Improving Risk Budgeting Techniques in Changing Economic Environments

Author(s) :
Lionel Martellini, Vincent Milhau, Andrea Tarelli
Journal of Alternative Investments , Volume 18

The Case for Long-Short Commodity Investing

Author(s) :
Joelle Miffre, Adrian Fernandez-Perez
Journal of Alternative Investments , Volume 18, Issue 1, pp92-104, Summer 2015.

Economics: An Empirical Science Capable of Forecasting Economic Events?

Author(s) :
Sergio M. Focardi, Frank J. Fabozzi
Journal of Portfolio Management, Volume 41, Issue 4, pp145-151, Summer 2015.

A Three-Factor Model for Mortality Modeling

Author(s) :
Vincenzo Russo, Rosella Giacometti, Svetlozar Rachev, Frank J. Fabozzi
North American Actuarial Journal, Volume 19, Issue 2, pp129-141, 2015.

Multiperiod conditional valuation of barrier options with incomplete information

Author(s) :
Stoyan Valchev, Radu Tunaru, Frank J. Fabozzi
Quantitative Finance, Volume 15, Issue 7, pp1093-1102, 2015.

Focusing on the worst state for robust investing

Author(s) :
Woo Chang Kim, Jang Ho Kim, John M. Mulvey, Frank J. Fabozzi
International Review of Financial Analysis, Volume 39, pp19-31, May 2015.

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