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Viewing: 1 - 50 of 10,077 papers

1.

Option Traders Use (very) Sophisticated Heuristics, Never the Black–Scholes–Merton Formula

Journal of Economic Behavior and Organization, Vol. 77, No. 2, 2011
Number of pages: 11 Posted: 11 Sep 2007 Last Revised: 16 Nov 2012
Accepted Paper Series
Espen Gaarder Haug and Nassim Nicholas Taleb
affiliation not provided to SSRN and NYU-Tandon School of Engineering
Downloads 55,530
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
Austin Murphy
Oakland University - School of Business Administration
Downloads 21,436
3.

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
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 19,311
4.

Risk Management Lessons from Long-Term Capital Management

Number of pages: 27 Posted: 02 Aug 1999
Working Paper Series
Philippe Jorion
University of California, Irvine - Paul Merage School of Business
Downloads 17,765
5.

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
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 16,648
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
Gary B. Gorton, Fumio Hayashi and K. Geert Rouwenhorst
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 13,261
7.

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
Vladimir Piterbarg
Independent
Downloads 11,458
8.

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
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 11,339
9.

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
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 11,300
10.

Understanding VIX

Number of pages: 13 Posted: 09 Nov 2008 Last Revised: 08 Dec 2008
Working Paper Series
Robert E. Whaley
Vanderbilt University - Finance
Downloads 11,215
11.

Valuing Real Options: Frequently Made Errors

Number of pages: 16 Posted: 20 Jul 2001 Last Revised: 22 Nov 2015
Working Paper Series
Pablo Fernandez
University of Navarra - IESE Business School
Downloads 10,393
12.

'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
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 9,895
13.

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
David A. Skeel Jr. and Frank Partnoy
University of Pennsylvania Law School and University of San Diego School of Law
Downloads 9,665
14.

The Illusions of Dynamic Replication

Quantitative Finance, Vol. 5, No. 4, pp. 323-326, August 2005
Number of pages: 5 Posted: 09 May 2005 Last Revised: 16 Nov 2012
Accepted Paper Series
Emanuel Derman and Nassim Nicholas Taleb
Columbia University and NYU-Tandon School of Engineering
Downloads 9,594
15.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999
Working Paper Series
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 9,110
16.

Fuel Hedging in the Airline Industry: The Case of Southwest Airlines

Number of pages: 33 Posted: 21 Aug 2004
Working Paper Series
David Carter, Daniel A. Rogers and Betty J. Simkins
Oklahoma State University - Stillwater - Department of Finance, Portland State University - School of Business Administration and Oklahoma State University - Stillwater - Department of Finance
Downloads 9,093
17.

The Tactical and Strategic Value of Commodity Futures

Number of pages: 61 Posted: 03 Feb 2005
Working Paper Series
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 8,951
18.

Efficient Simulation of the Heston Stochastic Volatility Model

Number of pages: 38 Posted: 22 Nov 2006
Working Paper Series
Leif B. G. Andersen
Bank of America Merrill Lynch
Downloads 8,946
19.

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
Frank Partnoy
University of San Diego School of Law
Downloads 8,803
20.

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
Donald J. Smith
Boston University - Department of Finance & Economics
Downloads 8,339
21.

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
Shahin Shojai and George Feiger
Capco Institute and Aston Business School
Downloads 8,253
22.

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
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 8,140
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
Douglas J. Lucas, Laurie S. Goodman and Frank J. Fabozzi
UBS - CDO Research, The Urban Institute - Housing Finance Policy Center and EDHEC Business School
Downloads 8,101
24.

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
Ferdinando M. Ametrano and Marco Bianchetti
Milan Bicocca University - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 7,843
25.

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
René M. Stulz
Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 7,751
26.

Do Hedge Funds Hedge?

Number of pages: 21 Posted: 10 Jan 2001
Working Paper Series
Clifford S. Asness, Robert Krail and John M. Liew
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 7,712
27.

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
Benoit B. Mandelbrot, Adlai J. Fisher and Laurent E. Calvet
Yale University - International Center for Finance, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School - Department of Economics & Finance
Downloads 7,545
28.

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
Marco Bianchetti
Intesa Sanpaolo - Financial and Market Risk Management

Multiple version iconThere are 2 versions of this paper

Downloads 7,357
29.

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
William N. Goetzmann, Jonathan E. Ingersoll Jr., Matthew I. Spiegel and Ivo Welch
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)

Multiple version iconThere are 2 versions of this paper

Downloads 7,307
30.

Preparing a Referee Report: Guidelines and Perspectives

Number of pages: 9 Posted: 11 Jan 2015 Last Revised: 21 Dec 2016
Working Paper Series
Jonathan Berk, Campbell R. Harvey and David A. Hirshleifer
Stanford Graduate School of Business, Duke University - Fuqua School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 7,096
31.

A Multi-currency Model with FX Volatility Skew

Number of pages: 25 Posted: 05 Apr 2005
Working Paper Series
Vladimir Piterbarg
Independent
Downloads 6,794
32.

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
Zura Kakushadze
Quantigic Solutions LLC
Downloads 6,530
33.

Calculating the VIX in Excel

Number of pages: 12 Posted: 08 Mar 2008
Working Paper Series
Tom Arnold and John H. Earl
University of Richmond - E. Claiborne Robins School of Business and University of Richmond - E. Claiborne Robins School of Business
Downloads 6,393
34.

Credit Risk Modeling and Valuation: An Introduction

Number of pages: 67 Posted: 21 Dec 2003
Working Paper Series
Kay Giesecke
Stanford University - Management Science & Engineering
Downloads 6,307
35.

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
Nick Baltas and Robert Kosowski
Imperial College Business School and Imperial College Business School
Downloads 6,301
36.

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
Fabio Mercurio
Bloomberg L.P.
Downloads 6,260
37.

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
Donald J. Smith
Boston University - Department of Finance & Economics
Downloads 6,201
38.

On Default Correlation: A Copula Function Approach

Number of pages: 28 Posted: 09 Dec 1999
Working Paper Series
David X. Li
AIG Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 6,158
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
Vladimir Piterbarg
Independent
Downloads 6,103
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
William N. Goetzmann, Jonathan E. Ingersoll Jr. and Stephen A. Ross
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

Multiple version iconThere are 2 versions of this paper

Downloads 6,037
41.

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
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 5,932
42.

Characteristics of Risk and Return in Risk Arbitrage

Number of pages: 54 Posted: 30 May 2001
Working Paper Series
Mark L. Mitchell and Todd C. Pulvino
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 5,849
43.

Calibration Methods of Hull-White Model

Number of pages: 43 Posted: 29 Nov 2009 Last Revised: 31 May 2010
Working Paper Series
Sebastien Gurrieri, Masaki Nakabayashi and Tony Wong
Mizuho Securities Co. Ltd - Mizuho International, Mizuho Securities Co. Ltd and affiliation not provided to SSRN
Downloads 5,775
44.

The Subprime Panic

Yale ICF Working Paper No. 08-25
Number of pages: 40 Posted: 01 Oct 2008
Working Paper Series
Gary B. Gorton
Yale School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 5,666
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
Leif B. G. Andersen
Bank of America Merrill Lynch
Downloads 5,536
46.

The Boy's Guide to Pricing & Hedging

Number of pages: 5 Posted: 17 Jan 2003
Working Paper Series
Emanuel Derman
Columbia University
Downloads 5,535
47.

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
William K. Sjostrom Jr.
University of Arizona - James E. Rogers College of Law
Downloads 5,427
48.

Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals

Number of pages: 75 Posted: 27 Dec 2007
Working Paper Series
Harvey J. Stein
Bloomberg L.P.
Downloads 5,369
49.

Calibration and Implementation of Convertible Bond Models

Number of pages: 39 Posted: 28 Mar 2003
Working Paper Series
Leif B. G. Andersen and Dan Buffum
Bank of America Merrill Lynch and Bank of America
Downloads 5,319
50.

Markovian Projection Method for Volatility Calibration

Number of pages: 22 Posted: 06 Jun 2006
Working Paper Series
Vladimir Piterbarg
Independent
Downloads 5,065
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