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JEL Code: C63
290,567 Total downloads
Showing Papers 1 - 50 of 1,415
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Efficient Simulation of the Heston Stochastic Volatility Model
Leif B. G. Andersen
Date Posted: November 22, 20066992 downloads
Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals
Harvey J. Stein
Date Posted: December 27, 20074154 downloads
Real Options Valuation: A Monte Carlo Approach Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper
Andrea Gamba
Date Posted: March 06, 20024052 downloads
Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing
Leif B. G. Andersen and
Jesper Andreasen
Date Posted: August 11, 19994008 downloads
Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach Rapport Interne CMAP Working Paper No. 490
Rama Cont and
Peter Tankov
Date Posted: November 22, 20023260 downloads
Introduction to Fast Fourier Transform in Finance Cass Business School Research Paper
Ales Cerny
Date Posted: June 29, 20042772 downloads
Analysis of Mortgage Backed Securities: Before and after the Credit Crisis Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Harvey J. Stein
,
Alexander L. Belikoff ,
Kirill Levin
and
Xusheng Tian
Date Posted: January 07, 2007Last Revised: March 16, 20112717 downloads
The Irony in the Derivatives Discounting
Marc P. A. Henrard
Date Posted: March 14, 20072552 downloads
FX Market Behavior and Valuation
Harvey J. Stein
Date Posted: January 12, 20072548 downloads
Markov Models for Commodity Futures: Theory and Practice
Leif B. G. Andersen
Date Posted: May 30, 2008Last Revised: December 30, 20082513 downloads
Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk EFMA 2002 London Meetings; ISMA Centre Finance Discussion Paper No. 2001 Series, No. 2001-14
Ali Bora Yigitbasioglu
Date Posted: December 19, 20012495 downloads
Automated Trading with Boosting and Expert Weighting Quantitative Finance, Vol. 4, No. 10, pp. 401–420 ,
Germán Creamer and
Yoav Freund
Date Posted: October 17, 2006Last Revised: February 20, 20132489 downloads
The Irony in the Derivatives Discounting Part II: The Crisis
Marc P. A. Henrard
Date Posted: July 14, 2009Last Revised: December 19, 20092439 downloads
Reproduction of Hierarchy? A Social Network Analysis of the American Law Professoriate Journal of Legal Education, Vol. 61, No. 1, August 2011 , CELS 2009 4th Annual Conference on Empirical Legal Studies Paper
Daniel Martin Katz
,
Joshua R. Gubler
,
Jon Zelner
,
Michael James Bommarito II ,
Eric A. Provins
and
Eitan M. Ingall
affiliation not provided to SSRN
Date Posted: March 09, 2009Last Revised: May 26, 20112395 downloads
Optimal Portfolios from Ordering Information
Robert Almgren and
Neil A Chriss
Date Posted: December 25, 20042161 downloads
Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market QUT School of Economics and Finance Discussion Paper No. 01-01
John Anderson
Date Posted: May 08, 20012132 downloads
A Boosting Approach for Automated Trading Journal of Trading, Vol. 2, No. 3, pp. 84-96.
Germán Creamer and
Yoav Freund
Date Posted: October 17, 2006Last Revised: February 20, 20131966 downloads
The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing Applied Mathematical Finance - Forthcoming, EFA 2008 Athens Meetings Paper, Swiss Finance Institute Research Paper No. 08-02
Marc Chesney and
Luca Taschini
Date Posted: February 04, 2008Last Revised: April 02, 20121930 downloads
No-Arbitrage Dynamics for a Tractable SABR Term Structure Libor Model Bloomberg Portfolio Research Paper No. 2010-03-FRONTIERS
Massimo Morini and
Fabio Mercurio
Date Posted: October 02, 2007Last Revised: April 07, 20101928 downloads
Bermudan Swaptions in the LIBOR Market Model
Morten Bjerregaard Pedersen
Date Posted: July 26, 19991911 downloads
A Resolution to the NPV - IRR Debate?
Michael Osborne
Date Posted: April 05, 2004Last Revised: January 04, 20101829 downloads
Closed-Form Approximations for Spread Option Prices and Greeks
Minqiang Li
,
Shijie Deng
and
Jieyun Zhou
Date Posted: December 20, 2006Last Revised: June 08, 20101775 downloads
An Empirical Comparison of Convertible Bond Valuation Models
Yuriy Zabolotnyuk
,
Robert A. Jones
and
Chris Veld
Date Posted: June 25, 2007Last Revised: October 18, 20091700 downloads
A Monte Carlo Method for Optimal Portfolios
Jerome Detemple ,
René Garcia and
Marcel Rindisbacher
Date Posted: November 16, 20001648 downloads
Systemic Risk in Financial Networks
Larry Eisenberg and
Thomas H. Noe
Date Posted: September 24, 19991605 downloads
A Comparison of Biased Simulation Schemes for Stochastic Volatility Models Tinbergen Institute Discussion Paper No. 06-046/4
Roger Lord
,
Remmert Koekkoek
and
Dick J. C. van Dijk
Date Posted: May 19, 2006Last Revised: March 20, 20081550 downloads
Arrow-Debreu Prices for Affine Models
Silverio Foresi and
Regis Van Steenkiste
Date Posted: April 26, 19991547 downloads
Buy Low Sell High: A High Frequency Trading Perspective
Álvaro Cartea ,
Sebastian Jaimungal
and
Jason Ricci
Date Posted: November 26, 2011Last Revised: December 31, 20121490 downloads
Cross-Currency and Hybrid Markov-Functional Models
Christian P. Fries and
Marius G. Rott
Date Posted: April 27, 20041359 downloads
Network Neutrality on the Internet: A Two-Sided Market Analysis Information Economics and Policy, Vol. 24, 2012, NET Institute Working Paper No. 07-45, NYU Law and Economics Research Paper 07-40, NYU Working Paper No. 2451/26057
Nicholas Economides and
Joacim Tåg
Date Posted: October 04, 2007Last Revised: October 25, 20121310 downloads
Analytic Loss Distributions of Heterogeneous Portfolios in
the Asset Value Credit Risk Model
Uwe Wehrspohn
Date Posted: May 07, 20031307 downloads
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management
Harry Zheng ,
Lyn C. Thomas and
David E. Allen
Date Posted: April 13, 20011293 downloads
Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs
Christoph Burgard
and
Mats Kjaer
Date Posted: May 13, 2010Last Revised: July 19, 20121277 downloads
Visual Portfolio Analysis
Uwe Wehrspohn
Date Posted: March 23, 20041277 downloads
Fourier Space Time-Stepping for Option Pricing With Levy Models Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Kenneth R. Jackson
,
Sebastian Jaimungal
and
Vladimir Surkov
affiliation not provided to SSRN
Date Posted: October 10, 2007Last Revised: July 01, 20091251 downloads
Pricing Discrete Barrier Options with an Adaptive Mesh Model
Dong-Hyun Ahn ,
Stephen Figlewski and
Bin Gao
Date Posted: July 01, 19991197 downloads
Option Pricing with Quadratic Volatility: A Revisit
Leif B. G. Andersen
Date Posted: April 10, 2008Last Revised: August 14, 20081194 downloads
Implied Volatility Surface: Construction Methodologies and Characteristics
Cristian Homescu
affiliation not provided to SSRN
Date Posted: July 10, 20111193 downloads
An Improved Estimator for Black-Scholes-Merton Implied Volatility ERIM Report Series No. ERS-2004-054-F&A
Winfried G. Hallerbach
Date Posted: July 23, 20041159 downloads
Cliquet Options: Pricing and Greeks in Deterministic and Stochastic Volatility Models
Peter den Iseger and
Emöke Oldenkamp
Date Posted: September 18, 20071156 downloads
Strategic Asset Allocation and Market Timing: A Reinforcement Learning Approach
Thorsten Hens and
Peter Woehrmann
Date Posted: February 22, 20061146 downloads
An Algorithm Using GARCH Process, Monte-Carlo Simulation and Wavelets Analysis for Stock Prediction
Eleftherios Giovanis
Date Posted: September 21, 2008Last Revised: December 06, 20091137 downloads
Technical Analysis with a Long Term Perspective: Trading Strategies and Market Timing Ability International Conference of the French Finance Association (AFFI), May 11-13, 2011
Dušan Isakov and
Didier Marti
Date Posted: May 09, 2011Last Revised: August 12, 20111133 downloads
A Multi-Factor SABR Model for Forward Inflation Rates Bloomberg Portfolio Research Paper No. 2009-08-FRONTIERS
Fabio Mercurio and
Nicola Moreni
Date Posted: February 05, 2009Last Revised: April 08, 20101083 downloads
A Comparison of Margin Calculation Methods for Exchange Traded Contracts Royal Institute of Technology Dept. of Mathematical Statistics, Master Thesis No. 2002-3
Mattias Bylund
Date Posted: February 19, 20021055 downloads
Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation
Damiano Brigo and
Kyriakos Chourdakis
Date Posted: May 19, 2008Last Revised: October 05, 20081054 downloads
Pricing Convertible Bonds with Monte Carlo Simulation
Christian Wilde and
Axel H. Kind
Date Posted: March 09, 20051047 downloads
Constructing Long/Short Portfolios with the Omega Ratio Swiss Finance Institute Research Paper No. 08-34
Manfred Gilli ,
Enrico Schumann
,
Giacomo di Tollo
and
Gerda Cabej
affiliation not provided to SSRN
and
University of Geneva
Date Posted: October 27, 20081045 downloads
Statistical Tests For Return-Based Style Analysis EFMA 2001 Lugano Meetings
Rogér Otten and
Dennis Bams
Date Posted: July 25, 20011040 downloads
Business Applications of Emulative Neural Networks International Journal of Business, Vol. 10, No. 4, 2005
Yochanan Shachmurove
Date Posted: November 02, 20051025 downloads
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