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Econometric Modeling: Derivatives eJournal

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Viewing: 151 - 200 of 4,726 papers

151.

VIX Futures As a Market Timing Indicator

Number of pages: 11 Posted: 04 Jun 2018
Working Paper Series
University of Thessaly and American College of Thessaloniki
Downloads 1,013
152.

Trends’ Signal Strength and the Performance of CTAs

Number of pages: 37 Posted: 30 Apr 2016 Last Revised: 03 Oct 2018
Working Paper Series
Ghent University and RPM Risk and Portfolio Management AB
Downloads 1,012
153.

Bond Option Pricing using the Vasicek Short Rate Model

Number of pages: 30 Posted: 16 Aug 2014
Working Paper Series
University of Oxford, Said Business School
Downloads 986
154.

The Timing of Option Returns

Number of pages: 58 Posted: 03 Feb 2017 Last Revised: 21 Oct 2018
Working Paper Series
Swiss Finance Institute and University of Zurich - Department of Banking and Finance
Downloads 985
155.

The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios

Number of pages: 18 Posted: 17 Jan 2018
Working Paper Series
New York University (NYU) - NYU Tandon School of Engineering
Downloads 971
156.

Deep Primal-Dual Algorithm for BSDEs: Applications of Machine Learning to CVA and IM

Number of pages: 16 Posted: 20 Nov 2017 Last Revised: 14 Dec 2017
Working Paper Series
Natixis - Paris, France
Downloads 954
157.

The Poverty of Academic Finance Research: Spread Trading Strategies in the Crude Oil Futures Market

Number of pages: 13 Posted: 13 Jun 2015
Working Paper Series
Nimzowerkstatt OEG
Downloads 950
158.

Pathetic Protection: The Elusive Benefits of Protective Puts

Number of pages: 41 Posted: 23 Mar 2017
Working Paper Series
NDVR, Inc.
Downloads 946
159.

Quadratic Variance Swap Models

Journal of Financial Economics, Forthcoming
Number of pages: 77 Posted: 23 Mar 2013 Last Revised: 20 Dec 2014
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, ESSEC Business School and USI Lugano - Institute of Finance
Downloads 937
160.

Dynamic Programming and Mean-Variance Hedging in Discrete Time

Applied Mathematical Finance, 2004, 11(1), 1-25
Number of pages: 27 Posted: 05 Jul 2004 Last Revised: 23 Jun 2020
Working Paper Series
Business School, City, University of London
Downloads 936
161.

Exploring Irregular Time Series Through Non-Uniform Fast Fourier Transform

Proceedings of the International Conference for High Performance Computating, IEEE, 2014.
Number of pages: 26 Posted: 30 Aug 2014 Last Revised: 05 Mar 2016
Accepted Paper Series
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 925
162.

Why Do Options Prices Predict Stock Returns? Evidence from Analyst Tipping

Journal of Banking and Finance, Forthcoming, EFA 2013 Cambridge Meetings Paper, WFA 2013 Lake Tahoe Meetings Paper, CICF 2012 Chongqing Meetings Paper
Number of pages: 42 Posted: 31 Oct 2012 Last Revised: 23 Nov 2014
Accepted Paper Series
The University of Hong Kong - Faculty of Business and Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 924
163.

Jamshidian Swaption Formula Fine Tuned

Number of pages: 4 Posted: 07 Apr 2013 Last Revised: 05 May 2013
Working Paper Series
Quaternion Risk Management
Downloads 918
164.

Implied Volatility of Leveraged ETF Options

Applied Mathematical Finance, vol. 22, issue 2, pp.162-188, 2015
Number of pages: 25 Posted: 20 Oct 2012 Last Revised: 26 Oct 2015
Accepted Paper Series
University of Washington - Department of Applied Math and Princeton University - Department of Operations Research and Financial Engineering
Downloads 917
165.

The Commonality of Sovereign Credit Risk: A Rating-Based Approach

Number of pages: 88 Posted: 21 Jan 2014 Last Revised: 17 Apr 2018
Working Paper Series
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Nanjing University - School of Management and Engineering
Downloads 910
166.

The Value of Low Volatility

Journal of Portfolio Management, Forthcoming
Number of pages: 17 Posted: 10 Feb 2016
Working Paper Series
Robeco Quantitative Investments
Downloads 910
167.

Inverse Futures in Bitcoin Economy

Number of pages: 6 Posted: 11 Jan 2016
Working Paper Series
Moscow State Technical University, Department of Computer Science and IT Theory
Downloads 902
168.

Exploiting Commodity Momentum Along the Futures Curves

Journal of Banking and Finance, Forthcoming
Number of pages: 51 Posted: 23 Aug 2014
Accepted Paper Series
Robeco Asset Management, Erasmus University Rotterdam and Robeco Asset Management
Downloads 900
169.

Explaining the Negative Returns to VIX Futures and ETNs: An Equilibrium Approach

Number of pages: 51 Posted: 15 Oct 2013 Last Revised: 03 Dec 2014
Working Paper Series
University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 896
170.

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Swiss Finance Institute Research Paper No. 13-40
Number of pages: 75 Posted: 26 Jul 2013 Last Revised: 22 Dec 2016
Working Paper Series
University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich - Department of Banking and Finance
Downloads 893
171.

Procesos Estocásticos: Procesos de Wiener e Ito (Stochastic Processes: Processes of Wiener and Ito)

Number of pages: 27 Posted: 26 Aug 2013 Last Revised: 10 Jan 2016
Working Paper Series
Universidad Complutense de Madrid
Downloads 890
172.

A Simple Multimarket Measure of Information Asymmetry

Management Science 64 (2018), 1055-1080
Number of pages: 52 Posted: 27 Nov 2012 Last Revised: 17 Oct 2018
Accepted Paper Series
The University of Texas at Austin and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 888
173.

Credit Default Swaps and Systemic Risk

Number of pages: 24 Posted: 29 Aug 2014 Last Revised: 03 Nov 2014
Working Paper Series
University of Oxford and Cornell University
Downloads 886
174.

A Comprehensive Guide to Exchange Traded Funds

CFA Institute Research Foundation
Number of pages: 202 Posted: 09 Jun 2015 Last Revised: 11 Jun 2015
Accepted Paper Series
ProShare Advisors LLC, FactSet and ETF.com
Downloads 883
175.

A Fear Index to Predict Oil Futures Returns

FEEM Working Paper No. 62.2013
Number of pages: 26 Posted: 12 Jul 2013 Last Revised: 11 Nov 2016
Working Paper Series
University of Paris 8 Vincennes-Saint Denis and University of Nantes
Downloads 881
176.

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 881
177.

A General Closed Form Option Pricing Formula

Review of Derivatives Research, 22 (1), 1-40, (2019) , Swiss Finance Institute Research Paper No. 15-53
Number of pages: 41 Posted: 02 Feb 2013 Last Revised: 04 Jan 2020
Working Paper Series
University of Zurich - Department of Banking and Finance, Institute of Banking and Finance, University of Zürich and University of Zurich - Department of Banking and Finance
Downloads 879
178.

Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows?

Journal of Financial Economics (JFE), Forthcoming, Hong Kong University of Science & Technology, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 81 Posted: 12 Aug 2015 Last Revised: 02 May 2017
Accepted Paper Series
Georgia State University, Emory University - Department of Finance and Cornerstone Research
Downloads 877
179.

The Skewness and Kurtosis of European Options and the Implications for Trade Sizing

Number of pages: 13 Posted: 21 Apr 2017
Working Paper Series
FactorWave and University of Virginia
Downloads 877
180.

Early Option Exercise: Never Say Never

Number of pages: 62 Posted: 27 Sep 2015 Last Revised: 18 Mar 2016
Working Paper Series
Copenhagen Business School and AQR Capital Management, LLC
Downloads 875
181.

Derivatives Funding, Netting and Accounting

Number of pages: 11 Posted: 01 Feb 2015 Last Revised: 20 Mar 2017
Working Paper Series
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 873
182.

Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments

Number of pages: 38 Posted: 14 Oct 2012 Last Revised: 12 Dec 2012
Working Paper Series
Banca IMI, Mediobanca and Imperial College London - Department of Mathematics
Downloads 869
183.

The Past, Present and Future of Curves

Number of pages: 44 Posted: 19 Aug 2013
Working Paper Series
Gibbs Consulting and FINCAD Corporation
Downloads 867
184.

Exchange-Traded Funds, Fails-to-Deliver, and Market Volatility

GMU Working Paper in Economics No. 12-59
Number of pages: 70 Posted: 01 Dec 2012 Last Revised: 05 Nov 2013
Working Paper Series
George Mason University - Buchanan Center Political Economy and Dartmouth College
Downloads 866
185.

Optimal Currency Hedging for International Equity Portfolios

Financial Analyst Journal - Forthcoming
Number of pages: 30 Posted: 16 Oct 2018 Last Revised: 08 Jun 2019
Accepted Paper Series
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 865
186.

Covered Interest Parity Arbitrage

Number of pages: 101 Posted: 05 Dec 2016 Last Revised: 02 Jul 2020
Working Paper Series
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank

Multiple version iconThere are 4 versions of this paper

Downloads 860
187.

Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment

Journal of Financial Economics (JFE), Forthcoming, 29th Annual Conference on Financial Economics & Accounting 2018, Mays Business School Research Paper No. 3117188, Yale ICF Working Paper No. 2018-05
Number of pages: 53 Posted: 14 Feb 2018 Last Revised: 09 Feb 2020
Accepted Paper Series
Texas A&M University - Department of Finance, Yale SOM and Texas A&M University

Multiple version iconThere are 2 versions of this paper

Downloads 859
188.

Cash-Settled Swaptions: A New Pricing Model

Number of pages: 13 Posted: 27 Sep 2017 Last Revised: 18 Jul 2019
Working Paper Series
ABN AMRO, VU University Amsterdam and ABN AMRO Bank N.V.
Downloads 854
189.

Complete Analytical Solution of the Heston Model for Option Pricing and Value-at-Risk Problems: A Probability Density Function Approach

Number of pages: 12 Posted: 14 Jan 2015 Last Revised: 06 Jun 2015
Working Paper Series
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 843
190.

Trend-Following Strategies for Tail-Risk Hedging and Alpha Generation

Number of pages: 36 Posted: 09 May 2018
Working Paper Series
Quantica Capital AG
Downloads 838
191.

Pairs Trading to the Commodities Futures Market Using Cointegration Method

International Journal of Commerce and Finance, Vol. 1, Issue 1, 2015, 25-38
Number of pages: 14 Posted: 15 Jan 2017
Accepted Paper Series
Istanbul Commerce University, Students
Downloads 835
192.

Influencing Control: Jawboning in Risk Arbitrage

Journal of Finance, Forthcoming
Number of pages: 72 Posted: 01 Apr 2015 Last Revised: 03 Dec 2017
Accepted Paper Series
Columbia Business School - Finance and Economics, University of Florida - Department of Finance, Insurance and Real Estate and Columbia University - Columbia Business School
Downloads 834
193.

Informed Trading of Out-of-the-Money Options and Market Efficiency

Posted: 05 Jul 2016 Last Revised: 14 Jul 2020
Working Paper Series
Hanyang University - School of Business, Chung-Ang University and Coinplug, Inc.
Downloads 833
194.

CoCos: A Primer

BIS Quarterly Review September 2013
Number of pages: 14 Posted: 16 Sep 2013
Accepted Paper Series
Bank for International Settlements (BIS), University of St. Gallen - I.VW-HSG and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 831
195.

Optimal Posting of Sticky Collateral

Number of pages: 29 Posted: 01 May 2013
Working Paper Series
Independent
Downloads 829
196.

Understanding Cryptocurrencies

Number of pages: 39 Posted: 29 Apr 2019 Last Revised: 29 Jul 2020
Working Paper Series
Humboldt University of Berlin - Institute for Statistics and Econometrics, Duke University - Fuqua School of Business and International Research Training Group 1792
Downloads 824
197.

BitMEX Bitcoin Derivatives: Price Discovery, Informational Efficiency and Hedging Effectiveness

Journal of Futures Markets, 40(1):23-43, 2020
Number of pages: 35 Posted: 09 Apr 2019 Last Revised: 08 Dec 2019
Accepted Paper Series
University of Sussex Business School, Peking University - HSBC School of Business, Sungkyunkwan University - SKK Business School and Peking University - HSBC Business School
Downloads 818
198.

Trading Against the Random Expiration of Private Information: A Natural Experiment

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 01 Jan 2015 Last Revised: 21 Mar 2019
Working Paper Series
Columbia University - Columbia Business School, Professor of Law, Columbia Business School - Finance and Economics and Columbia Law School
Downloads 816
199.

Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance

International Review of Financial Analysis, Vol. 59, pp. 105-116, University of St.Gallen, School of Finance Research Paper No. 2018/14, QMS Research Paper 2018/01
Number of pages: 29 Posted: 22 Mar 2018 Last Revised: 13 Jun 2019
Accepted Paper Series
Queen's University Belfast - Queen's Management School, Humboldt University of Berlin and Utrecht University - School of Economics
Downloads 815
200.

Multi-Asset Noisy Rational Expectations Equilibrium with Contingent Claims

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 108 Posted: 08 Jun 2014 Last Revised: 13 Apr 2020
Working Paper Series
London School of Economics and Political Science, London School of Economics & Political Science (LSE) - Department of Finance and School of Economics and Finance, Queen Mary University of London
Downloads 813