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JEL Code: C60

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Viewing: 1 - 50 of 753 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 7,077
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 4,149
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 3,958
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 3,186
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 3,074
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 2,833
7.

Thickness and Information in Dynamic Matching Markets

Number of pages: 57 Posted: 15 Feb 2014 Last Revised: 05 May 2017
Working Paper Series
Stanford University, Graduate School of Business, Harvard University - Society of Fellows and University of California, Berkeley
Downloads 2,763
8.

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 2,713
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
Downloads 2,690
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 2,687
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 2,648
12.

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 2,484
13.

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 2,445
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 2,374
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 1,909
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 1,888
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 1,861
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 1,705
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 1,614
20.

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 1,476
21.

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 1,469
22.

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 1,450
23.

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 1,450
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 1,328
25.

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 1,288
26.

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 1,244
27.

Spreadsheet-Based Modeling for Teaching Finance and Accounting Courses

Number of pages: 28 Posted: 18 Mar 2003
Working Paper Series
Independent Credit View
Downloads 1,219
28.

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 1,202
29.

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 1,193
30.

A Short Remark on Feller’s Square Root Condition

Number of pages: 3 Posted: 07 Feb 2011
Working Paper Series
Independent
Downloads 1,126
31.

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 1,119
32.

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 1,105
33.

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 1,098
34.

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 1,056
35.

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 1,028
36.

Partially Exact and Bounded Approximations for Arithmetic Asian Options

Number of pages: 48 Posted: 25 Mar 2005
Working Paper Series
Cardano Risk Management
Downloads 984
37.

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 983
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 936
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 928
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 900
41.

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 878
42.

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 867
43.

Portfolio Optimization with Respect to Risk Diversification

Number of pages: 7 Posted: 16 Nov 2008
Working Paper Series
HQ Trust GmbH
Downloads 860
44.

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 842
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 839
46.

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 825
47.

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 778
48.

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), Students, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Capital Fund Management
Downloads 774
49.

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 756
50.

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 756