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JEL Code: G13

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Viewing: 281 - 330 of 6,681 papers

281.

Option Traders Use (very) Sophisticated Heuristics, Never the Black–Scholes–Merton Formula

Journal of Economic Behavior and Organization, Vol. 77, No. 2, 2011
Number of pages: 11 Posted: 11 Sep 2007 Last Revised: 16 Nov 2012
Accepted Paper Series
affiliation not provided to SSRN and NYU-Tandon School of Engineering
Downloads 55,516
282.

An Analysis of the Financial Crisis of 2008: Causes and Solutions

Number of pages: 28 Posted: 04 Nov 2008 Last Revised: 16 Dec 2008
Working Paper Series
Oakland University - School of Business Administration
Downloads 21,426
283.

A Simplified Approach to Understanding the Kalman Filter Technique

Number of pages: 24 Posted: 07 May 2005 Last Revised: 17 Apr 2008
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, Auburn University and Georgia State University - Department of Finance
Downloads 17,804
284.

Risk Management Lessons from Long-Term Capital Management

Number of pages: 27 Posted: 02 Aug 1999
Working Paper Series
University of California, Irvine - Paul Merage School of Business
Downloads 17,750
285.

The Flash Crash: High-Frequency Trading in an Electronic Market

Journal of Finance, Forthcoming
Number of pages: 42 Posted: 27 May 2011 Last Revised: 18 Apr 2017
Accepted Paper Series
Imperial College London - Centre for Global Finance and Technology, University of Maryland, Southern Methodist University (SMU) - Edwin L. Cox School of Business and Federal Reserve Board
Downloads 15,353
286.

The Fundamentals of Commodity Futures Returns

Yale ICF Working Paper No. 07-08
Number of pages: 62 Posted: 28 Jun 2007 Last Revised: 07 Feb 2012
Working Paper Series
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 13,256
287.

Risk-Neutral Probabilities Explained

Number of pages: 27 Posted: 27 Apr 2009 Last Revised: 20 Oct 2010
Working Paper Series
affiliation not provided to SSRN
Downloads 12,927
288.

Mathematical Finance Introduction to Continuous Time Financial Market Models

Number of pages: 129 Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads 11,937
289.

Understanding VIX

Number of pages: 13 Posted: 09 Nov 2008 Last Revised: 08 Dec 2008
Working Paper Series
Vanderbilt University - Finance
Downloads 11,212
290.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads 10,562
291.

The Profitability of Technical Analysis: A Review

AgMAS Project Research Report No. 2004-04
Number of pages: 106 Posted: 15 Oct 2004
Working Paper Series
Chungbuk National University and University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics
Downloads 9,818
292.

The Illusions of Dynamic Replication

Quantitative Finance, Vol. 5, No. 4, pp. 323-326, August 2005
Number of pages: 5 Posted: 09 May 2005 Last Revised: 16 Nov 2012
Accepted Paper Series
Columbia University and NYU-Tandon School of Engineering
Downloads 9,593
293.

Stock Valuation and Investment Strategies

Yale ICF Working Paper No. 00-46
Number of pages: 55 Posted: 26 Jul 2001
Working Paper Series
York University - Schulich School of Business and University of Hong Kong
Downloads 9,402
294.

Can Hedge-Fund Returns Be Replicated?: The Linear Case

Number of pages: 54 Posted: 27 Aug 2006
Working Paper Series
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 9,361
295.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999
Working Paper Series
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 9,108
296.

The Tactical and Strategic Value of Commodity Futures

Number of pages: 61 Posted: 03 Feb 2005
Working Paper Series
TR and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 8,949
297.

Efficient Simulation of the Heston Stochastic Volatility Model

Number of pages: 38 Posted: 22 Nov 2006
Working Paper Series
Bank of America Merrill Lynch
Downloads 8,939
298.

Integrated Risk Management for the Firm: A Senior Manager's Guide

Number of pages: 39 Posted: 26 Feb 2002
Working Paper Series
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 8,715
299.

Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask

Number of pages: 82 Posted: 18 Feb 2013 Last Revised: 03 Apr 2013
Working Paper Series
Milan Bicocca University - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 7,835
300.

Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Number of pages: 29 Posted: 29 Jan 2009 Last Revised: 22 Jun 2016
Working Paper Series
Intesa Sanpaolo - Financial and Market Risk Management

Multiple version iconThere are 2 versions of this paper

Downloads 7,354
301.

Finiteness of Variance is Irrelevant in the Practice of Quantitative Finance

Complexity, Vol. 14, Issue 3, pp. 66–76, January/February 2009,
Number of pages: 12 Posted: 09 Jun 2008 Last Revised: 16 Nov 2012
Working Paper Series
NYU-Tandon School of Engineering
Downloads 7,276
302.

Errors, Robustness, and the Fourth Quadrant

International Journal of Forecasting, Vol. 25, No. 4, 2009
Number of pages: 16 Posted: 14 Feb 2009 Last Revised: 16 Nov 2012
Accepted Paper Series
NYU-Tandon School of Engineering
Downloads 7,106
303.

Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals

Journal of Banking and Finance 34, 2530-2548
Number of pages: 48 Posted: 30 Apr 2008 Last Revised: 19 Dec 2013
Accepted Paper Series
Cass Business School, City, University of London, Audencia School of Management and City University of London - Sir John Cass Business School
Downloads 6,794
304.

Economists' Hubris: The Case of Asset Pricing

Journal of Financial Transformation, Vol. 27, pp. 9-13, December 2009
Number of pages: 5 Posted: 07 Sep 2009 Last Revised: 05 Oct 2009
Accepted Paper Series
Capco Institute and Aston Business School
Downloads 6,719
305.

Calculating the VIX in Excel

Number of pages: 12 Posted: 08 Mar 2008
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business and University of Richmond - E. Claiborne Robins School of Business
Downloads 6,390
306.

Credit Risk Modeling and Valuation: An Introduction

Number of pages: 67 Posted: 21 Dec 2003
Working Paper Series
Stanford University - Management Science & Engineering
Downloads 6,304
307.

Interest Rates and The Credit Crunch: New Formulas and Market Models

Bloomberg Portfolio Research Paper No. 2010-01-FRONTIERS
Number of pages: 39 Posted: 24 Jan 2009 Last Revised: 11 May 2010
Accepted Paper Series
Bloomberg L.P.
Downloads 6,259
308.

On Default Correlation: A Copula Function Approach

Number of pages: 28 Posted: 09 Dec 1999
Working Paper Series
AIG Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 6,157
309.

Discrete Time Finance

Number of pages: 104 Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads 5,943
310.

Non-Life Insurance: Mathematics & Statistics

Number of pages: 289 Posted: 03 Sep 2013 Last Revised: 15 Mar 2017
Working Paper Series
RiskLab, ETH Zurich
Downloads 5,699
311.

Valuation Methods and Shareholder Value Creation

VALUATION METHODS AND SHAREHOLDER VALUE CREATION, Academic Press, 2002
Number of pages: 13 Posted: 22 Nov 2004
Accepted Paper Series
University of Navarra - IESE Business School
Downloads 5,676
312.

A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model

Number of pages: 26 Posted: 07 Apr 1999
Working Paper Series
Bank of America Merrill Lynch
Downloads 5,532
313.

Momentum Strategies in Commodity Futures Markets

Journal of Banking and Finance, Vol. 31, No. 9, 2007
Number of pages: 34 Posted: 20 Apr 2005 Last Revised: 10 Nov 2015
Accepted Paper Series
Audencia School of Management and City University of London - Sir John Cass Business School

Multiple version iconThere are 2 versions of this paper

Downloads 5,441
314.

Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals

Number of pages: 75 Posted: 27 Dec 2007
Working Paper Series
Bloomberg L.P.
Downloads 5,366
315.

Calibration and Implementation of Convertible Bond Models

Number of pages: 39 Posted: 28 Mar 2003
Working Paper Series
Bank of America Merrill Lynch and Bank of America
Downloads 5,317
316.

Three Centuries of Asset Pricing

Journal of Banking and Finance, Vol. 23, No. 12, 1999, pages 1745–1769, LBS Institute of Finance and Accounting Working Paper No. IFA 385,
Number of pages: 22 Posted: 11 Jan 2000 Last Revised: 20 Mar 2016
Working Paper Series
University of Cambridge - Judge Business School and Cantab Capital Partners

Multiple version iconThere are 2 versions of this paper

Downloads 5,189
317.

Estimating the Dynamics of Mutual Fund Alphas and Betas

Yale ICF Working Paper No. 03-03; EFA 2003 Annual Conference Paper No. 803; AFA 2004 San Diego Meetings
Number of pages: 40 Posted: 10 Mar 2005
Working Paper Series
Yale University - Yale School of Management, International Center for Finance, Columbia University - Columbia Business School and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 5,146
318.

Mathematical Foundation of Convexity Correction

Quantitative Finance, Vol. 3, No. 1, 2003
Number of pages: 18 Posted: 16 May 2001 Last Revised: 08 May 2011
Accepted Paper Series
Maastricht University
Downloads 5,054
319.

Real Options Valuation: A Monte Carlo Approach

Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 71 Posted: 06 Mar 2002
Working Paper Series
University of Warwick - Finance Group
Downloads 4,897
320.

Originate-to-Distribute Model and the Subprime Mortgage Crisis

AFA 2010 Atlanta Meetings Paper
Number of pages: 53 Posted: 22 Jul 2008 Last Revised: 20 May 2010
Working Paper Series
University of Michigan, Stephen M. Ross School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,838
321.

Pricing Default Swaps: Empirical Evidence

Journal of International Money and Finance, Vol. 24, pp. 1200-1225, 2005, EFA 2002 Berlin Meetings Presented Paper, EFMA 2002 London Meetings, ERIM Report Series
Number of pages: 49 Posted: 24 Dec 2001
Accepted Paper Series
Robeco Investment Research and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 4,776
322.

Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing

Number of pages: 45 Posted: 11 Aug 1999
Working Paper Series
Bank of America Merrill Lynch and Danske Bank - Danske Markets
Downloads 4,746
323.

A Market Model for Inflation

Number of pages: 15 Posted: 17 Aug 2004
Working Paper Series
CDC Ixis Capital Markets, Université Paris Est - Université Paris Est-Creteil and CNCE
Downloads 4,739
324.

Dissecting Investment Strategies in the Cross Section and Time Series

Number of pages: 31 Posted: 24 Nov 2015 Last Revised: 07 Dec 2015
Working Paper Series
Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man AHL
Downloads 4,715
325.

Implied Binomial Trees in Excel without VBA

Number of pages: 21 Posted: 08 May 2004
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 4,497
326.

Why are Put Options so Expensive?

Quarterly Journal of Finance, Vol. 4, 1450015 [50 pages], 2014
Number of pages: 40 Posted: 29 Apr 2003 Last Revised: 06 Apr 2015
Working Paper Series
University of Illinois at Chicago - Department of Finance
Downloads 4,407
327.

Stock Price Clustering on Option Expiration Dates

AFA 2005 Philadelphia Meetings
Number of pages: 53 Posted: 22 Mar 2004
Working Paper Series
Hong Kong University of Science and Technology, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 4,406
328.

Earnings Quality and the Equity Risk Premium: A Benchmark Model

Contemporary Accounting Research, Vol. 23, No. 3, pp. 833-877, Fall 2006
Number of pages: 50 Posted: 15 Nov 2005
Accepted Paper Series
Mellon Capital Management
Downloads 4,359
329.

Information, Liquidity, and the (Ongoing) Panic of 2007

Number of pages: 13 Posted: 10 Jan 2009
Working Paper Series
Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,184
330.

Variance Risk Premia

AFA 2005 Philadelphia Meetings
Number of pages: 44 Posted: 17 Aug 2004 Last Revised: 25 Oct 2007
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 4,173