SSRN JEL Code: C65

1.

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

Number of pages: 18 Posted: 14 Dec 2006

Working Paper Series

Joachim Zietz

EBS University, EBS Business School

Downloads 3,069

2.

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

Marc Chesney and Luca Taschini

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

3.

Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation

Number of pages: 19 Posted: 19 May 2008 Last Revised: 05 Oct 2008

Working Paper Series

Damiano Brigo and Kyriakos Chourdakis

Imperial College London - Department of Mathematics and FitchSolutions

There are 2 versions of this paper

Downloads 1,184

4.

Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps

Number of pages: 32 Posted: 19 Dec 2008 Last Revised: 19 Nov 2009

Working Paper Series

Damiano Brigo and Agostino Capponi

Imperial College London - Department of Mathematics and Columbia University

Downloads 1,117

5.

A Gentle Introduction to Value at Risk

Number of pages: 86 Posted: 28 Mar 2017

Working Paper Series

Laura Ballotta and Gianluca Fusai

Sir John Cass Business School - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa

Downloads 1,082

6.

Network Externalities and Real Option Evaluation

THE ECONOMICS OF ONLINE MARKET AND ICT NETWORKS, R. Cooper, G. Madden, A. Lloyd and M. Schipp, eds., Physica-Verlag, May 2006

Number of pages: 16 Posted: 13 Feb 2011

Accepted Paper Series

Jean-Michel Sahut and Nadine Bellamy

IPAG Business School and Université d'Évry - Equipe d'Analyse et Probabilites

Downloads 1,051

7.

A Gentle Introduction to Default Risk and Counterparty Credit Modelling

Number of pages: 57 Posted: 01 Aug 2016

Working Paper Series

Laura Ballotta, Gianluca Fusai and Marina Marena

Sir John Cass Business School - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Eastern Piedmont

Downloads 1,024

8.

Asymptotic Expansions of the Lognormal Implied Volatility: A Model Free Approach

Number of pages: 18 Posted: 29 Nov 2011 Last Revised: 06 Dec 2011

Working Paper Series

Cyril Grunspan

Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)

Downloads 987

9.

Fast Fourier Transform and Option Pricing

Cass Business School Research Paper

Number of pages: 7 Posted: 28 Feb 2008

Working Paper Series

Aleš Černý

Cass Business School, City, University of London

Downloads 860

10.

A Note on the Equivalence between the Normal and the Lognormal Implied Volatility: A Model Free Approach

Number of pages: 11 Posted: 25 Jul 2011 Last Revised: 29 Nov 2011

Working Paper Series

Cyril Grunspan

Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)

Downloads 844

11.

Unraveling Hedge Fund Returns: An Introduction to Independent Component Analysis as an Analytical Tool

Number of pages: 29 Posted: 22 Feb 2006

Working Paper Series

Jan Olszewski

Perella Weinberg Partners

Downloads 813

12.

Centrality Measures in Networks

Number of pages: 36 Posted: 19 Mar 2016 Last Revised: 18 Jun 2017

Working Paper Series

Francis Bloch, Matthew O. Jackson and Pietro Tebaldi

French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM), Stanford University - Department of Economics and University of Chicago - Department of Economics

Downloads 808

13.

Consistent Pricing of Options on Leveraged ETFs

Number of pages: 43 Posted: 21 Sep 2012 Last Revised: 22 Oct 2014

Working Paper Series

Andrew Ahn, Martin Haugh and Ashish Jain

Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Independent

Downloads 684

14.

Ambiguity and Overconfidence

Number of pages: 49 Posted: 02 Mar 2011 Last Revised: 01 Aug 2015

Working Paper Series

Menachem Brenner, Yehuda (Yud) Izhakian and Orly Sade

New York University (NYU) - Department of Finance, City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance and Hebrew University of Jerusalem - Department of Finance

There are 2 versions of this paper

Downloads 640

15.

An Intuitive Guide to Wavelets for Economists

Bank of Finland Research Discussion Paper No. 1/2005

Number of pages: 71 Posted: 30 Aug 2005

Working Paper Series

Patrick M. Crowley

Texas A&M University - Corpus Christi

Downloads 640

16.

Counterparty Risk Valuation for Energy-Commodities Swaps: Impact of Volatilities and Correlation

Number of pages: 21 Posted: 24 Jun 2008

Working Paper Series

Damiano Brigo, Kyriakos Chourdakis and Imane Bakkar

Imperial College London - Department of Mathematics, FitchSolutions and Fitch Ratings Inc. - FitchSolutions

Downloads 637

17.

A General Option Valuation Approach to Discount for Lack of Marketability

Number of pages: 32 Posted: 15 Jan 2014 Last Revised: 08 Nov 2014

Working Paper Series

Robert Brooks

University of Alabama - Department of Economics, Finance and Legal Studies

Downloads 545

18.

Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations

Number of pages: 23 Posted: 17 Nov 2009 Last Revised: 04 Feb 2010

Working Paper Series

Damiano Brigo, Andrea Pallavicini and Vasileios Papatheodorou

Imperial College London - Department of Mathematics, Banca IMI and Barclays Capital

Downloads 516

19.

The Action Principle in Market Mechanics

Texas A&M University School of Law Legal Studies Research Paper No. 17-13

Number of pages: 20 Posted: 30 Jan 2017 Last Revised: 19 Aug 2017

Working Paper Series

Jack Manhire

Texas A&M University School of Law

Downloads 516

20.

Parameters for Estimation of Entropy to Study Price Manipulation in Stock Market

10th Capital Markets Conference, Indian Institute of Capital Markets Paper

Number of pages: 19 Posted: 09 Feb 2007

Working Paper Series

Y. V. Reddy and A. Sebastin

Goa University - Department of Commerce and National Stock Exchange of India

Downloads 487

21.

Factor Risk Parity with Portfolio Weight Constraints

Number of pages: 61 Posted: 08 Jun 2015 Last Revised: 08 Jan 2016

Working Paper Series

Marco Erling and Steffen Möllenhoff

BUW - Schumpeter School of Business and Economics and BUW - Schumpeter School of Business and Economics

Downloads 445

22.

Shadow Probability Theory for Asset Pricing under Ambiguity

Number of pages: 58 Posted: 03 Oct 2011 Last Revised: 05 Oct 2011

Working Paper Series

Yehuda (Yud) Izhakian

City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance

Downloads 442

23.

Gambling for Quants, Part 1: A Simple Fractional Betting System

Number of pages: 19 Posted: 10 Feb 2017

Working Paper Series

Steven Douglas Moffitt

Stuart School of Business, Illinois Institute of Technology

Downloads 430

24.

Decision Making in Phantom Spaces

Number of pages: 39 Posted: 24 Oct 2011 Last Revised: 05 Mar 2012

Working Paper Series

Yehuda (Yud) Izhakian and Zur Izhakian

City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance and Bar-Ilan University

Downloads 405

25.

A Concise Guide to Dynamic Optimization

Number of pages: 43 Posted: 16 Oct 2011 Last Revised: 27 Nov 2016

Working Paper Series

Winston W. Chang

State University of New York at Buffalo - Department of Economics

Downloads 393

26.

Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model

Number of pages: 22 Posted: 08 Dec 2006

Working Paper Series

Damiano Brigo and Naoufel El-Bachir

Imperial College London - Department of Mathematics and University of Reading - ICMA Centre

Downloads 360

27.

Convexity Adjustments for ATS Models

ISEG Advance Working Paper No. 9/2008

Number of pages: 25 Posted: 05 May 2009 Last Revised: 18 Mar 2016

Working Paper Series

Raquel M. Gaspar and Agatha Murgoci

ISEG and Cemapre, Universidade de Lisboa and University of Aarhus - School of Business and Social Sciences

Downloads 356

28.

Risk Management with Expectiles

Number of pages: 22 Posted: 05 Aug 2014 Last Revised: 21 Dec 2014

Working Paper Series

Fabio Bellini and Elena Di Bernardino

University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Conservatoire National des Arts et Métiers (CNAM)

Downloads 329

29.

A Confidence Representation Theorem for Ambiguous Sources with Applications to Financial Markets and Trade Algorithm

Proceedings of Foundations and Applications of Utility, Risk and Decision Theory (FUR) XV. Forthcoming

Number of pages: 51 Posted: 01 May 2012 Last Revised: 14 May 2012

Accepted Paper Series

G. Charles-Cadogan

Ryerson University - Ted Rogers School of Management, Institute for Innovation and Technology Management

Downloads 326

30.

The Environment and Directed Technical Change

FEEM Working Paper No. 93.2010

Number of pages: 60 Posted: 31 Aug 2010

Working Paper Series

Daron Acemoglu, Philippe Aghion, Leonardo Bursztyn and David Hémous

Massachusetts Institute of Technology (MIT) - Department of Economics, College de France and London School of Economics and Political Science, Fellow, Harvard University - Department of Economics and INSEAD

There are 3 versions of this paper

Downloads 322

31.

Monte Carlo Algorithms for Optimal Stopping and Statistical Learning - Convergence Rates and Sample Complexity

Number of pages: 21 Posted: 15 Oct 2003

Working Paper Series

Daniel Egloff

QuantAlea GmbH

Downloads 318

32.

Detecting Abnormal Trading Activities in Option Markets: Supplemental Appendix

Swiss Finance Institute Research Paper No. 11-38

Number of pages: 59 Posted: 22 Sep 2011 Last Revised: 01 Apr 2015

Working Paper Series

Marc Chesney, Remo Crameri and Loriano Mancini

University of Zurich - Swiss Banking Institute (ISB), University of Zurich - Swiss Banking Institute (ISB) and Ecole Polytechnique Fédérale de Lausanne

Downloads 290

33.

Pricing CO2 Permits Using Approximation Approaches

Number of pages: 24 Posted: 23 Dec 2009

Working Paper Series

Georg Gruell and Ruediger Kiesel

University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science

Downloads 288

34.

Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk

Mathematical Finance. Forthcoming

Number of pages: 39 Posted: 20 Oct 2013 Last Revised: 14 Feb 2014

Accepted Paper Series

Lijun Bo and Agostino Capponi

Xidian University and Columbia University

There are 2 versions of this paper

Downloads 277

35.

Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades

Number of pages: 19 Posted: 17 Sep 2010

Working Paper Series

Chris Kenyon

Lloyds Banking Group

Downloads 274

36.

The Log-Linear Return Approximation, Bubbles, and Predictability

Journal of Financial and Quantitative Analysis, Vol. 47, Nr. 3, 2012, s. 643-665.

Number of pages: 42 Posted: 09 Aug 2010 Last Revised: 28 Feb 2013

Working Paper Series

Tom Engsted, Thomas Quistgaard Pedersen and Carsten Tanggaard

University of Aarhus - CREATES, University of Aarhus - CREATES and affiliation not provided to SSRN

Downloads 272

37.

Representation Theory for Risk on Markowitz-Tversky-Kahneman Topology

Number of pages: 27 Posted: 11 Jun 2012 Last Revised: 12 Jun 2012

Working Paper Series

G. Charles-Cadogan

Ryerson University - Ted Rogers School of Management, Institute for Innovation and Technology Management

Downloads 271

38.

Risk, Ambiguity, and the Exercise of Employee Stock Options

Number of pages: 44 Posted: 10 Mar 2014 Last Revised: 18 May 2016

Working Paper Series

Yehuda (Yud) Izhakian and David Yermack

City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance and New York University (NYU) - Stern School of Business

There are 2 versions of this paper

Downloads 258

39.

Credit Risk in a Network Economy

FAME Working Paper No. 106

Number of pages: 37 Posted: 28 Jun 2004

Working Paper Series

Henri O. Schellhorn and Didier Cossin

affiliation not provided to SSRN and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Downloads 248

40.

A General Approach to Compute Standard Risk Measures

International Conference of the French Finance Association (AFFI), May 2011

Number of pages: 20 Posted: 07 May 2011 Last Revised: 15 Nov 2012

Accepted Paper Series

Abdou Kélani and Francois Quittard-Pinon

CEFRA, EMLYON Business School and EMLYON Business School

Downloads 246

41.

A Unified Approach to Algorithms Generating Unrestricted and Restricted Integer Compositions and Integer Partitions

Journal of Mathematical Modelling and Algorithms

Number of pages: 36 Posted: 18 Aug 2008 Last Revised: 31 Jan 2011

Accepted Paper Series

J.D. Opdyke

DataMineit, LLC; GE Capital

Downloads 243

42.

A Proof Without Words and a Maximum Without Calculus

CEIS Working Paper No. 316

Number of pages: 22 Posted: 25 May 2014 Last Revised: 05 Aug 2014

Working Paper Series

Eloisa Campioni and Luca Panaccione

University of Rome Tor Vergata - Dept. of Economics and Finance and University of Rome, Tor Vergata

Downloads 234

43.

Constant and Variable Returns to Scale DEA Models for Socially Responsible Investment Funds

Ca’ Foscari University of Venice Department of Economics Working Paper No. 20/WP/2012,

Number of pages: 26 Posted: 03 Oct 2012

Working Paper Series

Antonella Basso and Stefania Funari

Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Department of Management

Downloads 233

44.

Pricing Interest Rate Derivatives Under Different Interest Rate Modeling: A Critical and Empirical Comparison

Investment Management and Financial Innovations, Vol. 7, No. 2, 2010

Number of pages: 10 Posted: 04 Feb 2011

Accepted Paper Series

Antonio De Simone

University of Naples Federico II - Faculty of Economics

Downloads 227

45.

Credit Risk Modeling with Misreporting and Incomplete Information

International Journal of Theoretical and Applied Finance, Vol. 12, 2009

Number of pages: 29 Posted: 19 Dec 2008 Last Revised: 08 Feb 2009

Accepted Paper Series

Agostino Capponi and Jaksa Cvitanic

Columbia University and California Institute of Technology - Division of the Humanities and Social Sciences

There are 2 versions of this paper

Downloads 226

46.

Estimation and Calibration of a Dynamic Variance Gamma Model Using Vix Data

Number of pages: 16 Posted: 22 Oct 2010

Working Paper Series

Lorenzo Mercuri

University of Milan

Downloads 226

47.

Ambiguity and the Tradeoff Theory of Capital Structure

Number of pages: 43 Posted: 21 Nov 2016 Last Revised: 20 May 2017

Working Paper Series

Yehuda (Yud) Izhakian, David Yermack and Jaime F. Zender

City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance, New York University (NYU) - Stern School of Business and University of Colorado at Boulder - Department of Finance

Downloads 224

48.

Initial Public Offerings Under Ambiguity

Number of pages: 43 Posted: 20 Mar 2014 Last Revised: 19 Dec 2014

Working Paper Series

Yehuda (Yud) Izhakian and Jaime F. Zender

City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance and University of Colorado at Boulder - Department of Finance

Downloads 224

49.

Decomposing the Co-Movement of the Business Cycle: A Time-Frequency Analysis of Growth Cycles in the Euro Area

Bank of Finland Research Discussion Paper No. 12/2005

Number of pages: 72 Posted: 29 Dec 2005

Working Paper Series

Patrick M. Crowley and Jim Lee

Texas A&M University - Corpus Christi and Texas A&M University - Department of Finance, Economics, & Decision Sciences

Downloads 219

50.

The Lexicographic Method in Preference Theory

Number of pages: 34 Posted: 21 Dec 2012 Last Revised: 24 Jan 2017

Working Paper Series

Michael Mandler

University of London, Royal Holloway College - Department of Economics

Downloads 218

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