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Date Posted: September 21, 2007
Last Revised: January 17, 2008
Working Paper Series
10262 downloads

Risk Management for Hedge Funds: Introduction and Overview
Andrew W. Lo
MIT Sloan School of Management
Date Posted: September 13, 2001
Last Revised: September 14, 2001
Working Paper Series
9552 downloads

Understanding the Securitization of Subprime Mortgage Credit
Wharton Financial Institutions Center Working Paper No. 07-43, FRB of New York Staff Report, No. 318
Adam B. Ashcraft and Til Schuermann
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: December 14, 2007
Last Revised: March 11, 2008
Working Paper Series
8045 downloads

A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models
Vladimir Piterbarg
Barclays Capital
Date Posted: August 30, 2003
Last Revised: August 30, 2003
Working Paper Series
8036 downloads

Can Hedge-Fund Returns Be Replicated?: The Linear Case
Jasmina Hasanhodzic and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Department of Electrical Engineering and Computer Science and MIT Sloan School of Management
Date Posted: August 27, 2006
Last Revised: May 31, 2007
Working Paper Series
6717 downloads

Portfolio Performance Manipulation and Manipulation-Proof Performance Measures
Yale ICF Working Paper No. 02-08, AFA 2003 Washington, DC Meetings
William N. Goetzmann , Jonathan E. Ingersoll Jr. Jr., Matthew I. Spiegel and Ivo Welch
Yale School of Management - International Center for Finance , Yale School of Management - International Center for Finance , Yale School of Management, International Center for Finance and Brown University - Department of Economics
Date Posted: March 22, 2002
Last Revised: April 18, 2006
Working Paper Series
6174 downloads

Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication
Alternative Investment Research Centre Working Paper No. 27, Cass Business School Research Paper
Harry M. Kat and Helder P. Palaro
Date Posted: November 30, 2005
Last Revised: October 27, 2006
Working Paper Series
6122 downloads

Hedge Fund Returns: You Can Make Them Yourself!
AIRC Working Paper No. 0023, Cass Business School Research Paper
Harry M. Kat and Helder P. Palaro
Date Posted: September 15, 2005
Last Revised: October 22, 2006
Working Paper Series
6091 downloads

The Illusions of Dynamic Replication
Emanuel Derman and Nassim Nicholas Taleb
Columbia University and NYU-Poly
Date Posted: May 9, 2005
Last Revised: June 30, 2009
Working Paper Series
5920 downloads

The Promise and Perils of Credit Derivatives
University of Cincinnati Law Review, Vol. 75, p. 1019, 2007, U of Penn, Inst for Law & Econ Research Paper No. 06-22, U of Penn Law School, Public Law Working Paper No. 06-36, San Diego Legal Studies Paper No. 07-74
David A. Skeel Jr. and Frank Partnoy
University of Pennsylvania Law School and University of San Diego - School of Law
Date Posted: September 13, 2006
Last Revised: February 3, 2009
Accepted Paper Series
5583 downloads

The Risk Profile of Private Equity
Tom Weidig and Pierre-Yves Mathonet
QuantExperts and European Investment Fund
Date Posted: February 7, 2004
Last Revised: May 3, 2004
Working Paper Series
5229 downloads

Fuel Hedging in the Airline Industry: The Case of Southwest Airlines

David Carter , Daniel A. Rogers and Betty J. Simkins
Oklahoma State University - Stillwater - Department of Finance , Portland State University - School of Business Administration and Oklahoma State University - Stillwater - Department of Finance
Date Posted: August 21, 2004
Last Revised: November 30, 2004
Working Paper Series
4914 downloads

Integrated Risk Management for the Firm: A Senior Manager's Guide
Lisa K. Meulbroek
Claremont McKenna College – Robert Day School of Economics and Finance
Date Posted: February 26, 2002
Last Revised: September 22, 2008
Working Paper Series
4641 downloads

Collateralized Debt Obligations and Credit Risk Transfer
Yale ICF Working Paper No. 07-06
Douglas J. Lucas , Laurie Goodman and Frank J. Fabozzi
UBS - CDO Research , Paine Webber and Yale School of Management
Date Posted: July 2, 2007
Last Revised: July 3, 2007
Working Paper Series
4563 downloads

Where Do Alphas Come From?: A New Measure of the Value of Active Investment Management
Andrew W. Lo
MIT Sloan School of Management
Date Posted: March 26, 2008
Last Revised: April 21, 2009
Working Paper Series
4536 downloads

The Economics of Structured Finance
Harvard Business School Finance Working Paper No. 09-060
Joshua D. Coval , Jakub W. Jurek and Erik Stafford
Harvard Business School , Princeton University - Bendheim Center for Finance and Harvard Business School
Date Posted: October 22, 2008
Last Revised: February 18, 2009
Working Paper Series
4391 downloads

A Multi-currency Model with FX Volatility Skew
Vladimir Piterbarg
Barclays Capital
Date Posted: April 5, 2005
Last Revised: April 7, 2005
Working Paper Series
4245 downloads

A Theory of Large Fluctuations in Stock Market Activity
MIT Department of Economics Working Paper No. 03-30
Xavier Gabaix , Parameswaran Gopikrishnan , Vasiliki Plerou and H. Eugene Stanley
New York University - Stern School of Business , Boston University - Center for Polymer Studies , Boston University - Center for Polymer Studies and Boston University - Center for Polymer Studies
Date Posted: September 11, 2003
Last Revised: April 30, 2008
Working Paper Series
4232 downloads

The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors
Cass Business School Research Paper
Harry M. Kat and Chris Brooks
University of Reading - ICMA Centre
Date Posted: November 6, 2001
Last Revised: November 13, 2001
Working Paper Series
4188 downloads

The Tactical and Strategic Value of Commodity Futures
Claude B. Erb and Campbell R. Harvey
TCW and Duke University - Fuqua School of Business
Date Posted: February 3, 2005
Last Revised: January 12, 2006
Working Paper Series
4182 downloads

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