Search Results
JEL Code: C6

1,935,636 Total downloads

Viewing: 101 - 150 of 10,458 papers

101.

A Primer on Alternative Risk Premia

Number of pages: 123 Posted: 04 May 2016 Last Revised: 26 Jun 2016
Working Paper Series
Lyxor Asset Management, Lyxor Asset Management, Amundi Asset Management and Ecole Polytechnique
Downloads 2,100
102.

Learning and Trusting Cointegration in Statistical Arbitrage

Number of pages: 27 Posted: 22 Feb 2013 Last Revised: 30 Sep 2014
Working Paper Series
Fitch Group
Downloads 2,100
103.

Analysis of Financial Time-Series Using Fourier and Wavelet Methods

Number of pages: 36 Posted: 27 Oct 2008
Working Paper Series
Ecole hôtelière de Lausanne
Downloads 2,098
104.

An Empirical Comparison of Convertible Bond Valuation Models

Number of pages: 54 Posted: 25 Jun 2007 Last Revised: 18 Oct 2009
Working Paper Series
Carleton University, Simon Fraser University (SFU) - Department of Economics and Monash University
Downloads 2,086
105.

A Simple Model of Credit Contagion

EFA 2004 Maastricht Meetings
Number of pages: 55 Posted: 05 Jan 2004 Last Revised: 18 Dec 2008
Working Paper Series
University of Zurich - Department of Banking and Finance, QuantAlea GmbH and University of Basel
Downloads 2,084
106.

An Improved Estimator for Black-Scholes-Merton Implied Volatility

ERIM Report Series No. ERS-2004-054-F&A
Number of pages: 21 Posted: 23 Jul 2004
Working Paper Series
Robeco Asset Management, Quantitative Investment Research
Downloads 2,073
107.

Bermudan Swaptions in the Libor Market Model

Number of pages: 33 Posted: 26 Jul 1999
Working Paper Series
SimCorp - Financial Research Department
Downloads 2,070
108.

Optimal Trading Strategies for Ito Diffusion Processes

Physica A: Statistical Mechanics and its Applications, Vol. 388, pp. 2865-2873, 2009
Number of pages: 17 Posted: 02 Apr 2009 Last Revised: 11 May 2009
Accepted Paper Series
ITG Australia Limited
Downloads 2,069
109.

Portfolio Insurance: A Short Introduction

Number of pages: 22 Posted: 11 Jun 2009 Last Revised: 11 Aug 2009
Working Paper Series
World Bank
Downloads 2,065
110.

Calibrating Option Pricing Models with Heuristics

NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Anthony Brabazon, Michael O'Neill, Dietmar Maringer, eds., Vol. 4, Springer, 2011
Number of pages: 39 Posted: 08 Mar 2010 Last Revised: 30 Dec 2013
Accepted Paper Series
University of Geneva - Research Center for Statistics and Independent
Downloads 2,029
111.

Gmos, Trade Policy, and Welfare in Rich and Poor Countries

CIES Working Paper No. 21
Number of pages: 43 Posted: 14 Jul 2000
Working Paper Series
Danish Research Institute of Food Economics (FOI) - Agricultural Policy Division and University of Adelaide - Centre for International Economic Studies (CIES)
Downloads 2,021
112.

Algorithmic Exposure and CVA for Exotic Derivatives

Number of pages: 31 Posted: 18 Nov 2011 Last Revised: 14 Apr 2012
Working Paper Series
Danske Bank - Danske Markets, Numerix and Numerix
Downloads 2,016
113.

Dynamic Type Matching

Rotman School of Management Working Paper No. 2592622
Number of pages: 96 Posted: 11 Apr 2015 Last Revised: 10 Sep 2020
Working Paper Series
University of Toronto - Rotman School of Management and McMaster University - Michael G. DeGroote School of Business
Downloads 2,012
114.

Tracking Problems, Hedge Fund Replication and Alternative Beta

Number of pages: 66 Posted: 12 Jan 2009 Last Revised: 20 Apr 2009
Working Paper Series
Amundi Asset Management and affiliation not provided to SSRN
Downloads 2,010
115.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads 2,004
116.

Pricing Convertible Bonds with Monte Carlo Simulation

Number of pages: 33 Posted: 09 Mar 2005
Working Paper Series
Goethe University Frankfurt - Department of Finance and University of Konstanz
Downloads 2,003
117.

Centrality Measures in Networks

Number of pages: 43 Posted: 19 Mar 2016 Last Revised: 14 Jan 2021
Working Paper Series
University of Angers - Research Group in Quantitative Saving (GREQAM), Stanford University - Department of Economics and University of Chicago - Department of Economics
Downloads 2,002
118.

A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities

Univ. of Southern Switzerland Working Paper
Number of pages: 42 Posted: 08 Nov 2001
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Basel and Swiss Finance Institute
Downloads 2,000
119.

Enhancing Risk Parity by Including Views

Journal of Investing, 2017
Number of pages: 34 Posted: 12 Aug 2014 Last Revised: 20 Sep 2016
Accepted Paper Series
Robeco Investment Research, Robeco Asset Management, Quantitative Investment Research, Robeco Asset Management and Robeco Asset Management
Downloads 1,999
120.

Learning Curve Dynamics with Artificial Neural Networks

Number of pages: 18 Posted: 25 Sep 2017 Last Revised: 15 May 2018
Working Paper Series
Standard Chartered Bank
Downloads 1,981
121.

Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions

Number of pages: 41 Posted: 18 Nov 2013
Working Paper Series
IESEG School of Management, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management
Downloads 1,980
122.

Operators on Inhomogeneous Time Series

Olsen & Associates Working Paper No. 324
Number of pages: 33 Posted: 21 Mar 2000
Working Paper Series
Edgelab and Olsen & Associates

Multiple version iconThere are 2 versions of this paper

Downloads 1,951
123.

Algorithmic Trading with Model Uncertainty

Forthcoming: SIAM Journal on Financial Mathematics
Number of pages: 47 Posted: 15 Aug 2013 Last Revised: 05 Apr 2017
Accepted Paper Series
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 1,919
124.

Volatility Is Rough

Quantitative Finance, Vol. 18, No. 6, 933-949, 2018.
Number of pages: 50 Posted: 15 Oct 2014 Last Revised: 25 May 2018
Accepted Paper Series
CUNY Baruch College, Ecole Polytechnique, Paris and Ecole Polytechnique, Palaiseau
Downloads 1,918
125.

Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance

Number of pages: 25 Posted: 02 May 2011 Last Revised: 12 Sep 2011
Working Paper Series
Independent
Downloads 1,902
126.

Modern Perspectives on Reinforcement Learning in Finance

The Journal of Machine Learning in Finance, Vol. 1, No. 1, 2020.
Number of pages: 28 Posted: 16 Sep 2019 Last Revised: 09 Mar 2020
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 1,900
127.

A Monte Carlo Method for Optimal Portfolios

Number of pages: 52 Posted: 16 Nov 2000
Working Paper Series
Boston University Questrom School of Business, Université de Montréal - CIREQ - Département de sciences économiques and Questrom School of Business, Boston University

Multiple version iconThere are 2 versions of this paper

Downloads 1,887
128.

Enhanced Portfolio Optimization

Number of pages: 49 Posted: 02 Mar 2020 Last Revised: 19 Nov 2020
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management
Downloads 1,869
129.

Solving SABR in Exact Form and Unifying it with LIBOR Market Model

Number of pages: 41 Posted: 19 Oct 2009
Working Paper Series
Lloyds Banking Group
Downloads 1,867
130.

Systemic Risk and Central Clearing Counterparty Design

Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46 Posted: 09 Jun 2013 Last Revised: 01 Mar 2017
Working Paper Series
J. Mack Robinson College of Business, Ecole Polytechnique Fédérale de Lausanne and Cornell University

Multiple version iconThere are 2 versions of this paper

Downloads 1,850
131.

Fourier Space Time-Stepping for Option Pricing With Levy Models

Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Number of pages: 30 Posted: 10 Oct 2007 Last Revised: 01 Jul 2009
Working Paper Series
University of Toronto - Department of Computer Science, University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 1,848
132.

Constrained Optimization Approaches to Estimation of Structural Models

Econometrica Forthcoming
Number of pages: 21 Posted: 13 Feb 2008 Last Revised: 14 Jan 2012
Accepted Paper Series
University of Chicago - Booth School of Business and Stanford University - The Hoover Institution on War, Revolution and Peace
Downloads 1,846
133.

Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches

European Journal of Finance, Forthcoming.
Number of pages: 48 Posted: 12 Jun 2012 Last Revised: 06 Dec 2014
Accepted Paper Series
Justus-Liebig-University Giessen, Deka Investment GmbH and Darmstadt University of Technology
Downloads 1,845
134.

Multivariate and Propensity Score Matching Software with Automated Balance Optimization: The Matching Package for R

Journal of Statistical Software, Forthcoming
Number of pages: 47 Posted: 29 May 2008
Accepted Paper Series
UC Berkeley
Downloads 1,843
135.

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 1,842
136.

A Short Remark on Feller’s Square Root Condition

Number of pages: 3 Posted: 07 Feb 2011
Working Paper Series
Independent
Downloads 1,836
137.

Asset Allocation and Long-Term Returns: An Empirical Approach

Number of pages: 53 Posted: 02 Jan 2006
Working Paper Series
Morgan Stanley and Morgan Stanley
Downloads 1,835
138.

Performance Analysis of Pairs Trading Strategy Utilizing High Frequency Data with an Application to KOSPI 100 Equities

Number of pages: 24 Posted: 21 Aug 2011
Working Paper Series
affiliation not provided to SSRN
Downloads 1,833
139.

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 1,826
140.

Dynamic Hedging in Incomplete Markets: A Simple Solution

AFA 2012 Chicago Meetings Paper
Number of pages: 49 Posted: 07 Nov 2008 Last Revised: 12 May 2011
Working Paper Series
London Business School and London School of Economics and Political Science

Multiple version iconThere are 2 versions of this paper

Downloads 1,822
141.

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
142.

Measuring Bank Branch Performance Using Data Envelopment Analysis (DEA): The Case of Turkish Bank Branches

African Journal of Business Management, 5(3), 889–901. DOI: 10.5897/AJBM10.584
Number of pages: 13 Posted: 26 Apr 2013
Accepted Paper Series
affiliation not provided to SSRN and K?rklareli University
Downloads 1,806
143.

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 1,789
144.

Deviation Measures in Risk Analysis and Optimization

University of Florida, Department of Industrial & Systems Engineering Working Paper No. 2002-7
Number of pages: 27 Posted: 22 Jan 2003
Working Paper Series
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 1,789
145.

Drawdown Measure in Portfolio Optimization

Number of pages: 41 Posted: 13 May 2004
Working Paper Series
Columbia University - Department of Mathematics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 1,783
146.

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 1,754
147.

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
148.

Strategic Asset Allocation in Money Management

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 03 Feb 2009 Last Revised: 31 May 2012
Accepted Paper Series
London Business School and HSE University, International College of Economics and Finance (ICEF)

Multiple version iconThere are 2 versions of this paper

Downloads 1,726
149.

Markovian Projection Onto a Displaced Diffusion: Generic Formulas with Applications

Number of pages: 18 Posted: 17 Oct 2006
Working Paper Series
Danske Bank - Danske Markets and Bloomberg LP

Multiple version iconThere are 2 versions of this paper

Downloads 1,718
150.

Productive Performance Evaluation of the Banking Sector in India Using Data Envelopment Analysis

International Journal of Operations Research, Forthcoming
Number of pages: 36 Posted: 12 Jan 2007
Accepted Paper Series
Amrita University - Amrita School of Business, University of California, Santa Barbara (UCSB) - Department of Economics and Cranfield University - School of Management
Downloads 1,708