1.
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
2.
Centrality Measures in Networks
Number of pages: 44
Posted: 19 Mar 2016
Last Revised: 10 Aug 2021
Working Paper Series
University of Angers - Research Group in Quantitative Saving (GREQAM)National Center for Scientific Research (CNRS), Stanford University - Department of Economics and University of Chicago - Department of Economics
Downloads
2,600
3.
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 - Department of Banking and Finance and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
Downloads
2,138
4.
A Gentle Introduction to Value at Risk
Number of pages: 86
Posted: 28 Mar 2017
Working Paper Series
Bayes Business School (formerly Cass) - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads
1,989
5.
A Gentle Introduction to Default Risk and Counterparty Credit Modelling
Number of pages: 57
Posted: 01 Aug 2016
Working Paper Series
Bayes Business School (formerly Cass) - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Eastern Piedmont
Downloads
1,861
6.
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
7.
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
Imperial College London - Department of Mathematics and FitchSolutions
There are 2 versions of this paper
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
Downloads
1,347
Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation
International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 1007-1026, 2009
Posted: 01 Dec 2009
Downloads
1,347
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
Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)
Downloads
1,329
9.
Martingale Measures & Change of Measure Explained
Number of pages: 16
Posted: 01 May 2017
Working Paper Series
University of Oxford - Said Business School
Downloads
1,288
10.
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
11.
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
Imperial College London - Department of Mathematics and Columbia University
Downloads
1,208
12.
Expectation and Optimal f : Expected Growth with and without Reinvestment for Discretely-Distributed Outcomes of Finite Length
Number of pages: 23
Posted: 15 Mar 2015
Last Revised: 08 Feb 2019
Working Paper Series
Vince Strategies LLC
Downloads
1,160
13.
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
14.
Typology and Literature Review on Multiple Supplier Inventory Control Models
Svoboda, J., Minner, S., Yao, M. (2021), Typology and Literature Review on Multiple Supplier Inventory Control Models, European Journal of Operational Research 293(1):1-23, doi: 10.1016/j.ejor.2020.11.023
Number of pages: 45
Posted: 30 Jun 2017
Last Revised: 07 Jun 2021
Working Paper Series
Technische Universität München (TUM) - TUM School of Management, Technische Universität München (TUM) - TUM School of Management and Technische Universität München (TUM)
Downloads
1,128
15.
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
IDRAC Business School and Université d'Évry - Equipe d'Analyse et Probabilites
Downloads
1,070
16.
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
Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)
Downloads
1,014
17.
A Review of the Vasicek & Hull-White Models & the Likelihood of Negative Rates
Number of pages: 13
Posted: 14 Feb 2018
Last Revised: 19 Nov 2018
Working Paper Series
University of Oxford - Said Business School
Downloads
946
18.
Fast Fourier Transform and Option Pricing
Preprint
Number of pages: 7
Posted: 28 Feb 2008
Last Revised: 22 Jun 2020
Working Paper Series
Bayes Business School, City, University of London
Downloads
934
19.
Consistent Pricing of Options on Leveraged ETFs
Number of pages: 43
Posted: 21 Sep 2012
Last Revised: 22 Oct 2014
Working Paper Series
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Imperial College Business School and Independent
Downloads
890
20.
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
Texas A&M University - Corpus Christi
Downloads
883
21.
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
Perella Weinberg Partners
Downloads
869
22.
Ambiguity, Volatility, and Credit Risk
Review of Financial Studies, Forthcoming
Number of pages: 86
Posted: 07 May 2016
Last Revised: 19 Apr 2019
Accepted Paper Series
McGill UniversityMcGill University, Desautels Faculty of Management and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads
858
23.
Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry
Number of pages: 39
Posted: 14 Jan 2021
Last Revised: 27 Dec 2021
Working Paper Series
Fidelity Investments, Inc.
Downloads
819
24.
Verification Dilemmas in Law and the Promise of Zero-Knowledge Proofs
Berkeley Technology Law Journal, Vol. 37, No. 1, 2022
Number of pages: 66
Posted: 18 Feb 2021
Last Revised: 10 Jan 2022
Accepted Paper Series
University of California, Berkeley - School of Law, Boston University, Department of Computer Science, University of California, Berkeley - Simons Institute for the Theory of Computing, University of California, Berkeley, School of Law and University of California, Berkeley - School of Law
Downloads
751
25.
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
University of Alabama - Department of Economics, Finance and Legal Studies
Downloads
728
26.
Factor Risk Parity with Portfolio Weight Constraints
Number of pages: 61
Posted: 08 Jun 2015
Last Revised: 08 Jan 2016
Working Paper Series
BUW - Schumpeter School of Business and Economics and BUW - Schumpeter School of Business and Economics
Downloads
727
27.
Ambiguity and Overconfidence
Number of pages: 49
Posted: 02 Mar 2011
Last Revised: 01 Aug 2015
Working Paper Series
New York University (NYU) - Department of Finance, City University of New York, 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
Ambiguity and Overconfidence
Number of pages: 49
Posted: 02 Mar 2011
Last Revised: 01 Aug 2015
Downloads
697
Downloads
697
28.
Counterparty Risk Valuation for Energy-Commodities Swaps: Impact of Volatilities and Correlation
Number of pages: 21
Posted: 24 Jun 2008
Working Paper Series
Imperial College London - Department of Mathematics, FitchSolutions and Fitch Ratings Inc. - FitchSolutions
Downloads
696
29.
A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets
133 Acta Physica Polonica A 1408 (2018)
Number of pages: 21
Posted: 30 Jan 2017
Last Revised: 04 Aug 2018
Accepted Paper Series
Texas A&M University School of Innovation
Downloads
683
30.
Ambiguity and the Tradeoff Theory of Capital Structure
Management Science
Number of pages: 69
Posted: 21 Nov 2016
Last Revised: 08 Mar 2021
Accepted Paper Series
City University of New York, 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
682
31.
Cyberbullying: A Study of Causes, Implications and Mitigation
Number of pages: 52
Posted: 24 Aug 2016
Last Revised: 25 Aug 2016
Working Paper Series
Dhirubhai Ambani International School, Students and Massachusetts Institute of Technology (MIT)
Downloads
666
32.
'Quantum Equilibrium-Disequilibrium': Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons
Number of pages: 51
Posted: 15 Aug 2018
Last Revised: 29 May 2019
Working Paper Series
Fidelity Investments, Inc. and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads
648
33.
A Review of the Generalized Black-Scholes Formula & It’s Application to Different Underlying Assets
Number of pages: 12
Posted: 23 Aug 2017
Last Revised: 15 Feb 2018
Working Paper Series
University of Oxford - Said Business School
Downloads
629
34.
A Concise Guide to Dynamic Optimization
Number of pages: 43
Posted: 16 Oct 2011
Last Revised: 27 Nov 2016
Working Paper Series
University at Buffalo - Department of Economics
Downloads
617
35.
Gambling for Quants, Part 1: A Simple Fractional Betting System
Number of pages: 19
Posted: 10 Feb 2017
Working Paper Series
Stuart School of Business, Illinois Institute of Technology
Downloads
616
36.
A Novel Causal Risk-Based Decision-Making Methodology: The Case of Coronavirus
Risk Analysis: An International Journal, Volume 41, Issue 5, pp. 814-830, May 2021 DOI: 10.1111/risa.13678
Number of pages: 30
Posted: 10 Aug 2020
Last Revised: 07 Jun 2021
Accepted Paper Series
University of Edinburgh Business School, University of Maryland - College Park, University of Liverpool - Management School (ULMS), Monash University - Department of Econometrics & Business Statistics and Boston University - Center for Polymer Studies
Downloads
581
37.
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
Imperial College London - Department of Mathematics, Intesa Sanpaolo and Barclays Capital
Downloads
567
38.
Risk Management with Expectiles
Number of pages: 22
Posted: 05 Aug 2014
Last Revised: 21 Dec 2014
Working Paper Series
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Conservatoire National des Arts et Métiers (CNAM)
Downloads
551
39.
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
Goa University - Department of Commerce and National Stock Exchange of India
Downloads
545
40.
Evaluation of Structural Stability to Threats
Journal Mechanics, Transport, Communications, vol. 15, issue 1, 2017,
Number of pages: 6
Posted: 03 Apr 2017
Accepted Paper Series
University of National and World Economy, Department of Management
Downloads
536
41.
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
ISEG and Cemapre/REM, Universidade de Lisboa and Aarhus University - School of Business and Social Sciences
Downloads
488
42.
Simulation of Coronavirus Disease 2019 (COVID-19) Scenarios with Possibility of Reinfection
Chaos, Solitons & Fractals, Vol. 139, pp. 110296
Number of pages: 16
Posted: 06 Apr 2020
Last Revised: 21 Oct 2020
Accepted Paper Series
University of Minnesota - Twin Cities - Department of Economics
Downloads
473
43.
Shadow Probability Theory for Asset Pricing under Ambiguity
Number of pages: 58
Posted: 03 Oct 2011
Last Revised: 05 Oct 2011
Working Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads
457
44.
Solving the Two-Period Consumer Choice Model with Excel-Solver
Number of pages: 15
Posted: 30 Jan 2012
Working Paper Series
University of Girona and University of Girona - Department of Economics
Downloads
450
45.
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
University of Zurich - Department of Banking and Finance, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads
431
46.
The Environment and Directed Technical Change
FEEM Working Paper No. 93.2010
Number of pages: 60
Posted: 31 Aug 2010
Working Paper Series
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 University of Zürich
There are 3 versions of this paper
The Environment and Directed Technical Change
FEEM Working Paper No. 93.2010
Number of pages: 60
Posted: 31 Aug 2010
Downloads
420
The Environment and Directed Technical Change
NBER Working Paper No. w15451
Number of pages: 66
Posted: 03 Nov 2009
Last Revised: 21 Mar 2022
Downloads
104
The Environment and Directed Technical Change
CEPR Discussion Paper No. DP8660
Number of pages: 58
Posted: 24 Nov 2011
Downloads
3
Downloads
420
47.
Decision Making in Phantom Spaces
Number of pages: 39
Posted: 24 Oct 2011
Last Revised: 05 Mar 2012
Working Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and University of Aberdeen
Downloads
417
48.
Phases of MANES: Multi-Asset Non-Equilibrium Skew Model of a Strongly Non-Linear Market with Phase Transitions
Number of pages: 38
Posted: 06 Apr 2022
Working Paper Series
Fidelity Investments, Inc.
There are 2 versions of this paper
Phases of MANES: Multi-Asset Non-Equilibrium Skew Model of a Strongly Non-Linear Market with Phase Transitions
Number of pages: 38
Posted: 06 Apr 2022
Downloads
415
Phases of Manes: Multi-Asset Non-Equilibrium Skew Model of a Strongly Non-Linear Market with Phase Transitions
Number of pages: 38
Posted: 18 Apr 2022
Downloads
8
Downloads
415
49.
Risk, Ambiguity, and the Exercise of Employee Stock Options
Journal of Financial Economics (JFE), Vol. 124, No. 1, 2017
Number of pages: 44
Posted: 10 Mar 2014
Last Revised: 28 Jan 2020
Accepted Paper Series
City University of New York, 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
Risk, Ambiguity, and the Exercise of Employee Stock Options
Journal of Financial Economics (JFE), Vol. 124, No. 1, 2017
Number of pages: 44
Posted: 10 Mar 2014
Last Revised: 28 Jan 2020
Downloads
411
Risk, Ambiguity, and the Exercise of Employee Stock Options
NBER Working Paper No. w19975
Number of pages: 33
Posted: 19 Mar 2014
Last Revised: 30 Jan 2022
Downloads
25
Downloads
411
50.
Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
Number of pages: 22
Posted: 08 Dec 2006
Working Paper Series
Imperial College London - Department of Mathematics and University of Reading - ICMA Centre
Downloads
406
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