1.
The Best Strategies for Inflationary Times
Number of pages: 32
Posted: 29 Mar 2021
Last Revised: 25 May 2021
Working Paper Series
Man Group, Man Group, affiliation not provided to SSRN, Duke University - Fuqua School of Business and Man AHL
Downloads
37,930
2.
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
33,712
3.
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
20,732
4.
Adaptive Supervised Learning for Volatility Targeting Models (Ecml Pkdd Midas 2021 Presentation Slides)
Number of pages: 17
Posted: 20 Sep 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, Ecole Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads
20,095
5.
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
19,181
6.
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
University of Cambridge - Finance, University of Maryland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads
19,040
7.
Time your hedge with Deep Reinforcement Learning (ICAPS 2020 Presentation Slides)
Number of pages: 38
Posted: 20 Sep 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Societe Generale and SGCIB
Downloads
18,707
8.
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
17,069
9.
Easy Volatility Investing
Number of pages: 34
Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads
17,000
10.
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
15,757
11.
Non-Life Insurance: Mathematics & Statistics
Number of pages: 319
Posted: 03 Sep 2013
Last Revised: 07 Feb 2022
Working Paper Series
RiskLab, ETH Zurich
Downloads
15,160
12.
Knowledge discovery with Deep RL for selecting financial hedges (AAAI 2021 KDF Presentation slides)
Number of pages: 19
Posted: 28 Sep 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Societe Generale and SGCIB
Downloads
15,066
13.
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
There are 2 versions of this paper
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
Downloads
14,802
The Fundamentals of Commodity Futures Returns
NBER Working Paper No. w13249
Number of pages: 63
Posted: 13 Jul 2007
Last Revised: 16 Mar 2022
Downloads
339
Downloads
14,802
14.
Bridging the gap between Markowitz planning and deep reinforcement learning (ICAPS PRL Presentation Slides 2020)
Number of pages: 37
Posted: 25 Oct 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Societe Generale and SGCIB
Downloads
13,477
15.
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
Downloads
12,799
16.
Mathematical Finance Introduction to Continuous Time Financial Market Models
Number of pages: 129
Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads
12,564
17.
Efficient Simulation of the Heston Stochastic Volatility Model
Number of pages: 38
Posted: 22 Nov 2006
Working Paper Series
Bank of America
Downloads
11,424
18.
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) - Laboratory for Financial Engineering
There are 2 versions of this paper
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Number of pages: 54
Posted: 27 Aug 2006
Downloads
10,590
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Journal of Investment Management, Vol. 5, No. 2, Second Quarter 2007
Posted: 30 May 2007
Downloads
10,590
19.
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
There are 2 versions of this paper
The Tactical and Strategic Value of Commodity Futures
Number of pages: 61
Posted: 03 Feb 2005
Downloads
10,518
The Tactical and Strategic Value of Commodity Futures
NBER Working Paper No. w11222
Number of pages: 46
Posted: 29 Apr 2005
Last Revised: 03 Apr 2022
Downloads
497
Downloads
10,518
20.
Stock Valuation and Investment Strategies
Number of pages: 55
Posted: 26 Jul 2001
Working Paper Series
York University - Schulich School of Business and University of Hong Kong, Faculty of Business Economics (HKU Business School)
Downloads
10,425
21.
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
10,203
22.
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 Group plc
Downloads
9,699
23.
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
9,615
24.
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
There are 2 versions of this paper
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
Downloads
8,423
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Risk, August 2010
Posted: 15 Sep 2011
Last Revised: 10 Sep 2018
Downloads
8,423
25.
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: 11 Sep 2019
Accepted Paper Series
Bayes Business School, City, University of London, Audencia Business School and City University of London - Sir John Cass Business School
Downloads
8,386
26.
Credit Risk Modeling and Valuation: An Introduction
Number of pages: 67
Posted: 21 Dec 2003
Working Paper Series
Stanford University - Department of Management Science & Engineering
Downloads
7,685
27.
A Market Model for Inflation
Number of pages: 15
Posted: 17 Aug 2004
Working Paper Series
CDC Ixis Capital Markets, Université Paris Dauphine and CNCE
Downloads
7,506
28.
On Default Correlation: A Copula Function Approach
Number of pages: 28
Posted: 09 Dec 1999
Working Paper Series
Shanghai Advanced Institute of Finance, SJTU
Downloads
7,429
29.
A Century of Evidence on Trend-Following Investing
Number of pages: 26
Posted: 28 Jun 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads
7,379
30.
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
7,289
31.
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
7,119
32.
Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR
Number of pages: 25
Posted: 05 Mar 2019
Last Revised: 13 Feb 2020
Working Paper Series
Quantitative Risk Management, Inc. and Bloomberg L.P.
Downloads
6,953
33.
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
6,778
34.
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 Business School and City University of London - Sir John Cass Business School
There are 2 versions of this paper
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
Downloads
6,644
Momentum Strategies in Commodity Futures Markets
Journal of Banking and Finance, Vol. 31, No. 6, 2007
Posted: 27 May 2008
Downloads
6,644
35.
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
IESE Business School
Downloads
6,575
36.
Downloads
6,437
37.
Volatility Interpolation
Number of pages: 11
Posted: 21 Oct 2010
Last Revised: 30 Oct 2010
Working Paper Series
Saxo Bank and Danske Bank
Downloads
6,380
38.
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
Downloads
6,360
39.
Discrete Time Finance
Number of pages: 104
Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads
6,286
40.
Calibration and Implementation of Convertible Bond Models
Number of pages: 39
Posted: 28 Mar 2003
Working Paper Series
Bank of America and Bank of America
Downloads
6,015
41.
Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals
Number of pages: 75
Posted: 27 Dec 2007
Working Paper Series
Two Sigma
Downloads
5,943
42.
Momentum Turning Points
Number of pages: 91
Posted: 05 Dec 2019
Last Revised: 10 May 2022
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business and Research Affiliates, LLC
Downloads
5,904
43.
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
5,816
44.
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
5,678
45.
Real Options Valuation: A Monte Carlo Approach
Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper, WBS Finance Group Research Paper No. 14
Number of pages: 71
Posted: 06 Mar 2002
Working Paper Series
University of Warwick - Finance Group
Downloads
5,587
46.
Rebalancing Risk
Number of pages: 34
Posted: 30 Aug 2014
Last Revised: 04 Oct 2014
Working Paper Series
Man AHL, Independent, Duke University - Fuqua School of Business, Man Group plc and Man - AHL
Downloads
5,587
47.
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 ISAM Funds
There are 2 versions of this paper
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
Downloads
5,550
Three Centuries of Asset Pricing
Journal of Banking and Finance, Vol 23, No 12, 1999, pages 1745–1769
Posted: 11 Jan 2000
Last Revised: 20 Mar 2016
Downloads
5,550
48.
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
There are 2 versions of this paper
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
Downloads
5,494
Originate-to-Distribute Model and the Subprime Mortgage Crisis
FDIC Working Paper No. 2010-08
Number of pages: 54
Posted: 09 Jan 2012
Downloads
192
Downloads
5,494
49.
Mercado de Derivados Financieros: Futuros y Opciones (Market of Financial Derivatives: Futures and Options)
Number of pages: 82
Posted: 19 Aug 2013
Last Revised: 04 Feb 2020
Working Paper Series
Universidad Complutense de Madrid
Downloads
5,382
50.
Bootstrapping Credit Curves from CDS Spread Curves
Number of pages: 21
Posted: 21 Apr 2012
Working Paper Series
New York University (NYU)
Downloads
5,379
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