Academic Publications

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A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits

Author(s) :
John M. Mulvey, Lionel Martellini, Han Hao and Nongchao Li
The Journal of Portfolio Management, Vol. 45, Issue 3 Quantitative Special Issue 2019

Tail Risk in the Cross Section of Alternative Risk Premium Strategies

Author(s) :
Nick Baltas, Bernd Scherer
The Journal of Portfolio Management Multi-Asset Special Issue 2019, 45 (2) 93-104 In this article, the authors attempt to get...

Does Household Finance Matter? Small Financial Errors with Large Social Costs

Author(s) :
Harjoat Bhamra, Raman Uppal
American Economic Review

The Three-Factor Hedging Strategy for Mortgage Pass-Through Securities: Empirical Evidence

Author(s) :
Emory E. Ruscus, Frank J. Fabozzi, Glenn Schultz
The Journal of Fixed Income, Winter 2019, Vol. 28 N° 3 pp. 55 - 67  

Quantile-Based Inference for Tempered Stable Distributions

Author(s) :
Hasan A. Fallahgoul, David Veredas, Frank J. Fabozzi
Computational Economics, January 2019, Volume 53, Issue 1, pp 51–83  

Predicting Returns in US Treasuries: Do Tents Matter?

Author(s) :
Riccardo Rebonato
International Journal of Theoretical and Applied Finance, Vol. 21, No. 07

Bond Pricing and Yield Curve Modeling: A Structural Approach

Author(s) :
Riccardo Rebonato
In this book, Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affine...

A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems

Author(s) :
Romain Deguest, Lionel Martellini, Vincent Milhau
Management Science, Volume 64, Issue 9, September 2018, Pages 3971-4470

Another Look at the Ho–Lee Bond Option Pricing Model

Author(s) :
Young Shin Kim, Stoyan Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
The Journal of Derivatives, Vol. 25, Issue 4, Summer 2018, pp48-53

Recent advancements in robust optimization for investment management

Author(s) :
Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi
Annals of Operations Research, July 2018, Volume 266, Issue 1–2, pp 183–198

Bond Portfolio Optimization in the Presence of Duration Constraints

Author(s) :
Romain Deguest, Frank J. Fabozzi, Lionel Martellini, Vincent Milhau
The Journal of Fixed Income, Summer 2018

Local volatility and the recovery rate of credit default swaps

Author(s) :
Jeroen Jansen, Sanjiv R. Das, Frank J. Fabozzi
Journal of Economic Dynamics and Control, Volume 92, July 2018, Pages 1-29

Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies

Author(s) :
Jinal Patel, Vincenzo Russo, Frank J. Fabozzi
Finance Research Letters, Volume 25, June 2018, Pages 196-201

Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics

Author(s) :
Laurent Calvet, Adlai J. Fisher, Liuren Wu
Journal of Financial and Quantitative Analysis, Volume 53, Issue 2, April 2018 , pp. 937-963  

Macroeconomic variable selection for creditor recovery rates

Author(s) :
Abdolreza Nazemi, Frank J. Fabozzi
Journal of Banking & Finance, Volume 89, April 2018, Pages 14-25

Capital Structure Decisions and the Optimal Design of Corporate Market Debt Programs

Author(s) :
Lionel Martellini, Vincent Milhau, Andrea Tarelli
Journal of Corporate Finance, Volume 49, April 2018, Pages 141-167

A Financially Motivated Extension of the Heston Model for a Joint ℙ- and ℚ-Dynamics Analysis of Variance

Author(s) :
Riccardo Rebonato, Chu Ming Ng
Journal of Derivatives, Vol. 25, Issue 3, Spring 2018 

Mind the Gap: On the Importance of Understanding and Controlling Market Risk in Smart Beta Strategies

Author(s) :
Noël Amenc, Felix Goltz, Ashish Lodh
The Journal of Portfolio Management, Vol. 44, Issue 4, Quantitative Special Issue 2018 

Academic, Practitioner, and Investor Perspectives on Factor Investing

Author(s) :
Joseph Cerniglia, Frank J. Fabozzi
The Journal of Portfolio Management, Vol. 44, Issue 4, Quantitative Special Issue 2018 

Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models

Author(s) :
Michele Leonardo Bianchi, Frank J. Fabozzi, Svetlozar T. Rachev
In this article, the authors consider several time-varying volatility and/or heavy-tailed models to explain the dynamics of return time series and to...