SSRN eLibrary Search Results
JEL Code: C65

39,463 Total downloads
Search Within

Viewing: 1 - 50 of 255 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 3,069
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
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
Imperial College London - Department of Mathematics and FitchSolutions

Multiple version iconThere 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
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
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
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
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
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
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
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
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
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
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
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

Multiple version iconThere 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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

Multiple version iconThere are 3 versions of this paper

Downloads 322
31.
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
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
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
Xidian University and Columbia University

Multiple version iconThere 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
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
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
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
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

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

Multiple version iconThere 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
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
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
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
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
University of London, Royal Holloway College - Department of Economics
Downloads 218