Frank J. Fabozzi
Names
first:  Frank 
middle:  J. 
last:  Fabozzi 
Contact
email:  
homepage:  http://www.frankfabozzi.com 
Affiliations

Groupe EDHEC (École de Hautes Études Commerciales du Nord)
→ Département Comptabilité, Droit, Finance et Économie (weight: 43%)
 website
 location: Lille/Paris, France

Groupe EDHEC (École de Hautes Études Commerciales du Nord)
→ EDHECRisk (weight: 43%)
 website
 location: Lille/Paris, France

Groupe EDHEC (École de Hautes Études Commerciales du Nord) (weight: 14%)
 website
 location: Lille/Paris, France
Research profile
author of:

Optimal mortgage refinancing: application of bond valuation tools to household risk management
by Andrew Kalotay & Deane Yang & Frank Fabozzi 
NonU.S. AssetBacked Securities: Spread Determinants and OverReliance on Credit Ratings
by Dennis Vink & Frank Fabozzi 
On the challenges in quantitative equity management
by Frank Fabozzi & Sergio Focardi & Caroline Jonas 
Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination.
by Fabozzi, Frank J. & Francis, Jack C. 
Liability Index Fund: The Liability Beta Portfolio
by Ryan, Ronald & Fabozzi , Frank 
Orderings and Probability Functionals Consistent with Preferences
by Sergio Ortobelli & Svetlozar Rachev & Haim Shalit & Frank Fabozzi 
Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time
by Fabozzi, Frank J. & West, Richard R. 
Optimal Financial Portfolios
by S. V. Stoyanov & S. T. Rachev & F. J. Fabozzi 
Option pricing and hedging under a stochastic volatility Lévy process model
by Young Kim & Frank Fabozzi & Zuodong Lin & Svetlozar Rachev 
On risk management problems related to a coherence property
by Frank Fabozzi & Radu Tunaru 
Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence.
by Gujarati, Damodar & Fabozzi, Frank 
MCMCbased estimation of Markov Switching ARMAGARCH models
by Jan Henneke & Svetlozar Rachev & Frank Fabozzi & Metodi Nikolov 
Momentum strategies based on rewardrisk stock selection criteria
by Rachev, Svetlozar & Jasic, Teo & Stoyanov, Stoyan & Fabozzi, Frank J. 
How do conflicting theories about financial markets coexist?
by Wesley Phoa & Sergio Focardi & Frank Fabozzi 
Multitail generalized elliptical distributions for asset returns
by Sebastian Kring & Svetlozar T. Rachev & Markus Höchstötter & Frank J. Fabozzi & Michele Leonardo Bianchi 
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
by Sun Wei & Rachev Svetlozar & Stoyanov Stoyan V. & Fabozzi Frank J. 
The OvertheCounter Market and New York Stock Exchange Trading Halts.
by Fabozzi, Frank J. & Ma, Christopher K. 
Household search choice: theory and evidence
by Yosef Bonaparte & Frank Fabozzi 
Modeling Volatility for the Chinese Equity Markets
by Frank J. Fabozzi & Radu Tunaru & Tony Wu 
Mathematical programming models to determine civil service salaries
by Fabozzi, Frank J. & Bachner, Alfred W. 
Portfolio selection with uncertain exit time: A robust CVaR approach
by Huang, Dashan & Zhu, ShuShang & Fabozzi, Frank J. & Fukushima, Masao 
How do Conflicting Theories about Financial Markets Coexist?
by Wesley Phoa & Sergio Focardi & Frank Fabozzi 
The value, size, and momentum spread during distressed economic periods
by Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William 
The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation.
by Coggin, T. Daniel & Fabozzi, Frank J. & Rahman, Shafiqur 
Portfolio selection under distributional uncertainty: A relative robust CVaR approach
by Huang, Dashan & Zhu, Shushang & Fabozzi, Frank J. & Fukushima, Masao 
Pricing of credit default index swap tranches with onefactor heavytailed copula models
by Wang, Dezhong & Rachev, Svetlozar T. & Fabozzi, Frank J. 
Is food consumption a good proxy for nondurable consumption?
by Bonaparte, Yosef & Fabozzi, Frank J. 
Macroeconomic news effects on conditional volatilities in the bond and stock markets
by Bala Arshanapalli & Edmond d'Ouville & Frank Fabozzi & Lorne Switzer 
Price calibration and hedging of correlation dependent credit derivatives using a structural model with αstable distributions
by Jochen Papenbrock & Svetlozar Rachev & Markus Hochstotter & Frank Fabozzi 
Market experience with modeling for definedbenefit pension funds: evidence from four countries
by FABOZZI, FRANK J. & FOCARDI, SERGIO M. & JONAS, CAROLINE L. 
Holiday Trading in Futures Markets.
by Fabozzi, Frank J. & Ma, Christopher K. & Briley, James E. 
IndexExciting CAViaR: A New Empirical TimeVarying Risk Model
by Huang Dashan & Yu Baimin & Lu Zudi & Fabozzi Frank J. & Focardi Sergio & Fukushima Masao 
Financial market models with Lévy processes and timevarying volatility
by Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J. 
Generalized Functional Form for Mutual Fund Returns
by Fabozzi, Frank J. & Francis, Jack C. & Lee, Cheng F. 
Fractals in trade duration: capturing longrange dependence and heavy tailedness in modeling trade duration
by Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev 
Exploring the components of credit risk in credit default swaps
by Fabozzi, Frank J. & Cheng, Xiaolin & Chen, RenRaw 
Property Derivatives for Managing European RealEstate Risk
by Frank Fabozzi & Robert Shiller & Radu Tunaru 
Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange
by Svetlozar T. Rachev & Chufang Wu & Frank J. Fabozzi 
Valuation of Safe Harbor Tax Benefit Transfer Leases.
by Fabozzi, Frank J. & Yaari, Uzi 
Estimating riskneutral density with parametric models in interest rate markets
by Frank Fabozzi & Radu Tunaru & George Albota 
Equity Manager Selection and Performance.
by Collins, Bruce & Fabozzi, Frank 
Fattailed models for risk estimation
by Stoyanov, Stoyan V. & Rachev, Svetlozar T. & RachevaIotova, Boryana & Fabozzi, Frank J. 
Fractals or I.I.D.: Evidence of longrange dependence and heavy tailedness from modeling German equity market returns
by Sun, Wei & Rachev, Svetlozar & Fabozzi, Frank J. 
The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model
by Francis, Jack Clark & Fabozzi, Frank J. 
Computing VAR and AVaR in Infinitely Divisible Distributions
by Young Kim & Svetlozar Rachev & Michele Bianchi & Frank Fabozzi 
Savings selectivity bias, subjective expectations and stock market participation
by Yosef Bonaparte & Frank Fabozzi 
Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns
by Frank Fabozzi & Omar Masood & Radu Tunaru 
CVaR sensitivity with respect to tail thickness
by Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J. 
Construction of probability metrics on classes of investors
by Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J. 
Relative deviation metrics and the problem of strategy replication
by Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Ortobelli, Sergio & Fabozzi, Frank J. 
Refunding efficiency: a generalized approach
by Andrew J. Kalotay & Deane Yang & Frank J. Fabozzi 
Trends in quantitative equity management: survey results
by Frank J. Fabozzi & Sergio Focardi & Caroline Jonas 
Risk management and dynamic portfolio selection with stable Paretian distributions
by Ortobelli, Sergio & Rachev, Svetlozar T. & Fabozzi, Frank J. 
Calibrating affine stochastic mortality models using term assurance premiums
by Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J. 
State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments
by Fabozzi, Frank J. & Thurston, Thom B. 
Beta as a Random Coefficient
by Fabozzi, Frank J. & Francis, Jack Clark 
Stability of mutual fund systematic risk statistics
by Francis, Jack Clark & Fabozzi, Frank J. 
Stability Tests for Alphas and Betas over Bull and Bear Market Conditions.
by Fabozzi, Frank J. & Francis, Jack Clark 
CAViaRbased forecast for oil price risk
by Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao 
Bayesian inference for hedge funds with stable distribution of returns
by Güner, Biliana & Rachev, Svetlozar T. & Edelman, Daniel & Fabozzi, Frank J. 
A Discretionary Wealth Approach to Investment Policy
by Jarrod Wilcox & Frank Fabozzi 
Collateralized Debt Obligations and Credit Risk Transfer
by Douglas Lucas & Laurie Goodman & Frank Fabozzi 
Chinese equity market and the efficient frontier
by Radu Tunaru & Frank Fabozzi & Tony Wu 
Securitization: The Tool of Financial Transformation
by Frank Fabozzi & Vinod Kothari 
Stable distributions in the BlackLitterman approach to asset allocation
by Rosella Giacometti & Marida Bertocchi & Svetlozar T. Rachev & Frank J. Fabozzi 
Approximation of aggregate and extremal losses within the very heavy tails framework
by Ivan Mitov & Svetlozar Rachev & Frank Fabozzi 
Time series analysis for financial market meltdowns
by Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J. 
Tempered infinitely divisible distributions and processes
by Bianchi, Michele Leonardo & Rachev, Svetlozar T. & Kim, Young Shin & Fabozzi, Frank J. 
A profit model for spread trading with an application to energy futures
by Kanamura, Takashi & Rachev, Svetlozar T. & Fabozzi, Frank J. 
An optimal design of collateralized mortgage obligation with PACcompanion structure using dynamic cash reserve
by Huang, Dashan & Kai, Yoshitaka & Fabozzi, Frank J. & Fukushima, Masao 
Tempered stable and tempered infinitely divisible GARCH models
by Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J. 
Balancing energy strategies in electricity portfolio management
by Möller, Christoph & Rachev, Svetlozar T. & Fabozzi, Frank J. 
A methodology for index tracking based on timeseries clustering
by Sergio Focardi & Frank Fabozzi 
A riskbased evaluation of the freetrader option
by RenRaw Chen & Frank Fabozzi 
A note on the association between systematic risk and common stock and bond rating classifications
by Fabozzi, Frank J. 
Tempered stable and tempered infinitely divisible GARCH models
by Shin Kim, Young & Rachev, Svetlozar T. & Leonardo Bianchi, Michele & Fabozzi, Frank J. 
A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions
by Wei Sun & Svetlozar Rachev & Frank J. Fabozzi 
Analysis of the intraday effects of economic releases on the currency market
by Rezania, Omid & Rachev, Svetlozar T. & Sun, Edward & Fabozzi, Frank J. 
An empirical examination of the return distribution characteristics of agency mortgage passthrough securities
by Frank Fabozzi & Borjana RachevaIotova & Stoyan Stoyanov 
An empirical analysis of the CDX index and its tranches
by Frank Fabozzi & YiChen Wang & ShihKuo Yeh & RenRaw Chen 
Time series analysis for financial market meltdowns
by Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J. 
A new approach to modeling comovement of international equity markets: evidence of unconditional copulabased simulation of tail dependence
by Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev 
Analysis of the intraday effects of economic releases on the currency market
by Sun, Edward W. & Rezania, Omid & Rachev, Svetlozar T. & Fabozzi, Frank J. 
An Explicit, MultiFactor Credit Default Swap Pricing Model with Correlated Factors
by Chen, RenRaw & Cheng, Xiaolin & Fabozzi, Frank J. & Liu, Bo 
Approximation of skewed and leptokurtic return distributions
by Matthias Scherer & Svetlozar T. Rachev & Young Shin Kim & Frank J. Fabozzi 
Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering
by Tobias Nigbur 
International corporate finance : Mark R. Eaker, Frank J. Fabozzi, and Dwight Grant, Fort Worth, TX: Dryden Press, 1996, 588 pp
by Griffiths, Mark D. 
Svetlozar, T. Rachev, John S.J. Hsu, B.S. Bagasheva and F.J. Fabozzi , Bayesian Methods in Finance, John Wiley and Sons, USA (2008) ISBN 9780471920830 (hardcover), $95, 329 pages.
by Maté, Carlos 
OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH
by Jongmoo Jay Choi & Frank J. Fabozzi & Uzi Yaari 
WHY IRA AND KEOGH PLANS SHOULD AVOID GROWTH STOCKS
by Uzi Yaari & Frank J. Fabozzi 
Robust portfolios that do not tilt factor exposure
by Kim, Woo Chang & Kim, Min Jeong & Kim, Jang Ho & Fabozzi, Frank J. 
Composition of robust equity portfolios
by Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J. 
Size, value, and momentum in emerging market stock returns
by Cakici, Nusret & Fabozzi, Frank J. & Tan, Sinan 
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
by Kim, Woo Chang & Fabozzi, Frank J. & Cheridito, Patrick & Fox, Charles 
A new method for generating approximation algorithms for financial mathematics applications
by Frank J. Fabozzi & Arturo Leccadito & Radu S. Tunaru 
Smooth monotone covariance for elliptical distributions and applications in finance
by Xiaoping Zhou & Dmitry Malioutov & Frank J. Fabozzi & Svetlozar T. Rachev 
Market overreaction and underreaction: tests of the directional and magnitude effects
by Frank J. Fabozzi & ChunYip Fung & Kin Lam & WingKeung Wong 
CVaR sensitivity with respect to tail thickness
by Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J. 
Bayesian estimation of truncated data with applications to operational risk measurement
by Xiaoping Zhou & Rosella Giacometti & Frank J. Fabozzi & Ann H. Tucker 
Optimal corporate strategy under uncertainty
by Andrew H. Chen & Frank J. Fabozzi & Dashan Huang 
Computational aspects of portfolio risk estimation in volatile markets: a survey
by Fabozzi Frank J. & Stoyanov Stoyan V. & Rachev Svetlozar T. 
Calibrating the Italian smile with timevarying volatility and heavytailed models
by Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev 
Extracting market information from equity options with exponential Lévy processes
by Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S. 
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
by Giacometti, Rosella & Bertocchi, Marida & Rachev, Svetlozar T. & Fabozzi, Frank J. 
Option pricing under stochastic volatility and tempered stable Lévy jumps
by Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J. 
Portfolio revision under meanvariance and meanCVaR with transaction costs
by Andrew Chen & Frank Fabozzi & Dashan Huang 
The role of jump dynamics in the risk–return relationship
by Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William 
Option pricing with timechanged L�vy processes
by Sven Klingler & Young Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi 
60 Years of portfolio optimization: Practical challenges and current trends
by Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J. 
Tempered stable OrnsteinUhlenbeck processes: a practical view
by Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi 
The new issues puzzle: evidence from nonUS firms
by Turan G. Bali & Nusret Cakici & Frank J. Fabozzi 
Empirical analysis of ARMAGARCH models in market risk estimation on highfrequency US data
by Beck Alexander & Kim Young Shin Aaron & Rachev Svetlozar & Feindt Michael & Fabozzi Frank 
Technical Review Panel for the Pension Insurance Modeling System (PIMS)
by 10 authors 
Measuring financial risk and portfolio optimization with a nonGaussian multivariate model
by Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico 
The information content of three credit ratings: the case of European residential mortgagebacked securities
by Frank J. Fabozzi & Dennis Vink 
ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS
by FRANK J. FABOZZI & RADU TUNARU 
On stability of operational risk estimates by LDA: From causes to approaches
by Zhou, Xiaoping & Durfee, Antonina V. & Fabozzi, Frank J. 
Option Pricing with Greed and Fear Factor: The Rational Finance Approach
by Svetlozar Rachev & Frank J. Fabozzi & Boryana RachevaIotova & Abootaleb Shirvani 
OR PRACTICEAssisting DefinedBenefit Pension Plans
by John M. Mulvey & Koray D. Simsek & Zhuojuan Zhang & Frank J. Fabozzi & William R. Pauling 
Option pricing for Informed Traders
by Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi 
Multivariate TimeChanged Brownian Motion: The Expectation–Maximization Estimation Method
by Michele Leonardo Bianchi & Stoyan V. Stoyanov & Gian Luca Tassinari & Frank J. Fabozzi & Sergio M. Focardi
edited by 
Multiperiod conditional valuation of barrier options with incomplete information
by Stoyan Valchev & Radu Tunaru & Frank J. Fabozzi 
Multiple Subordinated Modeling of Asset Returns
by Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi 
MultiPurpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion
by Y. S. Kim & S. Stoyanov & S. Rachev & F. Fabozzi 
Multipurpose binomial model: Fitting all moments to the underlying geometric Brownian motion
by Kim, Y. S. & Stoyanov, S. & Rachev, S. & Fabozzi, F. 
Option pricing with regime switching tempered stable processes
by Lin, Zuodong & Rachev, Svetlozar T. & Kim, Young Shin & Fabozzi, Frank J. 
Measuring and explaining pension system risk*
by FABOZZI, FRANK J. 
Handbook of HeavyTailed Distributions in Asset Management and Risk Management
by Michele Leonardo Bianchi & Stoyan V. Stoyanov & Gian Luca Tassinari & Frank J. Fabozzi & Sergio M. Focardi 
Portfolio selection with conservative shortselling
by Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J. 
Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Assetâ€ Backed Securities
by Frank J. Fabozzi & Dennis Vink 
Measuring financial risk and portfolio optimization with a nonGaussian multivariate model
by Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca 
METRIZATION OF STOCHASTIC DOMINANCE RULES
by STOYAN V. STOYANOV & SVETLOZAR T. RACHEV & FRANK J. FABOZZI 
Mathematical Programming in American Companies: A Sample Survey
by Frank J. Fabozzi & Joseph Valente 
Penalizing variances for higher dependency on factors
by Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi 
Market implied volatilities for defaultable bonds
by Vincenzo Russo & Rosella Giacometti & Frank J. Fabozzi 
Macroeconomic variable selection for creditor recovery rates
by Nazemi, Abdolreza & Fabozzi, Frank J. 
Multivariate TimeChanged Brownian Motion
by Michele Leonardo Bianchi & Stoyan V. Stoyanov & Gian Luca Tassinari & Frank J. Fabozzi & Sergio M. Focardi
edited by 
PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS
by SERGIO ORTOBELLI LOZZA & HAIM SHALIT & FRANK J. FABOZZI 
Investigating the Performance of NonGaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads
by Michele Bianchi & Frank Fabozzi 
Pricing Derivatives in Hermite Markets
by Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi 
Pricing derivatives in Hermite markets
by Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi 
Implied Volatility Smile with NonGaussian Processes
by Michele Leonardo Bianchi & Stoyan V. Stoyanov & Gian Luca Tassinari & Frank J. Fabozzi & Sergio M. Focardi
edited by 
Intensitybased framework for surrender modeling in life insurance
by Russo, Vincenzo & Giacometti, Rosella & Fabozzi, Frank J. 
Focusing on the worst state for robust investing
by Kim, Woo Chang & Kim, Jang Ho & Mulvey, John M. & Fabozzi, Frank J. 
Local volatility and the recovery rate of credit default swaps
by Jansen, Jeroen & Das, Sanjiv R. & Fabozzi, Frank J. 
Improving corporate bond recovery rate prediction using multifactor support vector regressions
by Nazemi, Abdolreza & Heidenreich, Konstantin & Fabozzi, Frank J. 
FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET
by SVETLOZAR T. RACHEV & STOYAN V. STOYANOV & FRANK J. FABOZZI 
Introduction
by Michele Leonardo Bianchi & Stoyan V. Stoyanov & Gian Luca Tassinari & Frank J. Fabozzi & Sergio M. Focardi
edited by 
Introduction to special issue: studies in mathematical and empirical finance
by Svetlozar Rachev & Frank Fabozzi 
Predictability dynamics of emerging sovereign CDS markets
by Sensoy, Ahmet & Fabozzi, Frank J. & Eraslan, Veysel 
THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
by SERGIO ORTOBELLI & SVETLOZAR T. RACHEV & STOYAN STOYANOV & FRANK J. FABOZZI & ALMIRA BIGLOVA 
The ICAbased Factor Decomposition of the Eurozone Sovereign CDS Spreads
by Frank J. Fabozzi & Rosella Giacometti & Naoshi Tsuchida 
Property Derivatives for Managing European Realâ€ Estate Risk
by Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru 
How fat are the tails of equity market indices?
by Stoyan Stoyanov & Lixia Loh & Frank J. Fabozzi 
Fuzzy decision fusion approach for lossgivendefault modeling
by Nazemi, Abdolreza & Fatemi Pour, Farnoosh & Heidenreich, Konstantin & Fabozzi, Frank J. 
QuantileBased Inference for Tempered Stable Distributions
by Hasan A. Fallahgoul & David Veredas & Frank J. Fabozzi 
The Generalized Hyperbolic Distribution
by Michele Leonardo Bianchi & Stoyan V. Stoyanov & Gian Luca Tassinari & Frank J. Fabozzi & Sergio M. Focardi
edited by 
Financial market with no riskless (safe) asset
by Svetlozar Rachev & Frank Fabozzi 
What do robust equity portfolio models really do?
by Woo Kim & Jang Kim & So Ahn & Frank Fabozzi 
Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques
by Subbiah, Mohan & Fabozzi, Frank J. 
FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST?
by SERGIO M. FOCARDI & FRANK J. FABOZZI 
Random Variables
by Michele Leonardo Bianchi & Stoyan V. Stoyanov & Gian Luca Tassinari & Frank J. Fabozzi & Sergio M. Focardi
edited by 
Factor decomposition of the Eurozone sovereign CDS spreads
by Fabozzi, Frank J. & Giacometti, Rosella & Tsuchida, Naoshi 
Enhancing Binomial and Trinomial Equity Option Pricing Models
by Yong Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi 
Extreme Value Theory
by Michele Leonardo Bianchi & Stoyan V. Stoyanov & Gian Luca Tassinari & Frank J. Fabozzi & Sergio M. Focardi
edited by 
Exploring rating shopping for european triple a senior structured finance securities
by Fabozzi, Frank J. & Nawas, Mike E. & Vink, Dennis 
Estimating the elasticity of intertemporal substitution accounting for stockholderspecific portfolios
by Yosef Bonaparte & Frank J. Fabozzi 
Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies
by Patel, Jinal & Russo, Vincenzo & Fabozzi, Frank J. 
Enhancing binomial and trinomial equity option pricing models
by Kim, Young Shin & Stoyanov, Stoyan & Rachev, Svetlozar & Fabozzi, Frank J. 
Equalweighted strategy: Why it outperforms valueweighted strategies? Theory and evidence
by Rama Malladi & Frank J. Fabozzi 
Quanto Option Pricing with Lévy Models
by Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park 
Explosive rents: The real estate market dynamics in exuberance
by Fabozzi, Frank J. & Xiao, Keli 
Equity style allocation: A nonparametric approach
by Mohan Subbiah & Frank J. Fabozzi 
Recent Developments in Robust Portfolios with a WorstCase Approach
by Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi 
Effects of Spot Market ShortSale Constraints on Index Futures Trading
by Frank J. Fabozzi & Ahmet K. Karagozoglu & Na Wang 
The Reasonable Effectiveness of Mathematics in Economics
by Sergio M. Focardi & Frank J. Fabozzi 
Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction
by Sun, Andrew & Lachanski, Michael & Fabozzi, Frank J. 
Diversification versus optimality: is there really a diversification puzzle?
by Sergio Ortobelli Lozza & WingKeung Wong & Frank J. Fabozzi & Martin Egozcue 
Effective Capital Gains Tax Rates: A Reply
by Coyne, Christopher & Fabozzi, Frank J. & Yaari, Uzi 
The Timeline Estimation of Bubbles: The Case of Real Estate
by Frank J. Fabozzi & Keli Xiao 
Effectiveness of developed and emerging market FX options in active currency risk management
by Vohra, Suprita & Fabozzi, Frank J. 
RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL
by MICHELE LEONARDO BIANCHI & GIAN LUCA TASSINARI & FRANK J. FABOZZI 
Recent advancements in robust optimization for investment management
by Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi 
Does the corporate bond market overvalue bonds of sin companies?
by Fabozzi, Frank J. & Lamba, Asjeet S. & Nishikawa, Takeshi & Rao, Ramesh P. & Ma, K. C. 
Elliptical tempered stable distribution
by Hassan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi 
Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition
by Fabozzi, Frank J. 
Sentiment indices and their forecasting ability
by David A. Mascio & Frank J. Fabozzi 
Deciphering robust portfolios
by Kim, Woo Chang & Kim, Jang Ho & Fabozzi, Frank J. 
Calibrating the Italian Smile with TimeVarying Volatility and HeavyTailed Models
by Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi 
The Class of Stable Distributions
by Michele Leonardo Bianchi & Stoyan V. Stoyanov & Gian Luca Tassinari & Frank J. Fabozzi & Sergio M. Focardi
edited by 
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
by SVETLOZAR RACHEV & SERGIO ORTOBELLI & STOYAN STOYANOV & FRANK J. FABOZZI & ALMIRA BIGLOVA 
Robust portfolios: contributions from operations research and finance
by Frank Fabozzi & Dashan Huang & Guofu Zhou 
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
by Stoyan Stoyanov & Svetlozar Rachev & Frank Fabozzi 
A flexible approach to estimate the equity premium
by Yosef Bonaparte & Frank J. Fabozzi 
Discussion of ‘on simulation and properties of the stable law’ by Devroye and James
by Michele Bianchi & Frank Fabozzi 
Robust equity portfolio performance
by Jang Ho Kim & Woo Chang Kim & DoGyun Kwon & Frank J. Fabozzi 
Skillful hiding: evaluating hedge fund managers’ performance based on what they hide
by Rama Malladi & Frank J. Fabozzi 
A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance
by Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K. 
Behavioral Finance  Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach
by Svetlozar Rachev & Stoyan Stoyanov & Stefan Mittnik & Frank J. Fabozzi & Abootaleb Shirvani 
An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey
by Yongjae Lee & DoGyun Kwon & Woo Chang Kim & Frank J. Fabozzi 
Stochastic models for risk estimation in volatile markets: a survey
by Stoyan Stoyanov & Borjana RachevaIotova & Svetlozar Rachev & Frank Fabozzi 
Taxation of Capital Gains With Deferred Realization
by Coyne, Christopher & Fabozzi, Frank J. & Yaari, Uzi 
A ThreeFactor Model for Mortality Modeling
by Vincenzo Russo & Rosella Giacometti & Svetlozar Rachev & Frank J. Fabozzi 
A Pricing Framework for Real Estate Derivatives
by Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru 
Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing
by Svetlozar Rachev & Stoyan Stoyanov & Frank J. Fabozzi 
Stochastic Processes with Jumps
by Michele Leonardo Bianchi & Stoyan V. Stoyanov & Gian Luca Tassinari & Frank J. Fabozzi & Sergio M. Focardi
edited by 
Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty
by Yifan Yang & Frank J. Fabozzi & Michele Leonardo Bianchi 
BARRIER OPTION PRICING BY BRANCHING PROCESSES
by GEORGI K. MITOV & SVETLOZAR T. RACHEV & YOUNG SHIN KIM & FRANK J. FABOZZI 
Black swans and white eagles: on mathematics and finance
by Sergio Focardi & Frank Fabozzi 
Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions
by Michele Leonardo Bianchi & Stoyan V. Stoyanov & Gian Luca Tassinari & Frank J. Fabozzi & Sergio M. Focardi
edited by 
AN OPTIONTHEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGEBACKED SECURITIES
by ANDREW KALOTAY & DEANE YANG & FRANK J. FABOZZI 
A Note on the Discriminatory Effects of Monetary Policy and the Use of Trade Credit
by Frank J. Fabozzi & Stephen Feldman 
Tempered Stable Distributions
by Michele Leonardo Bianchi & Stoyan V. Stoyanov & Gian Luca Tassinari & Frank J. Fabozzi & Sergio M. Focardi
edited by 
Approximation of Stable and Geometric Stable Distribution
by Hassan Fallahgoul & S. M. Hashemiparast & Young Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi 
An improved least squares Monte Carlo valuation method based on heteroscedasticity
by Fabozzi, Frank J. & Paletta, Tommaso & Tunaru, Radu 
A New Set of Financial Instruments
by Abootaleb Shirvani & Stoyan V. Stoyanov & Svetlozar T. Rachev & Frank J. Fabozzi 
Another Look at the HoLee Bond Option Pricing Model
by Young Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi 
An improved method for pricing and hedging long dated American options
by Fabozzi, Frank J. & Paletta, Tommaso & Stanescu, Silvia & Tunaru, Radu 
A Portfolio Selection Analysis with NonGaussian Models
by Michele Leonardo Bianchi & Stoyan V. Stoyanov & Gian Luca Tassinari & Frank J. Fabozzi & Sergio M. Focardi
edited by
editor of:

The Handbook of MortgageBacked Securities, 7th Edition
edited by Fabozzi, Frank J.