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JEL Code: C6
837,417 Total downloads
Showing Papers 161 - 210 of 5,141
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Analysis of Financial Time-Series Using Fourier and Wavelet Methods
Philippe Masset
Date Posted: October 27, 2008836 downloads
Generalized Risk-Based Investing
Emmanuel Jurczenko
,
Thierry Michel
and
Jerome Teiletche
Date Posted: January 24, 2013Last Revised: April 20, 2013833 downloads
Pricing Convertible Bonds by Simulation
Ali Bora Yigitbasioglu and
Naoufel El-Bachir
Date Posted: December 08, 2006831 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
Using the Lyapunov Exponent as a Practical Test for Noisy Chaos
Ahmed BenSaïda
Date Posted: March 15, 2007821 downloads
Markovian Projection to a Displaced Volatility Heston Model
Alexandre Antonov
,
Matthieu Arneguy
and
Nicolas Audet
Date Posted: March 20, 2008820 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
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, 2012816 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
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
Arbitrage-Free SVI Volatility Surfaces
Jim Gatheral
and
Antoine Jacquier
Date Posted: April 03, 2012Last Revised: March 25, 2013812 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
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, 2009797 downloads
MATLAB Applications of Trading Rules and GARCH with Wavelets Analysis
Eleftherios Giovanis
Date Posted: December 15, 2009794 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, 2009754 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
Using Investment Portfolio Return to Combine Forecasts: A Multi-objective Approach
Mark T. Leung ,
Hazem Daouk and
An-Sing Chen
Date Posted: November 21, 2000741 downloads
How Knowledge Transfer Impacts Performance: A Multi-Level Model of Benefits and Liabilities Levine, S. S., & Prietula, M. J. 2012. How Knowledge Transfer Impacts Performance: A Multi-Level Model of Benefits and Liabilities. Organization Science, 23(6): 1748-1766
Sheen S. Levine
and
Michael Prietula
Date Posted: April 06, 2012Last Revised: January 23, 2013740 downloads
Embedded Options and Integrated Asset-Liability Management for Life Insurance Seminario de Matematica Financiera, Vol. 3, pp. 203-218, 2003
Gabriele Susinno
Date Posted: March 20, 2004739 downloads
Analytical Credit VAR with Stochastic Probabilities of Default and Recoveries Bloomberg Portfolio Research Paper No. 2009-05-FRONTIERS
Antonio Castagna ,
Fabio Mercurio and
Paola Mosconi
Date Posted: June 02, 2009Last Revised: August 28, 2009737 downloads
Portfolio Optimization with Respect to Risk Diversification
Thomas Neukirch
Date Posted: November 16, 2008734 downloads
Portfolios from Sorts
Neil A Chriss and
Robert Almgren
Date Posted: May 12, 2005732 downloads
System Dynamics and Strategy System Dynamics Review, Vol. 24, No. 4, pp. 407-429, 2008
Michael Shayne Gary ,
Martin H. Kunc
,
John Morecroft
and
Scott Rockart
affiliation not provided to SSRN
and
Duke University
Date Posted: September 17, 2007Last Revised: May 07, 2009732 downloads
Barrier Option Pricing Using Adjusted Transition Probabilities Swiss Finance Institute Research Paper No. 07-02
Giovanni Barone-Adesi ,
Nicola Fusari
and
John Theal
Date Posted: February 22, 2007730 downloads
Boundary Conditions for Computing Densities in Hybrid Models via PDE Methods
Vladimir Lucic
Date Posted: August 05, 2008729 downloads
The Internet as a Self-Organizing Socio-Technological System Human Strategies in Complexity Research Paper
Christian Fuchs
Date Posted: November 13, 2003717 downloads
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