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
3,364
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
2,296
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
2,126
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
1,892
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
1,725
6.
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
1,328
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
1,328
7.
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
1,265
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
1,194
9.
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
1,131
10.
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
1,083
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
1,069
12.
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
1,042
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
994
14.
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
919
15.
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
883
16.
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
858
17.
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
840
18.
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
831
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
809
20.
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
803
21.
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
725
22.
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
698
23.
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
690
Downloads
690
24.
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
686
25.
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
682
26.
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
679
27.
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
650
28.
Martingale Measures & Change of Measure Explained
Number of pages: 16
Posted: 01 May 2017
Working Paper Series
University of Oxford, Said Business School
Downloads
634
29.
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
630
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
Fidelity Investments, Inc. and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads
600
31.
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
595
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
581
33.
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 College Dublin, 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
34.
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 SanpaoloImperial College London - Department of Mathematics and Barclays Capital
Downloads
562
35.
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
538
36.
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
37.
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
517
38.
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
472
39.
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
467
40.
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
466
41.
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
456
42.
Verification Dilemmas, Law, and the Promise of Zero-Knowledge Proofs
Berkeley Technology Law Journal, Vol. 37, No. 1, 2022
Number of pages: 55
Posted: 18 Feb 2021
Last Revised: 06 May 2021
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
430
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
424
44.
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
415
45.
Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry
Number of pages: 45
Posted: 14 Jan 2021
Working Paper Series
Fidelity Investments, Inc.
Downloads
406
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
399
The Environment and Directed Technical Change
NBER Working Paper No. w15451
Number of pages: 66
Posted: 03 Nov 2009
Last Revised: 20 Sep 2021
Downloads
102
The Environment and Directed Technical Change
CEPR Discussion Paper No. DP8660
Number of pages: 58
Posted: 24 Nov 2011
Downloads
3
Downloads
399
47.
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
397
48.
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
394
49.
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
389
50.
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
379
Risk, Ambiguity, and the Exercise of Employee Stock Options
NBER Working Paper No. w19975
Number of pages: 33
Posted: 19 Mar 2014
Last Revised: 01 Aug 2021
Downloads
23
Downloads
379
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