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Econometric Modeling: Derivatives eJournal

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Viewing: 101 - 150 of 4,733 papers

101.

Ultra High Frequency Statistical Arbitrage Across International Index Futures

Number of pages: 42 Posted: 28 Feb 2013
Working Paper Series
University of Southampton - School of Management and University of Southampton - Southampton Business School
Downloads 1,282
102.

Tenor Basis Swap Formulae

Number of pages: 4 Posted: 27 Apr 2017
Working Paper Series
University of Oxford, Said Business School
Downloads 1,271
103.

Understanding the Relationship between VIX and the S&P 500 Index Volatility

26th Australasian Finance and Banking Conference 2013
Number of pages: 27 Posted: 19 Aug 2013
Working Paper Series
Boston University Metropolitan College and Administrative Sciences Department, Boston University
Downloads 1,269
104.

On the Option Pricing Formula Based on the Bachelier Model

Number of pages: 26 Posted: 02 Aug 2019 Last Revised: 24 Sep 2019
Working Paper Series
KPMG Azsa LLC
Downloads 1,266
105.

Central Clearing of OTC Derivatives: Bilateral vs Multilateral Netting

Number of pages: 20 Posted: 14 Mar 2013
Working Paper Series
University of Oxford and School of Business and Social Sciences, Aarhus University

Multiple version iconThere are 2 versions of this paper

Downloads 1,251
106.

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 1,237
107.

Risk Management in Financial Institutions

Journal of Finance, Forthcoming
Number of pages: 68 Posted: 22 Oct 2015 Last Revised: 29 Jul 2019
Accepted Paper Series
Duke University, Duke University - Fuqua School of Business and HEC Paris - Finance Department

Multiple version iconThere are 3 versions of this paper

Downloads 1,233
108.

Covering the World: Global Evidence on Covered Calls

Number of pages: 24 Posted: 28 Jun 2017 Last Revised: 21 Jul 2017
Working Paper Series
NDVR, Inc., AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 1,213
109.

Pricing Vanilla Options with Cash Dividends

Number of pages: 28 Posted: 23 Jul 2015
Working Paper Series
Vola Dynamics LLC
Downloads 1,213
110.

Skewing Up Correlation: Understanding Correlation Skew in Equity Derivatives

Number of pages: 8 Posted: 27 May 2014
Working Paper Series
Independent
Downloads 1,212
111.

Improving the S&P Dynamic VIX Futures Index: The Mojito 3.0 Strategy

Number of pages: 9 Posted: 19 Dec 2013
Working Paper Series
Nimzowerkstatt OEG
Downloads 1,207
112.

Volatility Smile as Relativistic Effect

Physica A 475 (2017) 59-76
Number of pages: 32 Posted: 24 Aug 2016 Last Revised: 03 Mar 2017
Accepted Paper Series
Quantigic Solutions LLC
Downloads 1,206
113.

Understanding and Trading the Term Structure of Volatility

Number of pages: 45 Posted: 17 Nov 2016 Last Revised: 08 Feb 2017
Working Paper Series
Kansas State University - Department of Finance and Isenberg School of Management, University of Massachusetts
Downloads 1,202
114.

Hedging Risk Factors

Number of pages: 83 Posted: 24 Mar 2018 Last Revised: 28 Sep 2019
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 1,187
115.

Institutional Investors and Stock Market Liquidity: Trends and Relationships

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 43 Posted: 18 Sep 2012
Working Paper Series
University of Pennsylvania - Finance Department and University of Pennsylvania - Wharton School
Downloads 1,184
116.

Par-Par Asset Swap Spreads: An Illustration of How to Price Asset Swaps

Number of pages: 10 Posted: 14 Jul 2016 Last Revised: 04 Dec 2016
Working Paper Series
University of Oxford, Said Business School
Downloads 1,177
117.

High Frequency Market Making to Large Institutional Trades

Review of Financial Studies, (2019) vol. 32, no. 3, 1034-1067
Number of pages: 52 Posted: 28 Feb 2015 Last Revised: 08 Feb 2019
Accepted Paper Series
Northwestern University and University of Illinois at Chicago - Department of Finance
Downloads 1,173
118.

Statistical Testing of DeMark Technical Indicators on Commodity Futures

Swiss Finance Institute Research Paper No. 15-56
Number of pages: 27 Posted: 06 Dec 2015 Last Revised: 20 Oct 2017
Working Paper Series
ETH Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,170
119.

The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements

Rotman School of Management Working Paper No. 2173171
Number of pages: 38 Posted: 10 Nov 2012
Working Paper Series
BNP Paribas, London, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 1,170
120.

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 1,166
121.

How Do Informed Option Traders Trade? Option Trading Activity, News Releases, and Stock Return Predictability

11th Annual Mid-Atlantic Research Conference in Finance (MARC), 28th Annual Conference on Financial Economics and Accounting
Number of pages: 53 Posted: 02 Jan 2015 Last Revised: 27 May 2020
Working Paper Series
Syracuse University, Ohio University, Michigan State University - Department of Finance and University of Notre Dame
Downloads 1,165
122.

Dispersion in Options Investors’ Versus Analysts’ Expectations: Predictive Inference for Stock Returns

Number of pages: 35 Posted: 17 Jan 2014 Last Revised: 15 Aug 2019
Working Paper Series
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University - Department of Economics and Finance
Downloads 1,161
123.

Liquidity Risk in Credit Default Swap Markets

Swiss Finance Institute Research Paper No. 13-65
Number of pages: 83 Posted: 24 Dec 2013 Last Revised: 08 Aug 2015
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and HEC Paris - Finance Department
Downloads 1,150
124.

Deeply Learning Derivatives

Number of pages: 14 Posted: 09 Oct 2018 Last Revised: 20 Oct 2018
Working Paper Series
Riskfuel and Scotiabank
Downloads 1,149
125.

On the Road to Success in Equity Crowdfunding

Number of pages: 30 Posted: 05 Feb 2016 Last Revised: 13 Nov 2016
Working Paper Series
Rotterdam School of Management, Erasmus University and Rotterdam School of Management, Erasmus University
Downloads 1,141
126.

Breaking Bad Trends

Number of pages: 22 Posted: 03 Jun 2020 Last Revised: 11 Jun 2020
Working Paper Series
Research Affiliates LLC, Research Affiliates, LLC, Duke University - Fuqua School of Business and Research Affiliates, LLC
Downloads 1,134
127.

Price Discovery in Stock and Options Markets

Journal of Financial Markets, Forthcoming
Number of pages: 55 Posted: 15 Aug 2014 Last Revised: 04 Jan 2020
Accepted Paper Series
University of Technology Sydney (UTS), University of Technology Sydney (UTS), University of Technology Sydney (UTS) - School of Finance and Economics and Macquarie University
Downloads 1,129
128.

Option Pricing Methods in the City of London during the Late 19th Century

Number of pages: 34 Posted: 29 Aug 2016 Last Revised: 02 Dec 2019
Working Paper Series
National and Kapodistrian University of Athens - Faculty of Economics
Downloads 1,127
129.

Fixing the VIX: An Indicator to Beat Fear

Journal of Technical Analysis, Forthcoming
Number of pages: 9 Posted: 17 Mar 2015 Last Revised: 19 Mar 2015
Accepted Paper Series
Independent
Downloads 1,124
130.

Corporate Hedging and Speculation with Derivatives

WBS Finance Group Research Paper No. 58
Number of pages: 57 Posted: 16 Mar 2006 Last Revised: 23 Dec 2019
Accepted Paper Series
Warwick Business School - Department of Finance
Downloads 1,117
131.

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 1,112
132.

Long-Short Commodity Investing: A Review of the Literature

Journal of Commodity Markets, 2016, 1, 3-13
Number of pages: 31 Posted: 09 Dec 2015 Last Revised: 20 May 2019
Accepted Paper Series
Audencia Business School
Downloads 1,112
133.

Option-Implied Correlations, Factor Models, and Market Risk

INSEAD Working Paper No. 2017/20/FIN
Number of pages: 53 Posted: 27 Jan 2017 Last Revised: 08 Mar 2017
Working Paper Series
INSEAD - Finance, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
Downloads 1,102
134.

Arbitrages in the Volatility Surface Interpolation and Extrapolation

Number of pages: 8 Posted: 14 Nov 2012 Last Revised: 27 Jan 2013
Working Paper Series
Calypso Technology
Downloads 1,096
135.

Variance Risk in Commodity Markets

Journal of Banking and Finance, Vol. 81, 2017
Number of pages: 46 Posted: 04 Jan 2013 Last Revised: 21 Mar 2019
Accepted Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 1,082
136.

Why Do Options Prices Predict Stock Returns?

Netspar Discussion Paper No. 07/2013-079
Number of pages: 49 Posted: 25 Feb 2014
Working Paper Series
The University of Hong Kong - Faculty of Business and Economics, The University of Hong Kong - Faculty of Business and Economics and Tilburg University - Tilburg University School of Economics and Management
Downloads 1,078
137.

Implementation of the ZABR Model

Number of pages: 11 Posted: 19 Nov 2015 Last Revised: 25 Nov 2015
Working Paper Series
Quaternion Risk Management
Downloads 1,075
138.

Return Signal Momentum

QMS Research Paper 2019/04
Number of pages: 62 Posted: 22 May 2017 Last Revised: 13 Jun 2019
Working Paper Series
Quantf Research, Queen's University Belfast - Queen's Management School and University of Peloponnese - School of Management, Economics and Informatics
Downloads 1,075
139.

Opciones Exóticas (Exotic Options)

Number of pages: 45 Posted: 29 Dec 2013
Working Paper Series
Universidad Complutense de Madrid
Downloads 1,070
140.

Volatility and the Carry Trade

Journal of Fixed Income, Winter 2007
Number of pages: 27 Posted: 05 Nov 2007
Accepted Paper Series
LongTail Alpha, LLC
Downloads 1,070
141.

Exact Solution to CEV Model with Uncorrelated Stochastic Volatility

Number of pages: 14 Posted: 28 Jan 2014
Working Paper Series
Danske Bank - Danske Markets, Numerix, Citi and Numerix
Downloads 1,066
142.

Deep Hedging

Number of pages: 32 Posted: 20 Feb 2018 Last Revised: 28 Apr 2019
Working Paper Series
JP Morgan, Ludwig-Maximilians-Universität München, ETH Zurich and JP Morgan Chase
Downloads 1,065
143.

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 1,058
144.

An Application of Non-Parametric Regression to Trading Futures and FX Forwards

Number of pages: 7 Posted: 30 Dec 2015
Working Paper Series
Independent
Downloads 1,046
145.

The Joint S&P 500/VIX Smile Calibration Puzzle Solved

Risk, April 2020
Number of pages: 26 Posted: 13 Jun 2019 Last Revised: 16 Apr 2020
Accepted Paper Series
Bloomberg L.P.
Downloads 1,033
146.

Pricing and Hedging CoCos

Number of pages: 27 Posted: 17 Jan 2013 Last Revised: 09 Apr 2015
Working Paper Series
ETH Zurich and AQR Capital Management, LLC
Downloads 1,027
147.

The Financialization of Commodity Markets

Number of pages: 36 Posted: 06 Nov 2013 Last Revised: 16 Nov 2013
Working Paper Series
Dartmouth College - Tuck School of Business and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,023
148.

Why Do Option Returns Change Sign from Day to Night?

Number of pages: 96 Posted: 12 Aug 2016 Last Revised: 14 Nov 2018
Working Paper Series
Michigan State University - Department of Finance and Boston College - Carroll School of Management
Downloads 1,023
149.

Still Not Cheap: Portfolio Protection in Calm Markets

Number of pages: 25 Posted: 17 Mar 2015 Last Revised: 27 Jan 2017
Working Paper Series
NDVR, Inc. and AQR Capital Management, LLC
Downloads 1,021
150.

Option-Implied Correlations and the Price of Correlation Risk

Netspar Discussion Paper No. 07/2013-061
Number of pages: 48 Posted: 26 Nov 2013
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 1,015