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Econometric Modeling: Derivatives eJournal

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Viewing: 1 - 50 of 4,879 papers

1.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361 Posted: 13 Sep 2018 Last Revised: 16 Sep 2019
Accepted Paper Series
Quantigic Solutions LLC and University of CEMA
Downloads 50,147
2.

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 13,698
3.

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 11,100
4.

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 Group plc
Downloads 8,006
5.

Finding Yield in a 2% World

Number of pages: 7 Posted: 04 Feb 2016
Working Paper Series
Cambria Investment Management
Downloads 7,601
6.

Why Indexing Works

Applied Stochastic Models in Business and Industry 33 (6), 690-693.
Number of pages: 7 Posted: 14 Oct 2015 Last Revised: 29 Apr 2019
Accepted Paper Series
One Hat Research LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 6,474
7.

Two Centuries of Price Return Momentum

Financial Analysts Journal, Vol. 72, No. 5 (September/October 2016), Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58 Posted: 12 Jul 2013 Last Revised: 10 Sep 2020
Working Paper Series
University of Pennsylvania - The Wharton School, Finance Department and Two Centuries Investments
Downloads 5,870
8.

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 5,108
9.

Is There a Dark Side to Exchange Traded Funds? An Information Perspective

Review of Accounting Studies, Vol. 22, Pages 1048-1083, 2017
Number of pages: 56 Posted: 03 Jul 2015 Last Revised: 09 Aug 2017
Accepted Paper Series
IDC Herzliya - Arison School of Business, Stanford University - Graduate School of Business and Emory University - Goizueta Business School
Downloads 4,819
10.

Rebalancing Risk

Number of pages: 34 Posted: 30 Aug 2014 Last Revised: 04 Oct 2014
Working Paper Series
Man AHL, Independent, Duke University - Fuqua School of Business, Man Group plc and Man - AHL
Downloads 4,558
11.

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 4,127
12.

Risk Premia and the VIX Term Structure

Journal of Financial and Quantitative Analysis 52 (2017), 2461-2490
Number of pages: 50 Posted: 11 Jan 2015 Last Revised: 17 Oct 2018
Accepted Paper Series
The University of Texas at Austin
Downloads 4,107
13.

Lognormal vs Normal Volatilities and Sensitivities in Practice

Number of pages: 20 Posted: 08 Nov 2015 Last Revised: 20 Mar 2016
Working Paper Series
Independent, Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, Independent and Independent
Downloads 3,980
14.

The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?

Number of pages: 26 Posted: 31 May 2019
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man Group plc, Man AHL, Man Numeric and Man AHL
Downloads 3,846
15.

A Closed-Form GARCH Option Pricing Model

97-9
Number of pages: 34 Posted: 08 Jun 1998
Working Paper Series
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Downloads 3,623
16.

Trend-Following, Risk-Parity and the Influence of Correlations

"Risk-Based and Factor Investing", Elsevier & ISTE Press, 2015 (Forthcoming)
Number of pages: 25 Posted: 14 Oct 2015 Last Revised: 24 Dec 2015
Accepted Paper Series
Imperial College Business School
Downloads 3,176
17.

Coping with Negative Short-Rates

Wilmott Magazine 2016(81) (2016) 58-68
Number of pages: 30 Posted: 10 Feb 2015 Last Revised: 25 Jan 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads 3,136
18.

SABR Calibration in Python

Number of pages: 10 Posted: 01 Feb 2016
Working Paper Series
Independent
Downloads 3,135
19.

Exotics and Electrons: Electric Power Crises and Financial Risk Management

Journal of Business, Forthcoming
Number of pages: 56 Posted: 15 Jan 2002 Last Revised: 26 Mar 2018
Accepted Paper Series
Stevens Institute of Technology and University of Oxford - Said Business School
Downloads 3,124
20.

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 3,105
21.

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
22.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 3,070
23.

Curves and Term Structure Models: Definition, Calibration and Application of Rate Curves and Term Structure Models

Number of pages: 22 Posted: 01 Jan 2013 Last Revised: 11 Apr 2013
Working Paper Series
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 3,026
24.

Algunos Swaps de Tipos de Interés (Some Interest Rate Swaps)

IESE Business School Working Paper No. WP-1063
Number of pages: 24 Posted: 19 Dec 2012 Last Revised: 24 Jan 2018
Working Paper Series
IESE Business School
Downloads 2,962
25.

The Price of Political Uncertainty: Theory and Evidence from the Option Market

Fama-Miller Working Paper
Number of pages: 69 Posted: 19 Nov 2013 Last Revised: 26 Jun 2016
Working Paper Series
Yale SOM, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 2,956
26.

VIX Futures Basis Trading: The Calvados-Strategy 2.0

Sibyl-Working-Paper, Jan 2014
Number of pages: 16 Posted: 16 Jan 2014 Last Revised: 21 Jan 2014
Working Paper Series
Nimzowerkstatt OEG
Downloads 2,939
27.

Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR

Number of pages: 25 Posted: 05 Mar 2019 Last Revised: 13 Feb 2020
Working Paper Series
Quantitative Risk Management, Inc. and Bloomberg L.P.
Downloads 2,911
28.

Covered Calls Uncovered

Financial Analysts Journal, Vol. 71, No. 6, November/December 2015
Number of pages: 24 Posted: 04 Jun 2014 Last Revised: 27 Jan 2017
Accepted Paper Series
NDVR, Inc. and AQR Capital Management, LLC
Downloads 2,881
29.

Which Index Options Should You Sell?

Number of pages: 35 Posted: 28 Jun 2017 Last Revised: 01 Jul 2017
Working Paper Series
NDVR, Inc. and AQR Capital Management, LLC
Downloads 2,632
30.

Strategic Rebalancing

Number of pages: 25 Posted: 17 Feb 2019 Last Revised: 20 Dec 2019
Working Paper Series
Man Group plc, Man AHL, Duke University - Fuqua School of Business and Man AHL
Downloads 2,531
31.

Valuing Derivatives: Funding Value Adjustments and Fair Value

Financial Analysts Journal, volume 70, no.3 (May/June 2014), Rotman School of Management Working Paper No. 2245821
Number of pages: 27 Posted: 07 Apr 2013 Last Revised: 07 Sep 2017
Accepted Paper Series
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 2,454
32.

QLBS: Q-Learner in the Black-Scholes (-Merton) Worlds

Number of pages: 30 Posted: 15 Dec 2017 Last Revised: 04 Sep 2019
Working Paper Series
Fidelity Investments, Inc.
Downloads 2,438
33.

Derivatives and Corporate Risk Management: Participation and Volume Decisions in the Insurance Industry

Forthcoming
Number of pages: 49 Posted: 27 May 1998 Last Revised: 08 Aug 2018
Accepted Paper Series
Temple University - Risk Management & Insurance & Actuarial Science, Georgia State University - Risk Management & Insurance Department and (Deceased)

Multiple version iconThere are 2 versions of this paper

Downloads 2,427
34.

Hedge Funds: A Survey of the Academic Literature

Foundations and Trends in Finance, Forthcoming
Number of pages: 120 Posted: 27 Aug 2015
Accepted Paper Series
Georgia State University, University of Central Florida and London Business School - Institute of Finance and Accounting
Downloads 2,340
35.

Option Pricing Model: Comparing Louis Bachelier with Black-Scholes Merton

Number of pages: 45 Posted: 22 May 2016
Working Paper Series
University of St Joseph
Downloads 2,299
36.

Explicit SABR Calibration Through Simple Expansions

Number of pages: 21 Posted: 18 Jul 2014
Working Paper Series
Calypso Technology and Clarus Financial Technology
Downloads 2,283
37.

Trends Everywhere

Journal of Investment Management, Forthcoming, NYU Stern School of Business
Number of pages: 26 Posted: 17 May 2019
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,275
38.

Option Return Predictability

27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 66 Posted: 06 Dec 2015 Last Revised: 08 Jun 2020
Working Paper Series
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Toronto, Rotman School of Management, School of Business, Renmin University of China and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 2,256
39.

An Explicit Implied Volatility Formula

International Journal of Theoretical and Applied Finance, Vol. 20, no. 7, 2017
Number of pages: 24 Posted: 01 Feb 2017 Last Revised: 25 Jul 2018
Working Paper Series
Baruch College, City University of New York and CUNY Baruch College
Downloads 2,218
40.

Optimal Delta Hedging for Options

Journal of Banking and Finance, 82, September 2017, 180-190.
Number of pages: 33 Posted: 09 Sep 2015 Last Revised: 18 Sep 2017
Accepted Paper Series
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 2,205
41.

Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction

Number of pages: 319 Posted: 10 Jun 2018
Working Paper Series
Business School (formerly Cass) - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 2,162
42.

Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance

Duke I&E Research Paper No. 2017-01
Number of pages: 20 Posted: 22 May 2019 Last Revised: 24 Jun 2019
Accepted Paper Series
Duke University - Fuqua School of Business, Man Group plc, Realindex Investments and Man AHL
Downloads 2,160
43.

Asset Management

Number of pages: 544 Posted: 02 Jan 2016 Last Revised: 27 Jan 2020
Working Paper Series
University of Basel
Downloads 2,097
44.

Basis-momentum

Journal of Finance, Forthcoming
Number of pages: 82 Posted: 02 Apr 2015 Last Revised: 12 Dec 2017
Accepted Paper Series
New University of Lisbon - Nova School of Business and Economics and Nova School of Business and Economics
Downloads 2,069
45.

The Impact of Volatility Targeting

Number of pages: 28 Posted: 17 May 2018 Last Revised: 11 Jul 2018
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc, Man AHL and Man AHL
Downloads 2,015
46.

Calibrating Option Pricing Models with Heuristics

NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Anthony Brabazon, Michael O'Neill, Dietmar Maringer, eds., Vol. 4, Springer, 2011
Number of pages: 39 Posted: 08 Mar 2010 Last Revised: 30 Dec 2013
Accepted Paper Series
University of Geneva - Research Center for Statistics and Independent
Downloads 2,013
47.

Give Credit Where Credit is Due: What Explains Corporate Bond Returns?

Number of pages: 54 Posted: 24 Apr 2019 Last Revised: 10 Jun 2019
Working Paper Series
NDVR, Inc.
Downloads 1,971
48.

Breaking Bad Trends

Number of pages: 22 Posted: 03 Jun 2020 Last Revised: 11 Dec 2020
Working Paper Series
Research Affiliates LLC, Research Affiliates, LLC, Duke University - Fuqua School of Business and Research Affiliates, LLC
Downloads 1,960
49.

Central Clearing and Risk Transformation

Norges Bank Working Paper 3/2017
Number of pages: 21 Posted: 20 Apr 2017
Working Paper Series
University of Oxford
Downloads 1,942
50.

Commodity Futures Trading Strategies: Trend-Following and Calendar Spreads

Number of pages: 5 Posted: 30 Mar 2017
Working Paper Series
Premia Research LLC and Premia Research LLC
Downloads 1,916