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SSRN eLibrary Search Results
Financial Engineering eJournal
58,707 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 278
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Incl. Electronic Paper The Most Relevant Value Creation Indicator Under Competitive Dynamics of the Firm
Chawki Mouelhi and Jacques Saint-Pierre
University of Quebec at Rimouski - Department of Management Sciences and Laval University
Date Posted: May 17, 2013
Working Paper Series
5 downloads

Incl. Electronic Paper Financial Hedging and Optimal Procurement Policies Under Correlated Price and Demand
 Ankur Goel and Fehmi Tanrisever
Case Western Reserve University - Weatherhead School of Management and Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences
Date Posted: May 16, 2013
Working Paper Series
8 downloads

Incl. Electronic Paper The Future of Financial Engineering
NYU Poly Research Paper
 Charles S. Tapiero
NYU Poly - Department of Finance and Risk Engineering
Date Posted: May 03, 2013
Last Revised: May 05, 2013
Working Paper Series
56 downloads

Incl. Electronic Paper Optimizing Full-Scale Optimization for Asymmetric Dependence
 Rand Kwong Yew Low
University of Queensland Business School
Date Posted: May 03, 2013
Working Paper Series
15 downloads

Incl. Electronic Paper Mean-Variance Optimization Still Works! A Bayesian Methodology with Vine Copulas
 Rand Kwong Yew Low , Robert W. Faff and Kjersti Aas
University of Queensland Business School , University of Queensland and Norwegian Computing Center
Date Posted: May 03, 2013
Working Paper Series
54 downloads

Incl. Electronic Paper The Benefits of Differential Variance-Based Constraints in Portfolio Optimization
European Journal of Operational Research, 2013
 Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Date Posted: April 28, 2013
Accepted Paper Series
21 downloads

Incl. Electronic Paper Corporates and Financial Engineering: A Few Case Studies
 Antonie Kotze
Financial Chaos Theory
Date Posted: April 16, 2013
Working Paper Series
17 downloads

Incl. Electronic Paper Increasing the Information Ratio Using Mixture Strategies
 Norbert Pierre
Williamson College of Business, Youngstown State University
Date Posted: April 12, 2013
Last Revised: April 19, 2013
Working Paper Series
26 downloads

Incl. Electronic Paper The General Structure of Optimal Investment and Consumption with Small Transaction Costs
Swiss Finance Institute Research Paper No. 13-15
 Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and ETH Zürich
Date Posted: April 09, 2013
Working Paper Series
15 downloads

Incl. Electronic Paper Dividend Optimization under Reserve Constraints for the Cramér-Lundberg Model Compounded by Force of Interest
 Jinxia Zhu and Feng Chen
Risk and Actuarial Studies, Australian School of Business, The Univeristy of New South Wales and University of New South Wales (UNSW) - The University of New South Wales
Date Posted: April 04, 2013
Working Paper Series
10 downloads

Incl. Electronic Paper Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
 Stéphane Crépey and Abdallah Rahal
Université d'Évry - Equipe d'Analyse et Probabilites and Université d'Évry
Date Posted: April 01, 2013
Working Paper Series
25 downloads

Incl. Electronic Paper Outperformance Portfolio Optimization Via the Equivalence of Pure and Randomized Hypothesis Testing
Finance Stochastics, Forthcoming
 Tim Leung , Qingshuo Song and Jie Yang
Columbia University , City University of Hong Kong and University of Illinois, Chicago
Date Posted: March 27, 2013
Last Revised: April 01, 2013
Accepted Paper Series
41 downloads

Incl. Electronic Paper Allocating under Uncertainty: Simple Heuristics & Complex Models
 Corey Hoffstein
Independent
Date Posted: March 27, 2013
Working Paper Series
27 downloads

Incl. Electronic Paper Investors' Heterogeneity and Implied Volatility Smiles
Management Science, Forthcoming
 Tao Li
City University of Hong Kong (CityUHK) - Department of Economics & Finance
Date Posted: March 23, 2013
Last Revised: March 28, 2013
Accepted Paper Series
38 downloads

Incl. Electronic Paper The Small-Maturity Heston Forward Smile
 Antoine Jacquier and Patrick Roome
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Date Posted: March 19, 2013
Last Revised: April 16, 2013
Working Paper Series
18 downloads

Incl. Electronic Paper Financial Engineering
 Dr. Manahel Thabet
AERA
Date Posted: March 18, 2013
Working Paper Series
47 downloads

Incl. Electronic Paper Mellin Transform Approach for Pricing of Barrier Option under Levy Process with Minimal Martingle Measure
 Sudip Ratan Chandra and Diganta Mukherjee
Indian Statistical Institute, Kolkata and Indian Statistical Institute, Kolkata
Date Posted: March 12, 2013
Last Revised: May 17, 2013
Working Paper Series
26 downloads

Incl. Electronic Paper Impact of Irreversibility and Uncertainty on the Timing of Infrastructure Projects
Journal of Construction Engineering and Management, p. 331, March 2013
 Phuong Doan and Kojo Menyah
University of Cambridge and London Metropolitan University - Department of Accounting, Banking and Financial Systems (ABFS)
Date Posted: March 10, 2013
Accepted Paper Series
46 downloads

Incl. Electronic Paper Fluctuation Analysis for the Loss from Default
 Konstantinos Spiliopoulos , Justin Sirignano and Kay Giesecke
Brown University - Division of Applied Mathematics , Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Date Posted: March 03, 2013
Last Revised: April 08, 2013
Working Paper Series
25 downloads

Incl. Electronic Paper Portfolio Optimization under Solvency Constraints: A Dynamical Approach
 Sujith Asanga , Vali Alexandru Asimit , Alex Badescu and Steven Haberman
University of Calgary - Department of Mathematics and Statistics , City University London - Faculty of Actuarial Science , University of Calgary and City University London - Faculty of Actuarial Science
Date Posted: March 02, 2013
Working Paper Series
24 downloads

Preventing Catastrophic Failures with Weak Forewarning Signals
Probability in the Engineering and Informational Sciences, Forthcoming
 H. Dharma Kwon
University of Illinois at Urbana-Champaign - Department of Business Administration
Date Posted: February 17, 2013
Accepted Paper Series

Incl. Electronic Paper Estimación De Parámetros En Ecuaciones Diferenciales Estocásticas Aplicadas a Finanzas (Parameter Estimation in Stochastic Differential Equations (SDEs): Applications to Financial Modeling)
ODEON, No. 6, p. 133, 2011
 John Freddy Moreno Trujillo
Universidad Externado de Colombia
Date Posted: February 14, 2013
Accepted Paper Series
10 downloads

Incl. Electronic Paper Forecasting of Stock Market Indices Using Artificial Neural Network
Shri Chimanbhai Patel Institutes, Ahmedabad Working Paper No. CPI/MBA/2013/0003
 Jay Desai , Arti Trivedi and Nisarg A. Joshi
Shri Chimanbhai Patel Institute of Management & Research , Shri Chimanbhai Patel Institute of Management & Research and Shri Chimanbhai Patel Institute of Management & Research
Date Posted: February 10, 2013
Accepted Paper Series
104 downloads

A New Paradigm for Inflation Derivatives Modeling
Derivative Security pricing and Modeling, eds. J. Batten and N. Wagner, pp. 305-330. (Contemporary Studies in Economics and Financial Analysis series, Volume 94, Emerald)
 Lixin Wu
Hong Kong University of Science & Technology - Department of Mathematics
Date Posted: February 05, 2013
Accepted Paper Series

Incl. Electronic Paper A Structural Model for Credit Risk with Markov Modulated Lévy Processes and Synchronous Jumps
 Donatien Hainaut and David B. Colwell
ESC Rennes School of Business and University of New South Wales (UNSW) - School of Banking and Finance
Date Posted: February 04, 2013
Working Paper Series
49 downloads

Incl. Electronic Paper Diversification Discount Revisited: An Application of the Oaxaca-Blinder Decomposition
 Markus Brendel , Christin Rudolph and Bernhard Schwetzler
HHL Leipzig Graduate School of Management , HHL Leipzig Graduate School of Management and HHL Leipzig Graduate School of Management - Department of Finance
Date Posted: January 17, 2013
Last Revised: February 26, 2013
Working Paper Series
52 downloads

Incl. Electronic Paper Determinants of Working Capital Management: Case of Singapore Firms
Mansoori, E. and Joriah, M., (2012), Research Journal of Finance and Accounting, Vol. 3, No.11, pp-15-23
 Ebrahim Mansoori Sr. and Datin Dr. Joriah Muhammad
University Sains Malaysia and University Sains Malaysia
Date Posted: January 02, 2013
Last Revised: January 14, 2013
Accepted Paper Series
140 downloads

Inventory Change, Capacity Utilization and the Semiconductor Industry Cycle
Economic Modelling, Vol. 31, pp. 119-127, 2013
 Wen-Hsien Liu , Ching-Fang Chung and Kuang-Liang Chang
National Chung Cheng University - Department of Economics and Institute of International Economics , National Tsing Hua University - Department of Quantitative Finance and Independent
Date Posted: November 17, 2012
Last Revised: January 05, 2013
Accepted Paper Series

Incl. Electronic Paper Portfolio Selection with Multiple Spectral Risk Constraints
Advanced Risk & Portfolio Management Paper
 Carlos Abad and Garud Iyengar
Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Date Posted: November 15, 2012
Accepted Paper Series
118 downloads

Financial Markets Portfolio Revaluation System
 Rupert Macey-Dare
St. Cross College, Oxford
Date Posted: November 14, 2012
Last Revised: November 28, 2012
Working Paper Series

Incl. Electronic Paper Multi-Alpha Equity Portfolios: An Integrated Risk Budgeting Approach for Robust Constrained Portfolios
 Raul Leote de Carvalho , Lu Xiao and Pierre Moulin
BNP Paribas Investment Partners , BNP Paribas Investment Partners and BNP Paribas Investment Partners
Date Posted: November 10, 2012
Working Paper Series
307 downloads

Incl. Electronic Paper Simulation of Diversified Portfolios in a Continuous Financial Market
Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 282
 Eckhard Platen and Renatak Rendek
University of Technology, Sydney (UTS) - School of Finance and Economics and affiliation not provided to SSRN
Date Posted: November 03, 2012
Working Paper Series
17 downloads

Incl. Electronic Paper Global CAPE Model Optimization
 Adam Butler , Mike Philbrick , Rodrigo Gordillo and Mebane T. Faber
Macquarie Group - Darwin Investment Strategies , Macquarie Group - Darwin Investment Strategies , Macquarie Group - Darwin Investment Strategies and Cambria Investment Management
Date Posted: October 18, 2012
Last Revised: October 31, 2012
Working Paper Series
1712 downloads

Incl. Electronic Paper On a Periodic Dividend Barrier Strategy in the Dual Model with Continuous Monitoring of Solvency
Insurance: Mathematics and Economics, Forthcoming
 Benjamin Avanzi , Eric C.K. Cheung , Bernard Wong and Jae-Kyung Woo
University of New South Wales (UNSW) - Australian School of Business - School of Risk and Actuarial Studies , University of Hong Kong - Department of Statistics & Actuarial Science , University of New South Wales (UNSW) - School of Actuarial Studies and University of Hong Kong - Department of Statistics & Actuarial Science
Date Posted: October 16, 2012
Accepted Paper Series
20 downloads

Market Earnings Risks and Spillover Effects in Tramp Shipping Industry
International Journal of Decision Sciences, Vol. 2, No.1, pp.37-53
 Sinem Derindere Koseoglu and Mehmet Barut
affiliation not provided to SSRN and Wichita State University - Department of Finance, Real Estate & Decision Sciences (FREDS)
Date Posted: October 07, 2012
Accepted Paper Series

Incl. Fee Electronic Paper A Mathematical Programming Model for the Fuzzy Analytic Network Process - Applications of International Investment
Journal of the Operational Research Society, Vol. 63, Issue 11, pp. 1534-1544, 2012
 J. J. Huang
affiliation not provided to SSRN
Date Posted: October 05, 2012
Accepted Paper Series

Incl. Electronic Paper Combining Market and Accounting-Based Models for Credit Scoring Using a Classification Scheme Based on Support Vector Machines
Technical University of Crete, Financial Engineering Laboratory, Working Paper 2012.07
 Dimitrios Niklis , Michael Doumpos and C. Zopounidis
affiliation not provided to SSRN , Technical University of Crete (TUC) - Department of Production Engineering and Management and Technical University of Crete (TUC) - Department of Production Engineering and Management
Date Posted: October 04, 2012
Working Paper Series
39 downloads

Incl. Electronic Paper Rating Mutual Funds Through an Integrated DEA-Based Multicriteria Performance Model: Design and Information Content
Technical University of Crete, Financial Engineering Laboratory, Working Paper 2012.06
 Vassilios Babalos , Michael Doumpos , Nikolaos Philippas and C. Zopounidis
University of Piraeus - Department of Banking and Financial Management , Technical University of Crete (TUC) - Department of Production Engineering and Management , University of Piraeus - Department of Business Administration and Technical University of Crete (TUC) - Department of Production Engineering and Management
Date Posted: October 04, 2012
Working Paper Series
48 downloads

Incl. Electronic Paper Optimal Trade Execution with Coherent Dynamic Risk Measures
 Qihang Lin and Javier F. Peña
Carnegie Mellon University - David A. Tepper School of Business and affiliation not provided to SSRN
Date Posted: September 23, 2012
Working Paper Series
89 downloads

Incl. Electronic Paper Merchant Commodity Storage and Term Structure Model Error
 Nicola Secomandi , Guoming Lai , Francois Margot , Alan Andrew Scheller-Wolf and Duane J. Seppi
Carnegie Mellon University - David A. Tepper School of Business , University of Texas at Austin - Red McCombs School of Business , Carnegie Mellon University - David A. Tepper School of Business , Carnegie Mellon University and Carnegie Mellon University - David A. Tepper School of Business
Date Posted: September 14, 2012
Working Paper Series
40 downloads

Incl. Electronic Paper Minimal Variance Hedging of Natural Gas Derivatives in Exponential Levy Models: Theory and Empirical Performance
 Christian-Oliver Ewald , Roy Nawar and Tak-Kuen Siu
University of Glasgow , University of Sydney and Macquarie University, Faculty of Business and Economics
Date Posted: September 13, 2012
Working Paper Series
62 downloads

Incl. Electronic Paper Portfolio Selection Using Fuzzy Analytic Hierarchy Process (FAHP)
European Business Research Conference 2012 Proceedings, August 2012
 Zahra Lashgari and Kobra Safari II
Islamic Azad University (IAU) - Central Tehran Branch and Islamic Azad University (IAU) - Islamic Azad University Central Tehran Branch
Date Posted: September 04, 2012
Accepted Paper Series
90 downloads

Incl. Electronic Paper Crisis Phenomena in the Process of Formation of a Market Portfolio
 Vigen Babkenovich Minasyan
Russian Presidential Academy of National Economy and Public Administration
Date Posted: September 01, 2012
Last Revised: September 04, 2012
Working Paper Series
47 downloads

Incl. Electronic Paper On the Pricing of Salmon Futures and Options at Fish Pool
 Christian-Oliver Ewald , Roy Nawar and Tak-Kuen Siu
University of Glasgow , University of Sydney and Macquarie University, Faculty of Business and Economics
Date Posted: August 28, 2012
Working Paper Series
81 downloads

Incl. Electronic Paper Optimal Hedging When the Underlying Asset Follows a Regime-Switching Markov Process
25th Australasian Finance and Banking Conference 2012
 Pascal Francois , Genevieve Gauthier and Frédéric Godin
HEC Montreal - Department of Finance , HEC Montreal and HEC Montreal - Department of Management Sciences
Date Posted: August 17, 2012
Last Revised: August 19, 2012
Working Paper Series
126 downloads

Incl. Electronic Paper Optimal Equity Infusions in Interbank Networks
 Hamed Amini , Andreea Minca and Agnes Sulem
Ecole Polytechnique Fédérale de Lausanne , Cornell University - School of Operations Research and Industrial Engineering and French National Institute for Research in Computer Science and Control (INRIA)
Date Posted: August 13, 2012
Last Revised: February 13, 2013
Working Paper Series
230 downloads

Incl. Electronic Paper Markov Switching Artificial Neural Networks and Volatility Modeling with an Application to a Turkish Stock Index
 Melike Bildirici and Ozgur Omer Ersin
Yildiz Technical University and Beykent University - Department of Economics
Date Posted: July 29, 2012
Working Paper Series
71 downloads

Incl. Electronic Paper Factor Analysis: Nature, Mechanism and Uses in Social and Management Science Research
Journal of Cost and Management Accountant, Bangladesh, XXXVII (2):15-25, 2009
 Nimalathasan Balasundaram
University of Jaffna, Jaffna, Sri Lanka
Date Posted: July 26, 2012
Accepted Paper Series
30 downloads

Incl. Electronic Paper On a Periodic Dividend Barrier Strategy in the Dual Model with Continuous Monitoring of Solvency
UNSW Australian School of Business Research Paper No. 2012ACTL07
 Benjamin Avanzi , Eric C.K. Cheung , Bernard Wong and Jae-Kyung Woo
University of New South Wales (UNSW) - Australian School of Business - School of Risk and Actuarial Studies , University of Hong Kong - Department of Statistics & Actuarial Science , University of New South Wales (UNSW) - School of Actuarial Studies and University of Hong Kong - Department of Statistics & Actuarial Science
Date Posted: July 23, 2012
Working Paper Series
45 downloads

Incl. Electronic Paper Convex Comparison of Minimal Divergence Martingale Measures in Discrete Time Models
 Fabio Bellini
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi
Date Posted: July 20, 2012
Working Paper Series
35 downloads


 

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