Frank J. Fabozzi

Adjunct Professor of Finance

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Bio

Professional Designations:

• Chartered Financial Analyst (1977)
• Certified Public Accountant (New York, License No: 045402, Date of Licensure: 06/25/82)

Education

• City University of New York - Ph D (Economics) - 1972
• City College of New York - MA (Economics) - 1970
• City College of New York - BA (Economics and Statistics), (magna cum laude and honors in economics), (Elected to Phi Beta Kappa in 1969) - 1970

Publications

• Real Estate Derivatives: What Can Be Done to Tame Property Price Risk
  (author(s): Frank J. Fabozzi, Robert Shiller, Radu Tunaru)
  Forthcoming in Journal of Economic Perspectives
• Active Loan Trading
  (author(s): Frank J. Fabozzi, Sven Klingler, Pia Molgaard, Mads Stenbo Nielsen)
  Forthcoming in Journal of Financial Intermediation
• Multiple Subordinated Modeling of Asset Returns: Implications for Option Pricing
  (author(s): Abootaleb Shirvani, Svetlozar T. Rachev, Frank J. Fabozzi)
  Forthconing in Econometric Reviews
• Detecting Bubbles in the US and UK Real Estate Markets
  

  (author(s): Frank Fabozzi, Iason Kynigakis, Ekaterini Panopoulou, Radu Tunaru)
  Journal of Real Estate Finance and Economics 60, 2020; 469-513

• Can Commodity Price Uncertainty Indexes be Improved by Capturing Media Information? The Case of Oil Price Uncertainty
  

  (author(s): Yosef Bonaparte, Frank J. Fabozzi, David Koskowski)
  Journal of Alternative Investments 22(4), 2020; 41-58

• Birth Order and Portfolio Choice
  

  (author(s): Yosef Bonaparte, Frank J. Fabozzi, David Koskowski)
  Applied Economics 57(7), 2020, 694-709

• A Complete Model for Pricing CoCo Bonds
  

  (author(s): Krasimir Milanov, Ognyan Kounchev, Frank J. Fabozzi)
  Journal of Fixed Income 29(3), 2020; 53-67

• The Market Risk of Corporate Bonds
  

  (author(s): Marielle de Jong, Frank J. Fabozzi)
  Journal of Portfolio Management 24(2), 2020 (Quantitative Special Issue); 92-105

• Climate Change and Asset Management
  

  (author(s): Sergio M. Focardi, Frank J. Fabozzi)
  Journal of Portfolio Management 46(3), 2020 (Ethical Investing Special Issue); 95-107

• Quantum Option Pricing and Quantum Finance
  

  (author(s): Sergio Focardi, Frank J. Fabozzi, Davide Mazza)
  Journal of Derivatives 28(1), 2020; 143-159

• Application of the Merton Model to Estimate the Probability of Breach of Capital Requirements under Basel III
  

  (author(s): Vincenzo Russo, Valentina Lagasio, Marina Brogi, Frank J. Fabozzi)
  Annals of Finance 16(1), 2020; 141-157

• Cashing in on Innovation: A Taxonomy of FinTech
  

  (author(s): Michael Imerman, Frank J Fabozzi)
  Journal of Asset Management 21(3), 2020; 167-177

• Preparing for Higher Inflation: Portfolio Solutions Using U.S. Equities
  

  (author(s): Harsh Parikh, Rama Malladi, Frank J. Fabozzi)
  Review of Financial Economics 38(3), 2020; 542-554

Awards and Honors

• CFA Institute - James R. Vertin Award Recipient (2015)
• CFA Institute - C. Stewart Sheppard Award Recipient (2007)
• Inducted into the Fixed Income Analysts Society Hall of Fame (2002)
• Nova Southeastern University - Honorary Doctorate of Humane Letters Recipient (1994)

Professional Activities

• Editor - Journal of Portfolio Management
• Co-Editor (co-founder) - Journal of Financial Data Science
• Associate Editor - Quantitative Finance
• Associate Editor - Journal of Fixed Income
• Consulting Editor - Journal of Structured Finance
• Editorial Board - Journal of Asset Management
• Advisory Board - Review of Futures Markets
• Advisory Board - Journal of Derivatives
• Honorary Editorial Board - Journal of Mathematical Finance
• Honorary Editorial Board - Theoretical Economic Letters