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JEL Code: G13

3,106,041 Total downloads

Viewing: 151 - 200 of 7,683 papers

151.

Modeling the Term Structure of Interest Rates: A Review of the Literature

Number of pages: 97 Posted: 23 Jul 2001
Working Paper Series
Kedge Capital Fund Management, European Corporate Governance Institute (ECGI) and French National Institute for Research in Computer Science and Control (INRIA)

Multiple version iconThere are 2 versions of this paper

Downloads 2,837
152.

Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 67 Posted: 09 Sep 2013 Last Revised: 23 Jan 2019
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 2,832
153.

Dynamic Portfolio Choice

Number of pages: 59 Posted: 11 Jul 2012
Working Paper Series
BlackRock, Inc
Downloads 2,770
154.

Staging of Venture Capital Investment: A Real Options Analysis

Number of pages: 36 Posted: 06 Jun 2002
Working Paper Series
National Taiwan University - Department of International Business
Downloads 2,770
155.

Stock Options for Undiversified Executives

Number of pages: 55 Posted: 14 Dec 2000
Working Paper Series
NOM Unit Head, Harvard Business School and University of Southern California - Marshall School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 2,760
156.

Which Index Options Should You Sell?

Number of pages: 35 Posted: 28 Jun 2017 Last Revised: 01 Jul 2017
Working Paper Series
NDVR, Inc. and AQR Capital Management, LLC
Downloads 2,749
157.

Static Replication of Barrier Options: Some General Results

Number of pages: 25 Posted: 19 May 2000
Working Paper Series
Bank of America, Saxo Bank and General Reinsurance Financial Products in New York
Downloads 2,748
158.

Implied Risk-Neutral Probability Density Functions from Option Prices: Theory and Application

Bank of England Working Paper No 66
Number of pages: 56 Posted: 19 Apr 1998
Working Paper Series
Bank of England
Downloads 2,722
159.

Implied Volatility Surface: Construction Methodologies and Characteristics

Number of pages: 38 Posted: 10 Jul 2011
Working Paper Series
Independent
Downloads 2,719
160.

Application of Machine Learning to Systematic Strategies

Number of pages: 7 Posted: 12 Sep 2016 Last Revised: 13 Oct 2016
Working Paper Series
ING
Downloads 2,717
161.

On the Profit and Loss Distribution of Dynamic Hedging Strategies

Discussion Paper Series No. 9899-03
Number of pages: 24 Posted: 02 Feb 1999
Working Paper Series
Quant Isle Ltd. and JP Morgan Securities Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 2,707
162.

Exchange Rate Risk Measurement and Management: Issues and Approaches for Firms

IMF Working Paper No. 06/255
Number of pages: 22 Posted: 27 Nov 2006
Working Paper Series
International Monetary Fund (IMF)
Downloads 2,680
163.

Efficient and Exact Simulation of the Hull-White Model

Number of pages: 6 Posted: 02 Aug 2013
Working Paper Series
Talanx Asset Management
Downloads 2,667
164.

Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

Journal of Finance, Forthcoming
Number of pages: 58 Posted: 30 Sep 2009
Accepted Paper Series
Massachusetts Institute of Technology

Multiple version iconThere are 2 versions of this paper

Downloads 2,666
165.

Strategic Rebalancing

Number of pages: 25 Posted: 17 Feb 2019 Last Revised: 20 Dec 2019
Working Paper Series
Man Group plc, Man AHL, Duke University - Fuqua School of Business and Man AHL
Downloads 2,656
166.

Liquidity and Credit Default Swap Spreads

AFA 2007 Chicago Meetings Paper, EFA 2008 Athens Meetings Paper
Number of pages: 44 Posted: 03 Mar 2008 Last Revised: 22 Jan 2009
Working Paper Series
The University of Hong Kong - Faculty of Business and Economics and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Multiple version iconThere are 2 versions of this paper

Downloads 2,650
167.

Expected Option Returns

Number of pages: 35 Posted: 05 Nov 1999
Working Paper Series
University of Michigan at Ann Arbor, The Stephen M. Ross School of Business and Harvard Business School - Finance Unit

Multiple version iconThere are 2 versions of this paper

Downloads 2,629
168.

The Convergence of Binomial Trees for Pricing the American Put

Number of pages: 24 Posted: 15 Nov 2007 Last Revised: 27 Mar 2009
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads 2,627
169.

An E-Arch Model for the Term Structure of Implied Volatility of FX Options

Number of pages: 25 Posted: 01 Apr 1997
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and Tsinghua University - School of Economics & Management
Downloads 2,622
170.

Market Price of Variance Risk and Performance of Hedge Funds

AFA 2006 Boston Meetings Paper
Number of pages: 50 Posted: 08 Nov 2005
Working Paper Series
University of Illinois at Chicago - Department of Finance
Downloads 2,619
171.

Smiling at Convexity: Bridging Swaption Skews and Cms Adjustments

Number of pages: 16 Posted: 21 Mar 2006
Working Paper Series
Bloomberg L.P. and Banca IMI
Downloads 2,612
172.

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

Number of pages: 43 Posted: 24 Jun 2005
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads 2,607
173.

Superstars or Average Joes? A Replication-Based Performance Evaluation of 1917 Individual Hedge Funds

Alternative Investment Research Centre Working Paper No. 30, Cass Business School Research Paper
Number of pages: 30 Posted: 07 Feb 2006
Working Paper Series
Independent and Independent
Downloads 2,576
174.

Real Options Valuation of Australian Gold Mines and Mining Companies

Number of pages: 32 Posted: 19 Dec 2002
Working Paper Series
UNSW Australia Business School, School of Banking and Finance, Bond University and UNSW Australia Business School, School of Banking and Finance
Downloads 2,569
175.

The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model

Number of pages: 25 Posted: 26 Feb 2007
Working Paper Series
BNP Paribas
Downloads 2,567
176.

Market Prices of Risk and Return Predictability in a Joint Stock-Bond Pricing Model

Number of pages: 62 Posted: 27 Aug 2002
Working Paper Series
Columbia University - Columbia Business School
Downloads 2,555
177.

The Discount Rate for Discounted Cash Flow Valuations of Intangible Assets

Number of pages: 18 Posted: 02 Apr 2007
Working Paper Series
KPMG Corporate Finance, Vrije Universiteit Amsterdam and Shell International B.V.
Downloads 2,554
178.

Estimating Structural Bond Pricing Models

Number of pages: 70 Posted: 15 May 2001
Working Paper Series
McGill University and Stockholm School of Economics - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,550
179.

The VIX Premium

Review of Financial Studies, Forthcoming
Number of pages: 57 Posted: 13 Sep 2014 Last Revised: 07 Jun 2018
Accepted Paper Series
Dartmouth College - Tuck School of Business
Downloads 2,546
180.

Risk Metrics and Fine Tuning of High Frequency Trading Strategies

Cartea, ÁLvaro, and Sebastian Jaimungal. "RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES." Mathematical Finance (2013).
Number of pages: 37 Posted: 26 Feb 2012 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford and University of Toronto - Department of Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 2,545
181.

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

American Economic Review, Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-12
Number of pages: 70 Posted: 15 Feb 2011 Last Revised: 14 Nov 2015
Accepted Paper Series
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business

Multiple version iconThere are 5 versions of this paper

Downloads 2,533
182.

Dynamic Volatility Trading Strategies in the Currency Option Market Using Stochastic Volatility Forecasts

Number of pages: 33 Posted: 03 Jun 1999
Working Paper Series
Greenwich Capital Markets, Inc.
Downloads 2,516
183.

Numerical Valuation of Cross-Currency Swaps and Swaptions

Number of pages: 30 Posted: 06 Dec 1997
Working Paper Series
University of Cambridge - Centre for Financial Research and Nomura Holdings, Inc. (NHI)
Downloads 2,512
184.

Stock Returns in Mergers and Acquisitions

Swiss Finance Institute Research Paper No. 06-1, EFA 2006 Zurich Meetings Paper
Number of pages: 44 Posted: 03 Mar 2006
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and Boston University - Department of Finance & Economics
Downloads 2,510
185.

Factor Dependence of Bermudan Swaption Prices: Fact or Fiction?

Number of pages: 31 Posted: 09 May 2000
Working Paper Series
Bank of America and Saxo Bank
Downloads 2,494
186.

Consistent Pricing of FX Options

Number of pages: 15 Posted: 05 Jan 2006
Working Paper Series
Iason Ltd. and Bloomberg L.P.
Downloads 2,479
187.

Introduction to Weather Derivative Pricing

Number of pages: 8 Posted: 23 Jun 2004
Working Paper Series
Risk Management Solutions
Downloads 2,479
188.

Financial Instruments Fair Value Accounting for (Not Against) the Banking Industry

CFS Working Paper No. 2003/21
Number of pages: 45 Posted: 21 Oct 2003
Working Paper Series
Goethe Universität Frankfurt am Main, Landesbank Hessen-Thueringen Girozentrale and Dresdner Bank AG - Group Risk Control
Downloads 2,473
189.

The Term Structure of Variance Swaps and Risk Premia

Swiss Finance Institute Research Paper No. 18-37
Number of pages: 64 Posted: 27 Aug 2012 Last Revised: 14 May 2018
Working Paper Series
Princeton University - Department of Economics, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads 2,473
190.

Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model

Number of pages: 6 Posted: 03 Apr 2005
Working Paper Series
muRisQ Advisory
Downloads 2,472
191.

Short Rate Models: Hull-White or Black-Karasinski? Implementation Note and Model Comparison for ALM

Number of pages: 63 Posted: 20 Oct 2008
Working Paper Series
University of Manchester - Manchester Business School, Manchester University - Business School and Alliance Manchester Business School, University of Manchester
Downloads 2,471
192.

Valuing Derivatives: Funding Value Adjustments and Fair Value

Financial Analysts Journal, volume 70, no.3 (May/June 2014), Rotman School of Management Working Paper No. 2245821
Number of pages: 27 Posted: 07 Apr 2013 Last Revised: 07 Sep 2017
Accepted Paper Series
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 2,467
193.

An Anatomy of Commodity Futures Risk Premia

AFA 2010 Atlanta Meetings Paper, Journal of Finance, Vol. 69, No. 1, pp. 453-482, 2014
Number of pages: 73 Posted: 17 Feb 2009 Last Revised: 11 May 2014
Accepted Paper Series
Erasmus University Rotterdam (EUR) - Department of Finance, Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and APG Asset Management
Downloads 2,429
194.

Volatility Spreads and Expected Stock Returns

Number of pages: 33 Posted: 12 Nov 2007
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business and Baruch College - Zicklin School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,414
195.

An Empirically Efficient Analytical Cascade Calibration of the Libor Market Model Based Only on Directly Quoted Swaptions Data

Number of pages: 45 Posted: 02 Jun 2004
Working Paper Series
Imperial College London - Department of Mathematics and Banca IMI
Downloads 2,412
196.

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Number of pages: 37 Posted: 07 Nov 1999
Working Paper Series
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 2,405
197.

Technical Analysis with a Long Term Perspective: Trading Strategies and Market Timing Ability

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 43 Posted: 09 May 2011 Last Revised: 12 Aug 2011
Working Paper Series
University of Fribourg (Switzerland) - Faculty of Management, Economics and Social Sciences and University of Fribourg - Faculty of Economics and Social Science

Multiple version iconThere are 2 versions of this paper

Downloads 2,402
198.

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 25 Jan 2005 Last Revised: 13 Mar 2009
Accepted Paper Series
Duke University - Finance, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,400
199.

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

EFA 2006 Zurich Meetings Paper
Number of pages: 60 Posted: 24 May 2006 Last Revised: 19 Nov 2007
Working Paper Series
University of Zurich - Department of Banking and Finance, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,395
200.

Stochastic Volatility for Real

Number of pages: 22 Posted: 27 Apr 2006
Working Paper Series
Saxo Bank
Downloads 2,388