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JEL Code: G13

3,102,098 Total downloads

Viewing: 101 - 150 of 7,679 papers

101.

A General Asymptotic Implied Volatility for Stochastic Volatility Models

Number of pages: 35 Posted: 14 Apr 2005
Working Paper Series
Natixis - Paris, France
Downloads 3,489
102.

Counterparty Valuation Adjustments

CREDIT RISK FRONTIERS: SUBPRIME CRISIS, PRICING AND HEDGING, CVA, MBS, RATINGS, AND LIQUIDITY; Tomasz Bielecki, Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 24 Posted: 28 Aug 2009 Last Revised: 15 Feb 2012
Accepted Paper Series
Bloomberg L.P. and Bloomberg L.P.
Downloads 3,484
103.

Relative Implied Volatility Arbitrage with Index Options

University of St. Gallen, Department of Economics Working Paper No. 2001-06, Financial Analysts Journal, Vol. 58, No. 6, November/December 2002
Number of pages: 36 Posted: 20 Jun 2003
Working Paper Series
University of St. Gallen - School of Finance and Universität St. Gallen
Downloads 3,459
104.

Do Noise Traders Move Markets?

EFA 2006 Zurich Meetings Paper
Number of pages: 47 Posted: 15 Dec 2005
Working Paper Series
University of California, Davis, University of California, Berkeley - Haas School of Business and China Academy of Financial Research (CAFR)
Downloads 3,455
105.

A Comparison of Bond Pricing Models in the Pricing of Credit Risk

Number of pages: 53 Posted: 04 Jun 1999
Working Paper Series
Credit Suisse First Boston
Downloads 3,419
106.

A Tree Implementation of a Credit Spread Model for Credit Derivatives

Number of pages: 35 Posted: 04 Oct 2000
Working Paper Series
ETH Zürich - Department of Mathematics
Downloads 3,409
107.

Smile Dynamics IV

Number of pages: 12 Posted: 13 Dec 2009
Working Paper Series
Societe Generale
Downloads 3,394
108.

Explicit Bond Option and Swaption Formula in Heath-Jarrow-Morton One Factor Model

Number of pages: 12 Posted: 30 Nov 2003
Working Paper Series
muRisQ Advisory

Multiple version iconThere are 2 versions of this paper

Downloads 3,388
109.

A Libor Market Model with Default Risk

Number of pages: 36 Posted: 21 Feb 2001
Working Paper Series
ETH Zürich - Department of Mathematics
Downloads 3,362
110.

Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions

Quantitative Finance, vol. 11 (4), pp.547 - 558
Number of pages: 20 Posted: 15 Feb 2008 Last Revised: 15 Jul 2014
Accepted Paper Series
Digital Gold Institute and University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads 3,360
111.

Risk Measurement and Hedging

Number of pages: 45 Posted: 11 May 1997
Working Paper Series
Northwestern University - Kellogg School of Management and Mellon Capital Management Corporation
Downloads 3,313
112.

Equity Returns at the Turn of the Month

Number of pages: 50 Posted: 18 Jul 2006
Working Paper Series
HSBC School of Business, Peking University and Purdue University

Multiple version iconThere are 2 versions of this paper

Downloads 3,267
113.

A Market Model for Stochastic Implied Volatility

SFB 303 Working Paper No. B - 453
Number of pages: 23 Posted: 15 Oct 1999
Working Paper Series
ETH Zürich - Department of Mathematics
Downloads 3,248
114.

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 3,241
115.

KVA: Capital Valuation Adjustment

Risk, December 2014
Number of pages: 25 Posted: 24 Feb 2014 Last Revised: 06 Nov 2014
Accepted Paper Series
Scotiabank, MUFG Securities EMEA plc and Lloyds Banking Group
Downloads 3,236
116.

Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR

Number of pages: 25 Posted: 05 Mar 2019 Last Revised: 13 Feb 2020
Working Paper Series
Quantitative Risk Management, Inc. and Bloomberg L.P.
Downloads 3,223
117.

Structural Models of Corporate Bond Pricing: An Empirical Analysis

Number of pages: 68 Posted: 21 Mar 2002
Working Paper Series
Yonsei University, Pennsylvania State University - University Park - Department of Finance and UC Riverside
Downloads 3,217
118.

Expected Stock Returns and Variance Risk Premia

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008
Working Paper Series
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,196
119.

Liquidity Risk Premia in Corporate Bond Markets

Number of pages: 47 Posted: 08 Apr 2005 Last Revised: 07 May 2009
Working Paper Series
Tilburg University - Department of Finance and Tilburg University - Tilburg University School of Economics and Management
Downloads 3,177
120.

Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

Applied Mathematical Finance, Vol. 12, No. 4, December 2005
Number of pages: 29 Posted: 04 Oct 2006
Accepted Paper Series
University of Oxford and University of London - Birkbeck College
Downloads 3,170
121.

Term Structure Estimation

Number of pages: 45 Posted: 21 Feb 2008 Last Revised: 06 Nov 2020
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics
Downloads 3,155
122.

A GARCH Option Pricing Model with Filtered Historical Simulation

Review of Financial Studies, 2008
Number of pages: 54 Posted: 15 Oct 2004 Last Revised: 29 Apr 2008
Working Paper Series
University of Lugano, New York University (NYU) - Department of Finance and USI Lugano - Institute of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,136
123.

Valuing Energy Options in a One Factor Model Fitted to Forward Prices

Number of pages: 28 Posted: 24 May 1999
Working Paper Series
Lacima and University of Technology Sydney (UTS)
Downloads 3,103
124.

Value at Risk (VAR) in Real Options Analysis

Number of pages: 42 Posted: 20 May 2003
Working Paper Series
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 3,088
125.

Calibration of Local Stochastic Volatility Models to Market Smiles: A Monte-Carlo Approach

Risk Magazine, September 2009
Number of pages: 16 Posted: 24 Oct 2009 Last Revised: 19 Aug 2011
Accepted Paper Series
Natixis - Paris, France
Downloads 3,082
126.

Credit Default Swaps and the Credit Crisis

Charles A. Dice Center Working Paper No. 2009-16 , Fisher College of Business Working Paper No. 2009-03-16, ECGI - Finance Working Paper No. 264/2009
Number of pages: 47 Posted: 29 Sep 2009 Last Revised: 27 Sep 2010
Working Paper Series
Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,055
127.

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 (LMU) - Faculty of Mathematics
Downloads 3,051
128.

Discounting Revisited: Valuation Under Funding, Counterparty Risk and Collateralization

Number of pages: 34 Posted: 17 May 2010 Last Revised: 14 Mar 2011
Working Paper Series
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 3,038
129.

You Don't Have to Bother Newton for Implied Volatility

Number of pages: 28 Posted: 20 Dec 2006
Working Paper Series
Bloomberg LP
Downloads 3,004
130.

Theory of Financial Risk: Basic Notions in Probability

Number of pages: 51 Posted: 04 Jul 1999
Working Paper Series
Capital Fund Management and Capital Fund Management
Downloads 2,994
131.

A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities

Number of pages: 49 Posted: 11 Jun 1997
Working Paper Series
Peking University - Guanghua School of Management - Finance
Downloads 2,981
132.

Is the 'Leverage Effect' a Leverage Effect?

Number of pages: 40 Posted: 12 Jan 2001
Working Paper Series
New York University - Stern School of Business and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 2,980
133.

The Smile in Stochastic Volatility Models

Number of pages: 15 Posted: 03 Dec 2011 Last Revised: 06 May 2012
Working Paper Series
Societe Generale and Bloomberg L.P.
Downloads 2,979
134.

Stochastic Volatility with an Ornstein-Uhlenbeck Process: An Extension

Number of pages: 18 Posted: 07 Sep 1998
Working Paper Series
University of Tuebingen - Faculty of Economics and Social Sciences and University of Tuebingen
Downloads 2,973
135.

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 2,973
136.

Mercado de Derivados Financieros: Swaps (Market of Financial Derivatives: Swaps)

Number of pages: 52 Posted: 19 Aug 2013 Last Revised: 02 Apr 2020
Working Paper Series
Universidad Complutense de Madrid
Downloads 2,971
137.

Valuation of Arithmetic Average of Fed Funds Rates and Construction of the US Dollar Swap Yield Curve

Number of pages: 17 Posted: 08 Jan 2012 Last Revised: 16 Jan 2012
Working Paper Series
affiliation not provided to SSRN
Downloads 2,971
138.

ZABR -- Expansions for the Masses

Number of pages: 16 Posted: 07 Jan 2012
Working Paper Series
Saxo Bank and Danske Bank
Downloads 2,968
139.

Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review

Journal of Derivatives, Vol. 7, No. 2, pp. 66-82, Winter 1999
Number of pages: 17 Posted: 21 Oct 1999 Last Revised: 20 Nov 2008
Accepted Paper Series
University of Konstanz - Department of Economics
Downloads 2,966
140.

Economic Catastrophe Bonds

HBS Finance Working Paper No. 07-102
Number of pages: 46 Posted: 26 Jun 2007 Last Revised: 13 Apr 2008
Working Paper Series
Harvard Business School - Finance Unit, University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 2,963
141.

Calibrating Volatility Surfaces Via Relative-Entropy Minimization

Number of pages: 38 Posted: 01 Feb 1997
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, TIAA-CREF, New York University (NYU) - Courant Institute of Mathematical Sciences and Decision Synergy
Downloads 2,951
142.

LIBOR Market Models with Stochastic Basis

Bloomberg Education and Quantitative Research Paper No. 2010-05-FRONTIERS
Number of pages: 39 Posted: 05 Mar 2010 Last Revised: 08 Jun 2010
Working Paper Series
Bloomberg L.P.
Downloads 2,933
143.

A Jump Diffusion Model for Option Pricing

Number of pages: 36 Posted: 16 Sep 2000
Working Paper Series
Boston University
Downloads 2,928
144.

A Practical Guide to GMM (with Applications to Option Pricing)

Number of pages: 74 Posted: 10 May 2001
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business and University of Otago
Downloads 2,927
145.

The Price of Correlation Risk: Evidence from Equity Options

EFA 2005 Moscow Meetings
Number of pages: 60 Posted: 25 Feb 2005 Last Revised: 14 Jul 2008
Working Paper Series
Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 2,920
146.

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
NDVR, Inc. and AQR Capital Management, LLC
Downloads 2,906
147.

Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk

Number of pages: 58 Posted: 19 Dec 2001
Working Paper Series
University of Reading - ICMA Centre
Downloads 2,872
148.

Where is the Value in High Frequency Trading?

Number of pages: 54 Posted: 21 Nov 2010 Last Revised: 17 Feb 2012
Working Paper Series
University of Oxford and Universidad Carlos III, Madrid - Business Economics Department

Multiple version iconThere are 2 versions of this paper

Downloads 2,861
149.

A Framework for Valuing Corporate Securities

WP 89
Number of pages: 25 Posted: 12 Dec 1996
Working Paper Series
McGill University and Stockholm School of Economics - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,850
150.

A Valuation Study of Stock-Market Seasonality and Firm Size

Journalof Portfolio Management, Vol. 36, 2010, Yale ICF Working Paper No. 00-37
Number of pages: 47 Posted: 12 Jun 2001 Last Revised: 11 Mar 2013
Working Paper Series
University of Hong Kong and affiliation not provided to SSRN
Downloads 2,837