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
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
1,296
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
1,296
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
There are 2 versions of this paper
Ambiguity and Overconfidence
Number of pages: 49
Posted: 02 Mar 2011
Last Revised: 01 Aug 2015
Downloads
679
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
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
372
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
86
The Environment and Directed Technical Change
CEPR Discussion Paper No. DP8660
Number of pages: 58
Posted: 24 Nov 2011
Downloads
3
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
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
348
Risk, Ambiguity, and the Exercise of Employee Stock Options
NBER Working Paper No. w19975
Number of pages: 33
Posted: 19 Mar 2014
Downloads
14
Downloads
348
47.
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
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
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
315
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
315
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