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238,981
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JEL Code: C6
839,033 Total downloads
Showing Papers 2,001 - 2,050 of 5,150
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Mathematical Finance Introduction to Continuous Time Financial Market Models
Christian-Oliver Ewald
Date Posted: April 02, 200710654 downloads
The Intuition Behind Black-Litterman Model Portfolios
Guangliang He and
Robert Litterman
Date Posted: October 28, 200210550 downloads
Efficient Simulation of the Heston Stochastic Volatility Model
Leif B. G. Andersen
Date Posted: November 22, 20067001 downloads
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
Yufeng Han
,
Ke Yang
and
Guofu Zhou
Date Posted: August 12, 2010Last Revised: May 22, 20125690 downloads
Discrete Time Finance
Christian-Oliver Ewald
Date Posted: March 28, 20075394 downloads
Modelling Operational Risk Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Silvan Ebnöther ,
Paolo Vanini ,
Alexander McNeil and
Pierre Antolinez-Fehr
Date Posted: December 11, 2001Last Revised: January 06, 20104442 downloads
Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals
Harvey J. Stein
Date Posted: December 27, 20074158 downloads
A Model of Credit Risk, Optimal Policies, and Asset Prices AFA 2002 Atlanta Meetings; NYU Finance Working Paper
Suleyman Basak and
Alex Shapiro
Date Posted: March 21, 20014141 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, 20024053 downloads
Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing
Leif B. G. Andersen and
Jesper Andreasen
Date Posted: August 11, 19994010 downloads
Implied Binomial Trees in Excel without VBA
Tom Arnold ,
Timothy Falcon Crack and
Adam Schwartz
Date Posted: May 08, 20043899 downloads
A Comparative Study of Portfolio Insurance London Business School Working Paper IFA 344
Suleyman Basak
Date Posted: December 22, 20013559 downloads
Moment Explosions in Stochastic Volatility Models
Leif B. G. Andersen and
Vladimir Piterbarg
Date Posted: June 29, 20043552 downloads
On the Properties of Equally-Weighted Risk Contributions Portfolios
Sébastien Maillard
,
Thierry Roncalli
and
Jerome Teiletche
Date Posted: September 23, 2008Last Revised: June 05, 20093452 downloads
Advances in Cointegration and Subset Correlation Hedging Methods Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp.67-115.
Marcos Lopez de Prado and
David Leinweber
Date Posted: August 08, 2011Last Revised: August 30, 20123304 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, 20023265 downloads
The Quantification of Operational Risk
Markus Leippold and
Paolo Vanini
Date Posted: December 30, 20033252 downloads
Technical Analysis and Theory of Finance EFA 2007 Ljubljana Meetings Paper
Yingzi Zhu and
Guofu Zhou
Date Posted: March 05, 20072800 downloads
Introduction to Fast Fourier Transform in Finance Cass Business School Research Paper
Ales Cerny
Date Posted: June 29, 20042774 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, 20112719 downloads
Log-Linearizing Around the Steady State: A Guide with Examples
Joachim Zietz
Date Posted: December 14, 20062606 downloads
The Irony in the Derivatives Discounting
Marc P. A. Henrard
Date Posted: March 14, 20072553 downloads
FX Market Behavior and Valuation
Harvey J. Stein
Date Posted: January 12, 20072552 downloads
Markov Models for Commodity Futures: Theory and Practice
Leif B. G. Andersen
Date Posted: May 30, 2008Last Revised: December 30, 20082517 downloads
The Black-Litterman Model Explained Journal of Asset Management, Vol.11, No.4, pp.229-43
Wing Cheung
affiliation not provided to SSRN
Date Posted: February 12, 2009Last Revised: July 01, 20122510 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, 20132492 downloads
The Irony in the Derivatives Discounting Part II: The Crisis
Marc P. A. Henrard
Date Posted: July 14, 2009Last Revised: December 19, 20092440 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
Dynamic Mean-Variance Asset Allocation EFA 2007 Ljubljana Meetings, AFA 2009 San Francisco Meetings Paper
Suleyman Basak and
Georgy Chabakauri
Date Posted: February 27, 2007Last Revised: April 09, 20092297 downloads
Asset Pricing with Heterogeneous Beliefs
Suleyman Basak
Date Posted: November 30, 20032266 downloads
A Jump Diffusion Model For Option Pricing AFA 2001 New Orleans Meetings
Steven G. Kou
Date Posted: September 16, 20002235 downloads
Generalized Vanna-Volga Method and its Applications
Yuriy Shkolnikov
Date Posted: July 30, 2008Last Revised: July 13, 20092225 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, 20012133 downloads
Dynamic Programming and Optimal Lookahead Strategies in High Frequency Trading with Transaction Costs
Alexander Vigodner
Date Posted: January 03, 20002017 downloads
Operational Risk: A Practitioner's View Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Paolo Vanini ,
Silvan Ebnöther ,
Pierre Antolinez-Fehr and
Alexander McNeil
Date Posted: November 18, 2002Last Revised: February 15, 20112010 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, 20131969 downloads
Markovian Projection Onto a Heston Model
Alexandre Antonov
,
Timur Misirpashaev
and
Vladimir Piterbarg
Date Posted: June 28, 20071963 downloads
Arbitrage-Free Construction of the Swaption Cube
Simon Johnson
and
Bereshad Nonas
Date Posted: January 22, 20091958 downloads
Smiling at Convexity: Bridging Swaption Skews and CMS Adjustments
Fabio Mercurio and
Andrea Pallavicini
Date Posted: March 21, 20061956 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, 20121931 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, 20101930 downloads
Bermudan Swaptions in the LIBOR Market Model
Morten Bjerregaard Pedersen
Date Posted: July 26, 19991911 downloads
Hedging Derivatives Risks - A Simulation Study
Roel C. A. Oomen and
George J. Jiang
Date Posted: March 20, 20021869 downloads
A Simple Model of Credit Contagion EFA 2004 Maastricht Meetings
Markus Leippold ,
Daniel Egloff
and
Paolo Vanini
Date Posted: January 05, 2004Last Revised: December 18, 20081841 downloads
A Resolution to the NPV - IRR Debate?
Michael Osborne
Date Posted: April 05, 2004Last Revised: January 04, 20101831 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, 20101776 downloads
Analytical Formulas for Pricing CMS Products in the LIBOR Market Model with the Stochastic Volatility
Alexandre Antonov
and
Matthieu Arneguy
Date Posted: March 10, 20091730 downloads
A Dynamic Model of Active Portfolio Management and Mutual Fund Performance Evaluation
Yonggan Zhao
Date Posted: March 16, 20051705 downloads
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