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JEL Code: C6

1,910,181 Total downloads

Viewing: 1 - 50 of 10,366 papers

1.

The Intuition Behind Black-Litterman Model Portfolios

Number of pages: 27 Posted: 28 Oct 2002
Working Paper Series
Independent and Kepos Capital
Downloads 23,037
2.

Kelly Criterion for Multivariate Portfolios: A Model-Free Approach

Number of pages: 15 Posted: 02 May 2013 Last Revised: 30 Sep 2014
Working Paper Series
letYourMoneyGrow.com
Downloads 12,682
3.

Mathematical Finance Introduction to Continuous Time Financial Market Models

Number of pages: 129 Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads 12,440
4.

Efficient Simulation of the Heston Stochastic Volatility Model

Number of pages: 38 Posted: 22 Nov 2006
Working Paper Series
Bank of America
Downloads 10,521
5.

Machine Learning for Trading

Number of pages: 19 Posted: 14 Aug 2017 Last Revised: 04 Dec 2017
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 10,192
6.

A New Anomaly: The Cross-Sectional Profitability of Technical Analysis

Number of pages: 42 Posted: 12 Aug 2010 Last Revised: 22 May 2012
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads 9,697
7.

Machine Learning in Asset Management

JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65 Posted: 18 Jul 2019 Last Revised: 23 Jun 2020
Working Paper Series
The Alan Turing Institute
Downloads 7,178
8.

Price Theory

Journal of Economic Literature, Forthcoming
Number of pages: 80 Posted: 02 Jun 2014 Last Revised: 18 Apr 2017
Accepted Paper Series
Microsoft
Downloads 6,655
9.

Discrete Time Finance

Number of pages: 104 Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads 6,183
10.

Buy Low Sell High: A High Frequency Trading Perspective

Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.
Number of pages: 37 Posted: 26 Nov 2011 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 6,010
11.

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 5,731
12.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,695
13.

Modelling Operational Risk

Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 23 Posted: 11 Dec 2001 Last Revised: 06 Jan 2010
Working Paper Series
Zurich Cantonal Bank, University of Basel, ETH Zürich - Department of Mathematics and Zurich Cantonal Bank
Downloads 5,569
14.

Artificial Intelligence in Human Resources Management: Challenges and a Path Forward

Number of pages: 34 Posted: 01 Nov 2018 Last Revised: 15 Apr 2019
Working Paper Series
University of Pennsylvania Wharton School - Center for Human Resources, Wharton School, U. Pennsylvania and ESSEC Business School
Downloads 5,449
15.

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 5,385
16.

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 and Saxo Bank
Downloads 5,156
17.

CDS Rate Construction Methods by Machine Learning Techniques

Number of pages: 51 Posted: 15 May 2017 Last Revised: 31 Oct 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads 5,111
18.

Automated Trading with Boosting and Expert Weighting

Quantitative Finance, Vol. 4, No. 10, pp. 401–420
Number of pages: 18 Posted: 17 Oct 2006 Last Revised: 20 Feb 2013
Accepted Paper Series
Stevens Institute of Technology, School of Business and University of California, San Diego
Downloads 4,753
19.

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 and Washington and Lee University - Department of Business Administration
Downloads 4,699
20.

Accountable Algorithms

University of Pennsylvania Law Review, Vol. 165, 2017 Forthcoming, Fordham Law Legal Studies Research Paper No. 2765268
Number of pages: 66 Posted: 16 Apr 2016 Last Revised: 20 Nov 2016
Accepted Paper Series
Naval Postgraduate School, Princeton University - Center for Information Technology Policy, Cornell University, Princeton University - Center for Information Technology Policy, Fordham University School of Law, Georgetown University Law Center and Princeton University - Center for Information Technology Policy
Downloads 4,457
21.

Moment Explosions in Stochastic Volatility Models

Number of pages: 32 Posted: 29 Jun 2004
Working Paper Series
Bank of America and NatWest Markets
Downloads 4,424
22.

A Model of Credit Risk, Optimal Policies, and Asset Prices

Number of pages: 45 Posted: 21 Mar 2001
Working Paper Series
London Business School and New York University (NYU) - Department of Finance

Multiple version iconThere are 5 versions of this paper

Downloads 4,417
23.

Markov Models for Commodity Futures: Theory and Practice

Number of pages: 45 Posted: 30 May 2008 Last Revised: 30 Dec 2008
Working Paper Series
Bank of America
Downloads 4,320
24.

Local Stochastic Volatility Models: Calibration and Pricing

Number of pages: 57 Posted: 11 Jun 2014 Last Revised: 15 Jul 2014
Working Paper Series
Independent
Downloads 4,189
25.

Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning

Swiss Finance Institute Research Paper No. 19-80
Number of pages: 14 Posted: 30 May 2019 Last Revised: 02 Jan 2020
Working Paper Series
JP Morgan, Ludwig-Maximilians-Universität München, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 4,160
26.

The Irony in the Derivatives Discounting Part II: The Crisis

Number of pages: 12 Posted: 14 Jul 2009 Last Revised: 19 Dec 2009
Working Paper Series
muRisQ Advisory

Multiple version iconThere are 2 versions of this paper

Downloads 4,124
27.

A Comparative Study of Portfolio Insurance

London Business School Working Paper IFA 344
Number of pages: 24 Posted: 22 Dec 2001
Working Paper Series
London Business School
Downloads 4,072
28.

The Quantification of Operational Risk

Number of pages: 38 Posted: 30 Dec 2003
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Basel

Multiple version iconThere are 2 versions of this paper

Downloads 4,020
29.

Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach

Rapport Interne CMAP Working Paper No. 490
Number of pages: 39 Posted: 22 Nov 2002
Working Paper Series
University of Oxford and ENSAE Paris
Downloads 4,007
30.

Managing Risk Exposures Using the Risk Budgeting Approach

Number of pages: 33 Posted: 23 Feb 2012 Last Revised: 10 Apr 2012
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 3,915
31.

Generalized Vanna-Volga Method and its Applications

Number of pages: 20 Posted: 30 Jul 2008 Last Revised: 13 Jul 2009
Working Paper Series
Optimal Selection Ltd.
Downloads 3,856
32.

Arbitrage-Free SVI Volatility Surfaces

Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Number of pages: 27 Posted: 03 Apr 2012 Last Revised: 15 Jan 2014
Accepted Paper Series
CUNY Baruch College and Imperial College London
Downloads 3,838
33.

Thickness and Information in Dynamic Matching Markets

Number of pages: 63 Posted: 15 Feb 2014 Last Revised: 09 Jan 2019
Working Paper Series
Stanford University, Harvard University - Society of Fellows and University of California, Berkeley
Downloads 3,813
34.

Analysis of Mortgage Backed Securities: Before and after the Credit Crisis

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42 Posted: 07 Jan 2007 Last Revised: 29 Jun 2018
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,705
35.

Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs

C. Burgard and M. Kjaer. Partial differential equation representations of derivatives with counterparty risk and funding costs. The Journal of Credit Risk, Vol. 7, No. 3, 1-19, 2011.
Number of pages: 19 Posted: 13 May 2010 Last Revised: 07 Aug 2014
Accepted Paper Series
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 3,670
36.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads 3,660
37.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 3,617
38.

Facts and Fantasies About Factor Investing

Number of pages: 112 Posted: 16 Nov 2014 Last Revised: 28 Nov 2014
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 3,555
39.

The Irony in the Derivatives Discounting

Number of pages: 10 Posted: 14 Mar 2007
Working Paper Series
muRisQ Advisory

Multiple version iconThere are 2 versions of this paper

Downloads 3,502
40.

Dynamic Mean-Variance Asset Allocation

EFA 2007 Ljubljana Meetings, AFA 2009 San Francisco Meetings Paper
Number of pages: 46 Posted: 27 Feb 2007 Last Revised: 09 Apr 2009
Working Paper Series
London Business School and London School of Economics and Political Science

Multiple version iconThere are 2 versions of this paper

Downloads 3,483
41.

Risk Parity Portfolios with Risk Factors

Number of pages: 32 Posted: 03 Oct 2012 Last Revised: 06 Oct 2012
Working Paper Series
Amundi Asset Management and affiliation not provided to SSRN
Downloads 3,477
42.

Technical Analysis and Theory of Finance

EFA 2007 Ljubljana Meetings Paper
Number of pages: 54 Posted: 05 Mar 2007
Working Paper Series
Tsinghua University - School of Economics & Management and Washington University in St. Louis - John M. Olin Business School
Downloads 3,401
43.

Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation

Number of pages: 35 Posted: 07 May 2012
Working Paper Series
Flexible Plan Investments, Ltd. and University of Delaware
Downloads 3,313
44.

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 3,263
45.

Trend Filtering Methods for Momentum Strategies

Number of pages: 49 Posted: 07 Jul 2013
Working Paper Series
Lyxor Asset Management, Millennium Capital Management, France branch, Eisler Capital and Amundi Asset Management
Downloads 3,216
46.

Pricing Under Rough Volatility

Quantitative Finance, Vol. 16, No. 6, 887-904, 2016.
Number of pages: 42 Posted: 25 Jan 2015 Last Revised: 13 Jun 2016
Accepted Paper Series
Weierstras Institute for Applied Analysis and Stochastics (WIAS), Technische Universität Berlin (TU Berlin) and CUNY Baruch College
Downloads 3,109
47.

The Free Boundary SABR: Natural Extension to Negative Rates

Number of pages: 17 Posted: 30 Jan 2015
Working Paper Series
Danske Bank - Danske Markets, Numerix and Numerix
Downloads 3,101
48.

A Boosting Approach for Automated Trading

Journal of Trading, Vol. 2, No. 3, pp. 84-96.
Number of pages: 10 Posted: 17 Oct 2006 Last Revised: 20 Feb 2013
Accepted Paper Series
Stevens Institute of Technology, School of Business and University of California, San Diego
Downloads 3,081
49.

An Agent-Based Model of the Flash Crash of May 6, 2010, with Policy Implications

Number of pages: 39 Posted: 07 Oct 2013 Last Revised: 27 Feb 2014
Working Paper Series
Rayleigh Research and University of Cambridge
Downloads 3,042
50.

Reproduction of Hierarchy? A Social Network Analysis of the American Law Professoriate

Journal of Legal Education, Vol. 61, No. 1, August 2011 , CELS 2009 4th Annual Conference on Empirical Legal Studies Paper
Number of pages: 28 Posted: 09 Mar 2009 Last Revised: 26 May 2011
Accepted Paper Series
Illinois Tech - Chicago Kent College of Law, Brigham Young University - Department of Political Science, University of Michigan at Ann Arbor - Center for Study of Complex Systems, Bommarito Consulting, LLC, University of Michigan - Department of Political Science and University of Pennsylvania - Children's Hospital of Philadelphia
Downloads 3,041