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JEL Code: C63
290,468 Total downloads
Showing Papers 201 - 250 of 1,415
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Prices and Sensitivities of Barrier and First-Touch Digital Options in Levy-Driven Models
Mitya Boyarchenko and
Sergei Levendorskii
Date Posted: July 05, 2008382 downloads
Valuation of Callable Convertible Bond With Parisian Feature Using Finite Element Method
Pu Gong
and
Jianling Meng
Date Posted: March 19, 2007382 downloads
Structural Estimation of Real Options Models Journal of Economic Dynamics and Control, Forthcoming
Andrea Gamba and
Matteo Tesser
Date Posted: June 08, 2006Last Revised: October 16, 2008379 downloads
Approximating the Embedded M Out of N Day Soft-Call Option of a Convertible Bond: An Auxiliary Reversed Binomial Tree Method
Qiang Liu
Date Posted: January 22, 2007Last Revised: July 26, 2008371 downloads
Global Optimization by Differential Evolution and Particle Swarm Methods: Evaluation on Some Benchmark Functions
Sudhanshu K. Mishra
Date Posted: October 02, 2006370 downloads
Moments Calculation for the Double Truncated Multivariate Normal Density
Manjunath B. G. and
Stefan Wilhelm
Date Posted: September 15, 2009364 downloads
Closed-Form Solutions for European and Digital Calls in the Hull and White Stochastic Volatility Model and Their Relation to Locally R-Minimizing and Delta Hedges Swiss Finance Institute Research Paper No. 07-11
Christian-Oliver Ewald
,
Klaus Reiner Schenk-Hoppé and
Zhaojun Yang
Date Posted: January 20, 2007363 downloads
Can an Islamic Model of Housing Finance Cooperative Elevate the Economic Status of the Underprivileged? Nottingham University Business School Research Paper No. 2008-04
Muhammed Shahid Ebrahim
Date Posted: November 18, 2008Last Revised: March 23, 2009362 downloads
Optimisation of Complex Financial Models Using Nature-Inspired Techniques
Nikos S. Thomaidis ,
George D. Dounias
,
Magdalene Marinaki
and
Ioannis Marinakis
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: June 23, 2011Last Revised: January 31, 2012361 downloads
The Nearest Correlation Matrix Problem: Solution by Differential Evolution Method of Global Optimization
Sudhanshu K. Mishra
Date Posted: April 15, 2007Last Revised: March 07, 2013361 downloads
Using Open Source Software to Investigate Put-Call Relationships of Shanghai Warrants
Joseph Chen-Yu Wang
Date Posted: February 26, 2007361 downloads
A Mathematical Approach to the Study of the United States Code Physica A, Vol. 389, 2010
Michael James Bommarito II and
Daniel Martin Katz
Date Posted: March 29, 2010Last Revised: August 02, 2012360 downloads
Global Optimization By Particle Swarm Method: A Fortran Program
Sudhanshu K. Mishra
Date Posted: August 04, 2006359 downloads
Pricing Risky Bank Loans in the New Basel II Environment Bank of Finland Research Discussion Paper No. 3/2006
Cristiano Zazzara Sr.
and
Iftekhar Hasan
Date Posted: August 31, 2007353 downloads
On the Evolution of Investment Strategies and the Kelly Rule - A Darwinian Approach Swiss Finance Institute Research Paper No. 06-38
Terje Lensberg
and
Klaus Reiner Schenk-Hoppé
Date Posted: December 13, 2006352 downloads
Libor Market Model and Gaussian HJM Explicit Approaches to Option on Composition
Marc P. A. Henrard
Date Posted: March 08, 2006351 downloads
Stock Picking via Nonsymmetrically Pruned Binary Decision Trees 20th Australasian Finance & Banking Conference 2007 Paper
Anton Andriyashin
Date Posted: August 02, 2007Last Revised: August 21, 2008351 downloads
Basel II Second Pillar: An Analytical VAR with Contagion and Sectorial Risks
Michele Bonollo
,
Fabio Mercurio and
Paola Mosconi
affiliation not provided to SSRN
,
Bloomberg L.P.
and
San Paolo IMI - Banca IMI
Date Posted: February 01, 2009349 downloads
Option Valuation in Multivariate SMM/SABR Models (with an Application to the CMS Spread)
Joerg Kienitz
and
Manuel Wittke
Date Posted: September 11, 2009Last Revised: June 30, 2010348 downloads
Practical Model-Based Monetary Policy Analysis: A How-To Guide IMF Working Paper No. 06/81
Andrew Berg ,
Philippe D. Karam and
Douglas Laxton
Date Posted: May 17, 2006348 downloads
Local Volatility of Volatility for the VIX Market Review of Derivatives Research, Forthcoming
Gabriel G. Drimus
and
Walter Farkas
Date Posted: December 11, 2011Last Revised: December 19, 2012346 downloads
The Risk of Optimal, Continuously Rebalanced Hedging Strategies and It's Efficient Evaluation via Fourier Transform Cass Business School Research Paper
Ales Cerny
Date Posted: June 29, 2004345 downloads
A Link Mining Algorithm for Earnings Forecast and Trading Data Mining and Knowledge Discovery, Vol. 18, No. 3
Germán Creamer and
Salvatore Stolfo
Date Posted: October 17, 2006Last Revised: February 20, 2013344 downloads
Multivariate and Propensity Score Matching Software with Automated Balance Optimization: The Matching Package for R Journal of Statistical Software, Forthcoming
Jasjeet S. Sekhon
Date Posted: May 29, 2008344 downloads
Reverse Engineering Financial Markets with Majority and Minority Games Using Genetic Algorithms Swiss Finance Institute Research Paper No. 10-08
Judith Wiesinger
,
Didier Sornette and
Jeffrey Satinover
affiliation not provided to SSRN
Date Posted: February 20, 2010343 downloads
A Model for Valuing Multiple Employee Stock Options Issued by the Same Company University of North Carolina Kenan-Flagler Business School Working Paper
Patrick J. Dennis and
Richard J. Rendleman
Date Posted: April 16, 2003342 downloads
An Integrated Multi-Criteria System to Assess Sustainable Energy Options: An Application of the Promethee Method FEEM Working Paper No. 22.05
Fausto Cavallaro
Date Posted: February 22, 2005340 downloads
The Impact of Managerial Discretion and Control Challenges on Dynamic Capital Structure
Sergei Polevikov
Date Posted: October 28, 2004339 downloads
Volatility Computed by Time Series Operators at High Frequency Olsen & Associates Working Paper No. 323
Ulrich A. Müller
Date Posted: March 21, 2000337 downloads
An Improved Convolution Algorithm for Discretely Sampled Asian Options Cass Business School Research Paper
Ales Cerny and
Ioannis Kyriakou
Date Posted: January 05, 2009Last Revised: October 30, 2011333 downloads
The Threshold Accepting Heuristic for Index Tracking
Manfred Gilli and
Evis Kellezi
affiliation not provided to SSRN
Date Posted: December 18, 2008332 downloads
Dollarization: An Irreversible Decision
Roger Craine
Date Posted: April 13, 2001331 downloads
Price Convolution for Convertible Bonds in a Jump Diffusion Setting with Stochastic Interest Rates Cass Business School Research
Laura Ballotta and
Ioannis Kyriakou
Date Posted: July 04, 2009Last Revised: October 31, 2011331 downloads
Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
Damiano Brigo and
Naoufel El-Bachir
Date Posted: December 08, 2006329 downloads
An Efficient Numerical PDE Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives
Duy Minh Dang ,
Christina Christara
,
Kenneth R. Jackson
and
Asif Lakhany
Date Posted: March 26, 2012Last Revised: May 05, 2013327 downloads
Behavioral Biases and Investor Performance Algorithmic Finance (2011), 1:1, 45-55
Todd Feldman
Date Posted: November 11, 2011320 downloads
Models of Valuation of European Options in Continuous Time Cuadernos de Economía, Vol. 25, No. 44, 2006,
Jaime Villamil Sr.
affiliation not provided to SSRN
Date Posted: August 02, 2007319 downloads
Option Pricing And Hedging With Temporal Correlations
Lorenzo Cornalba ,
Jean-Philippe Bouchaud and
Marc Potters
Date Posted: February 04, 2001318 downloads
Stochastic Processes and Control for Jump-Diffusions
Floyd B. Hanson
Date Posted: October 22, 2007317 downloads
Subordinated Levy Processes and Applications to Crude Oil Options IMF Working Paper No. 05/174
Noureddine Krichene
Date Posted: March 03, 2006316 downloads
Monte Carlo Bounds for Game Options Including Convertible Bonds
Christopher Beveridge
and
Mark S. Joshi
Date Posted: March 31, 2010Last Revised: November 30, 2010315 downloads
Arbitrage and Optimal Portfolio Choice with Financial Constraints EFA 0625
Helmut Elsinger and
Martin Summer
Date Posted: October 13, 2000312 downloads
Corporate Financing: An Artificial Agent-based Analysis
Thomas H. Noe ,
Michael J. Rebello and
Jun Wang
Date Posted: March 03, 2002312 downloads
A Rule of Thumb for the Optimal Number of Runs in Monte Carlo Simulations
Jim Gustafsson
affiliation not provided to SSRN
Date Posted: March 06, 2009311 downloads
An Approximated Solution to Continuous-Time Stochastic Optimal Control Problems Through Markov Decision Chains
Working Paper Version 9b
Jacek B. Krawczyk and
Alistair Windsor
Date Posted: February 26, 1998311 downloads
Investment Choices and Risk-Adjusted Performance Measures
Mark A. Hooker and
George Xiang
Date Posted: April 11, 2008307 downloads
Extracting Information from the Market to Price the Weather Derivatives
Helene Hamisultane
Date Posted: June 12, 2006Last Revised: October 20, 2007305 downloads
Financial Communities Santa Clara University Working Paper No. 02/03-20-WP
Sanjiv Ranjan Das and
Jacob Sisk
Date Posted: June 23, 2003300 downloads
From Moving Average Local and Stochastic Volatility Models to 2-Factor Stochastic Volatility Models
Oleg Kovrizhkin
affiliation not provided to SSRN
Date Posted: July 15, 2006Last Revised: August 23, 2008299 downloads
Monte Carlo Algorithms for Optimal Stopping and Statistical Learning - Convergence Rates and Sample Complexity
Daniel Egloff
Date Posted: October 15, 2003298 downloads
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