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JEL Code: C6
836,807 Total downloads
Showing Papers 151 - 200 of 5,135
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Managing Risk Exposures Using the Risk Budgeting Approach
Benjamin Bruder
and
Thierry Roncalli
affiliation not provided to SSRN
and
Universite d'Evry
Date Posted: February 23, 2012Last Revised: April 10, 2012867 downloads
An Equilibrium Model of Investment Under Uncertainty Haas School of Business Working Paper, 2002
Robert Novy-Marx
Date Posted: January 21, 2003859 downloads
Deviation Measures in Risk Analysis and Optimization University of Florida, Department of Industrial & Systems Engineering Working Paper No. 2002-7
R. Tyrrell Rockafellar
,
Stanislav P. Uryasev and
Michael Zabarankin
Date Posted: January 22, 2003853 downloads
Solving Rational Expectations Models Using Excel
Holger Strulik
Date Posted: March 27, 2003850 downloads
Evolutionary Finance Swiss Finance Institute Research Paper No. 08-14
Igor V. Evstigneev ,
Thorsten Hens and
Klaus Reiner Schenk-Hoppé
Date Posted: July 04, 2008Last Revised: December 17, 2008848 downloads
Dynamic Programming and Mean-Variance Hedging in Discrete Time Cass Business School Research Paper
Ales Cerny
Date Posted: July 05, 2004842 downloads
An Empirical Model of Advertising Dynamics
Jean-Pierre H. Dube
,
Guenter J. Hitsch and
Puneet Manchanda
Date Posted: December 18, 2003841 downloads
Optimal Rebalancing Strategy Using Dynamic Programming for Institutional Portfolios
Walter Sun
,
Ayres C. Fan
,
Li-Wei Chen
,
Tom Schouwenaars
and
Marius A. Albota
Date Posted: January 03, 2005841 downloads
Risk Metrics and Fine Tuning of High Frequency Trading Strategies Forthcoming, Mathematical Finance
Álvaro Cartea and
Sebastian Jaimungal
Date Posted: February 26, 2012Last Revised: October 05, 2012841 downloads
Mixing Gaussian Models to Price CMS Derivatives
Fabio Mercurio and
Andrea Pallavicini
Date Posted: December 29, 2005837 downloads
Analysis of Financial Time-Series Using Fourier and Wavelet Methods
Philippe Masset
Date Posted: October 27, 2008836 downloads
Pricing Convertible Bonds by Simulation
Ali Bora Yigitbasioglu and
Naoufel El-Bachir
Date Posted: December 08, 2006831 downloads
Generalized Risk-Based Investing
Emmanuel Jurczenko
,
Thierry Michel
and
Jerome Teiletche
Date Posted: January 24, 2013Last Revised: April 20, 2013828 downloads
Review of John Cochrane's 'Asset Pricing' CWF Working Paper No. 03-07
Craig W. French
Date Posted: October 09, 2003828 downloads
Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
Cristian Homescu
affiliation not provided to SSRN
Date Posted: May 02, 2011Last Revised: September 12, 2011823 downloads
Markovian Projection to a Displaced Volatility Heston Model
Alexandre Antonov
,
Matthieu Arneguy
and
Nicolas Audet
Date Posted: March 20, 2008820 downloads
Using the Lyapunov Exponent as a Practical Test for Noisy Chaos
Ahmed BenSaïda
Date Posted: March 15, 2007820 downloads
A New Methodology of Measuring Firm Life-Cycle Stages International Journal of Economic Perspectives, Forthcoming
Zhipeng Yan and
Yan Zhao
Date Posted: October 12, 2006Last Revised: March 18, 2010819 downloads
A Data-Driven Optimization Heuristic for Downside Risk Minimization Swiss Finance Institute Research Paper No. 06-2
Manfred Gilli ,
Evis Këllezi
and
Hilda Hysi
Date Posted: June 21, 2006815 downloads
From Business Intelligence to Competitive Intelligence: Inferring Competitive Measures Using Augmented Site-Centric Data
Eric Zheng
,
Peter Fader and
Balaji Padmanabhan
Date Posted: January 08, 2009Last Revised: April 04, 2012815 downloads
Raise your Glass: Wine Investment and the Financial Crisis
Philippe Masset
and
Jean-Philippe Weisskopf
Date Posted: August 22, 2009Last Revised: April 26, 2010813 downloads
Integrated Marketing Communications in Markets with Uncertainty and Competition Automatica, Vol. 45, pp. 601-610, 2009
Ashutosh Prasad
and
Suresh Sethi
Date Posted: January 28, 2007Last Revised: September 25, 2010811 downloads
Applying Markowitz's Critical Line Algorithm University of Bern Economics Working Paper No. 07-01
Andras F. Niedermayer and
Daniel Niedermayer
Date Posted: April 05, 2006804 downloads
Yield Curve Modelling at the Bank of Canada Bank of Canada Technical Report No. 84
David Jamieson Bolder and
David Streliski
affiliation not provided to SSRN
Date Posted: January 14, 2008803 downloads
An Improved Estimation Method and Empirical Properties of the Probability of Informed Trading
Yuxing Yan
and
Shaojun Zhang
Date Posted: March 14, 2006Last Revised: August 08, 2011802 downloads
Arbitrage-Free SVI Volatility Surfaces
Jim Gatheral
and
Antoine Jacquier
Date Posted: April 03, 2012Last Revised: March 25, 2013802 downloads
Calibrating Option Pricing Models with Heuristics NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Anthony Brabazon, Michael O'Neill, Dietmar Maringer, eds., Vol. 4, Springer, 2011
Manfred Gilli and
Enrico Schumann
Date Posted: March 08, 2010Last Revised: March 15, 2013801 downloads
Copula: A Primer for Fund Managers
Wing Cheung
affiliation not provided to SSRN
Date Posted: August 25, 2009Last Revised: April 25, 2012801 downloads
Modeling Supply Chain Planning Under Demand Uncertainty Using Stochastic Programming: A Survey Motivated by Asset-Liability Management International Journal of Production Economics, Forthcoming
ManMohan S. Sodhi
and
Christopher S. Tang
Date Posted: June 22, 2006Last Revised: May 26, 2009796 downloads
MATLAB Applications of Trading Rules and GARCH with Wavelets Analysis
Eleftherios Giovanis
Date Posted: December 15, 2009793 downloads
A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options Under Levy Processes
Roger Lord
,
Fang Fang ,
Frank Bervoets
and
Cornelis W. Oosterlee
Date Posted: February 28, 2007792 downloads
Operators on Inhomogeneous Time Series Olsen & Associates Working Paper No. 324
Gilles O. Zumbach and
Ulrich A. Müller
affiliation not provided to SSRN
and
Olsen & Associates
Date Posted: March 21, 2000791 downloads
Estimation of the Zero Coupon Swap Yield Curve
Srichander Ramaswamy
Date Posted: December 07, 2005789 downloads
Optimal Contracts under Moral Hazard and Adverse Selection:
A Continuous-Time Approach EFA 2001 Barcelona Meetings
Jaeyoung Sung
Date Posted: July 05, 2001786 downloads
Copula-Based Multivariate Models with Applications to Risk Management and Insurance
Marco Bee
Date Posted: September 12, 2005785 downloads
Convergence of Heston to SVI Quantitative Finance, Vol. 11, No. 8, pp. 1129-1132, 2011
Jim Gatheral
and
Antoine Jacquier
Date Posted: February 19, 2010Last Revised: July 31, 2011781 downloads
Fast Fourier Transform and Option Pricing Cass Business School Research Paper
Ales Cerny
Date Posted: February 28, 2008777 downloads
Managing Risks in a Risk-On/Risk-Off Environment
Marcos Lopez de Prado
Date Posted: September 23, 2012Last Revised: April 22, 2013774 downloads
Random Fixed Points in a Stochastic Solow Growth Model Zurich IEER Working Paper No. 65
Bjorn Schmalfuss and
Klaus Reiner Schenk-Hoppé
Date Posted: February 07, 2001771 downloads
Why the Rotation Count Algorithm Works Tinbergen Institute Discussion Paper No. 2006-065/2
Roger Lord
Date Posted: August 03, 2006769 downloads
Complex Logarithms in Heston-Like Models
Roger Lord
Date Posted: March 17, 2008768 downloads
Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion Yale ICF Working Paper No. 08-23
Suleyman Basak and
Hongjun Yan
Date Posted: October 08, 2008Last Revised: August 05, 2009765 downloads
Ito's Calculus and the Derivation of the Black-Scholes Option-Pricing Model HANDBOOK OF QUANTITATIVE FINANCE, C. F. Lee, Alice C. Lee, eds., Springer, 2009
George Chalamandaris
and
A. G. (Tassos) Malliaris
Date Posted: October 18, 2007Last Revised: February 12, 2009760 downloads
The Relationship between NPV and IRR in the Presence of a Non-flat Yield Curve
Michael Osborne
Date Posted: June 15, 2004759 downloads
Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation Cass Business School Research Paper
Ales Cerny and
Jan Kallsen
Date Posted: March 20, 2008758 downloads
Credit Models and the Crisis, or: How I Learned to Stop Worrying and Love the CDOs
Damiano Brigo ,
Andrea Pallavicini
and
Roberto Torresetti
Date Posted: December 31, 2009Last Revised: February 18, 2010755 downloads
An Implementation of the Hybrid-Heston-Hull-White Model
Joerg Kienitz
and
Holger Kammeyer
Date Posted: May 08, 2009753 downloads
Robust Asset Allocation with Benchmarked Objectives
Andrew Lim ,
J. George Shanthikumar
and
Thaisiri Watewai
Date Posted: September 22, 2006Last Revised: September 24, 2009752 downloads
Assessing the Impacts of Trade on Poverty and Inequality
Jorge Arbache and
Francisco Galrao Carneiro
Date Posted: October 01, 2003742 downloads
Market Demand Functions in the CAPM
Jean-Marc Bottazzi ,
Thorsten Hens and
Andreas Loeffler
Date Posted: February 01, 1997741 downloads
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