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JEL Code: C63
290,258 Total downloads
Showing Papers 81 - 130 of 1,413
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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
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
The Relationship between NPV and IRR in the Presence of a Non-flat Yield Curve
Michael Osborne
Date Posted: June 15, 2004759 downloads
An Implementation of the Hybrid-Heston-Hull-White Model
Joerg Kienitz
and
Holger Kammeyer
Date Posted: May 08, 2009753 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, 2013739 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
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, 2008728 downloads
The Internet as a Self-Organizing Socio-Technological System Human Strategies in Complexity Research Paper
Christian Fuchs
Date Posted: November 13, 2003717 downloads
Commodity Asian Options: A Closed-Form Formula EFA 2008 Athens Meetings Paper
Gianluca Fusai
,
Marina Marena and
Andrea Roncoroni
Date Posted: March 06, 2008704 downloads
Hedged Monte-Carlo: Low Variance Derivative Pricing with Objective Probabilities
Marc Potters and
Jean-Philippe Bouchaud
Date Posted: September 12, 2000703 downloads
Arbitrage-Free Pricing of Credit Index Options: The No-Armageddon Pricing Measure and the Role of Correlation after the Subprime Crisis
Damiano Brigo and
Massimo Morini
Date Posted: January 03, 2008Last Revised: February 03, 2008696 downloads
An Empirical Analysis of Alternative Portfolio Selection Criteria Swiss Finance Institute Research Paper No. 09-06
Manfred Gilli and
Enrico Schumann
Date Posted: March 19, 2009Last Revised: April 22, 2010694 downloads
Cash-Settled Swaptions: How Wrong are We?
Marc P. A. Henrard
Date Posted: November 07, 2010Last Revised: March 12, 2011690 downloads
Sequential Estimation of Dynamic Discrete Games
Victor Aguirregabiria and
Pedro Mira
Date Posted: June 20, 2004Last Revised: August 13, 2008689 downloads
An Empirical Survey of the Population of United States Tax Court Written Decisions Virginia Tax Review, Vol. 30, No. 2, 2011
Michael James Bommarito II ,
Daniel Martin Katz
and
Jillian Isaacs - See
Date Posted: August 02, 2009Last Revised: March 21, 2011672 downloads
Pricing Exotic Barrier Options with Finite Differences
Guanghua Cao
Date Posted: May 30, 2007672 downloads
Option Pricing Using Fourier Space Time-Stepping Framework
Vladimir Surkov
affiliation not provided to SSRN
Date Posted: September 28, 2009668 downloads
Corporate Bond Portfolio Optimization with Transaction Costs
Peter J Meindl and
James Primbs
Date Posted: March 15, 2006667 downloads
Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies EFA 0278
Leonid Kogan and
Raman Uppal
Date Posted: August 24, 2000659 downloads
Tweaking Implied Volatility
Charles J. Corrado and
Thomas W. Miller Jr.
Date Posted: September 02, 2004644 downloads
Comments on Handling Objects in Spreadsheets
Christian P. Fries
Date Posted: October 16, 2008633 downloads
Forward Equations for Portfolio Credit Derivatives Columbia University Center for Financial Engineering, Financial Engineering Report No. 2008-05
Rama Cont and
Ioana A. Savescu
Date Posted: April 25, 2008631 downloads
Locked Up by a Lockup: Valuing Liquidity as a Real Option
Andrew Ang and
Nicolas P. B. Bollen
Date Posted: October 30, 2008Last Revised: November 17, 2012629 downloads
Pricing of Complements and Network Effects NET Institute Working Paper, NYU Working Paper No. EC-05-12, NYU Working Paper No. 2451/26105
Nicholas Economides and
V. Brian Viard
Date Posted: December 08, 2004Last Revised: May 12, 2012625 downloads
Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk SFB 303 Working Paper No. B - 446
Dietmar Leisen
Date Posted: October 08, 1999618 downloads
Genetic Algorithms: A Tool for Optimization in Econometrics - Basic Concept and an Example for Empirical Applications ZEW Discussion Paper No. 02-41
Dirk Czarnitzki
and
Thorsten Doherr
Date Posted: October 12, 2002602 downloads
Numerical Approximation of the Implied Volatility under Arithmetic Brownian Motion Applied Mathematical Finance, Vol. 16, No. 3, 2009
Jaehyuk Choi
,
Kwangmoon Kim
and
Minsuk Kwak
Date Posted: June 04, 2007Last Revised: March 16, 2010601 downloads
Using Adaboost for Equity Investment Scorecards Decision Support Systems, Vol. 49, No. 4, pp. 365-385
Germán Creamer and
Yoav Freund
Date Posted: October 28, 2006Last Revised: February 20, 2013601 downloads
Forecasting the Interest-rate Term Structure: Using the Model of Fong & Vasicek, the Extended Kalman Filter and the Bollinger Bands
Pierre Rostan
,
Raymond Théoret
and
Abdeljalil El Moussadek
Date Posted: March 12, 2005597 downloads
Efficient Control Variates for Monte-Carlo Valuation of American Options
Nicki Søndergaard Rasmussen
Date Posted: October 10, 2002594 downloads
GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model
Duy Minh Dang ,
Christina Christara
and
Kenneth R. Jackson
Date Posted: February 08, 2010Last Revised: February 26, 2011594 downloads
Worst Case Pricing of Rainbow Options Discussion Paper No. 217
Juergen Topper
Date Posted: December 18, 2001594 downloads
Dynamic Analysis of an Institutional Conflict: Copyright Owners Against Online File Sharing Journal of Economic Issues, Vol. 39, No. 3, pp. 633-663, 2005
Oleg V. Pavlov
Date Posted: August 25, 2005592 downloads
Volatility of Volatility of Financial Markets DRW-98-1-VVFM
Jennifer K. Wilson
Date Posted: April 22, 1998591 downloads
Closed Form Spread Option Valuation NHH Dept. of Finance & Management Science Discussion Paper No. 2006/20
Petter Bjerksund
and
Gunnar Stensland
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: June 13, 2008586 downloads
Yes, Libor Models can Capture Interest Rate Derivatives Skew: A Simple Modelling Approach
Eymen Errais
and
Fabio Mercurio
Date Posted: March 10, 2005586 downloads
Business Cycle and Stock Market Volatility: Are They Related?
Roberto Casarin and
Carmine Trecroci
Date Posted: March 07, 2006Last Revised: March 22, 2008573 downloads
Simulation in the Textile Industry: Production Planning Optimization WOA 2004: Dagli Oggetti agli Agenti. 5th AI*IA/TABOO Joint Workshop
Gianluigi Ferraris
and
Matteo Morini
Date Posted: January 03, 2005572 downloads
Counterparty Risk Valuation for Energy-Commodities Swaps: Impact of Volatilities and Correlation
Damiano Brigo ,
Kyriakos Chourdakis and
Imane Bakkar
Date Posted: June 24, 2008564 downloads
Pricing Variance Swaps with Cash Dividends
Timothy Klassen
Date Posted: October 24, 2008554 downloads
An Efficient GPU-Based Parallel Algorithm for Pricing Multi-Asset American Options
Duy Minh Dang ,
Christina Christara
and
Kenneth R. Jackson
Date Posted: September 08, 2010Last Revised: April 02, 2011550 downloads
The Economics of the Internet Backbone NYU, Law and Economics Research Paper No. 04-033; and NET Institute Working Paper No. 04-23
Nicholas Economides
Date Posted: December 08, 2004549 downloads
Path Dependent Option Pricing: The Path Integral Partial Averaging Method AFA 2001 New Orleans Meetings
Andrew Matacz
Date Posted: November 23, 2000547 downloads
Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach
Alexander Herbertsson
Date Posted: February 09, 2007Last Revised: July 25, 2008547 downloads
Structured Risk Assessment and Value-at-Risk UA EFLS Working Paper No. 02-06-01
Robert Brooks ,
Joe H. Sullivan
and
Zachary G. Stoumbos
Date Posted: January 23, 2003547 downloads
Generic Computing Alternatives for Better Greeks
Cristian Homescu
affiliation not provided to SSRN
Date Posted: September 03, 2011Last Revised: September 12, 2011545 downloads
Law as a Seamless Web? Comparison of Various Network Representations of the United States Supreme Court Corpus (1791-2005) Proceedings of the 12th International Conference on Artificial Intelligence and Law (ICAIL 2009)
Michael James Bommarito II ,
Daniel Martin Katz
and
Jon Zelner
Date Posted: June 16, 2009Last Revised: June 03, 2010537 downloads
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