Search Results
Econometric Modeling: Derivatives eJournal

902,602 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Viewing: 51 - 100 of 4,734 papers

51.

Volatility of Aggregate Volatility and Hedge Fund Returns

Journal of Financial Economics, Vol. 125, No. 3, 491-510, 2017
Number of pages: 64 Posted: 29 Sep 2014 Last Revised: 09 Aug 2019
Accepted Paper Series
Georgia State University, NEOMA Business School and London Business School - Institute of Finance and Accounting
Downloads 1,814
52.

Commodities for the Long Run

Number of pages: 24 Posted: 21 Oct 2016 Last Revised: 27 Jul 2017
Working Paper Series
AQR Capital Management, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 1,798
53.

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 - Kent Business School and University of Sussex
Downloads 1,775
54.

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 1,723
55.

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 1,714
56.

Informed Options Trading Prior to M&A Announcements: Insider Trading?

Number of pages: 48 Posted: 26 May 2014 Last Revised: 27 Oct 2015
Working Paper Series
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,693
57.

An Improved Pairs Trading Strategy Based on Switching Regime Volatility

Number of pages: 25 Posted: 27 Jul 2015
Working Paper Series
University of Trento - Department of Economics and Management and University of Trento - Department of Economics and Management
Downloads 1,672
58.

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 - Tilburg University School of Economics and Management, INSEAD - Finance and Frankfurt School of Finance & Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,670
59.

A Review of CMS Swap Pricing Approaches

Number of pages: 35 Posted: 15 Jun 2016
Working Paper Series
Paris Dauphine University, Students
Downloads 1,647
60.

The Best Strategies for the Worst Crises

Number of pages: 23 Posted: 16 Jun 2017
Working Paper Series
Man AHL, Man AHL, Man AHL, Man Numeric and Man AHL
Downloads 1,639
61.

Tail Hedging Strategies

Number of pages: 26 Posted: 08 May 2013 Last Revised: 16 Aug 2018
Working Paper Series
The Cambridge Strategy
Downloads 1,629
62.

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 1,608
63.

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
NDVR, Inc. and AQR Capital Management, LLC
Downloads 1,602
64.

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 1,584
65.

Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting

Number of pages: 15 Posted: 20 Jun 2018
Working Paper Series
RiskConcile, University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 1,577
66.

Trading the VIX Futures Roll and Volatility Premiums with VIX Options

Number of pages: 35 Posted: 30 Jun 2015
Working Paper Series
Bentley University - Department of Finance
Downloads 1,562
67.

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 1,557
68.

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

Number of pages: 47 Posted: 08 Jan 2016 Last Revised: 11 Jan 2020
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

Multiple version iconThere are 2 versions of this paper

Downloads 1,536
69.

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 University of Washington - Michael G. Foster School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,532
70.

Exchange Rates and Sovereign Risk

Number of pages: 85 Posted: 15 Nov 2013 Last Revised: 10 Aug 2018
Working Paper Series
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1,528
71.

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
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,517
72.

The Economic Impact of Index Investing

Review of Financial Studies, Forthcoming
Number of pages: 85 Posted: 26 Sep 2015 Last Revised: 12 Feb 2019
Working Paper Series
University of Utah - David Eccles School of Business, University of Utah - Department of Finance and University of Kentucky - Gatton College of Business and Economics
Downloads 1,516
73.

High Performance American Option Pricing

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

Multiple version iconThere are 2 versions of this paper

Downloads 1,471
74.

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 1,471
75.

A Simple Multi-Curve Model for Pricing SOFR Futures and Other Derivatives

Number of pages: 18 Posted: 17 Aug 2018
Working Paper Series
Bloomberg L.P.
Downloads 1,454
76.

Being Right is Not Enough: Buying Options to Bet on Higher Realized Volatility

Number of pages: 24 Posted: 26 Sep 2018 Last Revised: 17 Oct 2018
Working Paper Series
NDVR, Inc. and AQR Capital Management, LLC
Downloads 1,452
77.

Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

Forthcoming in Management Science, FIRN Research Paper No. 2695145
Number of pages: 61 Posted: 24 Nov 2015 Last Revised: 05 Jun 2019
Accepted Paper Series
University of New South Wales (UNSW), University of Melbourne, National University of Singapore (NUS) - Department of Finance, University of Melbourne - Department of Finance and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics
Downloads 1,434
78.

Intraday Patterns in Natural Gas Futures: Extracting Signals from High-Frequency Trading Data

Number of pages: 26 Posted: 09 Sep 2015 Last Revised: 07 Mar 2016
Working Paper Series
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,430
79.

Credit-Implied Volatility

Number of pages: 47 Posted: 11 Mar 2015 Last Revised: 05 Jun 2019
Working Paper Series
Yale SOM, Kepos Capital and AQR Capital Management, LLC
Downloads 1,427
80.

Option Profit and Loss Attribution and Pricing: A New Framework

Journal of Finance, Forthcoming, Baruch College Zicklin School of Business Research Paper No. 2018-04-01
Number of pages: 63 Posted: 25 Mar 2018 Last Revised: 02 Nov 2019
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,417
81.

The Skewness of Commodity Futures Returns

Journal of Banking and Finance, 2018, 86, 143-158
Number of pages: 43 Posted: 08 Oct 2015 Last Revised: 20 May 2019
Accepted Paper Series
Auckland University of Technology, Open University of the Netherlands, Cass Business School, City University of London and Audencia Business School
Downloads 1,415
82.

FX Options in Target Zone

Quantitative Finance 17(10) (2017) 1477-1486, Featured Article
Number of pages: 25 Posted: 06 Dec 2015 Last Revised: 16 Sep 2017
Accepted Paper Series
New York University Finance and Risk Engineering and Quantigic Solutions LLC
Downloads 1,411
83.

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 1,403
84.

Forecasting the Distribution of Option Returns

Number of pages: 66 Posted: 13 Sep 2017
Working Paper Series
NDVR, Inc. and Yale SOM
Downloads 1,400
85.

PnL Prediction under Extreme Scenarios

Number of pages: 8 Posted: 20 Jun 2013
Working Paper Series
Bank of America Merrill Lynch
Downloads 1,393
86.

Mixing SABR Models for Negative Rates

Number of pages: 28 Posted: 02 Sep 2015
Working Paper Series
Danske Bank - Danske Markets, Numerix and Numerix
Downloads 1,389
87.

A New Class of Local Correlation Models

Number of pages: 36 Posted: 22 Jun 2013
Working Paper Series
Bloomberg L.P.
Downloads 1,369
88.

Asymmetric Volatility Risk: Evidence from Option Markets

Number of pages: 34 Posted: 15 Sep 2013 Last Revised: 16 Jul 2018
Working Paper Series
University of Konstanz - Department of Economics and Frankfurt School of Finance & Management
Downloads 1,367
89.

Linear-Rational Term Structure Models

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 14-15
Number of pages: 120 Posted: 28 Feb 2014 Last Revised: 20 Nov 2016
Accepted Paper Series
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and Copenhagen Business School - Department of Finance
Downloads 1,353
90.

A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 14 Jun 2014 Last Revised: 22 Apr 2019
Accepted Paper Series
School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 1,344
91.

Fast and Accurate Analytic Basis Point Volatility

Number of pages: 14 Posted: 06 Apr 2014 Last Revised: 17 Jun 2016
Working Paper Series
Calypso Technology
Downloads 1,337
92.

The Factor Structure in Equity Options

Rotman School of Management Working Paper No. 2224270
Number of pages: 88 Posted: 25 Feb 2013 Last Revised: 14 Sep 2016
Working Paper Series
University of Toronto - Rotman School of Management, HEC Montreal and University of Houston - C.T. Bauer College of Business
Downloads 1,337
93.

The Hybrid Stochastic-Local Volatility Model with Applications in Pricing FX Options

Number of pages: 146 Posted: 24 Feb 2014 Last Revised: 07 May 2016
Working Paper Series
Monash University
Downloads 1,335
94.

How the Sharpe Ratio Died, and Came Back to Life

Number of pages: 33 Posted: 03 May 2018 Last Revised: 29 May 2018
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,325
95.

Risk Parity is Not Short Volatility (Not That There's Anything Wrong with Short Volatility)

Number of pages: 55 Posted: 16 Aug 2019
Working Paper Series
Parametric Portfolio Associates, LLC, AQR Capital Management, LLC, NDVR, Inc. and AQR Capital Management, LLC
Downloads 1,323
96.

Funding Value Adjustment for General Financial Instruments: Theory and Practice

A version of this paper was published in Risk, Nov. 2015
Number of pages: 28 Posted: 10 Jul 2013 Last Revised: 10 Sep 2018
Accepted Paper Series
Danske Bank - Danske Markets, Intesa Sanpaolo - Financial and Market Risk Management and Numerix
Downloads 1,315
97.

Local Volatility: Smooth Calibration and Fast Usage

Number of pages: 14 Posted: 20 Feb 2012 Last Revised: 31 Dec 2015
Working Paper Series
Natixis, Natixis and Deutsche Bank AG - Global Equity Derivatives
Downloads 1,314
98.

Markov Functional One Factor Interest Rate Model Implementation in QuantLib

Number of pages: 16 Posted: 02 Dec 2012 Last Revised: 21 Apr 2013
Working Paper Series
Quaternion Risk Management
Downloads 1,305
99.

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

AFA 2013 San Diego Meetings Paper
Number of pages: 68 Posted: 19 Mar 2012 Last Revised: 24 Mar 2019
Working Paper Series
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)

Multiple version iconThere are 2 versions of this paper

Downloads 1,301
100.

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
IESE Business School, University of Navarra, IESE Business School, Independent and University of Navarra - University of Navarra, Students
Downloads 1,288