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Econometric Modeling: Derivatives eJournal

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Viewing: 1 - 50 of 3,925 papers

1.

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 10,119
2.

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 9,811
3.

Finding Yield in a 2% World

Number of pages: 7 Posted: 04 Feb 2016
Working Paper Series
Cambria Investment Management
Downloads 7,260
4.

Why Indexing Works

Number of pages: 7 Posted: 14 Oct 2015 Last Revised: 15 Mar 2018
Working Paper Series
University of Chicago Law School, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 5,709
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 AHL
Downloads 5,672
6.

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 Forefront Analytics
Downloads 5,257
7.

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 4,189
8.

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 AHL and Man - AHL
Downloads 4,060
9.

CDS Rate Construction Methods by Machine Learning Techniques

Number of pages: 51 Posted: 15 May 2017 Last Revised: 23 Mar 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads 3,816
10.

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 3,524
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 3,440
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
University of Texas at Austin - Department of Finance
Downloads 3,219
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 3,107
14.

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 2,699
15.

The Free Boundary SABR: Natural Extension to Negative Rates

Number of pages: 17 Posted: 30 Jan 2015
Working Paper Series
Numerix, Numerix and Numerix
Downloads 2,670
16.

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 2,651
17.

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 2,613
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 2,609
19.

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 2,601
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 - Department of Mathematics
Downloads 2,600
21.

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 2,561
22.

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 2,515
23.

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 2,411
24.

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 2,344
25.

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 2,318
26.

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 - Department of Mathematics, Independent and Independent
Downloads 2,195
27.

Option-Implied Volatility Measures and Stock Return Predictability

Journal of Derivatives, Forthcoming
Number of pages: 44 Posted: 14 Feb 2014 Last Revised: 24 Aug 2016
Accepted Paper Series
University of Liverpool, NEOMA Business School, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance
Downloads 1,861
28.

Volatility of Aggregate Volatility and Hedge Fund Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 64 Posted: 29 Sep 2014 Last Revised: 29 Jul 2016
Accepted Paper Series
Georgia State University, NEOMA Business School and London Business School - Institute of Finance and Accounting
Downloads 1,757
29.

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

Duke I&E Research Paper No. 2017-01
Number of pages: 20 Posted: 07 Dec 2016 Last Revised: 19 May 2017
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man AHL and Man AHL
Downloads 1,705
30.

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 1,704
31.

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
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 1,643
32.

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 1,625
33.

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
Chinese University of Hong Kong - Department of Finance, University of Toronto, Rotman School of Management, School of Business, Renmin University of China and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1,613
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 Alabama and London Business School - Institute of Finance and Accounting
Downloads 1,611
35.

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 1,606
36.

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 1,576
37.

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 1,570
38.

SABR Calibration in Python

Number of pages: 10 Posted: 01 Feb 2016
Working Paper Series
Independent
Downloads 1,569
39.

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

Multiple version iconThere are 2 versions of this paper

Downloads 1,559
40.

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 1,552
41.

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, Canterbury - Kent Business School and University of Kent, Canterbury - Kent Business School
Downloads 1,533
42.

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 1,532
43.

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 1,509
44.

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 1,470
45.

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 1,461
46.

Asset Management

Number of pages: 458 Posted: 02 Jan 2016 Last Revised: 17 Oct 2018
Working Paper Series
University of Basel
Downloads 1,452
47.

Transforming Volatility - Multi Curve Cap and Swaption Volatilities

Number of pages: 22 Posted: 22 Jan 2013 Last Revised: 27 Mar 2013
Working Paper Series
University of Wuppertal - Applied Mathematics
Downloads 1,442
48.

A Big Data Approach to Analyzing Market Volatility

Algorithmic Finance (2013), 2:3-4, 241-267
Number of pages: 28 Posted: 07 Jun 2013
Working Paper Series
Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,434
49.

Volatility Forecasts, Trading Volume and the Arch vs Option-Implied Volatility Tradeoff

SFU Economics Discussion Paper No. 01-1, Sauder School of Business Working Paper
Number of pages: 25 Posted: 21 Feb 2001
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business and York University - Schulich School of Business
Downloads 1,433
50.

Covered Call Strategies: One Fact and Eight Myths

Financial Analysts Journal, Vol. 70, No. 6, 2014
Number of pages: 17 Posted: 04 Jun 2014 Last Revised: 27 Jan 2017
Working Paper Series
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,385