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Bloomberg Education & Quantitative Research Paper Series

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Viewing: 1 - 18 of 18 papers

1.

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 19,311
2.

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 16,647
3.

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 11,339
4.

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 11,299
5.

Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management

GARP Risk Professional, pp. 49-51, April 2010
Number of pages: 5 Posted: 09 Apr 2010 Last Revised: 15 Nov 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 10,823
6.

Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders

Risk, Vol. 23, No.7, p. 84-89
Number of pages: 28 Posted: 08 Mar 2010 Last Revised: 11 Oct 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 8,073
7.

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 6,260
8.

Functional Itô Calculus

Bloomberg Portfolio Research Paper No. 2009-04-FRONTIERS
Number of pages: 25 Posted: 25 Jul 2009 Last Revised: 28 Aug 2009
Working Paper Series
Bloomberg L.P.
Downloads 3,438
9.

LIBOR Market Models with Stochastic Basis

Bloomberg Education and Quantitative Research Paper No. 2010-05-FRONTIERS
Number of pages: 39 Posted: 05 Mar 2010 Last Revised: 08 Jun 2010
Working Paper Series
Bloomberg L.P.
Downloads 2,582
10.

No-Arbitrage Dynamics for a Tractable SABR Term Structure Libor Model

Bloomberg Portfolio Research Paper No. 2010-03-FRONTIERS
Number of pages: 20 Posted: 02 Oct 2007 Last Revised: 22 Jun 2016
Working Paper Series
Banca IMI and Bloomberg L.P.
Downloads 2,214
11.

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions

Bloomberg Portfolio Research Paper No. 2009-03-FRONTIERS, AFA 2011 Denver Meetings Paper, NYU Tandon Research Paper No. 1306495
Number of pages: 66 Posted: 25 Nov 2008 Last Revised: 26 Jun 2017
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,890
12.

A LIBOR Market Model with Stochastic Basis

Number of pages: 16 Posted: 05 Apr 2010
Working Paper Series
Bloomberg L.P.
Downloads 1,396
13.

A Multi-Factor SABR Model for Forward Inflation Rates

Bloomberg Portfolio Research Paper No. 2009-08-FRONTIERS
Number of pages: 19 Posted: 05 Feb 2009 Last Revised: 08 Apr 2010
Working Paper Series
Bloomberg L.P. and Banca IMI
Downloads 1,368
14.

The Effect of the Frequency of Holdings Data on Conclusions About Mutual Fund Management Behavior

Bloomberg Portfolio Research Paper No. 2010-04-FRONTIERS
Number of pages: 39 Posted: 03 Aug 2006 Last Revised: 07 Apr 2010
Working Paper Series
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance, Gabelli School of Business, Fordham University, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 949
15.

Analytical Credit VAR with Stochastic Probabilities of Default and Recoveries

Bloomberg Portfolio Research Paper No. 2009-05-FRONTIERS
Number of pages: 32 Posted: 02 Jun 2009 Last Revised: 28 Aug 2009
Working Paper Series
Iason Ltd., Bloomberg L.P. and IntesaSanpaolo Group
Downloads 820
16.

A Simple Robust Link between American Puts and Credit Protection

Bloomberg Portfolio Research Paper No. 2009-07-FRONTIERS
Number of pages: 62 Posted: 25 Nov 2008 Last Revised: 06 Nov 2010
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 741
17.

Basel II Second Pillar: An Analytical VaR with Contagion and Sectorial Risks

The IUP Journal of Financial Risk Management, Vol. 7, Nos. 1 & 2, pp. 7-23, March & June 2010
Posted: 25 May 2010
Accepted Paper Series
Banco Popolare, IntesaSanpaolo Group and Bloomberg and Iason Ltd.
18.

Modern Libor Market Models: Using Different Curves for Projecting Rates and for Discounting

International Journal of Theoretical and Applied Finance (IJTAF), 2010
Posted: 08 Jun 2010 Last Revised: 09 Jun 2010
Accepted Paper Series
Bloomberg L.P.