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JEL Code: C60

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Viewing: 1 - 50 of 728 papers

1.

On the Properties of Equally-Weighted Risk Contributions Portfolios

Number of pages: 23 Posted: 23 Sep 2008 Last Revised: 05 Jun 2009
Working Paper Series
Lyxor Asset Management, Amundi Asset Management and Unigestion
Downloads 6,852
2.

Moment Explosions in Stochastic Volatility Models

Number of pages: 32 Posted: 29 Jun 2004
Working Paper Series
Bank of America Merrill Lynch and Independent
Downloads 4,092
3.

A Comparative Study of Portfolio Insurance

London Business School Working Paper IFA 344
Number of pages: 24 Posted: 22 Dec 2001
Working Paper Series
London Business School
Downloads 3,942
4.

Arbitrage-Free SVI Volatility Surfaces

Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Number of pages: 27 Posted: 03 Apr 2012 Last Revised: 15 Jan 2014
Accepted Paper Series
CUNY Baruch College and Imperial College London
Downloads 3,101
5.

Log-Linearizing Around the Steady State: A Guide with Examples

Number of pages: 18 Posted: 14 Dec 2006
Working Paper Series
EBS University, EBS Business School
Downloads 3,069
6.

Managing Risk Exposures Using the Risk Budgeting Approach

Number of pages: 33 Posted: 23 Feb 2012 Last Revised: 10 Apr 2012
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 2,686
7.

Asset Pricing with Heterogeneous Beliefs

Number of pages: 35 Posted: 30 Nov 2003
Working Paper Series
London Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,673
8.

A Resolution to the NPV - IRR Debate?

Number of pages: 22 Posted: 05 Apr 2004 Last Revised: 04 Jan 2010
Working Paper Series
University of Sussex
Downloads 2,661
9.

Risk Parity Portfolios with Risk Factors

Number of pages: 32 Posted: 03 Oct 2012 Last Revised: 06 Oct 2012
Working Paper Series
Amundi Asset Management and Clark University - Graduate School of Management
Downloads 2,574
10.

Thickness and Information in Dynamic Matching Markets

Number of pages: 57 Posted: 15 Feb 2014 Last Revised: 05 May 2017
Working Paper Series
Stanford Graduate School of Business, Stanford University - Department of Economics and University of California, Berkeley
Downloads 2,514
11.

Facts and Fantasies About Factor Investing

Number of pages: 112 Posted: 16 Nov 2014 Last Revised: 28 Nov 2014
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 2,492
12.

Optimal Portfolios from Ordering Information

Number of pages: 62 Posted: 25 Dec 2004
Working Paper Series
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Downloads 2,423
13.

Generalized Risk-Based Investing

Number of pages: 43 Posted: 24 Jan 2013 Last Revised: 20 Apr 2013
Working Paper Series
ESCP Europe, Lombard Odier & Cie and Unigestion
Downloads 2,422
14.

The Case of Gold and Silver: A New Algorithm for Pairs Trading

Number of pages: 7 Posted: 10 Apr 2013 Last Revised: 10 Apr 2013
Working Paper Series
B.K.School of Business Management, Gujarat University, Shri Chimanbhai Patel Institute of Management & Research and Shri Chimanbhai Patel Institute of Management & Research
Downloads 2,325
15.

A Geometric Approach To Multiperiod Mean Variance Optimization of Assets and Liabilities

Univ. of Southern Switzerland Working Paper
Number of pages: 42 Posted: 08 Nov 2001
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Basel and University of Geneva
Downloads 1,901
16.

Portfolio Insurance: A Short Introduction

Number of pages: 22 Posted: 11 Jun 2009 Last Revised: 11 Aug 2009
Working Paper Series
World Bank
Downloads 1,857
17.

Tracking Problems, Hedge Fund Replication and Alternative Beta

Number of pages: 66 Posted: 12 Jan 2009 Last Revised: 20 Apr 2009
Working Paper Series
Amundi Asset Management and Clark University - Graduate School of Management
Downloads 1,832
18.

Solving SABR in Exact Form and Unifying it with LIBOR Market Model

Number of pages: 41 Posted: 19 Oct 2009
Working Paper Series
affiliation not provided to SSRN
Downloads 1,679
19.

Analysis of Financial Time-Series Using Fourier and Wavelet Methods

Number of pages: 36 Posted: 27 Oct 2008
Working Paper Series
Ecole hôtelière de Lausanne
Downloads 1,567
20.

On the Role of Arbitrageurs in Rational Markets

EFA 2004 Maastricht Meetings Paper No. 2390; AFA 2004 San Diego Meetings
Number of pages: 36 Posted: 04 Dec 2003
Working Paper Series
McGill University - Desautels Faculty of Management and London Business School

Multiple version iconThere are 3 versions of this paper

Downloads 1,445
21.

Environmental Economics and Modeling Marketable Permits: A Survey

Asian Pacific Financial Markets, Vol. 17, No. 4, 2010
Number of pages: 21 Posted: 19 Feb 2009 Last Revised: 05 Dec 2010
Accepted Paper Series
London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
Downloads 1,438
22.

Path-Dependent Options Pricing: A Quasi Monte Carlo Simulation Approach with MATLAB

Number of pages: 11 Posted: 15 Aug 2010 Last Revised: 18 Oct 2010
Working Paper Series
The Chinese University of Hong Kong (CUHK)
Downloads 1,427
23.

Deviation Measures in Risk Analysis and Optimization

University of Florida, Department of Industrial & Systems Engineering Working Paper No. 2002-7
Number of pages: 27 Posted: 22 Jan 2003
Working Paper Series
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 1,424
24.

Raise your Glass: Wine Investment and the Financial Crisis

Number of pages: 25 Posted: 22 Aug 2009 Last Revised: 26 Apr 2010
Working Paper Series
Ecole hôtelière de Lausanne and Ecole Hôtelière de Lausanne
Downloads 1,279
25.

Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion: A Preference-Based Formulation

EFA Meetings, WFA Meetings
Number of pages: 35 Posted: 29 Nov 2004 Last Revised: 15 Aug 2008
Working Paper Series
London Business School and Driehaus College of Business, DePaul University

Multiple version iconThere are 3 versions of this paper

Downloads 1,240
26.

Spreadsheet-based Modeling for Teaching Finance and Accounting Courses

Number of pages: 28 Posted: 18 Mar 2003
Working Paper Series
Independent Credit View
Downloads 1,210
27.

Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing

Number of pages: 21 Posted: 09 Aug 2005
Working Paper Series
Société Générale - Paris, France
Downloads 1,196
28.

The Potential Approach to Bond and Currency Pricing

Number of pages: 37 Posted: 17 Apr 1999
Working Paper Series
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,102
29.

An Implementation of the Hybrid-Heston-Hull-White Model

Number of pages: 34 Posted: 08 May 2009
Working Paper Series
University of Cape Town and UC Berkeley, Department of Mathematics
Downloads 1,082
30.

A Short Remark on Feller’s Square Root Condition

Number of pages: 3 Posted: 07 Feb 2011
Working Paper Series
Independent
Downloads 1,081
31.

Types of Economic Behavior: The Instrument for Management of Individuals, Institutions, Countries and Humankind

Number of pages: 22 Posted: 02 Nov 2011
Working Paper Series
Vinnitsa National Technical University (VNTU) and Vinnitsa National Technical University (VNTU)
Downloads 1,072
32.

A Primer on Alternative Risk Premia

Number of pages: 123 Posted: 04 May 2016 Last Revised: 26 Jun 2016
Working Paper Series
Lyxor Asset Management, Lyxor Asset Management, Amundi Asset Management and Lyxor Asset Management
Downloads 1,054
33.

Equilibrium Impact of Value-at-Risk Regulation

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 64 Posted: 14 Nov 2002
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Basel and University of Geneva
Downloads 1,054
34.

A Fast Algorithm for Computing High-Dimensional Risk Parity Portfolios

Number of pages: 9 Posted: 15 Sep 2013 Last Revised: 01 Oct 2013
Working Paper Series
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads 1,051
35.

Partially Exact and Bounded Approximations for Arithmetic Asian Options

Number of pages: 48 Posted: 25 Mar 2005
Working Paper Series
Cardano Risk Management
Downloads 977
36.

Convergence of Heston to SVI

Quantitative Finance, Vol. 11, No. 8, pp. 1129-1132, 2011
Number of pages: 5 Posted: 19 Feb 2010 Last Revised: 31 Jul 2011
Accepted Paper Series
CUNY Baruch College and Imperial College London
Downloads 974
37.

High Performance American Option Pricing

Number of pages: 43 Posted: 11 Jan 2015 Last Revised: 12 Aug 2015
Working Paper Series
Bank of America Merrill Lynch, Bank of America Merrill Lynch and Strategist

Multiple version iconThere are 2 versions of this paper

Downloads 967
38.

Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion

Yale ICF Working Paper No. 08-23
Number of pages: 32 Posted: 08 Oct 2008 Last Revised: 05 Aug 2009
Working Paper Series
London Business School and Driehaus College of Business, DePaul University

Multiple version iconThere are 3 versions of this paper

Downloads 933
39.

A Dynamic Analysis of Moving Average Rules

Tinbergen Institute Discussion Paper No. TI 05-057/1
Number of pages: 29 Posted: 13 Jun 2005
Working Paper Series
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 919
40.

The Relationship between NPV and IRR in the Presence of a Non-flat Yield Curve

Number of pages: 17 Posted: 15 Jun 2004
Working Paper Series
University of Sussex
Downloads 891
41.

Ito's Calculus and the Derivation of the Black-Scholes Option-Pricing Model

HANDBOOK OF QUANTITATIVE FINANCE, C. F. Lee, Alice C. Lee, eds., Springer, 2009
Number of pages: 63 Posted: 18 Oct 2007 Last Revised: 12 Feb 2009
Accepted Paper Series
Athens University of Economics and Business - Department of Accounting and Finance and Loyola University of Chicago - Department of Economics
Downloads 857
42.

Portfolio Optimization with Respect to Risk Diversification

Number of pages: 7 Posted: 16 Nov 2008
Working Paper Series
HQ Trust GmbH
Downloads 856
43.

Natural Selection in Financial Markets: Does it Work?

Yale ICF Working Paper No. 08-01
Number of pages: 38 Posted: 15 Jan 2008
Working Paper Series
Driehaus College of Business, DePaul University
Downloads 816
44.

Sizing the Stage 2 Portfolio for IFRS 9 Provisions

Number of pages: 8 Posted: 14 May 2015 Last Revised: 21 Oct 2016
Working Paper Series
Société Générale
Downloads 791
45.

Option Pricing in a Fractional Brownian Motion Environment

Number of pages: 19 Posted: 20 Oct 2008
Working Paper Series
University of Zurich - Department of Banking and Finance
Downloads 785
46.

Constant Leverage Modeling: A Reply to 'A Tutorial on the McKinsey Model for Valuation of Companies'

Number of pages: 19 Posted: 07 Jun 2006
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation and Duke University - Duke Center for International Development in the Sanford School of Public Policy
Downloads 772
47.

Methodological Thoughts on Expected Loss Estimation for IFRS 9 Impairment: Hidden Reserves, Cyclical Loss Predictions and LGD Backtesting

Published in Credit Technology by Serasa Experian, No 92, p 7-29, on Sept 1, 2015 (in English and Portuguese with local market additions by Carlos Antonio Campos Nogueira).
Number of pages: 31 Posted: 11 Aug 2015 Last Revised: 12 Jan 2016
Accepted Paper Series
UniCredit S.p.A.
Downloads 771
48.

Learning and Asset Prices under Ambiguous Information

University of St.Gallen Economics Discussion Paper No. 2005-03
Number of pages: 66 Posted: 23 Sep 2004
Working Paper Series
University of Basel, University of Zurich - Department of Banking and Finance and University of Geneva

Multiple version iconThere are 2 versions of this paper

Downloads 753
49.

Managing Sovereign Credit Risk in Bond Portfolios

Number of pages: 27 Posted: 09 Nov 2011 Last Revised: 23 Feb 2012
Working Paper Series
Lyxor Asset Management, affiliation not provided to SSRN and Amundi Asset Management
Downloads 734
50.

Stochastic Volatility I: Heston Model: Analytics

Number of pages: 59 Posted: 28 Mar 2010 Last Revised: 21 Dec 2013
Working Paper Series
University of Basel and Vienna University of Economics and Business
Downloads 733