Search Results
JEL Code: C65

78,966 Total downloads

Viewing: 1 - 50 of 448 papers

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

Multiple version iconThere are 2 versions of this paper

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

Multiple version iconThere are 2 versions of this paper

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

Multiple version iconThere are 3 versions of this paper

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
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

Multiple version iconThere are 2 versions of this paper

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