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JEL Code: C6
836,781 Total downloads
Showing Papers 51 - 100 of 5,135
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An Empirical Comparison of Convertible Bond Valuation Models
Yuriy Zabolotnyuk
,
Robert A. Jones
and
Chris Veld
Date Posted: June 25, 2007Last Revised: October 18, 20091700 downloads
A Geometric Approach To Multiperiod Mean Variance Optimization of Assets and Liabilities Univ. of Southern Switzerland Working Paper
Markus Leippold ,
Paolo Vanini and
Fabio Trojani
Date Posted: November 08, 20011663 downloads
A Monte Carlo Method for Optimal Portfolios
Jerome Detemple ,
René Garcia and
Marcel Rindisbacher
Date Posted: November 16, 20001648 downloads
The Augmented Black-Litterman Model: A Ranking-Free Approach to Factor-Based Portfolio Construction and Beyond Quantitative Finance, DOI: 10.1080/14697688.2012.714902
Wing Cheung
affiliation not provided to SSRN
Date Posted: February 26, 2009Last Revised: October 21, 20121643 downloads
Constrained Optimization Approaches to Estimation of Structural Models Econometrica Forthcoming
Che-Lin Su
and
Kenneth L. Judd
Date Posted: February 13, 2008Last Revised: January 14, 20121640 downloads
Systemic Risk in Financial Networks
Larry Eisenberg and
Thomas H. Noe
Date Posted: September 24, 19991604 downloads
Asset Allocation and Long-Term Returns: An Empirical Approach
Stephen Coggeshall and
Guowei Wu
Date Posted: January 02, 20061598 downloads
Optimal Trading Strategies for Ito Diffusion Processes Physica A: Statistical Mechanics and its Applications, Vol. 388, pp. 2865-2873, 2009
William Karel Bertram
affiliation not provided to SSRN
Date Posted: April 02, 2009Last Revised: May 11, 20091583 downloads
A Comparison of Biased Simulation Schemes for Stochastic Volatility Models Tinbergen Institute Discussion Paper No. 06-046/4
Roger Lord
,
Remmert Koekkoek
and
Dick J. C. van Dijk
Date Posted: May 19, 2006Last Revised: March 20, 20081550 downloads
Arrow-Debreu Prices for Affine Models
Silverio Foresi and
Regis Van Steenkiste
Date Posted: April 26, 19991547 downloads
Incomplete Markets, Growth, And The Business Cycle MIT Dept. of Economics Working Paper No. 00-33, Harvard Institute of Economic Research Paper No. 1910
George-Marios Angeletos and
Laurent E. Calvet
Date Posted: January 19, 20011510 downloads
From Operational Risk to Operational Excellence
Paolo Vanini ,
Markus Leippold and
Barbara Doebeli
Date Posted: July 20, 20031488 downloads
Buy Low Sell High: A High Frequency Trading Perspective
Álvaro Cartea ,
Sebastian Jaimungal
and
Jason Ricci
Date Posted: November 26, 2011Last Revised: December 31, 20121486 downloads
Optimal Liquidity Trading EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-21; Yale SOM Working Paper No. ICF - 00-21
Gur Huberman and
Werner Stanzl
Date Posted: December 11, 20001485 downloads
Honey, I Shrunk the Sample Covariance Matrix UPF Economics and Business Working Paper No. 691
Olivier Ledoit and
Michael Wolf
Date Posted: September 18, 20031438 downloads
Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coefficients Demand Estimation Chicago Booth School of Business Research Paper No. 11-41
Jean-Pierre H. Dube
,
Jeremy T. Fox
and
Che-Lin Su
Date Posted: February 05, 2009Last Revised: December 31, 20111426 downloads
Financial Statement Analysis: A Data Envelopment Analysis Approach Journal of the Operational Research Society, Vol. 54, pp. 48-58, 2003
Ehsan H. Feroz ,
Sungsoo Kim and
Raymond L. Raab
Date Posted: August 08, 2008Last Revised: June 29, 20091406 downloads
Portfolio Insurance: A Short Introduction
Eric Bouyé
Date Posted: June 11, 2009Last Revised: August 11, 20091372 downloads
Cross-Currency and Hybrid Markov-Functional Models
Christian P. Fries and
Marius G. Rott
Date Posted: April 27, 20041359 downloads
Markovian Projection onto a Displaced Diffusion: Generic Formulas with Applications
Alexandre Antonov
and
Timur Misirpashaev
Date Posted: October 17, 20061350 downloads
Tracking Problems, Hedge Fund Replication and Alternative Beta
Thierry Roncalli
and
Guillaume Weisang
Date Posted: January 12, 2009Last Revised: April 20, 20091338 downloads
Environmental Economics and Modeling Marketable Permits: A Survey Asian Pacific Financial Markets, Vol. 17, No. 4, 2010
Luca Taschini
Date Posted: February 19, 2009Last Revised: December 05, 20101328 downloads
Global Supply Chain Networks and Risk Management
Anna Nagurney
,
José M. Cruz
and
June Dong
Date Posted: October 27, 20031326 downloads
On the Role of Arbitrageurs in Rational Markets EFA 2004 Maastricht Meetings Paper No. 2390; AFA 2004 San Diego Meetings
Benjamin Croitoru and
Suleyman Basak
Date Posted: December 04, 20031323 downloads
Network Neutrality on the Internet: A Two-Sided Market Analysis Information Economics and Policy, Vol. 24, 2012, NET Institute Working Paper No. 07-45, NYU Law and Economics Research Paper 07-40, NYU Working Paper No. 2451/26057
Nicholas Economides and
Joacim Tåg
Date Posted: October 04, 2007Last Revised: October 25, 20121310 downloads
Analytic Loss Distributions of Heterogeneous Portfolios in
the Asset Value Credit Risk Model
Uwe Wehrspohn
Date Posted: May 07, 20031307 downloads
Why do Investors Buy Structured Products? EFA 2009 Bergen Meetings Paper
Thorsten Hens and
Marc Oliver Rieger
Date Posted: February 16, 2009Last Revised: August 18, 20111306 downloads
Productive Performance Evaluation of the Banking Sector in India Using Data Envelopment Analysis International Journal of Operations Research, Forthcoming
Biresh K. Sahoo
,
Jati Sengupta
and
Anandadeep Mandal
Date Posted: January 12, 20071300 downloads
Operational Risk and Insurance: Quantitative and Qualitative Aspects EFMA 2004 Basel Meetings Paper
Silke N. Finken
Date Posted: May 14, 20041297 downloads
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management
Harry Zheng ,
Lyn C. Thomas and
David E. Allen
Date Posted: April 13, 20011293 downloads
Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs
Christoph Burgard
and
Mats Kjaer
Date Posted: May 13, 2010Last Revised: July 19, 20121277 downloads
Visual Portfolio Analysis
Uwe Wehrspohn
Date Posted: March 23, 20041277 downloads
Fourier Space Time-Stepping for Option Pricing With Levy Models Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Kenneth R. Jackson
,
Sebastian Jaimungal
and
Vladimir Surkov
affiliation not provided to SSRN
Date Posted: October 10, 2007Last Revised: July 01, 20091248 downloads
Dynamic Stochastic Programming For Asset-liability Management
Giorgio Consigli and
M. A. H. Dempster
Date Posted: March 19, 19981225 downloads
Option Pricing Under A Double Exponential Jump Diffusion Model
Steven G. Kou and
Hui Wang
Date Posted: September 24, 20011201 downloads
Pricing Discrete Barrier Options with an Adaptive Mesh Model
Dong-Hyun Ahn ,
Stephen Figlewski and
Bin Gao
Date Posted: July 01, 19991197 downloads
Option Pricing with Quadratic Volatility: A Revisit
Leif B. G. Andersen
Date Posted: April 10, 2008Last Revised: August 14, 20081194 downloads
Implied Volatility Surface: Construction Methodologies and Characteristics
Cristian Homescu
affiliation not provided to SSRN
Date Posted: July 10, 20111193 downloads
An Improved Estimator for Black-Scholes-Merton Implied Volatility ERIM Report Series No. ERS-2004-054-F&A
Winfried G. Hallerbach
Date Posted: July 23, 20041159 downloads
Dynamic Hedging in Incomplete Markets: A Simple Solution AFA 2012 Chicago Meetings Paper
Suleyman Basak and
Georgy Chabakauri
Date Posted: November 07, 2008Last Revised: May 12, 20111159 downloads
Cliquet Options: Pricing and Greeks in Deterministic and Stochastic Volatility Models
Peter den Iseger and
Emöke Oldenkamp
Date Posted: September 18, 20071156 downloads
Solving SABR in Exact Form and Unifying it with LIBOR Market Model
Othmane Islah
affiliation not provided to SSRN
Date Posted: October 19, 20091153 downloads
Strategic Asset Allocation and Market Timing: A Reinforcement Learning Approach
Thorsten Hens and
Peter Woehrmann
Date Posted: February 22, 20061146 downloads
An Algorithm Using GARCH Process, Monte-Carlo Simulation and Wavelets Analysis for Stock Prediction
Eleftherios Giovanis
Date Posted: September 21, 2008Last Revised: December 06, 20091137 downloads
Drawdown Measure in Portfolio Optimization
Alexei Chekhlov ,
Stanislav P. Uryasev and
Michael Zabarankin
Date Posted: May 13, 20041137 downloads
Technical Analysis with a Long Term Perspective: Trading Strategies and Market Timing Ability International Conference of the French Finance Association (AFFI), May 11-13, 2011
Dušan Isakov and
Didier Marti
Date Posted: May 09, 2011Last Revised: August 12, 20111132 downloads
Optimal Liquidation in Dark Pools EFA 2009 Bergen Meetings Paper
Peter Kratz
and
Torsten Schoeneborn
Date Posted: February 17, 2009Last Revised: April 18, 20121090 downloads
A Multi-Factor SABR Model for Forward Inflation Rates Bloomberg Portfolio Research Paper No. 2009-08-FRONTIERS
Fabio Mercurio and
Nicola Moreni
Date Posted: February 05, 2009Last Revised: April 08, 20101083 downloads
Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing
Pierre Henry-Labordere
Date Posted: August 09, 20051082 downloads
A Profitable Trading and Risk Management Strategy Despite Transaction Cost Quantitative Finance, Forthcoming
Ahmet Duran
and
Michael James Bommarito II
Date Posted: November 21, 2009Last Revised: March 16, 20101081 downloads
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