Search Results
JEL Code: C60

279,080 Total downloads

Viewing: 1 - 50 of 1,092 papers

1.

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 6,945
2.

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 4,644
3.

Moment Explosions in Stochastic Volatility Models

Number of pages: 32 Posted: 29 Jun 2004
Working Paper Series
Bank of America and NatWest Marketsaffiliation not provided to SSRN
Downloads 4,610
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 4,408
5.

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 4,101
6.

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 4,033
7.

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 3,969
8.

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, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Millennium Capital Management, France branch
Downloads 3,755
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 affiliation not provided to SSRN
Downloads 3,662
10.

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 3,496
11.

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 3,171
12.

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 3,115
13.

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 2,964
14.

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 2,928
15.

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, TOBAM and Unigestion
Downloads 2,889
16.

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 2,814
17.

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 2,390
18.

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 2,350
19.

A Short Remark on Feller’s Square Root Condition

Number of pages: 3 Posted: 07 Feb 2011
Working Paper Series
Independent
Downloads 2,343
20.

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 2,249
21.

Portfolio Insurance: A Short Introduction

Number of pages: 22 Posted: 11 Jun 2009 Last Revised: 11 Aug 2009
Working Paper Series
World Bank
Downloads 2,157
22.

High Performance American Option Pricing

Number of pages: 44 Posted: 11 Jan 2015 Last Revised: 06 May 2020
Working Paper Series
Bank of America, Bank of America Merrill Lynch and Strategist

Multiple version iconThere are 2 versions of this paper

Downloads 2,143
23.

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 2,116
24.

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 University of Hong Kong
Downloads 2,042
25.

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, University of Basel and University of Geneva
Downloads 2,017
26.

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 2,000
27.

Pricing Vanilla Options with Cash Dividends

Number of pages: 28 Posted: 23 Jul 2015
Working Paper Series
Volar Technologies LLCVola Dynamics LLC
Downloads 1,954
28.

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 1,926
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 1,694
30.

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 EHL Hospitality Business School
Downloads 1,624
31.

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 AlumnusNew York University, College of Arts and Sciences (Candidate)
Downloads 1,534
32.

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 1,515
33.

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 1,499
34.

Option Pricing in a Fractional Brownian Motion Environment

Number of pages: 19 Posted: 20 Oct 2008
Working Paper Series
Bucharest University of Economic Studies, Department of Money and Banking
Downloads 1,460
35.

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
Vinnitsia National Technical University (VNTU)Independent Research Group “Analytics in Economics and Security” and Vinnitsa National Technical University (VNTU)
Downloads 1,436
36.

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 1,387
37.

Cash-Settled Swaptions - A Review of Cash-Settled Swaption Pricing

Number of pages: 15 Posted: 14 Feb 2018
Working Paper Series
University of Oxford - Said Business School
Downloads 1,360
38.

Keep Up the Momentum

Number of pages: 16 Posted: 09 Jan 2018
Working Paper Series
Amundi Asset Management
Downloads 1,338
39.

Spreadsheet-Based Modeling for Teaching Finance and Accounting Courses

Number of pages: 28 Posted: 18 Mar 2003
Working Paper Series
Independent Credit View
Downloads 1,327
40.

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 1,324
41.

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 1,252
42.

Interest Rate Swaptions - A Review & Derivation of Swaption Pricing Formulae

Journal of Economics and Financial Analysis, Vol:2, No:2 (2018) 87-103
Number of pages: 15 Posted: 05 Jan 2018 Last Revised: 05 Feb 2022
Accepted Paper Series
University of Oxford - Said Business School
Downloads 1,250
43.

Regularization of Portfolio Allocation

Number of pages: 35 Posted: 21 Apr 2016
Working Paper Series
Lyxor Asset Management, Metori Capital Management, Eisler Capital and Amundi Asset Management
Downloads 1,165
44.

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 1,161
45.

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 1,158
46.

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 1,134
47.

FX Forward Invariance & Discounting with CSA Collateral

Number of pages: 3 Posted: 31 Jul 2017
Working Paper Series
University of Oxford - Said Business School
Downloads 1,129
48.

Discrete Local Volatility for Large Time Steps (Extended Version)

Number of pages: 34 Posted: 13 Aug 2015 Last Revised: 18 May 2020
Working Paper Series
JP Morgan and JP Morgan Chase
Downloads 1,125
49.

The Potential Approach to Bond and Currency Pricing

Number of pages: 37 Posted: 17 Apr 1999
Working Paper Series
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,125
50.

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 1,082