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JEL Code: G13

2,848,658 Total downloads

Viewing: 1 - 50 of 7,138 papers

1.

An Analysis of the Financial Crisis of 2008: Causes and Solutions

Number of pages: 28 Posted: 04 Nov 2008 Last Revised: 16 Dec 2008
Working Paper Series
Oakland University - School of Business Administration
Downloads 24,457
2.

A Simplified Approach to Understanding the Kalman Filter Technique

Number of pages: 24 Posted: 07 May 2005 Last Revised: 17 Apr 2008
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, Auburn University and Georgia State University - Department of Finance
Downloads 19,185
3.

Risk Management Lessons from Long-Term Capital Management

Number of pages: 27 Posted: 02 Aug 1999
Working Paper Series
University of California, Irvine - Paul Merage School of Business
Downloads 18,406
4.

The Flash Crash: High-Frequency Trading in an Electronic Market

Journal of Finance, Forthcoming
Number of pages: 42 Posted: 27 May 2011 Last Revised: 10 Mar 2018
Accepted Paper Series
Imperial College London - Centre for Global Finance and Technology, University of Maryland, Southern Methodist University (SMU) - Finance Department and Federal Reserve Board
Downloads 16,859
5.

Risk-Neutral Probabilities Explained

Number of pages: 27 Posted: 27 Apr 2009 Last Revised: 20 Oct 2010
Working Paper Series
affiliation not provided to SSRN
Downloads 14,113
6.

The Fundamentals of Commodity Futures Returns

Yale ICF Working Paper No. 07-08
Number of pages: 62 Posted: 28 Jun 2007 Last Revised: 07 Feb 2012
Working Paper Series
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 13,864
7.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads 13,648
8.

Mathematical Finance Introduction to Continuous Time Financial Market Models

Number of pages: 129 Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads 12,212
9.

Understanding VIX

Number of pages: 13 Posted: 09 Nov 2008 Last Revised: 08 Dec 2008
Working Paper Series
Vanderbilt University - Finance
Downloads 12,133
10.

Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask

Number of pages: 82 Posted: 18 Feb 2013 Last Revised: 03 Apr 2013
Working Paper Series
Digital Gold Institute and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 10,905
11.

The Profitability of Technical Analysis: A Review

AgMAS Project Research Report No. 2004-04
Number of pages: 106 Posted: 15 Oct 2004
Working Paper Series
Chungbuk National University and University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics
Downloads 10,583
12.

Stock Valuation and Investment Strategies

Yale ICF Working Paper No. 00-46
Number of pages: 55 Posted: 26 Jul 2001
Working Paper Series
York University - Schulich School of Business and University of Hong Kong
Downloads 9,882
13.

Efficient Simulation of the Heston Stochastic Volatility Model

Number of pages: 38 Posted: 22 Nov 2006
Working Paper Series
Bank of America Merrill Lynch
Downloads 9,775
14.

Can Hedge-Fund Returns Be Replicated?: The Linear Case

Number of pages: 54 Posted: 27 Aug 2006
Working Paper Series
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 9,765
15.

The Tactical and Strategic Value of Commodity Futures

Number of pages: 61 Posted: 03 Feb 2005
Working Paper Series
TR and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 9,536
16.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999
Working Paper Series
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 9,331
17.

Integrated Risk Management for the Firm: A Senior Manager's Guide

Number of pages: 39 Posted: 26 Feb 2002
Working Paper Series
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 9,198
18.

Non-Life Insurance: Mathematics & Statistics

Number of pages: 301 Posted: 03 Sep 2013 Last Revised: 25 Mar 2019
Working Paper Series
RiskLab, ETH Zurich
Downloads 8,372
19.

Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Number of pages: 29 Posted: 29 Jan 2009 Last Revised: 22 Jun 2016
Working Paper Series
Intesa Sanpaolo - Financial and Market Risk Management

Multiple version iconThere are 2 versions of this paper

Downloads 7,680
20.

Calculating the VIX in Excel

Number of pages: 12 Posted: 08 Mar 2008
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business and University of Richmond - E. Claiborne Robins School of Business
Downloads 7,624
21.

Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals

Journal of Banking and Finance 34, 2530-2548
Number of pages: 48 Posted: 30 Apr 2008 Last Revised: 19 Dec 2013
Accepted Paper Series
Cass Business School, City University of London, Audencia Nantes School of Management and City University of London - Sir John Cass Business School
Downloads 7,510
22.

Credit Risk Modeling and Valuation: An Introduction

Number of pages: 67 Posted: 21 Dec 2003
Working Paper Series
Stanford University - Management Science & Engineering
Downloads 6,808
23.

Economists' Hubris: The Case of Asset Pricing

Journal of Financial Transformation, Vol. 27, pp. 9-13, December 2009
Number of pages: 5 Posted: 07 Sep 2009 Last Revised: 05 Oct 2009
Accepted Paper Series
Capco Institute and Aston Business School
Downloads 6,750
24.

On Default Correlation: A Copula Function Approach

Number of pages: 28 Posted: 09 Dec 1999
Working Paper Series
AIG Asset Management
Downloads 6,693
25.

Interest Rates and The Credit Crunch: New Formulas and Market Models

Bloomberg Portfolio Research Paper No. 2010-01-FRONTIERS
Number of pages: 39 Posted: 24 Jan 2009 Last Revised: 11 May 2010
Accepted Paper Series
Bloomberg L.P.
Downloads 6,591
26.

Discrete Time Finance

Number of pages: 104 Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads 6,068
27.

Dissecting Investment Strategies in the Cross Section and Time Series

Number of pages: 31 Posted: 24 Nov 2015 Last Revised: 07 Dec 2015
Working Paper Series
Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man AHL
Downloads 6,017
28.

Valuation Methods and Shareholder Value Creation

VALUATION METHODS AND SHAREHOLDER VALUE CREATION, Academic Press, 2002
Number of pages: 13 Posted: 22 Nov 2004
Accepted Paper Series
University of Navarra - IESE Business School
Downloads 6,007
29.

Momentum Strategies in Commodity Futures Markets

Journal of Banking and Finance, Vol. 31, No. 9, 2007
Number of pages: 34 Posted: 20 Apr 2005 Last Revised: 10 Nov 2015
Accepted Paper Series
Audencia Nantes School of Management and City University of London - Sir John Cass Business School

Multiple version iconThere are 2 versions of this paper

Downloads 6,006
30.

A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model

Number of pages: 26 Posted: 07 Apr 1999
Working Paper Series
Bank of America Merrill Lynch
Downloads 5,827
31.

Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals

Number of pages: 75 Posted: 27 Dec 2007
Working Paper Series
Bloomberg L.P.
Downloads 5,589
32.

Calibration and Implementation of Convertible Bond Models

Number of pages: 39 Posted: 28 Mar 2003
Working Paper Series
Bank of America Merrill Lynch and Bank of America
Downloads 5,537
33.

Which Trend Is Your Friend?

Financial Analysts Journal, vol. 72, no. 3 (May/June 2016)
Number of pages: 32 Posted: 10 May 2015 Last Revised: 19 Apr 2016
Accepted Paper Series
AQR Capital Management and AQR Capital Management, LLC
Downloads 5,401
34.

Three Centuries of Asset Pricing

Journal of Banking and Finance, Vol. 23, No. 12, 1999, pages 1745–1769, LBS Institute of Finance and Accounting Working Paper No. IFA 385,
Number of pages: 22 Posted: 11 Jan 2000 Last Revised: 20 Mar 2016
Working Paper Series
University of Cambridge - Judge Business School and Cantab Capital Partners

Multiple version iconThere are 2 versions of this paper

Downloads 5,317
35.

Mathematical Foundation of Convexity Correction

Quantitative Finance, Vol. 3, No. 1, 2003
Number of pages: 18 Posted: 16 May 2001 Last Revised: 08 May 2011
Accepted Paper Series
Maastricht University
Downloads 5,272
36.

Estimating the Dynamics of Mutual Fund Alphas and Betas

Yale ICF Working Paper No. 03-03; EFA 2003 Annual Conference Paper No. 803; AFA 2004 San Diego Meetings
Number of pages: 40 Posted: 10 Mar 2005
Working Paper Series
Yale University - Yale School of Management, International Center for Finance, Columbia University - Columbia Business School and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 5,247
37.

Real Options Valuation: A Monte Carlo Approach

Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 71 Posted: 06 Mar 2002
Working Paper Series
University of Warwick - Finance Group
Downloads 5,175
38.

Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing

Number of pages: 45 Posted: 11 Aug 1999
Working Paper Series
Bank of America Merrill Lynch and Saxo Bank
Downloads 4,982
39.

Originate-to-Distribute Model and the Subprime Mortgage Crisis

AFA 2010 Atlanta Meetings Paper
Number of pages: 53 Posted: 22 Jul 2008 Last Revised: 20 May 2010
Working Paper Series
University of Michigan, Stephen M. Ross School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,968
40.

Why are Put Options so Expensive?

Quarterly Journal of Finance, Vol. 4, 1450015 [50 pages], 2014
Number of pages: 40 Posted: 29 Apr 2003 Last Revised: 06 Apr 2015
Working Paper Series
University of Illinois at Chicago - Department of Finance
Downloads 4,959
41.

A Market Model for Inflation

Number of pages: 15 Posted: 17 Aug 2004
Working Paper Series
CDC Ixis Capital Markets, A.I. Square Connect and CNCE
Downloads 4,930
42.

Pricing Default Swaps: Empirical Evidence

Journal of International Money and Finance, Vol. 24, pp. 1200-1225, 2005, EFA 2002 Berlin Meetings Presented Paper, EFMA 2002 London Meetings, ERIM Report Series
Number of pages: 49 Posted: 24 Dec 2001
Accepted Paper Series
Robeco Investment Research and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 4,846
43.

Volatility Interpolation

Number of pages: 11 Posted: 21 Oct 2010 Last Revised: 30 Oct 2010
Working Paper Series
Saxo Bank and Danske Bank
Downloads 4,643
44.

Stock Price Clustering on Option Expiration Dates

AFA 2005 Philadelphia Meetings
Number of pages: 53 Posted: 22 Mar 2004
Working Paper Series
Hong Kong Baptist University (HKBU), University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 4,642
45.

Implied Binomial Trees in Excel Without Vba

Number of pages: 21 Posted: 08 May 2004
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 4,597
46.

Smile Dynamics I

Number of pages: 14 Posted: 24 Oct 2009
Working Paper Series
Societe Generale
Downloads 4,580
47.

Earnings Quality and the Equity Risk Premium: A Benchmark Model

Contemporary Accounting Research, Vol. 23, No. 3, pp. 833-877, Fall 2006
Number of pages: 50 Posted: 15 Nov 2005
Accepted Paper Series
Mellon Capital Management
Downloads 4,445
48.

Variance Risk Premia

AFA 2005 Philadelphia Meetings
Number of pages: 44 Posted: 17 Aug 2004 Last Revised: 25 Oct 2007
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads 4,405
49.

Moment Explosions in Stochastic Volatility Models

Number of pages: 32 Posted: 29 Jun 2004
Working Paper Series
Bank of America Merrill Lynch and Independent
Downloads 4,313
50.

Volatility Skews and Extensions of the Libor Market Model

Number of pages: 39 Posted: 04 Sep 1998
Working Paper Series
Bank of America Merrill Lynch and Saxo Bank
Downloads 4,306