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eDocument is available from the SSRN eLibrary for free
eDocument is available, fee may apply
Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula (fifth version)Espen Gaarder Haug and Nassim Nicholas Taleb
affiliation not provided to SSRN and NYU-Poly
Date Posted: September 11, 2007
Last Revised: June 30, 2009
Working Paper Series
21825 downloads
Risk Management Lessons from Long-Term Capital ManagementPhilippe Jorion
University of California, Irvine - Paul Merage School of Business
Date Posted: August 2, 1999
Last Revised: September 2, 1999
Working Paper Series
12693 downloads
A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor ModelsVladimir Piterbarg
Barclays Capital
Date Posted: August 30, 2003
Last Revised: August 30, 2003
Working Paper Series
8038 downloads
Forecasting VolatilityLouis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Date Posted: July 13, 1999
Last Revised: September 13, 2004
Working Paper Series
7684 downloads
Portfolio Performance Manipulation and Manipulation-Proof Performance MeasuresYale 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
6176 downloads
Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return ReplicationAlternative 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
6124 downloads
The Illusions of Dynamic ReplicationEmanuel 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 DerivativesUniversity 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
5584 downloads
A Multifractal Model of Asset ReturnsCowles Foundation Discussion Paper No. 1164, Sauder School of Business Working Paper
Benoit B. Mandelbrot , Adlai J. Fisher and Laurent E. Calvet
Yale University - International Center for Finance , University of British Columbia - Sauder School of Business and HEC School of Management - Department of Finance and Economics
Date Posted: April 21, 1998
Last Revised: November 26, 2003
Working Paper Series
5295 downloads
The Fundamentals of Commodity Futures ReturnsYale ICF Working Paper No. 07-08
Gary B. Gorton , Fumio Hayashi and K. Geert Rouwenhorst
Yale School of Management , Hitotsubashi University and Yale School of Management - International Center for Finance
Date Posted: June 28, 2007
Last Revised: October 9, 2008
Working Paper Series
5237 downloads
High-Water Marks and Hedge Fund Management ContractsYale ICF Working Paper No. 00-34
William N. Goetzmann , Jonathan E. Ingersoll Jr. Jr. and Stephen A. Ross
Yale School of Management - International Center for Finance , Yale School of Management - International Center for Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: February 8, 1998
Last Revised: August 30, 2001
Working Paper Series
5057 downloads
Fuel Hedging in the Airline Industry: The Case of Southwest AirlinesDavid 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
4915 downloads
Do Hedge Funds Hedge?Clifford S. Asness , Robert Krail and John M. Liew
AQR Capital Management, LLC , AQR Capital Management, LLC and AQR Capital Management, LLC
Date Posted: January 10, 2001
Last Revised: May 31, 2001
Working Paper Series
4640 downloads
A Stochastic Volatility Forward Libor Model with a Term Structure of Volatility SmilesVladimir Piterbarg
Barclays Capital
Date Posted: November 24, 2003
Last Revised: November 24, 2003
Working Paper Series
4605 downloads
Collateralized Debt Obligations and Credit Risk TransferYale 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
4566 downloads
An Analysis of the Financial Crisis of 2008: Causes and SolutionsAustin Murphy
Oakland University - School of Business Administration
Date Posted: November 4, 2008
Last Revised: December 16, 2008
Working Paper Series
4487 downloads
A Multi-currency Model with FX Volatility SkewVladimir Piterbarg
Barclays Capital
Date Posted: April 5, 2005
Last Revised: April 7, 2005
Working Paper Series
4245 downloads
The Tactical and Strategic Value of Commodity FuturesClaude 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
4185 downloads
Hedge Fund Performance 1990-2000: Do the Money Machines Really Add Value?EFMA 2001 Lugano Meetings, Cass Business School Research Paper
Harry M. Kat and Gaurav S. Amin
University of Reading - ICMA Centre
Date Posted: May 23, 2001
Last Revised: June 25, 2001
Working Paper Series
4171 downloads
Efficient Simulation of the Heston Stochastic Volatility ModelLeif B.G. Andersen
Banc of America Securities
Date Posted: November 22, 2006
Last Revised: January 29, 2007
Working Paper Series
4030 downloads
Records 1 - 20 of 5275 matches
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