SSRN eLibrary Search Results
JEL Code: C6

1,433,158 Total downloads
Search Within

Viewing: 3,151 - 3,200 of 8,235 papers

3151.

The Intuition Behind Black-Litterman Model Portfolios

Number of pages: 27 Posted: 28 Oct 2002
Working Paper Series
Independent and Kepos Capital
Downloads 17,911
3152.

Mathematical Finance Introduction to Continuous Time Financial Market Models

Number of pages: 129 Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads 11,950
3153.

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 8,985
3154.

A New Anomaly: The Cross-Sectional Profitability of Technical Analysis

Number of pages: 42 Posted: 12 Aug 2010 Last Revised: 22 May 2012
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - Olin School of Business
Downloads 8,711
3155.

Kelly Criterion for Multivariate Portfolios: A Model-Free Approach

Number of pages: 15 Posted: 02 May 2013 Last Revised: 30 Sep 2014
Working Paper Series
letYourMoneyGrow.com
Downloads 8,451
3156.

On the Properties of Equally-Weighted Risk Contributions Portfolios

Number of pages: 23 Posted: 23 Sep 2008 Last Revised: 05 Jun 2009
Working Paper Series
Lyxor Asset Management, Amundi Asset Management and Unigestion
Downloads 6,937
3157.

Discrete Time Finance

Number of pages: 104 Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads 5,950
3158.

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 5,384
3159.

Modelling Operational Risk

Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 23 Posted: 11 Dec 2001 Last Revised: 06 Jan 2010
Working Paper Series
Zurich Cantonal Bank, University of Basel, ETH Zürich - Department of Mathematics and Zurich Cantonal Bank
Downloads 5,299
3160.

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 4,915
3161.

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 4,757
3162.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Accepted Paper Series
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Downloads 4,588
3163.

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 4,500
3164.

Price Theory

Journal of Economic Literature, Forthcoming
Number of pages: 80 Posted: 02 Jun 2014 Last Revised: 18 Apr 2017
Accepted Paper Series
Microsoft Research
Downloads 4,407
3165.

A Model of Credit Risk, Optimal Policies, and Asset Prices

AFA 2002 Atlanta Meetings; NYU Finance Working Paper
Number of pages: 45 Posted: 21 Mar 2001
Working Paper Series
London Business School and New York University (NYU) - Department of Finance

Multiple version iconThere are 5 versions of this paper

Downloads 4,359
3166.

Buy Low Sell High: A High Frequency Trading Perspective

Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.,
Number of pages: 37 Posted: 26 Nov 2011 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 4,325
3167.

Moment Explosions in Stochastic Volatility Models

Number of pages: 32 Posted: 29 Jun 2004
Working Paper Series
Bank of America Merrill Lynch and Independent
Downloads 4,117
3168.

A Comparative Study of Portfolio Insurance

London Business School Working Paper IFA 344
Number of pages: 24 Posted: 22 Dec 2001
Working Paper Series
London Business School
Downloads 3,948
3169.

Automated Trading with Boosting and Expert Weighting

Quantitative Finance, Vol. 4, No. 10, pp. 401–420 ,
Number of pages: 18 Posted: 17 Oct 2006 Last Revised: 20 Feb 2013
Accepted Paper Series
Stevens Institute of Technology and University of California, San Diego
Downloads 3,849
3170.

Markov Models for Commodity Futures: Theory and Practice

Number of pages: 45 Posted: 30 May 2008 Last Revised: 30 Dec 2008
Working Paper Series
Bank of America Merrill Lynch
Downloads 3,767
3171.

The Quantification of Operational Risk

Number of pages: 38 Posted: 30 Dec 2003
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Basel

Multiple version iconThere are 2 versions of this paper

Downloads 3,758
3172.

Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach

Rapport Interne CMAP Working Paper No. 490
Number of pages: 39 Posted: 22 Nov 2002
Working Paper Series
Imperial College London and Ecole Polytechnique, Paris
Downloads 3,752
3173.

The Irony in the Derivatives Discounting Part II: The Crisis

Number of pages: 12 Posted: 14 Jul 2009 Last Revised: 19 Dec 2009
Working Paper Series
OpenGamma

Multiple version iconThere are 2 versions of this paper

Downloads 3,721
3174.

Generalized Vanna-Volga Method and its Applications

Number of pages: 20 Posted: 30 Jul 2008 Last Revised: 13 Jul 2009
Working Paper Series
Optimal Selection Ltd.
Downloads 3,548
3175.

Introduction to Fast Fourier Transform in Finance

Cass Business School Research Paper
Number of pages: 29 Posted: 29 Jun 2004
Working Paper Series
Cass Business School, City, University of London
Downloads 3,542
3176.

Analysis of Mortgage Backed Securities: Before and after the Credit Crisis

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42 Posted: 07 Jan 2007 Last Revised: 16 Mar 2011
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,424
3177.

Technical Analysis and Theory of Finance

EFA 2007 Ljubljana Meetings Paper
Number of pages: 54 Posted: 05 Mar 2007
Working Paper Series
Tsinghua University - School of Economics & Management and Washington University in St. Louis - Olin School of Business
Downloads 3,262
3178.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads 3,233
3179.

The Irony in the Derivatives Discounting

Number of pages: 10 Posted: 14 Mar 2007
Working Paper Series
OpenGamma

Multiple version iconThere are 2 versions of this paper

Downloads 3,229
3180.

Arbitrage-Free SVI Volatility Surfaces

Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Number of pages: 27 Posted: 03 Apr 2012 Last Revised: 15 Jan 2014
Accepted Paper Series
CUNY Baruch College and Imperial College London
Downloads 3,143
3181.

Log-Linearizing Around the Steady State: A Guide with Examples

Number of pages: 18 Posted: 14 Dec 2006
Working Paper Series
EBS University, EBS Business School
Downloads 3,071
3182.

Dynamic Mean-Variance Asset Allocation

EFA 2007 Ljubljana Meetings, AFA 2009 San Francisco Meetings Paper
Number of pages: 46 Posted: 27 Feb 2007 Last Revised: 09 Apr 2009
Working Paper Series
London Business School and London School of Economics and Political Science

Multiple version iconThere are 2 versions of this paper

Downloads 3,066
3183.

Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs

C. Burgard and M. Kjaer. Partial differential equation representations of derivatives with counterparty risk and funding costs. The Journal of Credit Risk, Vol. 7, No. 3, 1-19, 2011.
Number of pages: 19 Posted: 13 May 2010 Last Revised: 07 Aug 2014
Accepted Paper Series
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 2,978
3184.

Local Stochastic Volatility Models: Calibration and Pricing

Number of pages: 57 Posted: 11 Jun 2014 Last Revised: 15 Jul 2014
Working Paper Series
Independent
Downloads 2,932
3185.

Reproduction of Hierarchy? A Social Network Analysis of the American Law Professoriate

Journal of Legal Education, Vol. 61, No. 1, August 2011 , CELS 2009 4th Annual Conference on Empirical Legal Studies Paper
Number of pages: 28 Posted: 09 Mar 2009 Last Revised: 26 May 2011
Accepted Paper Series
Illinois Tech - Chicago Kent College of Law, Brigham Young University - Department of Political Science, University of Michigan at Ann Arbor - Center for Study of Complex Systems, LexPredict, LLC, University of Michigan - Department of Political Science and Childrens Hospital of Philadelphia
Downloads 2,842
3186.

Arbitrage-Free Construction of the Swaption Cube

Number of pages: 13 Posted: 22 Jan 2009
Working Paper Series
Commerzbank Corporates & Markets and Commerzbank Corporates & Markets
Downloads 2,787
3187.

Managing Risk Exposures Using the Risk Budgeting Approach

Number of pages: 33 Posted: 23 Feb 2012 Last Revised: 10 Apr 2012
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 2,762
3188.

Closed-Form Approximations for Spread Option Prices and Greeks

Number of pages: 39 Posted: 20 Dec 2006 Last Revised: 08 Jun 2010
Working Paper Series
Bloomberg LP, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology

Multiple version iconThere are 2 versions of this paper

Downloads 2,759
3189.

A Boosting Approach for Automated Trading

Journal of Trading, Vol. 2, No. 3, pp. 84-96.
Number of pages: 10 Posted: 17 Oct 2006 Last Revised: 20 Feb 2013
Accepted Paper Series
Stevens Institute of Technology and University of California, San Diego
Downloads 2,755
3190.

Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk

EFMA 2002 London Meetings; ISMA Centre Finance Discussion Paper No. 2001 Series, No. 2001-14
Number of pages: 58 Posted: 19 Dec 2001
Working Paper Series
University of Reading - ICMA Centre
Downloads 2,755
3191.

Asset Pricing with Heterogeneous Beliefs

Number of pages: 35 Posted: 30 Nov 2003
Working Paper Series
London Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,680
3192.

A Resolution to the NPV - IRR Debate?

Number of pages: 22 Posted: 05 Apr 2004 Last Revised: 04 Jan 2010
Working Paper Series
University of Sussex
Downloads 2,672
3193.

Risk Parity Portfolios with Risk Factors

Number of pages: 32 Posted: 03 Oct 2012 Last Revised: 06 Oct 2012
Working Paper Series
Amundi Asset Management and Clark University - Graduate School of Management
Downloads 2,656
3194.

Thickness and Information in Dynamic Matching Markets

Number of pages: 57 Posted: 15 Feb 2014 Last Revised: 05 May 2017
Working Paper Series
Stanford Graduate School of Business, Harvard University - Society of Fellows and University of California, Berkeley
Downloads 2,655
3195.

Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market

QUT School of Economics and Finance Discussion Paper No. 01-01
Number of pages: 46 Posted: 08 May 2001
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads 2,613
3196.

An Agent-Based Model of the Flash Crash of May 6, 2010, with Policy Implications

Number of pages: 39 Posted: 07 Oct 2013 Last Revised: 27 Feb 2014
Working Paper Series
Triangle Intelligence and University of Cambridge
Downloads 2,581
3197.

A Jump Diffusion Model For Option Pricing

AFA 2001 New Orleans Meetings
Number of pages: 36 Posted: 16 Sep 2000
Working Paper Series
Risk Management Institute, NUS
Downloads 2,580
3198.

Facts and Fantasies About Factor Investing

Number of pages: 112 Posted: 16 Nov 2014 Last Revised: 28 Nov 2014
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 2,578
3199.

Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation

Number of pages: 35 Posted: 07 May 2012
Working Paper Series
Flexible Plan Investments, Ltd. and University of Delaware
Downloads 2,557
3200.

The Free Boundary SABR: Natural Extension to Negative Rates

Number of pages: 17 Posted: 30 Jan 2015
Working Paper Series
Numerix, Numerix and Numerix
Downloads 2,516