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
23,857
2.
The Black-Litterman Approach: Original Model and Extensions
Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010
Number of pages: 17
Posted: 08 Apr 2008
Last Revised: 13 Oct 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
20,923
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
18,278
4.
Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
Number of pages: 20
Posted: 15 May 2009
Last Revised: 06 Dec 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
17,738
5.
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
13,771
The Fundamentals of Commodity Futures Returns
NBER Working Paper No. w13249
Number of pages: 63
Posted: 13 Jul 2007
Last Revised: 15 Sep 2010
Downloads
255
Downloads
13,771
6.
Managing Diversification
Risk, pp. 74-79, May 2009, Bloomberg Education & Quantitative Research and Education Paper
Number of pages: 23
Posted: 13 Mar 2009
Last Revised: 11 Oct 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
12,554
7.
Fully Flexible Views: Theory and Practice
Fully Flexible Views: Theory and Practice, Risk, Vol. 21, No. 10, pp. 97-102, October 2008
Number of pages: 26
Posted: 10 Aug 2008
Last Revised: 06 Dec 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
12,241
8.
Understanding VIX
Number of pages: 13
Posted: 09 Nov 2008
Last Revised: 08 Dec 2008
Working Paper Series
Vanderbilt University - Finance
Downloads
11,978
9.
A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models
Number of pages: 58
Posted: 30 Aug 2003
Working Paper Series
Independent
Downloads
11,523
10.
'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance
GARP Risk Professional, pp. 47-50, February 2011
Number of pages: 8
Posted: 23 Jan 2011
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
11,221
11.
Valuing Real Options: Frequently Made Errors
Number of pages: 15
Posted: 20 Jul 2001
Last Revised: 17 Oct 2017
Working Paper Series
University of Navarra - IESE Business School
Downloads
10,858
12.
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
10,374
13.
Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation
Number of pages: 38
Posted: 18 Oct 2014
Last Revised: 15 Jul 2015
Working Paper Series
Boston University - Department of Finance & Economics
Downloads
9,933
14.
The Promise and Perils of Credit Derivatives
University of Cincinnati Law Review, Vol. 75, p. 1019, 2007, U of Penn, Inst for Law & Econ Research Paper No. 06-22, U of Penn Law School, Public Law Working Paper No. 06-36, San Diego Legal Studies Paper No. 07-74
Number of pages: 33
Posted: 13 Sep 2006
Last Revised: 20 Mar 2010
Accepted Paper Series
University of Pennsylvania Law School and University of California, Berkeley - School of Law
Downloads
9,893
15.
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
9,633
16.
Fuel Hedging in the Airline Industry: The Case of Southwest Airlines
Number of pages: 33
Posted: 21 Aug 2004
Working Paper Series
Oklahoma State University - Stillwater - Department of Finance, Portland State University - School of Business Administration and Oklahoma State University - Stillwater - Department of Finance
Downloads
9,560
17.
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
9,473
The Tactical and Strategic Value of Commodity Futures
NBER Working Paper No. w11222
Number of pages: 46
Posted: 29 Apr 2005
Last Revised: 01 Sep 2010
Downloads
345
Downloads
9,473
18.
How and Why Credit Rating Agencies are Not Like Other Gatekeepers
FINANCIAL GATEKEEPERS: CAN THEY PROTECT INVESTORS?, Yasuyuki Fuchita, Robert E. Litan, eds., Brookings Institution Press and the Nomura Institute of Capital Markets Research, 2006, San Diego Legal Studies Paper No. 07-46
Number of pages: 45
Posted: 04 May 2006
Accepted Paper Series
University of California, Berkeley - School of Law
Downloads
9,407
19.
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
9,288
20.
Manipulation in the VIX?
Number of pages: 58
Posted: 24 May 2017
Working Paper Series
University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Downloads
8,878
21.
Preparing a Referee Report: Guidelines and Perspectives
Number of pages: 9
Posted: 11 Jan 2015
Last Revised: 21 Dec 2016
Working Paper Series
Stanford Graduate School of Business, Duke University - Fuqua School of Business and University of California, Irvine - Paul Merage School of Business
Downloads
8,593
22.
Risk Management Failures: What are They and When do They Happen?
Fisher College of Business Working Paper No. 2008-03-017, Charles A. Dice Center Working Paper No. 2008-18
Number of pages: 25
Posted: 06 Oct 2008
Working Paper Series
Ohio State University (OSU) - Department of Finance
There are 2 versions of this paper
Risk Management Failures: What are They and When do They Happen?
Fisher College of Business Working Paper No. 2008-03-017, Charles A. Dice Center Working Paper No. 2008-18
Number of pages: 25
Posted: 06 Oct 2008
Downloads
8,574
Risk Management Failures: What are They and When do They Happen?
Journal of Applied Corporate Finance, Vol. 20, No. 4, pp. 39-48, Fall 2008
Number of pages: 12
Posted: 18 Dec 2008
Downloads
6
Downloads
8,574
23.
Collateralized Debt Obligations and Credit Risk Transfer
Yale ICF Working Paper No. 07-06
Number of pages: 14
Posted: 02 Jul 2007
Working Paper Series
UBS - CDO Research, The Urban Institute - Housing Finance Policy Center and EDHEC Business School
Downloads
8,366
24.
Economists' Hubris - The Case of Risk Management
Journal of Financial Transformation, Vol. 28, pp. 25-35, April 2010
Number of pages: 10
Posted: 16 Feb 2010
Last Revised: 17 Mar 2010
Accepted Paper Series
Capco Institute and Aston Business School
Downloads
8,314
25.
Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication
Alternative Investment Research Centre Working Paper No. 27, Cass Business School Research Paper
Number of pages: 52
Posted: 30 Nov 2005
Working Paper Series
Independent and Independent
Downloads
8,275
26.
Phynance
Univ. J. Phys. Appl. 9(2) (2015) 64-133
Number of pages: 111
Posted: 08 May 2014
Last Revised: 12 Apr 2015
Accepted Paper Series
Quantigic Solutions LLC
Downloads
8,255
27.
Do Hedge Funds Hedge?
Number of pages: 21
Posted: 10 Jan 2001
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads
8,141
28.
A Multifractal Model of Asset Returns
Cowles Foundation Discussion Paper No. 1164, Sauder School of Business Working Paper
Number of pages: 33
Posted: 21 Apr 1998
Working Paper Series
Yale University - International Center for Finance, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School - Department of Economics & Finance
Downloads
7,799
29.
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
7,605
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
7,605
30.
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
7,456
31.
Portfolio Performance Manipulation and Manipulation-Proof Performance Measures
Yale ICF Working Paper No. 02-08, AFA 2003 Washington, DC Meetings
Number of pages: 48
Posted: 22 Mar 2002
Working Paper Series
Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance, Yale University - Yale School of Management, International Center for Finance and University of California, Los Angeles (UCLA)
There are 2 versions of this paper
Portfolio Performance Manipulation and Manipulation-Proof Performance Measures
Yale ICF Working Paper No. 02-08, AFA 2003 Washington, DC Meetings
Number of pages: 48
Posted: 22 Mar 2002
Downloads
7,420
Portfolio Performance Manipulation and Manipulation-Proof Performance Measures
The Review of Financial Studies, Vol. 20, Issue 5, pp. 1503-1546, 2007
Posted: 26 Jun 2008
Downloads
7,420
32.
Momentum Strategies in Futures Markets and Trend-following Funds
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 60
Posted: 06 Dec 2011
Last Revised: 12 Oct 2015
Working Paper Series
Imperial College Business School and Imperial College Business School
Downloads
7,054
33.
A Multi-Currency Model with FX Volatility Skew
Number of pages: 25
Posted: 05 Apr 2005
Working Paper Series
Independent
Downloads
6,878
34.
Valuing Interest Rate Swaps Using OIS Discounting
Boston U. School of Management Research Paper No. 2012-11
Number of pages: 26
Posted: 09 Apr 2012
Last Revised: 12 Jul 2012
Working Paper Series
Boston University - Department of Finance & Economics
Downloads
6,870
35.
Credit Risk Modeling and Valuation: An Introduction
Number of pages: 67
Posted: 21 Dec 2003
Working Paper Series
Stanford University - Management Science & Engineering
Downloads
6,679
36.
On Default Correlation: A Copula Function Approach
Number of pages: 28
Posted: 09 Dec 1999
Working Paper Series
AIG Asset Management
Downloads
6,595
37.
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
6,540
38.
Calibration Methods of Hull-White Model
Number of pages: 43
Posted: 29 Nov 2009
Last Revised: 31 May 2010
Working Paper Series
Mizuho Securities Co. Ltd - Mizuho International, Mizuho Securities Co. Ltd and affiliation not provided to SSRN
Downloads
6,341
39.
A Stochastic Volatility Forward Libor Model with a Term Structure of Volatility Smiles
Number of pages: 46
Posted: 24 Nov 2003
Working Paper Series
Independent
Downloads
6,173
40.
High-Water Marks and Hedge Fund Management Contracts
Yale ICF Working Paper No. 00-34
Number of pages: 41
Posted: 08 Feb 1998
Working Paper Series
Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
High-Water Marks and Hedge Fund Management Contracts
Yale ICF Working Paper No. 00-34
Number of pages: 41
Posted: 08 Feb 1998
Downloads
6,144
High-Water Marks and Hedge Fund Management Contracts
Journal of Finance, Vol. 58, pp. 1685-1718, August 2003
Posted: 30 Nov 2003
Downloads
6,144
41.
Characteristics of Risk and Return in Risk Arbitrage
Number of pages: 54
Posted: 30 May 2001
Working Paper Series
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads
6,075
42.
The Boy's Guide to Pricing & Hedging
Number of pages: 5
Posted: 17 Jan 2003
Working Paper Series
Columbia University
Downloads
6,067
43.
A Note on Construction of Multiple Swap Curves with and without Collateral
CARF Working Paper Series No. CARF-F-154
Number of pages: 20
Posted: 30 Jul 2009
Last Revised: 29 Jan 2010
Working Paper Series
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads
6,010
44.
151 Trading Strategies
Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland:
Palgrave Macmillan, an imprint of Springer Nature (Forthcoming)
Number of pages: 257
Posted: 13 Sep 2018
Accepted Paper Series
Quantigic Solutions LLC and University of CEMA
Downloads
5,852
45.
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
5,787
46.
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
5,784
47.
The Subprime Panic
Yale ICF Working Paper No. 08-25
Number of pages: 40
Posted: 01 Oct 2008
Working Paper Series
Yale School of Management
There are 3 versions of this paper
Downloads
5,757
The Subprime Panic
NBER Working Paper No. w14398
Number of pages: 40
Posted: 10 Oct 2008
Last Revised: 14 Oct 2008
Downloads
321
The Subprime Panic
European Financial Management, Vol. 15, No. 1, pp. 10-46, January 2009
Number of pages: 37
Posted: 02 Jan 2009
Downloads
8
Downloads
5,757
48.
The AIG Bailout
Washington and Lee Law Review, Vol. 66, p. 943, 2009
Number of pages: 49
Posted: 19 Feb 2009
Last Revised: 04 Apr 2015
Accepted Paper Series
University of Arizona - James E. Rogers College of Law
Downloads
5,628
49.
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
5,553
50.
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
5,499
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