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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 618,975
Full Text Papers: 515,402
Authors: 285,999
Papers Received in
  Last 12 months:
63,049

Paper Downloads:
To date: 88,582,165
Last 12 months: 11,601,989
Last 30 days: 790,547

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  Resolved
  References:
291,376
Total References: 9,075,589
Papers with Cites: 247,412
Total Citation
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5,924,181
Papers with
  Resolved
  Footnotes:
94,290
Total Footnotes: 9,170,355


SSRN eLibrary Search Results
JEL Code: C6
1,111,539 Total downloads
Showing Papers 751 - 800 of 6,714
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1 2 3 4 ... 135 | Next >
   


Incl. Electronic Paper The Intuition Behind Black-Litterman Model Portfolios
Guangliang He and Robert Litterman
Independent and Kepos Capital
Date Posted: October 28, 2002
Working Paper Series
14123 downloads

Incl. Electronic Paper Mathematical Finance Introduction to Continuous Time Financial Market Models
Christian-Oliver Ewald
University of Glasgow
Date Posted: April 02, 2007
Working Paper Series
11383 downloads

Incl. Electronic Paper Efficient Simulation of the Heston Stochastic Volatility Model
Leif B. G. Andersen
Bank of America Merrill Lynch
Date Posted: November 22, 2006
Working Paper Series
8122 downloads

Incl. Electronic Paper A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
Yufeng Han , Ke Yang and Guofu Zhou
University of Colorado at Denver - Business School , Washington University in Saint Louis and Washington University in St. Louis - Olin School of Business
Date Posted: August 12, 2010
Last Revised: May 22, 2012
Working Paper Series
7579 downloads

Incl. Electronic Paper Discrete Time Finance
Christian-Oliver Ewald
University of Glasgow
Date Posted: March 28, 2007
Working Paper Series
5665 downloads

Incl. Electronic Paper On the Properties of Equally-Weighted Risk Contributions Portfolios
Sébastien Maillard , Thierry Roncalli and Jerome Teiletche
Lyxor Asset Management , Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE) and Unigestion
Date Posted: September 23, 2008
Last Revised: June 05, 2009
Working Paper Series
5306 downloads

Incl. Electronic Paper Modelling Operational Risk
Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Silvan Ebnöther , Paolo Vanini , Alexander McNeil and Pierre Antolinez-Fehr
Zurich Cantonal Bank , Zurich Cantonal Bank , Swiss Federal Institute of Technology Zurich - Department of Mathematics and Zurich Cantonal Bank
Date Posted: December 11, 2001
Last Revised: January 06, 2010
Working Paper Series
4928 downloads

Incl. Electronic Paper Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals
Harvey J. Stein
Bloomberg L.P.
Date Posted: December 27, 2007
Working Paper Series
4921 downloads

Incl. Electronic Paper Kelly Criterion for Multivariate Portfolios: A Model-Free Approach
Vasily Nekrasov
University of Duisburg-Essen - Department of Economics
Date Posted: May 02, 2013
Last Revised: September 30, 2014
Working Paper Series
4885 downloads

Incl. Electronic Paper 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
University of Warwick - Finance Group
Date Posted: March 06, 2002
Working Paper Series
4511 downloads

Incl. Electronic Paper Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing
Leif B. G. Andersen and Jesper Andreasen
Bank of America Merrill Lynch and Danske Bank - Danske Markets
Date Posted: August 11, 1999
Working Paper Series
4344 downloads

Incl. Electronic Paper A Model of Credit Risk, Optimal Policies, and Asset Prices
AFA 2002 Atlanta Meetings; NYU Finance Working Paper
Alex Shapiro
New York University (NYU) - Department of Finance
Date Posted: March 21, 2001
Working Paper Series
4273 downloads

Incl. Electronic Paper Implied Binomial Trees in Excel without VBA
Tom Arnold , Timothy Falcon Crack and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business , University of Otago - Department of Finance and Quantitative Analysis and Washington and Lee University - Department of Business Administration
Date Posted: May 08, 2004
Working Paper Series
4248 downloads

Incl. Electronic Paper 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
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Date Posted: August 08, 2011
Last Revised: January 31, 2014
Accepted Paper Series
4016 downloads

Incl. Electronic Paper Moment Explosions in Stochastic Volatility Models
Leif B. G. Andersen and Vladimir Piterbarg
Bank of America Merrill Lynch and Independent
Date Posted: June 29, 2004
Working Paper Series
3793 downloads

Incl. Electronic Paper A Comparative Study of Portfolio Insurance
London Business School Working Paper IFA 344

Date Posted: December 22, 2001
Working Paper Series
3787 downloads

Incl. Electronic Paper The Quantification of Operational Risk

Markus Leippold and Paolo Vanini
University of Zurich - Department of Banking and Finance and Zurich Cantonal Bank
Date Posted: December 30, 2003
Working Paper Series
3523 downloads

Incl. Electronic Paper Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach
Rapport Interne CMAP Working Paper No. 490
Rama Cont and Peter Tankov
Imperial College London and Ecole Polytechnique, Paris
Date Posted: November 22, 2002
Working Paper Series
3489 downloads

Incl. Electronic Paper The Irony in the Derivatives Discounting Part II: The Crisis
Marc P. A. Henrard
OpenGamma
Date Posted: July 14, 2009
Last Revised: December 19, 2009
Working Paper Series
3180 downloads

Incl. Electronic Paper Markov Models for Commodity Futures: Theory and Practice
Leif B. G. Andersen
Bank of America Merrill Lynch
Date Posted: May 30, 2008
Last Revised: December 30, 2008
Working Paper Series
3163 downloads

Incl. Electronic Paper Introduction to Fast Fourier Transform in Finance
Cass Business School Research Paper
Aleš Černý
Cass Business School
Date Posted: June 29, 2004
Working Paper Series
3136 downloads

Incl. Electronic Paper 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
Bloomberg L.P. , Google Inc. , Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Date Posted: January 07, 2007
Last Revised: March 16, 2011
Accepted Paper Series
3130 downloads

Incl. Electronic Paper Technical Analysis and Theory of Finance
EFA 2007 Ljubljana Meetings Paper
Yingzi Zhu and Guofu Zhou
Tsinghua University - School of Economics & Management and Washington University in St. Louis - Olin School of Business
Date Posted: March 05, 2007
Working Paper Series
3075 downloads

Incl. Electronic Paper Buy Low Sell High: A High Frequency Trading Perspective
Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.,
Álvaro Cartea , Sebastian Jaimungal and Jason Ricci
University College London , University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Date Posted: November 26, 2011
Last Revised: April 27, 2015
Accepted Paper Series
3069 downloads

Incl. Electronic Paper Automated Trading with Boosting and Expert Weighting
Quantitative Finance, Vol. 4, No. 10, pp. 401–420 ,
Germán G. Creamer and Yoav Freund
Stevens Institute of Technology - Wesley J. Howe School of Technology Management and University of California, San Diego
Date Posted: October 17, 2006
Last Revised: February 20, 2013
Accepted Paper Series
3011 downloads

Incl. Electronic Paper 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, 2009
Last Revised: July 01, 2012
Accepted Paper Series
2995 downloads

Incl. Electronic Paper Generalized Vanna-Volga Method and its Applications
Yuriy Shkolnikov
Optimal Selection Ltd.
Date Posted: July 30, 2008
Last Revised: July 13, 2009
Working Paper Series
2947 downloads

Incl. Electronic Paper The Irony in the Derivatives Discounting
Marc P. A. Henrard
OpenGamma
Date Posted: March 14, 2007
Working Paper Series
2947 downloads

Incl. Electronic Paper FX Market Behavior and Valuation
Harvey J. Stein
Bloomberg L.P.
Date Posted: January 12, 2007
Working Paper Series
2930 downloads

Incl. Electronic Paper Log-Linearizing Around the Steady State: A Guide with Examples
Joachim Zietz
Middle Tennessee State University - Jennings A. Jones College of Business
Date Posted: December 14, 2006
Working Paper Series
2831 downloads

Incl. Electronic Paper Dynamic Mean-Variance Asset Allocation
EFA 2007 Ljubljana Meetings, AFA 2009 San Francisco Meetings Paper
Georgy Chabakauri
London School of Economics and Political Science
Date Posted: February 27, 2007
Last Revised: April 09, 2009
Working Paper Series
2657 downloads

Incl. Electronic Paper 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
Illinois Tech - Chicago Kent College of Law , Brigham Young University - Department of Political Science , University of Michigan at Ann Arbor - Center for Study of Complex Systems , Bommarito Consulting, LLC , University of Michigan - Department of Political Science and Childrens Hospital of Philadelphia
Date Posted: March 09, 2009
Last Revised: May 26, 2011
Accepted Paper Series
2657 downloads

Incl. Electronic Paper 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
University of Reading - ICMA Centre
Date Posted: December 19, 2001
Working Paper Series
2630 downloads

Incl. Electronic Paper Price Theory
Journal of Economic Literature, Forthcoming
E. Glen Weyl
Microsoft Research New England
Date Posted: June 02, 2014
Last Revised: July 29, 2015
Accepted Paper Series
2534 downloads

Incl. Electronic Paper Asset Pricing with Heterogeneous Beliefs

Date Posted: November 30, 2003
Working Paper Series
2485 downloads

Incl. Electronic Paper A Jump Diffusion Model For Option Pricing
AFA 2001 New Orleans Meetings
Steven Kou
Risk Management Institute, NUS
Date Posted: September 16, 2000
Working Paper Series
2468 downloads

Incl. Electronic Paper Arbitrage-Free Construction of the Swaption Cube
Simon Johnson and Bereshad Nonas
Commerzbank Corporates & Markets and Commerzbank Corporates & Markets
Date Posted: January 22, 2009
Working Paper Series
2460 downloads

Incl. Electronic Paper 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
Queensland University of Technology - School of Economics and Finance
Date Posted: May 08, 2001
Working Paper Series
2411 downloads

Incl. Electronic Paper A Boosting Approach for Automated Trading
Journal of Trading, Vol. 2, No. 3, pp. 84-96.
Germán G. Creamer and Yoav Freund
Stevens Institute of Technology - Wesley J. Howe School of Technology Management and University of California, San Diego
Date Posted: October 17, 2006
Last Revised: February 20, 2013
Accepted Paper Series
2359 downloads

Incl. Electronic Paper Closed-Form Approximations for Spread Option Prices and Greeks
Minqiang Li , Shijie Deng and Jieyun Zhou
Bloomberg LP , Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology
Date Posted: December 20, 2006
Last Revised: June 08, 2010
Working Paper Series
2291 downloads

Incl. Electronic Paper Optimal Portfolios from Ordering Information
Robert Almgren and Neil A Chriss
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Date Posted: December 25, 2004
Working Paper Series
2271 downloads

Incl. Electronic Paper Smiling at Convexity: Bridging Swaption Skews and CMS Adjustments
Fabio Mercurio and Andrea Pallavicini
Bloomberg L.P. and Banca IMI
Date Posted: March 21, 2006
Working Paper Series
2197 downloads

Incl. Electronic Paper Arbitrage-Free SVI Volatility Surfaces
Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Jim Gatheral and Antoine Jacquier
CUNY Baruch College and Imperial College London
Date Posted: April 03, 2012
Last Revised: January 15, 2014
Accepted Paper Series
2192 downloads

Incl. Electronic Paper Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions: A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching
William Thornton Shaw
University College London
Date Posted: June 03, 2011
Working Paper Series
2180 downloads

Incl. Electronic Paper Dynamic Programming and Optimal Lookahead Strategies in High Frequency Trading with Transaction Costs
Alexander Vigodner
Bloomberg Financial Markets (BFM)
Date Posted: January 03, 2000
Working Paper Series
2179 downloads

Incl. Electronic Paper 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
Zurich Cantonal Bank , Zurich Cantonal Bank , Zurich Cantonal Bank and Swiss Federal Institute of Technology Zurich - Department of Mathematics
Date Posted: November 18, 2002
Last Revised: February 15, 2011
Accepted Paper Series
2141 downloads

Incl. Electronic Paper Analytical Formulas for Pricing CMS Products in the LIBOR Market Model with the Stochastic Volatility
Alexandre Antonov and Matthieu Arneguy
Numerix and Numerix
Date Posted: March 10, 2009
Working Paper Series
2133 downloads

Incl. Electronic Paper Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs
C. Burgard and M. Kjaer. Partial differential equation representations of derivatives with counterparty risk and funding costs. The Journal of Credit Risk, Vol. 7, No. 3, 1-19, 2011.
Christoph Burgard and Mats Kjaer
Barclays Investment Bank and Bloomberg L.P.
Date Posted: May 13, 2010
Last Revised: August 07, 2014
Accepted Paper Series
2129 downloads

Incl. Electronic Paper No-Arbitrage Dynamics for a Tractable SABR Term Structure Libor Model
Bloomberg Portfolio Research Paper No. 2010-03-FRONTIERS
Massimo Morini and Fabio Mercurio
Banca IMI and Bloomberg L.P.
Date Posted: October 02, 2007
Last Revised: April 07, 2010
Working Paper Series
2108 downloads

Incl. Electronic Paper Markovian Projection Onto a Heston Model
Alexandre Antonov , Timur Misirpashaev and Vladimir Piterbarg
Numerix , Merrill Lynch & Co. and Independent
Date Posted: June 28, 2007
Working Paper Series
2104 downloads


 

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