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JEL Code: C60

220,340 Total downloads

Viewing: 1 - 50 of 930 papers

1.

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 4,385
2.

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 4,065
3.

Thickness and Information in Dynamic Matching Markets

Number of pages: 63 Posted: 15 Feb 2014 Last Revised: 09 Jan 2019
Working Paper Series
Stanford University, Harvard University - Society of Fellows and University of California, Berkeley
Downloads 3,762
4.

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 3,755
5.

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 3,739
6.

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 3,443
7.

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 affiliation not provided to SSRN
Downloads 3,418
8.

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 3,219
9.

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 Business School
Downloads 2,930
10.

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 2,861
11.

Generalized Risk-Based Investing

Number of pages: 43 Posted: 24 Jan 2013 Last Revised: 20 Apr 2013
Working Paper Series
Glion Institute of Higher Education, Lombard Odier & Cie and Unigestion
Downloads 2,736
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 2,673
13.

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 2,636
14.

Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

Number of pages: 102 Posted: 09 Oct 2017
Working Paper Series
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Millennium Capital Management, France branch
Downloads 2,363
15.

Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR

Number of pages: 25 Posted: 05 Mar 2019 Last Revised: 13 Feb 2020
Working Paper Series
Quantitative Risk Management, Inc. and Bloomberg L.P.
Downloads 2,113
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 2,037
17.

An Explicit Implied Volatility Formula

International Journal of Theoretical and Applied Finance, Vol. 20, no. 7, 2017
Number of pages: 24 Posted: 01 Feb 2017 Last Revised: 25 Jul 2018
Working Paper Series
Baruch College, City University of New York and CUNY Baruch College
Downloads 2,002
18.

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 Ecole Polytechnique
Downloads 1,997
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 1,997
20.

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 Swiss Finance Institute
Downloads 1,991
21.

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 affiliation not provided to SSRN
Downloads 1,973
22.

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

Number of pages: 41 Posted: 19 Oct 2009
Working Paper Series
Lloyds Banking Group
Downloads 1,848
23.

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 1,791
24.

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 1,723
25.

A Short Remark on Feller’s Square Root Condition

Number of pages: 3 Posted: 07 Feb 2011
Working Paper Series
Independent
Downloads 1,715
26.

Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting

Number of pages: 15 Posted: 20 Jun 2018
Working Paper Series
RiskConcile, University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 1,577
27.

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 1,536
28.

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 1,497
29.

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
Imperial College London, Eisler Capital and Amundi Asset Management
Downloads 1,492
30.

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 1,477
31.

High Performance American Option Pricing

Number of pages: 44 Posted: 11 Jan 2015 Last Revised: 06 May 2020
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 1,470
32.

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
Independent Research Group “Analytics in Economics and Security” and Vinnitsa National Technical University (VNTU)
Downloads 1,412
33.

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 DePaul University

Multiple version iconThere are 3 versions of this paper

Downloads 1,300
34.

Spreadsheet-Based Modeling for Teaching Finance and Accounting Courses

Number of pages: 28 Posted: 18 Mar 2003
Working Paper Series
Independent Credit View
Downloads 1,265
35.

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

Number of pages: 34 Posted: 08 May 2009
Working Paper Series
University of Wuppertal - Applied Mathematics and UC Berkeley, Department of Mathematics
Downloads 1,263
36.

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

Number of pages: 21 Posted: 09 Aug 2005
Working Paper Series
Natixis - Paris, France
Downloads 1,239
37.

Pricing Vanilla Options with Cash Dividends

Number of pages: 28 Posted: 23 Jul 2015
Working Paper Series
Vola Dynamics LLC
Downloads 1,215
38.

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 1,197
39.

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 1,121
40.

Criticism of the Black-Scholes Model: But Why is It Still Used?: (The Answer is Simpler than the Formula)

Number of pages: 11 Posted: 22 Jul 2012 Last Revised: 23 Mar 2015
Working Paper Series
State University of New York, Empire State College Alumnus
Downloads 1,084
41.

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
Erste Group Bank AG
Downloads 1,079
42.

Equilibrium Impact of Value-at-Risk Regulation

Number of pages: 64 Posted: 14 Nov 2002
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Basel and Swiss Finance Institute
Downloads 1,069
43.

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 1,069
44.

Keep Up the Momentum

Number of pages: 16 Posted: 09 Jan 2018
Working Paper Series
Amundi Asset Management
Downloads 1,068
45.

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 1,040
46.

Partially Exact and Bounded Approximations for Arithmetic Asian Options

Number of pages: 48 Posted: 25 Mar 2005
Working Paper Series
Cardano Risk Management
Downloads 1,016
47.

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 DePaul University

Multiple version iconThere are 3 versions of this paper

Downloads 993
48.

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) - Finance Discipline Group, Business School and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 985
49.

Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia

Number of pages: 48 Posted: 23 Sep 2016
Working Paper Series
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads 976
50.

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 Business School
Downloads 948