1.
Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 9
Number of pages: 63
Posted: 10 Feb 2022
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads
25,615
2.
Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 8
Number of pages: 71
Posted: 16 Nov 2021
Last Revised: 27 Apr 2024
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads
24,959
3.
Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 6
Number of pages: 84
Posted: 08 Nov 2021
Last Revised: 27 Apr 2024
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads
23,841
4.
Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 3
Number of pages: 51
Posted: 03 Nov 2021
Last Revised: 27 Apr 2024
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads
22,650
5.
Efficient Simulation of the Heston Stochastic Volatility Model
Number of pages: 38
Posted: 22 Nov 2006
Working Paper Series
Bank of America
Downloads
13,402
6.
Artificial Intelligence in Human Resources Management: Challenges and a Path Forward
Number of pages: 34
Posted: 01 Nov 2018
Last Revised: 06 May 2022
Working Paper Series
University of Pennsylvania Wharton School - Center for Human Resources, Wharton School, U. Pennsylvania and University of PennsylvaniaESSEC Business School
Downloads
12,125
7.
Machine Learning in Asset Management
JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65
Posted: 18 Jul 2019
Last Revised: 23 Jun 2020
Working Paper Series
New York University (NYU) - Finance and Risk Engineering Department
Downloads
11,804
8.
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
9,711
9.
Introduction to Fast Fourier Transform in Finance
Research paper
Number of pages: 21
Posted: 29 Jun 2004
Last Revised: 28 Oct 2021
Working Paper Series
Bayes Business School, City St George's, University of London
Downloads
7,665
10.
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
7,135
11.
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
6,552
12.
Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals
Number of pages: 75
Posted: 27 Dec 2007
Working Paper Series
Two Sigma
Downloads
6,329
13.
Stock Picking with Machine Learning
Number of pages: 45
Posted: 23 Jun 2020
Last Revised: 18 Aug 2023
Accepted Paper Series
Technical University of DarmstadtDeka Investment GmbH and Allianz SE - Allianz Global Investors Europe
Downloads
6,224
14.
Trend Filtering Methods for Momentum Strategies
Number of pages: 49
Posted: 07 Jul 2013
Working Paper Series
Lyxor Asset Management, affiliation not provided to SSRN, Eisler Capital and Amundi Asset Management
Downloads
6,121
15.
Real Options Valuation: A Monte Carlo Approach
Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper, WBS Finance Group Research Paper No. 14
Number of pages: 71
Posted: 06 Mar 2002
Working Paper Series
University of Warwick - Finance Group
Downloads
6,080
16.
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 and Verition Group LLC
Downloads
5,983
17.
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
Downloads
5,657
18.
CDS Rate Construction Methods by Machine Learning Techniques
Number of pages: 51
Posted: 15 May 2017
Last Revised: 31 Oct 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads
5,653
19.
VolGAN: a generative model for arbitrage-free implied volatility surfaces
Number of pages: 45
Posted: 28 Nov 2023
Last Revised: 19 Feb 2025
Working Paper Series
University of Oxford and University of Oxford
Downloads
5,238
20.
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, School of Business and University of California, San Diego
Downloads
5,213
21.
Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 1
Number of pages: 40
Posted: 02 Nov 2021
Last Revised: 27 Apr 2024
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads
4,989
22.
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
4,787
23.
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
4,670
24.
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
University of Oxford and ENSAE, Institut Polytechnique de Paris
Downloads
4,551
25.
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
muRisQ Advisory
There are 2 versions of this paper
The Irony in the Derivatives Discounting Part II: The Crisis
Number of pages: 12
Posted: 14 Jul 2009
Last Revised: 19 Dec 2009
Downloads
4,473
The Irony in the Derivatives Discounting Part II: The Crisis
Wilmott Journal, Vol. 2, pp. 301-316, 2010
Posted: 28 Sep 2011
Downloads
4,473
26.
FX Market Behavior and Valuation
Number of pages: 41
Posted: 12 Jan 2007
Working Paper Series
Two Sigma
Downloads
4,081
27.
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: 29 Jun 2018
Accepted Paper Series
Two Sigma, Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads
3,943
28.
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
3,861
29.
The Irony in the Derivatives Discounting
Number of pages: 10
Posted: 14 Mar 2007
Working Paper Series
muRisQ Advisory
There are 2 versions of this paper
Downloads
3,800
30.
Uncovering Trend Rules
Number of pages: 17
Posted: 12 May 2015
Working Paper Series
Robeco Institutional Asset Management and Fintelligence CCT
Downloads
3,759
31.
You Don't Have to Bother Newton for Implied Volatility
Number of pages: 28
Posted: 20 Dec 2006
Working Paper Series
Bloomberg LP
Downloads
3,749
32.
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
Rayleigh Research and University of Cambridge
Downloads
3,635
33.
Professor GPT: Having a Large Language Model Write a Commentary on Freedom of Assembly
MPI Collective Goods Discussion Paper, No. 2024/14
Number of pages: 47
Posted: 21 Oct 2024
Last Revised: 07 Feb 2025
Working Paper Series
Max Planck Institute for Research on Collective Goods and Max Planck Institute for Research on Collective Goods
Downloads
3,542
34.
Dissecting Climate Risks: Are they Reflected in Stock Prices?
Number of pages: 70
Posted: 03 Mar 2021
Last Revised: 08 Apr 2023
Working Paper Series
Danmarks Nationalbank, PFA Asset Management and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads
3,462
35.
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
3,461
36.
Learning Curve Dynamics with Artificial Neural Networks
Number of pages: 18
Posted: 25 Sep 2017
Last Revised: 15 May 2018
Working Paper Series
Imperial College London - Department of Mathematics
Downloads
3,454
37.
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, School of Business and University of California, San Diego
Downloads
3,403
38.
Calibrating the Nelson-Siegel-Svensson Model
Number of pages: 22
Posted: 16 Sep 2010
Last Revised: 22 Apr 2011
Working Paper Series
University of Geneva - Research Center for Statistics, NORD/LB and Independent
Downloads
3,395
39.
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
3,331
40.
Implied Volatility Surface: Construction Methodologies and Characteristics
Number of pages: 38
Posted: 10 Jul 2011
Working Paper Series
Independent
Downloads
3,312
41.
Alternatives to Deep Neural Networks in Finance
Number of pages: 57
Posted: 08 Nov 2021
Last Revised: 23 Mar 2024
Working Paper Series
Abu Dhabi Investment Authority and NatWest MarketsImperial College London
Downloads
3,295
42.
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, 273 Ventures, University of Michigan - Department of Political Science and University of Pennsylvania - Children's Hospital of Philadelphia
Downloads
3,229
43.
Operators on Inhomogeneous Time Series
Olsen & Associates Working Paper No. 324
Number of pages: 33
Posted: 21 Mar 2000
Working Paper Series
Edgelab and Olsen & Associates
There are 2 versions of this paper
Operators on Inhomogeneous Time Series
Olsen & Associates Working Paper No. 324
Number of pages: 33
Posted: 21 Mar 2000
Downloads
3,226
Downloads
3,226
44.
Machine Learning at Central Banks
Bank of England Working Paper No. 674
Number of pages: 89
Posted: 06 Sep 2017
Working Paper Series
Bank of England and Bank of England
Downloads
3,143
45.
Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk
Number of pages: 58
Posted: 19 Dec 2001
Working Paper Series
University of Reading - ICMA Centre
Downloads
3,045
46.
Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
Number of pages: 25
Posted: 02 May 2011
Last Revised: 12 Sep 2011
Working Paper Series
Independent
Downloads
3,027
47.
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
3,007
48.
An Intraday Trend-Following Trading Strategy on Equity Derivatives in India
Number of pages: 11
Posted: 18 Mar 2019
Working Paper Series
QPLUM LLC and Qplum
Downloads
2,885
49.
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 - University of Fribourg - Faculty of Economics and Social Science and University of Fribourg - Faculty of Economics and Social Science
There are 2 versions of this paper
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
Downloads
2,883
Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability
Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 41
Posted: 17 Sep 2011
Downloads
101
Downloads
2,883
50.
Scaling Core Earnings Measurement with Large Language Models
Number of pages: 46
Posted: 22 Nov 2024
Working Paper Series
University of Southern California and Harvard University - Business School (HBS)
Downloads
2,833
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