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JEL Code: G13
1,852,421 Total downloads
Showing Papers 1 - 50 of 4,932
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Option Traders Use (very) Sophisticated Heuristics, Never the Black–Scholes–Merton Formula Journal of Economic Behavior and Organization, Vol. 77, No. 2, 2011
Espen Gaarder Haug and
Nassim Nicholas Taleb
affiliation not provided to SSRN
and
NYU-Poly
Date Posted: September 11, 2007Last Revised: November 16, 201245013 downloads
Risk Management Lessons from Long-Term Capital Management
Philippe Jorion
Date Posted: August 02, 199915433 downloads
An Analysis of the Financial Crisis of 2008: Causes and Solutions
Austin Murphy
Date Posted: November 04, 2008Last Revised: December 16, 200815311 downloads
The Fundamentals of Commodity Futures Returns Yale ICF Working Paper No. 07-08
Gary B. Gorton ,
Fumio Hayashi and
K. Geert Rouwenhorst
Date Posted: June 28, 2007Last Revised: February 07, 201210801 downloads
Mathematical Finance Introduction to Continuous Time Financial Market Models
Christian-Oliver Ewald
Date Posted: April 02, 200710650 downloads
A Simplified Approach to Understanding the Kalman Filter Technique
Tom Arnold ,
Mark Bertus
and
Jonathan M. Godbey
Date Posted: May 07, 2005Last Revised: April 17, 200810080 downloads
Why did the Crisis of 2008 Happen?
Nassim Nicholas Taleb
Date Posted: August 29, 2010Last Revised: November 16, 20129609 downloads
Forecasting Volatility
Louis H. Ederington and
Wei Guan
Date Posted: July 13, 19998485 downloads
The Illusions of Dynamic Replication Quantitative Finance, Vol. 5, No. 4, pp. 323-326, August 2005
Emanuel Derman and
Nassim Nicholas Taleb
Date Posted: May 09, 2005Last Revised: November 16, 20128379 downloads
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Jasmina Hasanhodzic
and
Andrew W. Lo
Date Posted: August 27, 20068162 downloads
Understanding VIX
Robert E. Whaley
Date Posted: November 09, 2008Last Revised: December 08, 20088158 downloads
Stock Valuation and Investment Strategies Yale ICF Working Paper No. 00-46
Ming Dong and
Zhiwu Chen
Date Posted: July 26, 20017635 downloads
Risk-Neutral Probabilities Explained
Nicolas Gisiger
affiliation not provided to SSRN
Date Posted: April 27, 2009Last Revised: October 20, 20107240 downloads
The Tactical and Strategic Value of Commodity Futures
Claude B. Erb and
Campbell R. Harvey
Date Posted: February 03, 20057214 downloads
Efficient Simulation of the Heston Stochastic Volatility Model
Leif B. G. Andersen
Date Posted: November 22, 20066993 downloads
The Profitability of Technical Analysis: A Review AgMAS Project Research Report No. 2004-04
Cheol-Ho Park
and
Scott H. Irwin
Date Posted: October 15, 20046975 downloads
Integrated Risk Management for the Firm: A Senior Manager's Guide
Lisa K. Meulbroek
Date Posted: February 26, 20026900 downloads
The Flash Crash: The Impact of High Frequency Trading on an Electronic Market
Andrei A. Kirilenko ,
Albert S. Kyle ,
Mehrdad Samadi
and
Tugkan Tuzun
Date Posted: May 27, 20116766 downloads
Finiteness of Variance is Irrelevant in the Practice of Quantitative Finance Complexity, Vol. 14, Issue 3, pp. 66–76, January/February 2009,
Nassim Nicholas Taleb
Date Posted: June 09, 2008Last Revised: November 16, 20126648 downloads
Common Errors in the Interpretation of the Ideas of The Black Swan and Associated Papers
Nassim Nicholas Taleb
Date Posted: October 21, 20096461 downloads
Errors, Robustness, and the Fourth Quadrant International Journal of Forecasting, Vol. 25, No. 4, 2009
Nassim Nicholas Taleb
Date Posted: February 14, 2009Last Revised: November 16, 20125980 downloads
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Marco Bianchetti
Date Posted: January 29, 2009Last Revised: August 01, 20125733 downloads
Economists' Hubris: The Case of Asset Pricing Journal of Financial Transformation, Vol. 27, pp. 9-13, December 2009
Shahin Shojai
and
George Feiger
Date Posted: September 07, 2009Last Revised: October 05, 20095671 downloads
Discrete Time Finance
Christian-Oliver Ewald
Date Posted: March 28, 20075393 downloads
Credit Risk Modeling and Valuation: An Introduction
Kay Giesecke
Date Posted: December 21, 20035117 downloads
Too Big to Fail, Hidden Risks, and the Fallacy of Large Institutions
Charles S. Tapiero
and
Nassim Nicholas Taleb
Date Posted: May 05, 20094870 downloads
Three Centuries Of Asset Pricing London Business School Accounting Subject Area
Elroy Dimson and
Massoud Mussavian
Date Posted: January 11, 20004856 downloads
Interest Rates and The Credit Crunch: New Formulas and Market Models Bloomberg Portfolio Research Paper No. 2010-01-FRONTIERS
Fabio Mercurio
Date Posted: January 24, 2009Last Revised: May 11, 20104805 downloads
Estimating the Dynamics of Mutual Fund Alphas and Betas Yale ICF Working Paper No. 03-03; EFA 2003 Annual Conference Paper No. 803; AFA 2004 San Diego Meetings
Matthew I. Spiegel ,
Harry Mamaysky and
Hong Zhang
Date Posted: March 10, 20054767 downloads
A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model
Leif B. G. Andersen
Date Posted: April 07, 19994747 downloads
Valuation Methods and Shareholder Value Creation VALUATION METHODS AND SHAREHOLDER VALUE CREATION, Academic Press, 2002
Pablo Fernandez
Date Posted: November 22, 20044689 downloads
Calibration and Implementation of Convertible Bond Models
Leif B. G. Andersen and
Dan Buffum
Date Posted: March 28, 20034500 downloads
Pricing Default Swaps: Empirical Evidence Journal of International Money and Finance, Vol. 24, pp. 1200-1225, 2005, EFA 2002 Berlin Meetings Presented Paper, EFMA 2002 London Meetings, ERIM Report Series
Patrick Houweling and
Ton Vorst
Date Posted: December 24, 20014450 downloads
On Default Correlation: A Copula Function Approach
David X. Li
Date Posted: December 09, 19994408 downloads
Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals
Harvey J. Stein
Date Posted: December 27, 20074154 downloads
Mathematical Foundation of Convexity Correction Quantitative Finance, Vol. 3, No. 1, 2003
Antoon Pelsser
Date Posted: May 16, 2001Last Revised: May 08, 20114100 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
Momentum Strategies in Commodity Futures Markets Cass Business School Research Paper
Joelle Miffre and
Georgios Rallis
Date Posted: April 20, 20053955 downloads
Implied Binomial Trees in Excel without VBA
Tom Arnold ,
Timothy Falcon Crack and
Adam Schwartz
Date Posted: May 08, 20043896 downloads
A Market Model for Inflation
Nabyl Belgrade
,
Eric Benhamou
and
Etienne Koehler
Date Posted: August 17, 20043893 downloads
Information, Liquidity, and the (Ongoing) Panic of 2007
Gary B. Gorton
Date Posted: January 10, 20093863 downloads
Volatility Skews and Extensions of the Libor Market Model
Leif B. G. Andersen and
Jesper Andreasen
Date Posted: September 04, 19983863 downloads
Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals
Ana-Maria Fuertes ,
Joelle Miffre and
Georgios Rallis
Date Posted: April 30, 2008Last Revised: July 26, 20103846 downloads
Earnings Quality and the Equity Risk Premium: A Benchmark Model Contemporary Accounting Research, Vol. 23, No. 3, pp. 833-877, Fall 2006
Kenton K. Yee
Date Posted: November 15, 20053740 downloads
Tell Me What You Want, What You Really, Really Want! An Exercise in Tailor-Made Synthetic Fund Creation Alternative Investment Research Centre Working Paper No. 36, Cass Business School Research Paper
Date Posted: October 10, 20063682 downloads
Copula-Dependent Defaults in Intensity Models
Philipp Schönbucher and
Dirk Schubert
Date Posted: March 10, 20023681 downloads
Markov-Functional Interest Rate Models
Phil J. Hunt ,
Joanne Kennedy and
Antoon Pelsser
Date Posted: January 12, 19983661 downloads
Liquidity and Credit Risk EFA 2003 Glasgow
Jan Ericsson and
Olivier Renault
Date Posted: August 01, 20033635 downloads
Originate-to-Distribute Model and the Subprime Mortgage Crisis AFA 2010 Atlanta Meetings Paper
Amiyatosh K. Purnanandam
Date Posted: July 22, 2008Last Revised: May 20, 20103580 downloads
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