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JEL Code: C63

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Viewing: 1 - 50 of 2,441 papers

1.

Efficient Simulation of the Heston Stochastic Volatility Model

Number of pages: 38 Posted: 22 Nov 2006
Working Paper Series
Bank of America Merrill Lynch
Downloads 8,885
2.

Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals

Number of pages: 75 Posted: 27 Dec 2007
Working Paper Series
Bloomberg L.P.
Downloads 5,360
3.

Real Options Valuation: A Monte Carlo Approach

Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 71 Posted: 06 Mar 2002
Working Paper Series
University of Warwick - Finance Group
Downloads 4,888
4.

Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing

Number of pages: 45 Posted: 11 Aug 1999
Working Paper Series
Bank of America Merrill Lynch and Danske Bank - Danske Markets
Downloads 4,723
5.

Buy Low Sell High: A High Frequency Trading Perspective

Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.,
Number of pages: 37 Posted: 26 Nov 2011 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 4,219
6.

Automated Trading with Boosting and Expert Weighting

Quantitative Finance, Vol. 4, No. 10, pp. 401–420 ,
Number of pages: 18 Posted: 17 Oct 2006 Last Revised: 20 Feb 2013
Accepted Paper Series
Stevens Institute of Technology and University of California, San Diego
Downloads 3,782
7.

Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach

Rapport Interne CMAP Working Paper No. 490
Number of pages: 39 Posted: 22 Nov 2002
Working Paper Series
Imperial College London and Ecole Polytechnique, Paris
Downloads 3,736
8.

Markov Models for Commodity Futures: Theory and Practice

Number of pages: 45 Posted: 30 May 2008 Last Revised: 30 Dec 2008
Working Paper Series
Bank of America Merrill Lynch
Downloads 3,729
9.

The Irony in the Derivatives Discounting Part II: The Crisis

Number of pages: 12 Posted: 14 Jul 2009 Last Revised: 19 Dec 2009
Working Paper Series
OpenGamma

Multiple version iconThere are 2 versions of this paper

Downloads 3,699
10.

Introduction to Fast Fourier Transform in Finance

Cass Business School Research Paper
Number of pages: 29 Posted: 29 Jun 2004
Working Paper Series
Cass Business School, City, University of London
Downloads 3,519
11.

Analysis of Mortgage Backed Securities: Before and after the Credit Crisis

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42 Posted: 07 Jan 2007 Last Revised: 16 Mar 2011
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,410
12.

The Irony in the Derivatives Discounting

Number of pages: 10 Posted: 14 Mar 2007
Working Paper Series
OpenGamma

Multiple version iconThere are 2 versions of this paper

Downloads 3,209
13.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads 3,204
14.

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
15.

Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs

C. Burgard and M. Kjaer. Partial differential equation representations of derivatives with counterparty risk and funding costs. The Journal of Credit Risk, Vol. 7, No. 3, 1-19, 2011.
Number of pages: 19 Posted: 13 May 2010 Last Revised: 07 Aug 2014
Accepted Paper Series
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 2,913
16.

Reproduction of Hierarchy? A Social Network Analysis of the American Law Professoriate

Journal of Legal Education, Vol. 61, No. 1, August 2011 , CELS 2009 4th Annual Conference on Empirical Legal Studies Paper
Number of pages: 28 Posted: 09 Mar 2009 Last Revised: 26 May 2011
Accepted Paper Series
Illinois Tech - Chicago Kent College of Law, Brigham Young University - Department of Political Science, University of Michigan at Ann Arbor - Center for Study of Complex Systems, LexPredict, LLC, University of Michigan - Department of Political Science and Childrens Hospital of Philadelphia
Downloads 2,833
17.

Local Stochastic Volatility Models: Calibration and Pricing

Number of pages: 57 Posted: 11 Jun 2014 Last Revised: 15 Jul 2014
Working Paper Series
Independent
Downloads 2,824
18.

Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk

EFMA 2002 London Meetings; ISMA Centre Finance Discussion Paper No. 2001 Series, No. 2001-14
Number of pages: 58 Posted: 19 Dec 2001
Working Paper Series
University of Reading - ICMA Centre
Downloads 2,747
19.

Closed-Form Approximations for Spread Option Prices and Greeks

Number of pages: 39 Posted: 20 Dec 2006 Last Revised: 08 Jun 2010
Working Paper Series
Bloomberg LP, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology

Multiple version iconThere are 2 versions of this paper

Downloads 2,733
20.

A Boosting Approach for Automated Trading

Journal of Trading, Vol. 2, No. 3, pp. 84-96.
Number of pages: 10 Posted: 17 Oct 2006 Last Revised: 20 Feb 2013
Accepted Paper Series
Stevens Institute of Technology and University of California, San Diego
Downloads 2,725
21.

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
22.

Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market

QUT School of Economics and Finance Discussion Paper No. 01-01
Number of pages: 46 Posted: 08 May 2001
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads 2,601
23.

An Agent-Based Model of the Flash Crash of May 6, 2010, with Policy Implications

Number of pages: 39 Posted: 07 Oct 2013 Last Revised: 27 Feb 2014
Working Paper Series
Triangle Intelligence and University of Cambridge
Downloads 2,556
24.

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
26.

You Don't Have to Bother Newton for Implied Volatility

Number of pages: 28 Posted: 20 Dec 2006
Working Paper Series
Bloomberg LP
Downloads 2,218
27.

Implied Volatility Surface: Construction Methodologies and Characteristics

Number of pages: 38 Posted: 10 Jul 2011
Working Paper Series
Independent
Downloads 2,214
28.

No-Arbitrage Dynamics for a Tractable SABR Term Structure Libor Model

Bloomberg Portfolio Research Paper No. 2010-03-FRONTIERS
Number of pages: 20 Posted: 02 Oct 2007 Last Revised: 22 Jun 2016
Working Paper Series
Banca IMI and Bloomberg L.P.
Downloads 2,212
29.

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Tinbergen Institute Discussion Paper No. 06-046/4
Number of pages: 30 Posted: 19 May 2006 Last Revised: 20 Mar 2008
Working Paper Series
Cardano Risk Management, Credit Suisse and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 2,172
30.

The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing

Applied Mathematical Finance, Vol. 19, No. 5, 2012, Swiss Finance Institute Research Paper No. 08-02, EFA 2008 Athens Meetings Paper
Number of pages: 34 Posted: 04 Feb 2008 Last Revised: 12 Oct 2013
Accepted Paper Series
University of Zurich - Swiss Banking Institute (ISB) and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
Downloads 2,074
31.

Bermudan Swaptions in the LIBOR Market Model

Number of pages: 33 Posted: 26 Jul 1999
Working Paper Series
SimCorp - Financial Research Department
Downloads 2,019
32.

CDS Rate Construction Methods by Machine Learning Techniques

Number of pages: 51 Posted: 15 May 2017
Working Paper Series
University of Reims Champagne-Ardenne and Standard Chartered Bank, London
Downloads 1,998
33.

An Empirical Comparison of Convertible Bond Valuation Models

Number of pages: 54 Posted: 25 Jun 2007 Last Revised: 18 Oct 2009
Working Paper Series
Carleton University, Simon Fraser University (SFU) - Department of Economics and Monash University
Downloads 1,976
34.

Uncovering Trend Rules

Number of pages: 17 Posted: 12 May 2015
Working Paper Series
Robeco Asset Management and Robeco Asset Management, Quantitative Investment Research
Downloads 1,876
35.

Cash-Settled Swaptions: How Wrong are We?

Number of pages: 15 Posted: 07 Nov 2010 Last Revised: 12 Mar 2011
Working Paper Series
OpenGamma
Downloads 1,869
36.

Technical Analysis with a Long Term Perspective: Trading Strategies and Market Timing Ability

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 43 Posted: 09 May 2011 Last Revised: 12 Aug 2011
Working Paper Series
University of Fribourg - Faculty of Economics and Social Science and University of Fribourg - Faculty of Economics and Social Science
Downloads 1,839
37.

Systemic Risk in Financial Networks

Number of pages: 29 Posted: 24 Sep 1999
Working Paper Series
New Jersey Institute of Technology and University of Oxford - Said Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,837
38.

A Monte Carlo Method for Optimal Portfolios

Number of pages: 52 Posted: 16 Nov 2000
Working Paper Series
Boston University - Department of Finance & Economics, Université de Montréal - CIREQ - Département de sciences économiques and Questrom School of Business, Boston University

Multiple version iconThere are 2 versions of this paper

Downloads 1,792
39.

Trend Filtering Methods for Momentum Strategies

Number of pages: 49 Posted: 07 Jul 2013
Working Paper Series
Lyxor Asset Management, Capital Fund Management, Lyxor Asset Management and Amundi Asset Management
Downloads 1,782
40.

Fourier Space Time-Stepping for Option Pricing With Levy Models

Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Number of pages: 30 Posted: 10 Oct 2007 Last Revised: 01 Jul 2009
Working Paper Series
University of Toronto - Department of Computer Science, University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 1,630
41.

Network Neutrality on the Internet: A Two-Sided Market Analysis

Information Economics and Policy, Vol. 24, 2012, NET Institute Working Paper No. 07-45, NYU Law and Economics Research Paper 07-40, NYU Working Paper No. 2451/26057
Number of pages: 15 Posted: 04 Oct 2007 Last Revised: 25 Oct 2012
Working Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics and Research Institute of Industrial Economics (IFN)

Multiple version iconThere are 3 versions of this paper

Downloads 1,625
42.

Arrow-Debreu Prices for Affine Models

Number of pages: 54 Posted: 26 Apr 1999
Working Paper Series
Goldman Sachs Group, Inc. - Quantitative Strategy Group and Salomon Smith Barney, Inc., U.S.
Downloads 1,605
43.

An Improved Estimator for Black-Scholes-Merton Implied Volatility

ERIM Report Series No. ERS-2004-054-F&A
Number of pages: 21 Posted: 23 Jul 2004
Working Paper Series
Robeco Asset Management, Quantitative Investment Research
Downloads 1,590
44.

Pricing Convertible Bonds with Monte Carlo Simulation

Number of pages: 33 Posted: 09 Mar 2005
Working Paper Series
Goethe University Frankfurt - Department of Finance and University of Basel
Downloads 1,557
45.

Option Pricing with Quadratic Volatility: A Revisit

Number of pages: 25 Posted: 10 Apr 2008 Last Revised: 14 Aug 2008
Working Paper Series
Bank of America Merrill Lynch
Downloads 1,534
46.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads 1,495
47.

Elementi di Teoria dei Contratti (Elements of Contract Theory)

Number of pages: 46 Posted: 24 Mar 2013 Last Revised: 07 Dec 2016
Working Paper Series
University of Rome
Downloads 1,467
48.

Return-Based Style Analysis with Time-Varying Exposures

Number of pages: 42 Posted: 28 Nov 2001
Working Paper Series
Erasmus University Rotterdam (EUR) and APG Asset Management, GTAA Fund

Multiple version iconThere are 2 versions of this paper

Downloads 1,442
49.

The Average-Marginal Relationship and Tractable Equilibrium Forms

Number of pages: 55 Posted: 30 Dec 2012 Last Revised: 27 Oct 2016
Working Paper Series
University of Tokyo - Graduate School of Economics and Microsoft Research
Downloads 1,442
50.

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