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Econometric Modeling: Derivatives eJournal

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Viewing: 1 - 50 of 3,527 papers

1.

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 8,820
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
Milan Bicocca University - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 8,528
3.

Finding Yield in a 2% World

Number of pages: 7 Posted: 04 Feb 2016
Working Paper Series
Cambria Investment Management
Downloads 7,117
4.

Why Indexing Works

Number of pages: 7 Posted: 14 Oct 2015 Last Revised: 08 Jan 2018
Working Paper Series
Conjecture LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 5,242
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 5,038
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 4,937
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 3,782
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 3,748
9.

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 3,350
10.

Exotics and Electrons: Electric Power Crises and Financial Risk Management

Journal of Business, Forthcoming
Number of pages: 56 Posted: 15 Jan 2002 Last Revised: 08 Jan 2018
Accepted Paper Series
Stevens Institute of Technology and University of Oxford - Said Business School
Downloads 3,099
11.

Risk Premia and the VIX Term Structure

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 50 Posted: 11 Jan 2015 Last Revised: 14 Jan 2017
Accepted Paper Series
The University of Texas at Austin - Department of Finance
Downloads 2,757
12.

CDS Rate Construction Methods by Machine Learning Techniques

Number of pages: 51 Posted: 15 May 2017
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads 2,591
13.

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 2,536
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
University of Chicago - Finance, 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 2,519
15.

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 2,416
16.

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 2,415
17.

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 2,318
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 2,277
19.

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

Forthcoming
Number of pages: 49 Posted: 27 May 1998 Last Revised: 05 Aug 2014
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 2,273
20.

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 2,270
21.

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 2,269
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: 12 Jun 2016
Working Paper Series
University of Navarra - IESE Business School
Downloads 2,207
23.

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
Downloads 2,176
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 2,130
25.

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, Université Paris Dauphine - DRM Finance, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance
Downloads 1,839
26.

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, Université Paris Dauphine - DRM Finance and London Business School - Institute of Finance and Accounting
Downloads 1,738
27.

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 1,571
28.

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 1,570
29.

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 1,538
30.

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 1,494
31.

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 1,491
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 - Department of Economics and Independent
Downloads 1,490
33.

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 1,450
34.

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 1,435
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 1,434
36.

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 1,426
37.

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 1,422
38.

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 1,408
39.

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 Cape Town (UCT)
Downloads 1,396
40.

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, Singapore Management University - Lee Kong Chian School of Business and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1,363
41.

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, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,350
42.

Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets

Number of pages: 56 Posted: 23 Mar 2013
Working Paper Series
Swiss Federal Institute of Technology Zurich (ETH Zurich), United Nations - Conference on Trade and Development (UNCTAD), UNCTAD - United Nations Conference on Trade and Development and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,324
43.

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 1,307
44.

Rentabilidad de los Fondos de Inversión en España, 1999-2014 (Return of Mutual Funds in Spain, 1999-2014)

Number of pages: 12 Posted: 07 Mar 2015
Working Paper Series
University of Navarra - IESE Business School, University of Navarra, IESE Business School, Independent and University of Navarra
Downloads 1,271
45.

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 1,255
46.

Asset Management

Number of pages: 420 Posted: 02 Jan 2016 Last Revised: 28 Dec 2017
Working Paper Series
University of Basel
Downloads 1,253
47.

Tail Hedging Strategies

Number of pages: 28 Posted: 08 May 2013
Working Paper Series
The Cambridge Strategy
Downloads 1,214
48.

Funding Value Adjustments

Number of pages: 61 Posted: 13 Mar 2016 Last Revised: 02 Aug 2017
Working Paper Series
Bank of America Merrill Lynch, Stanford University - Graduate School of Business and Stanford University, Graduate School of Business, Students

Multiple version iconThere are 2 versions of this paper

Downloads 1,212
49.

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 1,203
50.

Style and Skill: Hedge Funds, Mutual Funds, and Momentum

Number of pages: 51 Posted: 08 Jan 2016 Last Revised: 09 Oct 2016
Working Paper Series
University of California, Los Angeles (UCLA) - Finance Area, George Washington University - Department of Finance, Federal Reserve Board and George Mason University - Department of Finance
Downloads 1,184