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JEL Code: C65

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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

Multiple version iconThere are 2 versions of this paper

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

Multiple version iconThere are 2 versions of this paper

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

Multiple version iconThere are 3 versions of this paper

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.
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

Multiple version iconThere are 2 versions of this paper

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

Multiple version iconThere are 2 versions of this paper

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