Search Results
JEL Code: G13

3,102,240 Total downloads

Viewing: 51 - 100 of 7,679 papers

51.

Applied Multidimensional Girsanov Theorem

Number of pages: 18 Posted: 11 Apr 2011 Last Revised: 03 Mar 2015
Working Paper Series
Tenokonda Ltd
Downloads 4,513
52.

Earnings Quality and the Equity Risk Premium: A Benchmark Model

Contemporary Accounting Research, Vol. 23, No. 3, pp. 833-877, Fall 2006
Number of pages: 50 Posted: 15 Nov 2005
Accepted Paper Series
Independent
Downloads 4,510
53.

Deviations from Put-Call Parity and Stock Return Predictability

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 51 Posted: 05 Mar 2007 Last Revised: 18 Jul 2008
Accepted Paper Series
University of Notre Dame and Syracuse University
Downloads 4,453
54.

Bootstrapping Credit Curves from CDS Spread Curves

Number of pages: 21 Posted: 21 Apr 2012
Working Paper Series
New York University (NYU)
Downloads 4,451
55.

Moment Explosions in Stochastic Volatility Models

Number of pages: 32 Posted: 29 Jun 2004
Working Paper Series
Bank of America and NatWest Markets
Downloads 4,439
56.

Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory

NYU Tandon Research Paper No. 1701685
Number of pages: 56 Posted: 03 Nov 2010 Last Revised: 26 Jun 2017
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 4,410
57.

Volatility Skews and Extensions of the Libor Market Model

Number of pages: 39 Posted: 04 Sep 1998
Working Paper Series
Bank of America and Saxo Bank
Downloads 4,398
58.

Markov Models for Commodity Futures: Theory and Practice

Number of pages: 45 Posted: 30 May 2008 Last Revised: 30 Dec 2008
Working Paper Series
Bank of America
Downloads 4,364
59.

Liquidity and Credit Risk

EFA 2003 Glasgow
Number of pages: 48 Posted: 01 Aug 2003
Working Paper Series
McGill University and University of Warwick Business School - Financial Econometrics Research Centre

Multiple version iconThere are 2 versions of this paper

Downloads 4,363
60.

Option Pricing in the Real World: A Generalized Binomial Model with Applications to Real Options

Number of pages: 54 Posted: 27 Dec 2000
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business and University of Otago
Downloads 4,338
61.

Markov-Functional Interest Rate Models

Number of pages: 25 Posted: 12 Jan 1998
Working Paper Series
Citigroup - Global Corporate and Investment Banking Group (GCIB), University of Warwick - Department of Statistics and Maastricht University
Downloads 4,334
62.

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 4,320
63.

Solving the Puzzle in the Interest Rate Market

Number of pages: 45 Posted: 15 Nov 2009 Last Revised: 18 Nov 2009
Working Paper Series
Banca IMI
Downloads 4,307
64.

Information, Liquidity, and the (Ongoing) Panic of 2007

Number of pages: 13 Posted: 10 Jan 2009
Working Paper Series
Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,262
65.

Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-Hypothecation, WWR, Basel, Funding, CCDS and Margin Lending

Number of pages: 57 Posted: 05 Nov 2011 Last Revised: 18 Jun 2012
Working Paper Series
Imperial College London - Department of Mathematics
Downloads 4,237
66.

Local Stochastic Volatility Models: Calibration and Pricing

Number of pages: 57 Posted: 11 Jun 2014 Last Revised: 15 Jul 2014
Working Paper Series
Independent
Downloads 4,237
67.

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
The University of Texas at Austin
Downloads 4,151
68.

The Smile Calibration Problem Solved

Number of pages: 17 Posted: 15 Jul 2011
Working Paper Series
Bloomberg L.P. and Natixis - Paris, France
Downloads 4,133
69.

The Irony in the Derivatives Discounting Part II: The Crisis

Number of pages: 12 Posted: 14 Jul 2009 Last Revised: 19 Dec 2009
Working Paper Series
muRisQ Advisory

Multiple version iconThere are 2 versions of this paper

Downloads 4,129
70.

Bankruptcy Prediction With Industry Effects

Number of pages: 49 Posted: 20 Oct 2001
Working Paper Series
Georgia Institute of Technology - Scheller College of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,109
71.

Smile Dynamics II

Number of pages: 14 Posted: 24 Oct 2009
Working Paper Series
Societe Generale
Downloads 4,100
72.

Extended Libor Market Models with Stochastic Volatility

Number of pages: 43 Posted: 31 Dec 2001
Working Paper Series
Bank of America and Gen Re Securities

Multiple version iconThere are 2 versions of this paper

Downloads 4,057
73.

An Impressionistic View of the 'Real' Price of Gold Around the World

Number of pages: 29 Posted: 19 Sep 2012 Last Revised: 20 Sep 2012
Working Paper Series
TR and Duke University - Fuqua School of Business
Downloads 4,040
74.

Copula-Dependent Defaults in Intensity Models

Number of pages: 30 Posted: 10 Mar 2002
Working Paper Series
ETH Zürich - Department of Mathematics and KPMG
Downloads 4,033
75.

Option Returns and Volatility Mispricing

Number of pages: 38 Posted: 14 Mar 2006
Working Paper Series
University of Lausanne and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 4,020
76.

Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach

Rapport Interne CMAP Working Paper No. 490
Number of pages: 39 Posted: 22 Nov 2002
Working Paper Series
University of Oxford and ENSAE Paris
Downloads 4,013
77.

Yield Curve Construction with Tension Splines

Number of pages: 32 Posted: 19 Dec 2005
Working Paper Series
Bank of America
Downloads 3,987
78.

Facts and Fantasies About Commodity Futures Ten Years Later

Number of pages: 31 Posted: 27 May 2015
Working Paper Series
SummerHaven Investment Management, Yale School of Management and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,973
79.

Is There Money to Be Made Investing in Options? A Historical Perspective

Number of pages: 35 Posted: 04 Jan 2006 Last Revised: 16 Jul 2008
Working Paper Series
University of New South Wales and Ohio University
Downloads 3,969
80.

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?

Journal of Financial Economics (JFE), Vol. 105, No. 3, 2012, AFA 2010 Atlanta Meetings Paper
Number of pages: 46 Posted: 22 Mar 2009 Last Revised: 24 Jun 2012
Accepted Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 3,942
81.

Funding Costs, Funding Strategies

C. Burgard, M. Kjaer. Funding Costs, Funding Strategies, Risk, 82-87, Dec 2013.
Number of pages: 17 Posted: 22 Mar 2012 Last Revised: 15 Jan 2015
Accepted Paper Series
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 3,925
82.

Arbitrage-Free SVI Volatility Surfaces

Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Number of pages: 27 Posted: 03 Apr 2012 Last Revised: 15 Jan 2014
Accepted Paper Series
CUNY Baruch College and Imperial College London
Downloads 3,869
83.

Managerial Traits and Capital Structure Decisions

EFA 2004 Maastricht Meetings Paper
Number of pages: 37 Posted: 03 Feb 2003
Working Paper Series
Boston University - Department of Finance & Economics
Downloads 3,868
84.

Improved Forecasting of Mutual Fund Alphas and Betas

Yale ICF Working Paper No. 04-23, EFA 2005 Moscow Meetings
Number of pages: 42 Posted: 27 Jul 2005
Working Paper Series
Yale University - Yale School of Management, International Center for Finance, Columbia University - Columbia Business School and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,851
85.

Tell Me What You Want, What You Really, Really Want! An Exercise in Tailor-Made Synthetic Fund Creation

Alternative Investment Research Centre Working Paper No. 36, Cass Business School Research Paper
Number of pages: 28 Posted: 10 Oct 2006
Working Paper Series
Independent and Independent
Downloads 3,840
86.

The BP Oil Disaster: Stock and Option Market Reactions

Number of pages: 33 Posted: 30 Jun 2010 Last Revised: 26 Dec 2010
Working Paper Series
Ohio University and Ohio University
Downloads 3,737
87.

Cross Currency Swap Valuation

Number of pages: 15 Posted: 09 Apr 2009
Working Paper Series
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management
Downloads 3,731
88.

A Model for Pricing Stocks and Bonds with Default Risk

Number of pages: 54 Posted: 13 May 2002
Working Paper Series
Columbia University - Columbia Business School
Downloads 3,718
89.

Analysis of Mortgage Backed Securities: Before and after the Credit Crisis

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42 Posted: 07 Jan 2007 Last Revised: 29 Jun 2018
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,710
90.

Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs

C. Burgard and M. Kjaer. Partial differential equation representations of derivatives with counterparty risk and funding costs. The Journal of Credit Risk, Vol. 7, No. 3, 1-19, 2011.
Number of pages: 19 Posted: 13 May 2010 Last Revised: 07 Aug 2014
Accepted Paper Series
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 3,687
91.

The Dynamics of Mergers and Acquisitions

Number of pages: 29 Posted: 30 Aug 2001
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and Pennsylvania State University
Downloads 3,681
92.

A Formula for Interest Rate Swaps Valuation Under Counterparty Risk in Presence of Netting Agreements

Number of pages: 31 Posted: 09 May 2005
Working Paper Series
Imperial College London - Department of Mathematics and Royal Bank of Scotland (RBS)
Downloads 3,679
93.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads 3,665
94.

Smile Dynamics III

Number of pages: 12 Posted: 24 Oct 2009
Working Paper Series
Societe Generale
Downloads 3,655
95.

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 3,626
96.

Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option

Number of pages: 15 Posted: 08 Feb 2006
Working Paper Series
muRisQ Advisory

Multiple version iconThere are 3 versions of this paper

Downloads 3,616
97.

Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index

Journal of Derivatives, Vol. 14, No. 3, 2007
Number of pages: 41 Posted: 08 Feb 2006 Last Revised: 01 May 2014
Working Paper Series
Washington State University and York University - Schulich School of Business
Downloads 3,597
98.

The Cross-Section of Volatility and Expected Returns

Number of pages: 56 Posted: 05 Apr 2005
Accepted Paper Series
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,579
99.

The Irony in the Derivatives Discounting

Number of pages: 10 Posted: 14 Mar 2007
Working Paper Series
muRisQ Advisory

Multiple version iconThere are 2 versions of this paper

Downloads 3,515
100.

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Number of pages: 45 Posted: 16 Sep 2009 Last Revised: 18 Jun 2012
Working Paper Series
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,491