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Econometric Modeling: Derivatives eJournal

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Viewing: 1 - 50 of 4,309 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: 271 Posted: 13 Sep 2018 Last Revised: 19 Jun 2019
Accepted Paper Series
Quantigic Solutions LLC and University of CEMA
Downloads 17,009
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 11,393
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 10,333
4.

Finding Yield in a 2% World

Number of pages: 7 Posted: 04 Feb 2016
Working Paper Series
Cambria Investment Management
Downloads 7,424
5.

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 6,515
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
J.B. Heaton, P.C., University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 6,002
7.

Two Centuries of Price Return Momentum

Financial Analysts Journal, Vol. 72, No. 5 (September/October 2016)
Number of pages: 58 Posted: 12 Jul 2013 Last Revised: 04 Sep 2016
Working Paper Series
University of Pennsylvania - The Wharton School, Finance Department and Two Centuries Investments
Downloads 5,558
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 4,560
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 4,444
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 4,283
11.

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 3,533
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 3,508
13.

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 3,117
14.

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 2,842
15.

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, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 2,830
16.

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 2,828
17.

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 2,802
18.

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 2,801
19.

The Free Boundary SABR: Natural Extension to Negative Rates

Number of pages: 17 Posted: 30 Jan 2015
Working Paper Series
Standard Chartered Bank, London, Numerix and Numerix
Downloads 2,799
20.

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 2,780
21.

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 2,765
22.

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
University of Navarra - IESE Business School
Downloads 2,724
23.

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
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,668
24.

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 2,612
25.

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 2,386
26.

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 2,357
27.

SABR Calibration in Python

Number of pages: 10 Posted: 01 Feb 2016
Working Paper Series
Independent
Downloads 2,105
28.

Which Index Options Should You Sell?

Number of pages: 35 Posted: 28 Jun 2017 Last Revised: 01 Jul 2017
Working Paper Series
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,026
29.

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 1,890
30.

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 1,883
31.

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 1,875
32.

Option Return Predictability

27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 60 Posted: 06 Dec 2015 Last Revised: 14 Jan 2018
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 1,814
33.

Asset Management

Number of pages: 511 Posted: 02 Jan 2016 Last Revised: 30 Jun 2019
Working Paper Series
University of Basel
Downloads 1,803
34.

Volatility of Aggregate Volatility and Hedge Fund Returns

Journal of Financial Economics, Vol. 125, No. 3, 491-510, 2017
Number of pages: 64 Posted: 29 Sep 2014 Last Revised: 09 Aug 2019
Accepted Paper Series
Georgia State University, NEOMA Business School and London Business School - Institute of Finance and Accounting
Downloads 1,786
35.

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 1,777
36.

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 1,762
37.

Systemic Risk and Central Clearing Counterparty Design

Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46 Posted: 09 Jun 2013 Last Revised: 01 Mar 2017
Working Paper Series
J. Mack Robinson College of Business, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 1,724
38.

Commodities for the Long Run

Number of pages: 24 Posted: 21 Oct 2016 Last Revised: 27 Jul 2017
Working Paper Series
AQR Capital Management, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 1,698
39.

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 1,697
40.

Indexing and Active Fund Management: International Evidence

Journal of Financial Economics (JFE), Forthcoming, Darden Business School Working Paper No. 2558724
Number of pages: 73 Posted: 03 Feb 2015
Accepted Paper Series
University of Notre Dame, Nova School of Business and Economics, University of Virginia - Darden School of Business and University of Texas at Austin - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,662
41.

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
AQR Capital Management, LLC
Downloads 1,652
42.

Investment Strategies with VIX and VSTOXX Futures

Number of pages: 44 Posted: 08 Nov 2013 Last Revised: 02 Dec 2013
Working Paper Series
University of Kent - Kent Business School and University of Kent - Kent Business School
Downloads 1,634
43.

Option-Implied Correlations and the Price of Correlation Risk

Advanced Risk & Portfolio Management Paper
Number of pages: 47 Posted: 26 Oct 2012 Last Revised: 19 Apr 2016
Working Paper Series
Tilburg University - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Frankfurt School of Finance & Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,619
44.

Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option

Number of pages: 53 Posted: 21 Aug 2014 Last Revised: 14 Sep 2014
Working Paper Series
Global Valuation and Bank of America Merrill Lynch
Downloads 1,617
45.

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

Number of pages: 34 Posted: 15 Dec 2017 Last Revised: 26 Dec 2017
Working Paper Series
New York University (NYU) - NYU Tandon School of Engineering
Downloads 1,603
46.

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 1,571
47.

Derivatives on Volatility: Some Simple Solutions Based on Observables

Federal Reserve Bank of Atlanta WP No. 2000-20, November 2000
Number of pages: 21 Posted: 07 Nov 2000
Working Paper Series
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Downloads 1,571
48.

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 1,540
49.

The VIX, the Variance Premium and Stock Market Volatility

Journal of Econometrics, Vol. 183, No. 2, pp. 181-192, December, 2014
Number of pages: 38 Posted: 17 Apr 2013 Last Revised: 17 Sep 2015
Working Paper Series
Columbia Business School - Finance and Economics and European Central Bank (ECB)

Multiple version iconThere are 4 versions of this paper

Downloads 1,535
50.

Strategic Rebalancing

Number of pages: 19 Posted: 17 Feb 2019 Last Revised: 20 Jul 2019
Working Paper Series
Man AHL, Duke University - Fuqua School of Business, Man Group plc and Man AHL
Downloads 1,522