Academic Publications

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Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management

Author(s) :
Robert F. Engle, Sergio M. Focardi, Frank J. Fabozzi
Journal of Portfolio Management, Special QES Issue 2016, Volume 42, No. 5, pp94-106.

Best Practices in Research for Quantitative Equity Strategies

Author(s) :
Joseph A. Cerniglia, Frank J. Fabozzi, Petter N. Kolm
Journal of Portfolio Management, Special QES Issue 2016, Volume 42, No. 5, pp135-143., May 2016

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

Author(s) :
The Journal of Fixed Income, Vol. 27, No. 2: pp. 30-36, September 2017

Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction

Author(s) :
Andrew Sun, Michael Lachansky, Frank J. Fabozzi
International Review of Financial Analysis, December 2016

Kinetic Component Analysis

Author(s) :
Riccardo Rebonato, PhD
Journal of Investing, Vol. 25 Issue 3 pp. 142 - 154, Fall 2016

An improved method for pricing and hedging long dated American options

Author(s) :
Frank J.Fabozzi, TommasoPaletta, SilviaStanescu, RaduTunaru
European Journal of Operational Research, Volume 254, Issue 2, 16 October 2016, Pages 656-666

Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion

Author(s) :
Y.S. Kim, Stoyan Stoyanov, Svetlozar Rachev, Frank J. Fabozzi
Economics Letters, Volume 145, pp225-229, August 2016.

Portfolio selection with conservative short-selling

Author(s) :
Jang HoKim, Woo ChangKim, Frank J.Fabozzi
Finance Research Letters, Volume 18, August 2016, Pages 363-369

The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis

Author(s) :
Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov
Journal of Monetary Economics, Volume 81, August 2016, Pages 25-43

On stability of operational risk estimates by LDA: From causes to approaches

Author(s) :
Xiaoping Zhou, Antonina V. Durfee, Frank J. Fabozzi
Journal of Banking and Finance, Volume 68, July 2016, pp266-287.

Is idiosyncratic volatility priced in commodity futures markets?

Author(s) :
Adrian Fernandez-Perez, Ana-Maria Fuertes, Joelle Miffre
International Review of Financial Analysis, Volume 46, pp219-226, July 2016.

Factor decomposition of the Eurozone sovereign CDS spreads

Author(s) :
Frank J. Fabozzi, Rosella Giacometti, Naoshi Tsuchida
Journal of International Money and Finance, Volume 65, July 2016, pp1-23.

Riding with the Four Horsemen and the Multivariate Normal Tempered Stable Model

Author(s) :
Michele Leonardo Bianchi, Gian Luca Tassinari, Frank J. Fabozzi
International Journal of Theoretical and Applied Finance, Volume 4, Issue 04, June 2016.

Elliptical tempered stable distribution

Author(s) :
Hassan A. Fallahgoul, Young S. Kim, Frank J. Fabozzi
Quantitative Finance, Volume 16, Issue 7, May 2016.

Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques

Author(s) :
Mohan Subbiah, Franck J. Fabozzi
International Review of Financial Analysis, Volume 45, May 2016, pp189-201.

Equity style allocation: A nonparametric approach

Author(s) :
Mohan Subbiah, Frank J. Fabozzi
Journal of Asset Management, Volume 17

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.