Search Results
JEL Code: C65

61,160 Total downloads

Viewing: 1 - 50 of 371 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 3,214
2.

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

Applied Mathematical Finance, Vol. 19, No. 5, 2012
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 2,111
3.

A New Index of the Business Cycle

MIT Sloan Research Paper No. 5908-20
Number of pages: 20 Posted: 21 Jan 2020
Working Paper Series
State Street Global Markets, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 2,028
4.

Centrality Measures in Networks

Number of pages: 42 Posted: 19 Mar 2016 Last Revised: 26 May 2020
Working Paper Series
University of Angers - Research Group in Quantitative Saving (GREQAM), Stanford University - Department of Economics and University of Chicago - Department of Economics
Downloads 1,795
5.

A Gentle Introduction to Value at Risk

Number of pages: 86 Posted: 28 Mar 2017
Working Paper Series
Sir John Cass Business School - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 1,693
6.

A Gentle Introduction to Default Risk and Counterparty Credit Modelling

Number of pages: 57 Posted: 01 Aug 2016
Working Paper Series
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 1,541
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 1,296
8.

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 1,167
9.

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 1,164
10.

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 1,067
11.

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 1,066
12.

Typology and Literature Review on Multiple Supplier Inventory Control Models

Number of pages: 45 Posted: 30 Jun 2017 Last Revised: 15 Jul 2019
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 982
13.

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 943
14.

Fast Fourier Transform and Option Pricing

Preprint
Number of pages: 7 Posted: 28 Feb 2008 Last Revised: 22 Jun 2020
Working Paper Series
Business School, City, University of London
Downloads 902
15.

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 849
16.

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 780
17.

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 760
18.

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 University, Desautels Faculty of Management and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 719
19.

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 679
20.

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 667
21.

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 663
22.

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 651
23.

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 634
24.

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 623
25.

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 599
26.

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 558
27.

Ambiguity and the Tradeoff Theory of Capital Structure

Number of pages: 51 Posted: 21 Nov 2016 Last Revised: 26 Jun 2020
Working 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 550
28.

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, Banca IMI and Barclays Capital
Downloads 548
29.

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 535
30.

'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
New York University (NYU) - NYU Tandon School of Engineering and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 528
31.

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: 16 Feb 2018
Accepted Paper Series
University of Oxford, Said Business School
Downloads 524
32.

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 523
33.

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 522
34.

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 517
35.

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 496
36.

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 481
37.

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 453
38.

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 442
39.

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 Bar-Ilan University
Downloads 412
40.

Martingale Measures & Change of Measure Explained

Number of pages: 16 Posted: 01 May 2017
Working Paper Series
University of Oxford, Said Business School
Downloads 402
41.

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
University of Leicester
Downloads 386
42.

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 385
43.

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 377
44.

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 372
45.

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
University of Naples Federico II - Faculty of Economics
Downloads 358
46.

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 348
47.
Downloads 339
48.

Simulation of Coronavirus Disease 2019 (COVID-19) Scenarios with Possibility of Reinfection

Number of pages: 37 Posted: 06 Apr 2020 Last Revised: 24 Apr 2020
Working Paper Series
University of Minnesota - Twin Cities - Department of Economics
Downloads 335
49.

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 318
50.

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
Xidian University and Columbia University

Multiple version iconThere are 2 versions of this paper

Downloads 315