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
23,518
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
20,760
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
18,222
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
17,633
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
13,676
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
254
Downloads
13,676
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
12,455
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
12,148
8.
Understanding VIX
Number of pages: 13
Posted: 09 Nov 2008
Last Revised: 08 Dec 2008
Working Paper Series
Vanderbilt University - Finance
Downloads
11,895
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
11,512
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
11,084
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
10,835
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
10,123
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
University of Pennsylvania Law School and University of California, Berkeley - School of Law
Downloads
9,870
14.
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
9,813
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
9,560
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
9,524
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
9,411
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
340
Downloads
9,411
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
9,348
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
9,261
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
8,652
21.
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
8,510
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
8,510
22.
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
8,347
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
8,334
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
8,308
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
8,265
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
8,172
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
8,099
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
7,759
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
7,582
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
7,582
30.
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
7,408
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
7,408
31.
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
7,369
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
6,975
33.
A Multi-Currency Model with FX Volatility Skew
Number of pages: 25
Posted: 05 Apr 2005
Working Paper Series
Independent
Downloads
6,862
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
6,801
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
6,621
36.
On Default Correlation: A Copula Function Approach
Number of pages: 28
Posted: 09 Dec 1999
Working Paper Series
AIG Asset Management
Downloads
6,519
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
6,496
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
6,296
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
6,164
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
6,132
High-Water Marks and Hedge Fund Management Contracts
Journal of Finance, Vol. 58, pp. 1685-1718, August 2003
Posted: 30 Nov 2003
Downloads
6,132
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
6,055
42.
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
6,004
43.
The Boy's Guide to Pricing & Hedging
Number of pages: 5
Posted: 17 Jan 2003
Working Paper Series
Columbia University
Downloads
6,001
44.
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
5,760
45.
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
5,742
The Subprime Panic
NBER Working Paper No. w14398
Number of pages: 40
Posted: 10 Oct 2008
Last Revised: 14 Oct 2008
Downloads
318
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
5,742
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
5,673
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
University of Arizona - James E. Rogers College of Law
Downloads
5,611
48.
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
5,537
49.
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
5,484
50.
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
5,227
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