1.
The Intuition Behind Black-Litterman Model Portfolios
Number of pages: 27
Posted: 28 Oct 2002
Working Paper Series
Independent and Kepos Capital
Downloads
20,427
2.
Mathematical Finance Introduction to Continuous Time Financial Market Models
Number of pages: 129
Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads
12,265
3.
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
11,339
4.
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
9,895
5.
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
9,329
6.
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
8,019
7.
Discrete Time Finance
Number of pages: 104
Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads
6,094
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 Research New York City
Downloads
5,814
9.
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
5,634
10.
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
5,463
11.
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
5,312
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
5,274
13.
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
5,205
14.
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
5,018
15.
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
4,617
16.
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
4,568
17.
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
4,427
18.
A Model of Credit Risk, Optimal Policies, and Asset Prices
AFA 2002 Atlanta Meetings; NYU Finance Working Paper
Number of pages: 45
Posted: 21 Mar 2001
Working Paper Series
London Business School and New York University (NYU) - Department of Finance
There are 5 versions of this paper
A Model of Credit Risk, Optimal Policies, and Asset Prices
AFA 2002 Atlanta Meetings; NYU Finance Working Paper
Number of pages: 45
Posted: 21 Mar 2001
Downloads
4,405
A Model of Credit Risk, Optimal Policies, and Asset Prices
NYU Working Paper No. FIN-03-047
Number of pages: 46
Posted: 11 Nov 2008
Downloads
96
A Model of Credit Risk, Optimal Policies, and Asset Prices
NYU Working Paper No. S-CDM-03-20
Number of pages: 46
Posted: 05 Nov 2008
Downloads
77
A Model of Credit Risk, Optimal Policies, and Asset Prices
NYU Working Paper No. FIN-00-029
Number of pages: 41
Posted: 04 Nov 2008
Downloads
59
A Model of Credit Risk, Optimal Policies and Asset Prices
CEPR Discussion Paper No. 3413
Number of pages: 43
Posted: 31 Jul 2002
Downloads
32
Downloads
4,405
19.
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
4,338
20.
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 Merrill Lynch
Downloads
4,093
21.
Introduction to Fast Fourier Transform in Finance
Cass Business School Research Paper
Number of pages: 29
Posted: 29 Jun 2004
Working Paper Series
Cass Business School, City, University of London
Downloads
4,039
22.
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
4,038
23.
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
There are 2 versions of this paper
The Irony in the Derivatives Discounting Part II: The Crisis
Number of pages: 12
Posted: 14 Jul 2009
Last Revised: 19 Dec 2009
Downloads
4,016
The Irony in the Derivatives Discounting Part II: The Crisis
Wilmott Journal, Vol. 2, pp. 301-316, 2010
Posted: 28 Sep 2011
Downloads
4,016
24.
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 Ecole Polytechnique, Paris
Downloads
3,930
25.
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
There are 2 versions of this paper
The Quantification of Operational Risk
Journal of Risk, Vol. 8, No. 1, Fall 2005
Posted: 08 Nov 2005
Downloads
3,907
26.
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
3,756
27.
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
3,741
28.
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
University of California, Berkeley - School of Information, 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
3,725
29.
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
3,621
30.
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
3,569
31.
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
3,529
32.
FX Market Behavior and Valuation
Number of pages: 41
Posted: 12 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads
3,504
33.
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
3,457
34.
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
3,425
35.
The Irony in the Derivatives Discounting
Number of pages: 10
Posted: 14 Mar 2007
Working Paper Series
muRisQ Advisory
There are 2 versions of this paper
Downloads
3,389
36.
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
There are 2 versions of this paper
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
Downloads
3,344
Dynamic Mean-Variance Asset Allocation
CEPR Discussion Paper No. DP7256
Number of pages: 48
Posted: 19 May 2009
Downloads
2
Downloads
3,344
37.
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
3,343
38.
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
3,248
39.
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
3,202
40.
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
3,141
41.
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
3,130
42.
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
3,012
43.
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, Perelman School of Medicine, Children's Hospital of Philadelphia
Downloads
2,960
44.
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
2,939
45.
Arbitrage-Free Construction of the Swaption Cube
Number of pages: 13
Posted: 22 Jan 2009
Working Paper Series
Commerzbank Corporates & Markets and Commerzbank Corporates & Markets
Downloads
2,923
46.
Financial Statement Analysis: A Data Envelopment Analysis Approach
Number of pages: 11
Posted: 08 Aug 2008
Last Revised: 28 Nov 2018
Accepted Paper Series
University of Washington, Milgard School of Business-Accounting, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Downloads
2,863
47.
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
Triangle Intelligence and University of Cambridge
Downloads
2,839
48.
A Resolution to the NPV - IRR Debate?
Number of pages: 22
Posted: 05 Apr 2004
Last Revised: 04 Jan 2010
Working Paper Series
University of Sussex
Downloads
2,837
49.
Advanced Analytics for the SABR Model
Number of pages: 58
Posted: 26 Mar 2012
Last Revised: 05 Sep 2012
Working Paper Series
Standard Chartered Bank, London and Numerix
Downloads
2,834
50.
Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk
EFMA 2002 London Meetings; ISMA Centre Finance Discussion Paper No. 2001 Series, No. 2001-14
Number of pages: 58
Posted: 19 Dec 2001
Working Paper Series
University of Reading - ICMA Centre
Downloads
2,826
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