Search Results
JEL Code: C60

372,064 Total downloads

Viewing: 1 - 50 of 1,218 papers

1.

Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR

Number of pages: 25 Posted: 05 Mar 2019 Last Revised: 13 Feb 2020
Working Paper Series
Quantitative Risk Management, Inc. and Bloomberg L.P.
Downloads 7,768
2.

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 6,025
3.

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 5,794
4.

Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

Number of pages: 102 Posted: 09 Oct 2017
Working Paper Series
Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and affiliation not provided to SSRN
Downloads 5,526
5.

Moment Explosions in Stochastic Volatility Models

Number of pages: 32 Posted: 29 Jun 2004
Working Paper Series
Bank of America and NatWest MarketsImperial College London
Downloads 5,030
6.

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 4,629
7.

An Explicit Implied Volatility Formula

International Journal of Theoretical and Applied Finance, Vol. 20, no. 7, 2017
Number of pages: 24 Posted: 01 Feb 2017 Last Revised: 25 Jul 2018
Working Paper Series
Baruch College, City University of New York and CUNY Baruch College
Downloads 4,343
8.

Thickness and Information in Dynamic Matching Markets

Number of pages: 63 Posted: 15 Feb 2014 Last Revised: 09 Jan 2019
Working Paper Series
Stanford University, Harvard University - Society of Fellows and University of California, Berkeley
Downloads 4,308
9.

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 4,149
10.

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 affiliation not provided to SSRN
Downloads 4,067
11.

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

Number of pages: 18 Posted: 14 Dec 2006
Working Paper Series
EBS University of Business and Law, EBS Business School
Downloads 3,813
12.

High Performance American Option Pricing

Number of pages: 44 Posted: 11 Jan 2015 Last Revised: 06 May 2020
Working Paper Series
Bank of America, Bank of America and Strategist
Downloads 3,632
13.

A Resolution to the NPV - IRR Debate?

Number of pages: 22 Posted: 05 Apr 2004 Last Revised: 24 Feb 2023
Working Paper Series
University of Sussex Business School
Downloads 3,315
14.

Optimal Portfolios from Ordering Information

Number of pages: 62 Posted: 25 Dec 2004
Working Paper Series
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Downloads 3,213
15.

Generalized Risk-Based Investing

Number of pages: 43 Posted: 24 Jan 2013 Last Revised: 20 Apr 2013
Working Paper Series
EDHEC Business School, TOBAM and World Bank
Downloads 3,111
16.

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 3,100
17.

Limited Partners versus Unlimited Machines; Artificial Intelligence and the Performance of Private Equity Funds

Number of pages: 62 Posted: 26 Jun 2023 Last Revised: 08 Jan 2024
Working Paper Series
Université Côte d'Azur - SKEMA Business School, Technische Universität München (TUM) - TUM School of Management, SKEMA Business School, University of Oxford - Said Business School and Unigestion SA
Downloads 3,026
18.

The Case of Gold and Silver: A New Algorithm for Pairs Trading

Number of pages: 7 Posted: 10 Apr 2013 Last Revised: 10 Apr 2013
Working Paper Series
B.K.School of Business Management, Gujarat University, Shri Chimanbhai Patel Institute of Management & Research and Shri Chimanbhai Patel Institute of Management & Research
Downloads 3,020
19.

A Primer on Alternative Risk Premia

Number of pages: 123 Posted: 04 May 2016 Last Revised: 26 Jun 2016
Working Paper Series
Lyxor Asset Management, Lyxor Asset Management, Amundi Asset Management and Ecole Polytechnique
Downloads 3,017
20.

A Short Remark on Feller’s Square Root Condition

Number of pages: 3 Posted: 07 Feb 2011
Working Paper Series
Independent
Downloads 2,977
21.

Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting

Number of pages: 15 Posted: 20 Jun 2018
Working Paper Series
RiskConcile, University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 2,851
22.

Analysis of Financial Time-Series Using Fourier and Wavelet Methods

Number of pages: 36 Posted: 27 Oct 2008
Working Paper Series
University of Fribourg - Faculty of Economics and Social Science
Downloads 2,714
23.

Deviation Measures in Risk Analysis and Optimization

University of Florida, Department of Industrial & Systems Engineering Working Paper No. 2002-7
Number of pages: 27 Posted: 22 Jan 2003
Working Paper Series
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 2,445
24.

Economic Order Quantity (EOQ)

Number of pages: 14 Posted: 05 Nov 2019
Working Paper Series
International Training Institute
Downloads 2,410
25.

Tracking Problems, Hedge Fund Replication and Alternative Beta

Number of pages: 66 Posted: 12 Jan 2009 Last Revised: 20 Apr 2009
Working Paper Series
Amundi Asset Management and affiliation not provided to SSRN
Downloads 2,344
26.

Path-Dependent Options Pricing: A Quasi Monte Carlo Simulation Approach with MATLAB

Number of pages: 11 Posted: 15 Aug 2010 Last Revised: 18 Oct 2010
Working Paper Series
The University of Hong Kong
Downloads 2,299
27.

Pricing Vanilla Options with Cash Dividends

Number of pages: 28 Posted: 23 Jul 2015
Working Paper Series
Vola Dynamics LLC
Downloads 2,298
28.

Portfolio Insurance: A Short Introduction

Number of pages: 22 Posted: 11 Jun 2009 Last Revised: 11 Aug 2009
Working Paper Series
World Bank
Downloads 2,274
29.

Cash-Settled Swaptions - A Review of Cash-Settled Swaption Pricing

Number of pages: 15 Posted: 14 Feb 2018
Working Paper Series
University of Oxford - Said Business School
Downloads 2,174
30.

Financial Econometrics - R Tutorial Guidance

Number of pages: 521 Posted: 10 Jun 2021
Working Paper Series
Cardiff University, Cardiff Business School and Trinity College (Dublin) - Trinity Business School
Downloads 2,160
31.

A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities

Univ. of Southern Switzerland Working Paper
Number of pages: 42 Posted: 08 Nov 2001
Working Paper Series
University of Zurich, University of Basel and University of Geneva
Downloads 2,086
32.

Interest Rate Swaptions - A Review & Derivation of Swaption Pricing Formulae

Journal of Economics and Financial Analysis, Vol:2, No:2 (2018) 87-103
Number of pages: 15 Posted: 05 Jan 2018 Last Revised: 05 Feb 2022
Accepted Paper Series
University of Oxford - Said Business School
Downloads 2,064
33.

Solving SABR in Exact Form and Unifying it with LIBOR Market Model

Number of pages: 41 Posted: 19 Oct 2009
Working Paper Series
Lloyds Banking Group
Downloads 2,037
34.

Criticism of the Black-Scholes Model: But Why is It Still Used?: (The Answer is Simpler than the Formula)

Number of pages: 11 Posted: 22 Jul 2012 Last Revised: 23 Mar 2015
Working Paper Series
State University of New York, Empire State College AlumnusNew York University, College of Arts and Sciences (Candidate)
Downloads 2,028
35.

Portfolio Optimization and Parameter Uncertainty

Number of pages: 15 Posted: 12 Feb 2024 Last Revised: 13 Mar 2024
Working Paper Series
Fortitudo Technologies and Fortitudo Technologies
Downloads 1,961
36.

FX Forward Invariance & Discounting with CSA Collateral

Number of pages: 3 Posted: 31 Jul 2017 Last Revised: 08 Nov 2023
Working Paper Series
University of Oxford - Said Business School
Downloads 1,905
37.

A Fast Algorithm for Computing High-Dimensional Risk Parity Portfolios

Number of pages: 9 Posted: 15 Sep 2013 Last Revised: 01 Oct 2013
Working Paper Series
Imperial College London, Eisler Capital and Amundi Asset Management
Downloads 1,901
38.

Keep Up the Momentum

Number of pages: 16 Posted: 09 Jan 2018
Working Paper Series
Amundi Asset Management
Downloads 1,839
39.

Option Pricing in a Fractional Brownian Motion Environment

Number of pages: 19 Posted: 20 Oct 2008
Working Paper Series
Bucharest University of Economic Studies, Department of Money and Banking
Downloads 1,824
40.

Raise your Glass: Wine Investment and the Financial Crisis

Number of pages: 25 Posted: 22 Aug 2009 Last Revised: 26 Apr 2010
Working Paper Series
University of Fribourg - Faculty of Economics and Social Science and EHL Hospitality Business School
Downloads 1,770
41.

Regularization of Portfolio Allocation

Number of pages: 35 Posted: 21 Apr 2016
Working Paper Series
Lyxor Asset Management, Metori Capital Management, Eisler Capital and Amundi Asset Management
Downloads 1,622
42.

Macro Factor-Mimicking Portfolios

Number of pages: 27 Posted: 02 May 2019 Last Revised: 12 Nov 2022
Working Paper Series
EDHEC Business School and World Bank
Downloads 1,578
43.

On the Role of Arbitrageurs in Rational Markets

EFA 2004 Maastricht Meetings Paper No. 2390; AFA 2004 San Diego Meetings
Number of pages: 36 Posted: 04 Dec 2003
Working Paper Series
McGill University - Desautels Faculty of Management and London Business School

Multiple version iconThere are 3 versions of this paper

Downloads 1,567
44.

An Implementation of the Hybrid-Heston-Hull-White Model

Number of pages: 34 Posted: 08 May 2009
Working Paper Series
University of Wuppertal - Applied Mathematics and UC Berkeley, Department of Mathematics
Downloads 1,558
45.

Analytical Framework for Counterparty Credit Exposure

Number of pages: 26 Posted: 01 Jun 2022 Last Revised: 07 Dec 2022
Working Paper Series
Board of Governors of the Federal Reserve System
Downloads 1,554
46.

Environmental Economics and Modeling Marketable Permits: A Survey

Asian Pacific Financial Markets, Vol. 17, No. 4, 2010
Number of pages: 21 Posted: 19 Feb 2009 Last Revised: 05 Dec 2010
Accepted Paper Series
University of Edinburgh Business School
Downloads 1,524
47.

Aligning ‘Decentralized Autonomous Organization’ to Precedents in Cybernetics

Number of pages: 20 Posted: 06 May 2022
Working Paper Series
BlockScience and European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS)
Downloads 1,491
48.

Types of Economic Behavior: The Instrument for Management of Individuals, Institutions, Countries and Humankind

Number of pages: 22 Posted: 02 Nov 2011
Working Paper Series
Vinnitsia National Technical University (VNTU) and Vinnitsa National Technical University (VNTU)
Downloads 1,476
49.

Discrete Local Volatility for Large Time Steps (Extended Version)

Number of pages: 34 Posted: 13 Aug 2015 Last Revised: 18 May 2020
Working Paper Series
XTX Markets and JP Morgan Chase
Downloads 1,459
50.

Spreadsheet-Based Modeling for Teaching Finance and Accounting Courses

Number of pages: 28 Posted: 18 Mar 2003
Working Paper Series
Independent Credit View
Downloads 1,402