Search Results
JEL Code: C63

693,263 Total downloads

Viewing: 51 - 100 of 3,200 papers

51.

Path-Dependent Options Pricing: A Quasi Monte Carlo Simulation Approach with MATLAB

Number of pages: 11 Posted: 15 Aug 2010 Last Revised: 18 Oct 2010
Working Paper Series
The Chinese University of Hong Kong (CUHK)
Downloads 1,841
52.

Functional Forms for Tractable Economic Models and the Cost Structure of International Trade

Number of pages: 61 Posted: 26 Sep 2018 Last Revised: 26 Sep 2018
Working Paper Series
University of Tokyo - Graduate School of Economics and Microsoft
Downloads 1,810
53.

A Gentle Introduction to Value at Risk

Number of pages: 86 Posted: 28 Mar 2017
Working Paper Series
Business School (formerly Cass) - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 1,786
54.

Option Pricing with Quadratic Volatility: A Revisit

Number of pages: 25 Posted: 10 Apr 2008 Last Revised: 14 Aug 2008
Working Paper Series
Bank of America
Downloads 1,753
55.

Network Neutrality on the Internet: A Two-Sided Market Analysis

Information Economics and Policy, Vol. 24, 2012, NET Institute Working Paper No. 07-45, NYU Law and Economics Research Paper 07-40, NYU Working Paper No. 2451/26057
Number of pages: 15 Posted: 04 Oct 2007 Last Revised: 25 Oct 2012
Working Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics and Research Institute of Industrial Economics (IFN)

Multiple version iconThere are 3 versions of this paper

Downloads 1,751
56.

LexNLP: Natural Language Processing and Information Extraction For Legal and Regulatory Texts

Number of pages: 7 Posted: 21 Jun 2018
Working Paper Series
Bommarito Consulting, LLC, Illinois Tech - Chicago Kent College of Law and LexPredict, LLC
Downloads 1,682
57.

Arrow-Debreu Prices for Affine Models

Number of pages: 54 Posted: 26 Apr 1999
Working Paper Series
Goldman Sachs Group, Inc. - Quantitative Strategy Group and Salomon Smith Barney, Inc., U.S.
Downloads 1,664
58.

Arbitrage-Free Pricing of Credit Index Options: The No-Armageddon Pricing Measure and the Role of Correlation after the Subprime Crisis

Number of pages: 25 Posted: 03 Jan 2008 Last Revised: 22 Jun 2016
Working Paper Series
Imperial College London - Department of Mathematics and Banca IMI
Downloads 1,655
59.

A Gentle Introduction to Default Risk and Counterparty Credit Modelling

Number of pages: 57 Posted: 01 Aug 2016
Working Paper Series
Business School (formerly Cass) - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Eastern Piedmont
Downloads 1,653
60.

Many Risks, One (Optimal) Portfolio

Number of pages: 217 Posted: 30 Jul 2014
Working Paper Series
Independent
Downloads 1,638
61.

High Performance American Option Pricing

Number of pages: 44 Posted: 11 Jan 2015 Last Revised: 06 May 2020
Working Paper Series
Bank of America, Bank of America Merrill Lynch and Strategist

Multiple version iconThere are 2 versions of this paper

Downloads 1,610
62.

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 1,586
63.

Return-Based Style Analysis with Time-Varying Exposures

Number of pages: 42 Posted: 28 Nov 2001
Working Paper Series
Erasmus University Rotterdam (EUR) and affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Downloads 1,585
64.

Elementi di Teoria dei Contratti (Elements of Contract Theory)

Number of pages: 46 Posted: 24 Mar 2013 Last Revised: 07 Dec 2016
Working Paper Series
University of Rome Sapienza
Downloads 1,544
65.

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 1,523
66.

Business Applications of Emulative Neural Networks

International Journal of Business, Vol. 10, No. 4, 2005
Number of pages: 20 Posted: 02 Nov 2005
Accepted Paper Series
City University of New York, CUNY City College of New York - Department of Economics
Downloads 1,482
67.

A New Methodology of Measuring Firm Life-Cycle Stages

International Journal of Economic Perspectives, Forthcoming
Number of pages: 15 Posted: 12 Oct 2006 Last Revised: 18 Mar 2010
Working Paper Series
New Jersey Institute of Technology and Brandeis University

Multiple version iconThere are 2 versions of this paper

Downloads 1,479
68.

Cliquet Options: Pricing and Greeks in Deterministic and Stochastic Volatility Models

Number of pages: 25 Posted: 18 Sep 2007
Working Paper Series
Cardano Risk Management and Cardano
Downloads 1,479
69.

A Review of Heuristic Optimization Methods in Econometrics

Swiss Finance Institute Research Paper No. 08-12
Number of pages: 47 Posted: 05 Jun 2008
Accepted Paper Series
University of Geneva - Research Center for Statistics and University of Giessen - Department of Economics
Downloads 1,459
70.

Prezzi di Ramsey (Ramsey Prices)

Number of pages: 9 Posted: 13 Apr 2015 Last Revised: 11 Jul 2016
Working Paper Series
University of Rome Sapienza
Downloads 1,459
71.

Cross-Currency and Hybrid Markov-Functional Models

Number of pages: 23 Posted: 27 Apr 2004
Working Paper Series
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and Independent
Downloads 1,452
72.

The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management

Number of pages: 21 Posted: 13 Apr 2001
Working Paper Series
Imperial College London - Mathematical Finance, University of Southampton - School of Management and School of Mathematics and Statistics, The University of Sydney

Multiple version iconThere are 2 versions of this paper

Downloads 1,452
73.

Constructing Long/Short Portfolios with the Omega Ratio

Swiss Finance Institute Research Paper No. 08-34
Number of pages: 21 Posted: 27 Oct 2008
Working Paper Series
University of Geneva - Research Center for Statistics, Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 1,451
74.

Calibrating the Nelson-Siegel-Svensson Model

Number of pages: 22 Posted: 16 Sep 2010 Last Revised: 22 Apr 2011
Working Paper Series
University of Geneva - Research Center for Statistics, NORD/LB and Independent
Downloads 1,431
75.

An Algorithm Using GARCH Process, Monte-Carlo Simulation and Wavelets Analysis for Stock Prediction

Number of pages: 8 Posted: 21 Sep 2008 Last Revised: 06 Dec 2009
Working Paper Series
Aydin Adnan Menderes University, Nazilli Faculty of Economics and Administrative Sciences
Downloads 1,429
76.

Strategic Asset Allocation and Market Timing: A Reinforcement Learning Approach

Number of pages: 10 Posted: 22 Feb 2006
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 1,425
77.

Forecasting Stock Market with Neural Networks

Number of pages: 14 Posted: 19 Jan 2009 Last Revised: 28 Jan 2009
Working Paper Series
Department of Computer Science and Information Management, Soochow University, Taiwan and Department of Computer Science and Information Management, Soochow University, Taiwan
Downloads 1,415
78.

Optimal Fourier Inversion in Semi-Analytical Option Pricing

Tinbergen Institute Discussion Paper No. 2006-066/2
Number of pages: 21 Posted: 03 Aug 2006
Working Paper Series
Cardano Risk Management and
Downloads 1,399
79.

MATLAB Applications of Trading Rules and GARCH with Wavelets Analysis

Number of pages: 11 Posted: 15 Dec 2009
Working Paper Series
Aydin Adnan Menderes University, Nazilli Faculty of Economics and Administrative Sciences
Downloads 1,396
80.

Numerical Approximation of the Implied Volatility under Arithmetic Brownian Motion

Applied Mathematical Finance, Vol. 16, No. 3, 2009
Number of pages: 8 Posted: 04 Jun 2007 Last Revised: 16 Nov 2016
Working Paper Series
Peking University - HSBC School of Business, Korea Advanced Institute of Science and Technology (KAIST) and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 1,387
81.

A Comparison of Margin Calculation Methods for Exchange Traded Contracts

Royal Institute of Technology Dept. of Mathematical Statistics, Master Thesis No. 2002-3
Number of pages: 90 Posted: 19 Feb 2002
Working Paper Series
Independent
Downloads 1,384
82.

Pricing Vanilla Options with Cash Dividends

Number of pages: 28 Posted: 23 Jul 2015
Working Paper Series
Vola Dynamics LLC
Downloads 1,375
83.

Applied Stochastic Control in High Frequency and Algorithmic Trading

Number of pages: 210 Posted: 03 Oct 2014
Working Paper Series
University of Toronto, Department of Statistics
Downloads 1,373
84.

'Net Neutrality', Non-Discrimination and Digital Distribution of Content Through the Internet

NET Institute Working Paper No. 07-03, NYU Law and Economics Research Paper No. 07-13, NYU Stern School of Business EC-07-09
Number of pages: 25 Posted: 30 Mar 2007 Last Revised: 23 Mar 2015
Working Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 1,371
85.

Analytic Loss Distributions of Heterogeneous Portfolios In The Asset Value Credit Risk Model

Number of pages: 19 Posted: 07 May 2003
Working Paper Series
Wehrspohn GmbH & Co. KG
Downloads 1,368
86.

Tail Risk Protection in Asset Management

Number of pages: 42 Posted: 16 Nov 2014
Working Paper Series
Independent
Downloads 1,367
87.

Deeply Learning Derivatives

Number of pages: 14 Posted: 09 Oct 2018 Last Revised: 20 Oct 2018
Working Paper Series
Riskfuel and Scotiabank
Downloads 1,362
88.

Pricing Discrete Barrier Options with an Adaptive Mesh Model

Number of pages: 24 Posted: 01 Jul 1999
Working Paper Series
University of North Carolina at Chapel Hill, New York University - Stern School of Business and University of North Carolina (UNC) at Chapel Hill - Finance Area

Multiple version iconThere are 2 versions of this paper

Downloads 1,348
89.

Visual Portfolio Analysis

Number of pages: 19 Posted: 23 Mar 2004
Working Paper Series
Wehrspohn GmbH & Co. KG
Downloads 1,340
90.

Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation

Number of pages: 19 Posted: 19 May 2008 Last Revised: 05 Oct 2008
Working Paper Series
Imperial College London - Department of Mathematics and FitchSolutions

Multiple version iconThere are 2 versions of this paper

Downloads 1,307
91.

Machine Learning for Continuous-Time Economics

Number of pages: 41 Posted: 04 Aug 2017 Last Revised: 04 May 2018
Working Paper Series
University of Illinois at Urbana-Champaign
Downloads 1,305
92.

Systemic Risk, Contagion, and Financial Networks: A Survey

Number of pages: 57 Posted: 02 Apr 2013 Last Revised: 11 Jun 2015
Working Paper Series
Northeastern University - Laboratory for the Modeling of Biological and Socio-Technical Systems (MOBS Lab) and Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM)
Downloads 1,294
93.

An Artificial Neural Network Representation of the SABR Stochastic Volatility Model

Number of pages: 24 Posted: 14 Dec 2018
Working Paper Series
NatWest Markets
Downloads 1,291
94.

An Implementation of the Hybrid-Heston-Hull-White Model

Number of pages: 34 Posted: 08 May 2009
Working Paper Series
University of Wuppertal - Applied Mathematics and UC Berkeley, Department of Mathematics
Downloads 1,288
95.

Open Collaboration for Innovation: Principles and Performance

Levine, S. S., & Prietula, M. J. (2014). Open collaboration for innovation: Principles and performance. Organization Science, 25(5), 1414-1433. doi: 10.1287/orsc.2013.0872
Number of pages: 56 Posted: 23 Feb 2008 Last Revised: 18 Sep 2017
Accepted Paper Series
University of Texas at Dallas and Emory University - Goizueta Business School
Downloads 1,281
96.

Supply Chain Management: An Opportunity for Metaheuristics

UPF Economics and Business Working Paper No. 538
Number of pages: 25 Posted: 29 Jun 2001
Working Paper Series
Universitat Pompeu
Downloads 1,273
97.

Levy Based Cross-Commodity Models and Derivative Valuation

SIAM Journal on Financial Mathematics, 2(1), pp. 464-487, 2011
Number of pages: 31 Posted: 18 Nov 2008 Last Revised: 15 Jun 2016
Accepted Paper Series
University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 1,267
98.

Pricing Convertible Bonds by Simulation

Number of pages: 21 Posted: 08 Dec 2006
Working Paper Series
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 1,251
99.

Simulation as a Stock Market Backtesting Tool

Number of pages: 44 Posted: 17 Apr 2014
Working Paper Series
Double-Digit Numerics
Downloads 1,249
100.

Network Models and Financial Stability

Bank of England Working Paper No. 346
Number of pages: 29 Posted: 08 Oct 2008
Working Paper Series
International Monetary Fund (IMF), Bank of England, University of Amsterdam - Faculty of Economics and Business (FEB) and University of Essex
Downloads 1,247