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Bloomberg Education & Quantitative Research Paper Series
96,928 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
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Modern Libor Market Models: Using Different Curves for Projecting Rates and for Discounting
International Journal of Theoretical and Applied Finance (IJTAF), 2010
Fabio Mercurio
Bloomberg L.P.
Date Posted: June 08, 2010
Last Revised: June 09, 2010
Accepted Paper Series

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
Michele Bonollo, Paola Mosconi and Fabio Mercurio
Banco Popolare, IntesaSanpaolo Group and Bloomberg and Iason Ltd.
Date Posted: May 25, 2010
Accepted Paper Series

Incl. Electronic Paper Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management
GARP Risk Professional, pp. 49-51, April 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Date Posted: April 09, 2010
Last Revised: November 15, 2010
Accepted Paper Series
10382 downloads

Incl. Electronic Paper A LIBOR Market Model with Stochastic Basis
Fabio Mercurio
Bloomberg L.P.
Date Posted: April 05, 2010
Working Paper Series
1369 downloads

Incl. Electronic Paper Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders
Risk, Vol. 23, No.7, p. 84-89
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Date Posted: March 08, 2010
Last Revised: October 11, 2010
Accepted Paper Series
7948 downloads

Incl. Electronic Paper LIBOR Market Models with Stochastic Basis
Bloomberg Education and Quantitative Research Paper No. 2010-05-FRONTIERS
Fabio Mercurio
Bloomberg L.P.
Date Posted: March 05, 2010
Last Revised: June 08, 2010
Working Paper Series
2542 downloads

Incl. Electronic Paper Functional Itô Calculus
Bloomberg Portfolio Research Paper No. 2009-04-FRONTIERS
Bruno Dupire
Bloomberg L.P.
Date Posted: July 25, 2009
Last Revised: August 28, 2009
Working Paper Series
3396 downloads

Incl. Electronic Paper Analytical Credit VAR with Stochastic Probabilities of Default and Recoveries
Bloomberg Portfolio Research Paper No. 2009-05-FRONTIERS
Antonio Castagna, Fabio Mercurio and Paola Mosconi
Iason Ltd., Bloomberg L.P. and IntesaSanpaolo Group
Date Posted: June 02, 2009
Last Revised: August 28, 2009
Working Paper Series
815 downloads

Incl. Electronic Paper Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Date Posted: May 15, 2009
Last Revised: December 06, 2010
Working Paper Series
16321 downloads

Incl. Electronic Paper Managing Diversification
Risk, pp. 74-79, May 2009, Bloomberg Education & Quantitative Research and Education Paper
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Date Posted: March 13, 2009
Last Revised: October 11, 2010
Accepted Paper Series
10923 downloads

Incl. Electronic Paper A Multi-Factor SABR Model for Forward Inflation Rates
Bloomberg Portfolio Research Paper No. 2009-08-FRONTIERS
Fabio Mercurio and Nicola Moreni
Bloomberg L.P. and Banca IMI
Date Posted: February 05, 2009
Last Revised: April 08, 2010
Working Paper Series
1345 downloads

Incl. Electronic Paper Interest Rates and The Credit Crunch: New Formulas and Market Models
Bloomberg Portfolio Research Paper No. 2010-01-FRONTIERS
Fabio Mercurio
Bloomberg L.P.
Date Posted: January 24, 2009
Last Revised: May 11, 2010
Accepted Paper Series
6215 downloads

Incl. Electronic Paper A Simple Robust Link between American Puts and Credit Protection
Bloomberg Portfolio Research Paper No. 2009-07-FRONTIERS
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Date Posted: November 25, 2008
Last Revised: November 06, 2010
Accepted Paper Series
737 downloads

Incl. Electronic Paper Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions
Bloomberg Portfolio Research Paper No. 2009-03-FRONTIERS, AFA 2011 Denver Meetings Paper
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Date Posted: November 25, 2008
Last Revised: September 20, 2011
Working Paper Series
1866 downloads

Incl. Electronic Paper Fully Flexible Views: Theory and Practice
Fully Flexible Views: Theory and Practice, Risk, Vol. 21, No. 10, pp. 97-102, October 2008
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Date Posted: August 10, 2008
Last Revised: December 06, 2010
Accepted Paper Series
11022 downloads

Incl. Electronic Paper The Black-Litterman Approach: Original Model and Extensions
Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Date Posted: April 08, 2008
Last Revised: October 13, 2010
Working Paper Series
18897 downloads

Incl. Electronic Paper No-Arbitrage Dynamics for a Tractable SABR Term Structure Libor Model
Bloomberg Portfolio Research Paper No. 2010-03-FRONTIERS
Massimo Morini and Fabio Mercurio
Banca IMI and Bloomberg L.P.
Date Posted: October 02, 2007
Last Revised: June 22, 2016
Working Paper Series
2205 downloads

Incl. Electronic Paper The Effect of the Frequency of Holdings Data on Conclusions About Mutual Fund Management Behavior
Bloomberg Portfolio Research Paper No. 2010-04-FRONTIERS
Edwin J. Elton, Martin J. Gruber, Christopher R. Blake, Yoel Krasny and Sadi Ozelge
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
Date Posted: August 03, 2006
Last Revised: April 07, 2010
Working Paper Series
945 downloads