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
3,090
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
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
2,085
3.
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
1,367
4.
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
1,229
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
1,229
5.
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
1,189
6.
Centrality Measures in Networks
Number of pages: 36
Posted: 19 Mar 2016
Last Revised: 18 Jun 2017
Working Paper Series
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
1,155
7.
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
1,131
8.
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
1,054
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
1,041
10.
Fast Fourier Transform and Option Pricing
Cass Business School Research Paper
Number of pages: 7
Posted: 28 Feb 2008
Working Paper Series
Cass Business School, City, University of London
Downloads
878
11.
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
871
12.
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
828
13.
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), Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Unaffiliated Authors - Independent
Downloads
709
14.
Review of Multi-Supplier Inventory Models in Supply Chain Management: An Update
Number of pages: 70
Posted: 30 Jun 2017
Working Paper Series
Technische Universität München (TUM) and Technische Universität München (TUM) - TUM School of Management
Downloads
703
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
Texas A&M University - Corpus Christi
Downloads
690
16.
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
650
Downloads
650
17.
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
649
18.
A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets
133 Acta Physica Polonica A, 2018, Forthcoming
Number of pages: 21
Posted: 30 Jan 2017
Last Revised: 20 May 2018
Accepted Paper Series
Texas A&M University School of Law
Downloads
598
19.
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
594
20.
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
530
21.
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
510
22.
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
496
23.
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
469
24.
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
444
25.
Ambiguity, Volatility, and Credit Risk
Number of pages: 58
Posted: 07 May 2016
Last Revised: 16 Jan 2017
Working 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
429
26.
A Concise Guide to Dynamic Optimization
Number of pages: 43
Posted: 16 Oct 2011
Last Revised: 27 Nov 2016
Working Paper Series
State University of New York at Buffalo - Department of Economics
Downloads
423
27.
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
406
28.
Ambiguity and the Tradeoff Theory of Capital Structure
Number of pages: 43
Posted: 21 Nov 2016
Last Revised: 20 May 2017
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
391
29.
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
390
30.
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
386
31.
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, Universidade de Lisboa and University of Aarhus - School of Business and Social Sciences
Downloads
385
32.
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
365
33.
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
351
The Environment and Directed Technical Change
NBER Working Paper No. w15451
Number of pages: 66
Posted: 03 Nov 2009
Last Revised: 21 Sep 2010
Downloads
47
The Environment and Directed Technical Change
CEPR Discussion Paper No. DP8660
Number of pages: 58
Posted: 24 Nov 2011
Downloads
3
Downloads
351
34.
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
333
35.
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
QuantAlea GmbH
Downloads
323
36.
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 - Swiss Banking Institute (ISB), University of Zurich - Swiss Banking Institute (ISB) and University of Lugano - Institute of Finance
Downloads
318
37.
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
295
38.
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
There are 2 versions of this paper
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
Downloads
292
Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk
Mathematical Finance, Vol. 26, Issue 4, pp. 785-834, 2016
Number of pages: 50
Posted: 20 Sep 2016
Downloads
292
39.
Pricing CO2 Permits Using Approximation Approaches
Number of pages: 24
Posted: 23 Dec 2009
Working Paper Series
University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Downloads
289
40.
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
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
Number of pages: 44
Posted: 10 Mar 2014
Last Revised: 18 May 2016
Downloads
283
Risk, Ambiguity, and the Exercise of Employee Stock Options
NBER Working Paper No. w19975
Number of pages: 33
Posted: 19 Mar 2014
Downloads
12
Downloads
283
41.
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
University of Aarhus - CREATES, University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads
282
42.
Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades
Number of pages: 19
Posted: 17 Sep 2010
Working Paper Series
MUFG Securities EMEA plc
Downloads
278
43.
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
University of Leicester
Downloads
271
44.
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
DataMineit, LLC; GE Capital
Downloads
254
45.
Credit Risk in a Network Economy
FAME Working Paper No. 106
Number of pages: 37
Posted: 28 Jun 2004
Working Paper Series
affiliation not provided to SSRN and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads
253
46.
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
CEFRA, EMLYON Business School and EMLYON Business School
Downloads
248
47.
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
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Department of Management
Downloads
242
48.
The Lexicographic Method in Preference Theory
Number of pages: 35
Posted: 21 Dec 2012
Last Revised: 21 Dec 2017
Working Paper Series
University of London, Royal Holloway College - Department of Economics
Downloads
242
49.
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
University of Rome Tor Vergata - Dept. of Economics and Finance and University of Rome, Tor Vergata
Downloads
238
50.
Initial Public Offerings Under Ambiguity
Number of pages: 43
Posted: 20 Mar 2014
Last Revised: 19 Dec 2014
Working Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and University of Colorado at Boulder - Department of Finance
Downloads
231
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