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JEL Code: C63

693,867 Total downloads

Viewing: 101 - 150 of 3,201 papers

101.

A Parallel Implementation on GPUs of ADI Finite Difference Methods for Parabolic PDEs with Applications in Finance

Number of pages: 21 Posted: 03 Apr 2010 Last Revised: 02 Jan 2011
Working Paper Series
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 1,231
102.

Monte Carlo Pricing with Local Volatility Grids

Number of pages: 6 Posted: 18 Apr 2013 Last Revised: 28 Apr 2013
Working Paper Series
Independent, Wells Fargo Bank and Independent
Downloads 1,229
103.

Boundary Conditions for Computing Densities in Hybrid Models via PDE Methods

Number of pages: 9 Posted: 05 Aug 2008
Working Paper Series
Macquarie Group
Downloads 1,226
104.

Stochastic Calculus of Standard Deviations: An Introduction

Number of pages: 29 Posted: 10 Oct 2013
Working Paper Series
Infiniti Derivatives Technologies
Downloads 1,212
105.

Statistical Tests for Return-Based Style Analysis

Number of pages: 32 Posted: 25 Jul 2001
Working Paper Series
Maastricht University - Limburg Institute of Financial Economics (LIFE) and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 1,207
106.

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

Number of pages: 11 Posted: 10 Nov 2009 Last Revised: 02 May 2010
Working Paper Series
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and Algorithmics Inc.
Downloads 1,203
107.

A Data-Driven Optimization Heuristic for Downside Risk Minimization

Swiss Finance Institute Research Paper No. 06-2
Number of pages: 22 Posted: 21 Jun 2006
Working Paper Series
University of Geneva - Research Center for Statistics, Mirabaud & Cie and University of Geneva - Department of Econometrics

Multiple version iconThere are 2 versions of this paper

Downloads 1,198
108.

Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks

Number of pages: 49 Posted: 23 Jan 2017
Working Paper Series
University of Economics, Prague - Faculty of Finance and Accounting
Downloads 1,195
109.

Real Time Counterparty Credit Risk Management in Monte Carlo

Number of pages: 7 Posted: 28 Apr 2011
Working Paper Series
University College London, Quantitative Strategies - Investment Banking Division - Credit Suisse Group and Credit Suisse AG
Downloads 1,191
110.

Stochastic Portfolio Theory: A Machine Learning Perspective

Proceedings of the 32nd Conference on Uncertainty in Artificial Intelligence, 2016
Number of pages: 9 Posted: 09 May 2016
Accepted Paper Series
Pit.AI Technologies, Inc. and Mathematical Institute, University of Oxford
Downloads 1,188
111.

Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps

Number of pages: 32 Posted: 19 Dec 2008 Last Revised: 19 Nov 2009
Working Paper Series
Imperial College London - Department of Mathematics and Columbia University
Downloads 1,181
112.

Log-Normal Stochastic Volatility Model: Affine Decomposition of Moment Generating Function and Pricing of Vanilla Options

Number of pages: 76 Posted: 11 Nov 2014 Last Revised: 15 Mar 2016
Working Paper Series
Quantica Capital AG
Downloads 1,179
113.

Mortgage Backed Valuation

Number of pages: 119 Posted: 10 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads 1,179
114.

An Empirical Model of Advertising Dynamics

Number of pages: 43 Posted: 18 Dec 2003
Working Paper Series
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 1,175
115.

Applying Markowitz's Critical Line Algorithm

University of Bern Economics Working Paper No. 07-01
Number of pages: 26 Posted: 05 Apr 2006
Working Paper Series
University of Mannheim - Department of Economics and University of Basel
Downloads 1,172
116.

Necessary and Sufficient No-Arbitrage Conditions for the SSVI/S3 Volatility Curve

Number of pages: 13 Posted: 01 Feb 2016
Working Paper Series
Vola Dynamics LLC
Downloads 1,172
117.

Cluster and Discriminant Analysis on Time-Series as a Research Tool

INEQUALITY AND INDUSTRIAL CHANGE: A GLOBAL VIEW, Chapter 16, James K. Galbraith and Maureen Berner, eds., Cambridge University Press, 2001
Number of pages: 16 Posted: 12 Jun 2000 Last Revised: 25 Apr 2011
Accepted Paper Series
University of Texas at Austin - Lyndon B. Johnson School of Public Affairs and Intellectual Property Market Advisory Partners(IPMAP), LLC
Downloads 1,161
118.

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

International Journal of Theoretical and Applied Finance, Vol. 17, No. 7 (2014).
Number of pages: 25 Posted: 13 Jun 2013 Last Revised: 20 May 2018
Accepted Paper Series
Rabobank, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 1,142
119.

The Market Generator

Number of pages: 16 Posted: 31 May 2019 Last Revised: 28 Jan 2020
Working Paper Series
Standard Chartered Bank and affiliation not provided to SSRN
Downloads 1,139
120.

Simulating Dynamical Features of Escape Panic

Nature, Vol. 407, pp. 487-490, 2000
Number of pages: 16 Posted: 28 Nov 2006
Accepted Paper Series
ETH Zürich - Department of Humanities, Social and Political Sciences (GESS), Hungarian Academy of Sciences and Eotvos University - Budapest, Hungary and Eotvos University - Budapest, Hungary
Downloads 1,128
121.

How Knowledge Transfer Impacts Performance: A Multi-Level Model of Benefits and Liabilities

Levine, S. S., & Prietula, M. J. 2012. How Knowledge Transfer Impacts Performance: A Multi-Level Model of Benefits and Liabilities. Organization Science, 23(6): 1748-1766
Number of pages: 38 Posted: 06 Apr 2012 Last Revised: 23 Jan 2013
Accepted Paper Series
University of Texas at Dallas and Emory University - Goizueta Business School
Downloads 1,100
122.

Forecasting of Stock Market Indices Using Artificial Neural Network

Shri Chimanbhai Patel Institutes, Ahmedabad Working Paper No. CPI/MBA/2013/0003
Number of pages: 18 Posted: 10 Feb 2013
Accepted Paper Series
B.K.School of Business Management, Gujarat University, Shri Chimanbhai Patel Institute of Management & Research and Shri Chimanbhai Patel Institute of Management & Research
Downloads 1,099
123.

MVA: Initial Margin Valuation Adjustment by Replication and Regression

Number of pages: 15 Posted: 04 May 2014 Last Revised: 13 Jan 2015
Working Paper Series
Scotiabank and MUFG Securities EMEA plc
Downloads 1,098
124.

Closed Form Spread Option Valuation

NHH Dept. of Finance & Management Science Discussion Paper No. 2006/20
Number of pages: 23 Posted: 13 Jun 2008
Working Paper Series
Norwegian School of Economics (NHH) - Department of Business and Management Science and Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 1,096
125.

A.I.R.A.P. - Alternative Rapms for Alternative Investments

Number of pages: 33 Posted: 29 Nov 2003
Working Paper Series
QuantZ Capital Management LLC
Downloads 1,091
126.

Copula-Based Multivariate Models with Applications to Risk Management and Insurance

Number of pages: 27 Posted: 12 Sep 2005
Working Paper Series
University of Trento - Department of Economics and Management
Downloads 1,084
127.

Option Pricing Using Fourier Space Time-Stepping Framework

Number of pages: 134 Posted: 28 Sep 2009
Working Paper Series
RBC Capital Markets
Downloads 1,075
128.

Stock Picking with Machine Learning

Number of pages: 39 Posted: 23 Jun 2020
Working Paper Series
Darmstadt University of Technology and Deka Investment GmbH
Downloads 1,066
129.

Two-Sided Competition of Proprietary vs. Open Source Technology Platforms and the Implications for the Software Industry

NYU, Law and Economics Research Paper No. 05-20, NET Institute Working Paper No. 05-06
Number of pages: 36 Posted: 20 Oct 2005
Working Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics and Gabelli School of Business, Fordham University
Downloads 1,048
130.

Convergence of Heston to SVI

Quantitative Finance, Vol. 11, No. 8, pp. 1129-1132, 2011
Number of pages: 5 Posted: 19 Feb 2010 Last Revised: 31 Jul 2011
Accepted Paper Series
CUNY Baruch College and Imperial College London
Downloads 1,044
131.

Using the Lyapunov Exponent as a Practical Test for Noisy Chaos

Number of pages: 38 Posted: 15 Mar 2007
Working Paper Series
LaREMFiQ - IHEC
Downloads 1,026
132.

MVA Optimisation with Machine Learning Algorithms

Number of pages: 15 Posted: 23 Feb 2017 Last Revised: 14 Dec 2017
Working Paper Series
Standard Chartered Bank and Standard Chartered Bank
Downloads 1,024
133.

An Empirical Analysis of Alternative Portfolio Selection Criteria

Swiss Finance Institute Research Paper No. 09-06
Number of pages: 41 Posted: 19 Mar 2009 Last Revised: 22 Apr 2010
Working Paper Series
University of Geneva - Research Center for Statistics and Independent
Downloads 1,023
134.

The Internet as a Self-Organizing Socio-Technological System

Human Strategies in Complexity Research Paper
Number of pages: 19 Posted: 13 Nov 2003
Working Paper Series
University of Salzburg
Downloads 1,022
135.

Neural Networks with Asymptotics Control

Number of pages: 48 Posted: 09 Mar 2020 Last Revised: 27 Aug 2020
Working Paper Series
Danske Bank - Danske Markets, Numerix and NatWest Markets
Downloads 1,018
136.

The Stochastic Collocation Monte Carlo Sampler: Highly Efficient Sampling from 'Expensive' Distributions

Quantitative Finance, 2018, Forthcoming
Number of pages: 25 Posted: 24 Nov 2014 Last Revised: 13 May 2018
Accepted Paper Series
Delft University of Technology, Center for Mathematics and Computer Science (CWI), University of Coruña and Center for Mathematics and Computer Science (CWI)
Downloads 1,017
137.

Option Portfolio Value at Risk Using Monte Carlo Simulation Under a Risk Neutral Stochastic Implied Volatility Model

Global Journal of Business Research, v. 6 (5) pp. 65-72, 2012
Number of pages: 8 Posted: 29 Jan 2013
Accepted Paper Series
Investment Technology Group
Downloads 998
138.

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options Under Levy Processes

Number of pages: 23 Posted: 28 Feb 2007
Working Paper Series
Cardano Risk Management, Delft University of Technology, Rabobank International, London Branch and Center for Mathematics and Computer Science (CWI)
Downloads 987
139.

Using Adaboost for Equity Investment Scorecards

Howe School Research Paper, NIPS Workshop Machine Learning in Finance, 2005, Whistler, British Columbia, Canada
Number of pages: 25 Posted: 28 Oct 2006 Last Revised: 26 Jan 2014
Working Paper Series
Stevens Institute of Technology, School of Business and University of California, San Diego
Downloads 986
140.

Review of John Cochrane's 'Asset Pricing'

CWF Working Paper No. 03-07
Number of pages: 2 Posted: 09 Oct 2003
Working Paper Series
Portfolio Engineering Laboratory
Downloads 984
141.

Q-Learning-Based Financial Trading Systems with Applications

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 15/WP/2014
Number of pages: 25 Posted: 11 Oct 2014 Last Revised: 23 May 2015
Working Paper Series
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice
Downloads 978
142.

Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function

Number of pages: 25 Posted: 03 Aug 2001
Working Paper Series
Centre for Economic Policy Research (CEPR) and Columbia University - Graduate School of Arts and Sciences - Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 975
143.

Forecasting the Interest-Rate Term Structure: Using the Model of Fong & Vasicek, the Extended Kalman Filter and the Bollinger Bands

Number of pages: 21 Posted: 12 Mar 2005
Working Paper Series
Audencia - Nantes Ecole de Management, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 964
144.

Commodity Asian Options: A Closed-Form Formula

EFA 2008 Athens Meetings Paper
Number of pages: 27 Posted: 06 Mar 2008
Working Paper Series
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University of Eastern Piedmont and ESSEC Business School
Downloads 962
145.

A Bayesian Methodology for Systemic Risk Assessment in Financial Networks

Number of pages: 42 Posted: 21 Mar 2015 Last Revised: 03 May 2016
Working Paper Series
Imperial College London - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 961
146.

The Relationship between NPV and Irr in the Presence of a Non-Flat Yield Curve

Number of pages: 17 Posted: 15 Jun 2004
Working Paper Series
University of Sussex Business School
Downloads 955
147.

An Empirical Survey of the Population of United States Tax Court Written Decisions

Virginia Tax Review, Vol. 30, No. 2, 2011
Number of pages: 36 Posted: 02 Aug 2009 Last Revised: 21 Mar 2011
Accepted Paper Series
Bommarito Consulting, LLC, Illinois Tech - Chicago Kent College of Law and University of Michigan at Ann Arbor
Downloads 945
148.

Moments Calculation for the Double Truncated Multivariate Normal Density

Number of pages: 11 Posted: 15 Sep 2009
Working Paper Series
UoH and financial.com AG
Downloads 940
149.

Complex Logarithms in Heston-Like Models

Number of pages: 30 Posted: 17 Mar 2008
Working Paper Series
Cardano Risk Management and

Multiple version iconThere are 2 versions of this paper

Downloads 930
150.

Pricing Variance Swaps with Cash Dividends

Final version in: Wilmott Journal, 1 (4) 173-177 (2009)
Number of pages: 7 Posted: 24 Oct 2008 Last Revised: 22 Jan 2015
Accepted Paper Series
Vola Dynamics LLC
Downloads 918