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JEL Code: C65

108,917 Total downloads

Viewing: 1 - 50 of 512 papers

1.

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 3,799
2.

Centrality Measures in Networks

Number of pages: 46 Posted: 19 Mar 2016 Last Revised: 16 Feb 2023
Working Paper Series
University of Angers - Research Group in Quantitative Saving (GREQAM)National Center for Scientific Research (CNRS), Stanford University - Department of Economics and University of Chicago - Department of Economics
Downloads 2,973
3.

A Gentle Introduction to Value at Risk

Number of pages: 86 Posted: 28 Mar 2017
Working Paper Series
Bayes Business School (formerly Cass) - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 2,436
4.

A Gentle Introduction to Default Risk and Counterparty Credit Modelling

Number of pages: 57 Posted: 01 Aug 2016
Working Paper Series
Bayes Business School (formerly Cass) - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Eastern Piedmont
Downloads 2,290
5.

The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing

Applied Mathematical Finance, Vol. 19, No. 5, 2012, Swiss Finance Institute Research Paper No. 08-02, EFA 2008 Athens Meetings Paper
Number of pages: 34 Posted: 04 Feb 2008 Last Revised: 12 Oct 2013
Accepted Paper Series
University of Zurich - Department of Banking and Finance and University of Edinburgh Business School
Downloads 2,197
6.

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 2,140
7.

Martingale Measures & Change of Measure Explained

Number of pages: 16 Posted: 01 May 2017
Working Paper Series
University of Oxford - Said Business School
Downloads 2,052
8.

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 2,011
9.

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 1,879
10.

Asymptotic Expansions of the Lognormal Implied Volatility: A Model Free Approach

Number of pages: 18 Posted: 29 Nov 2011 Last Revised: 06 Dec 2011
Working Paper Series
Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)
Downloads 1,424
11.

Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation

Number of pages: 19 Posted: 19 May 2008 Last Revised: 05 Oct 2008
Working Paper Series
Imperial College London - Department of Mathematics and FitchSolutions

Multiple version iconThere are 2 versions of this paper

Downloads 1,419
12.

Verification Dilemmas in Law and the Promise of Zero-Knowledge Proofs

Berkeley Technology Law Journal, Vol. 37, No. 1, 2022
Number of pages: 70 Posted: 18 Feb 2021 Last Revised: 27 Mar 2023
Accepted Paper Series
University of California, Berkeley - School of Law, Boston University, Department of Computer Science, University of California, Berkeley - Simons Institute for the Theory of Computing, University of California, Berkeley, School of Law and University of California, Berkeley - School of Law
Downloads 1,349
13.

Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry

Number of pages: 39 Posted: 14 Jan 2021 Last Revised: 27 Dec 2021
Working Paper Series
Fidelity Investments, Inc.
Downloads 1,309
14.

Expectation and Optimal f : Expected Growth with and without Reinvestment for Discretely-Distributed Outcomes of Finite Length

Number of pages: 23 Posted: 15 Mar 2015 Last Revised: 08 Feb 2019
Working Paper Series
None
Downloads 1,269
15.

Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps

Number of pages: 32 Posted: 19 Dec 2008 Last Revised: 19 Nov 2009
Working Paper Series
Imperial College London - Department of Mathematics and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 1,258
16.

A Review of the Vasicek & Hull-White Models & the Likelihood of Negative Rates

Number of pages: 13 Posted: 14 Feb 2018 Last Revised: 19 Nov 2018
Working Paper Series
University of Oxford - Said Business School
Downloads 1,212
17.

Typology and Literature Review on Multiple Supplier Inventory Control Models

Svoboda, J., Minner, S., Yao, M. (2021), Typology and Literature Review on Multiple Supplier Inventory Control Models, European Journal of Operational Research 293(1):1-23, doi: 10.1016/j.ejor.2020.11.023
Number of pages: 45 Posted: 30 Jun 2017 Last Revised: 07 Jun 2021
Working Paper Series
Technische Universität München (TUM) - TUM School of Management, Technische Universität München (TUM) - TUM School of Management and Technische Universität München (TUM)
Downloads 1,202
18.

A Note on the Equivalence between the Normal and the Lognormal Implied Volatility: A Model Free Approach

Number of pages: 11 Posted: 25 Jul 2011 Last Revised: 29 Nov 2011
Working Paper Series
Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)
Downloads 1,152
19.

Consistent Pricing of Options on Leveraged ETFs

Number of pages: 43 Posted: 21 Sep 2012 Last Revised: 22 Oct 2014
Working Paper Series
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Imperial College Business School and Independent
Downloads 1,125
20.

An Intuitive Guide to Wavelets for Economists

Bank of Finland Research Discussion Paper No. 1/2005
Number of pages: 71 Posted: 30 Aug 2005
Working Paper Series
Texas A&M University - Corpus Christi
Downloads 1,112
21.

Network Externalities and Real Option Evaluation

THE ECONOMICS OF ONLINE MARKET AND ICT NETWORKS, R. Cooper, G. Madden, A. Lloyd and M. Schipp, eds., Physica-Verlag, May 2006
Number of pages: 16 Posted: 13 Feb 2011
Accepted Paper Series
IDRAC Business School and Université d'Évry - Equipe d'Analyse et Probabilites
Downloads 1,071
22.

Ambiguity, Volatility, and Credit Risk

Review of Financial Studies, Forthcoming
Number of pages: 86 Posted: 07 May 2016 Last Revised: 19 Apr 2019
Accepted Paper Series
McGill UniversityMcGill University, Desautels Faculty of Management and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 995
23.

Fast Fourier Transform and Option Pricing

Preprint
Number of pages: 7 Posted: 28 Feb 2008 Last Revised: 22 Jun 2020
Working Paper Series
Bayes Business School, City, University of London
Downloads 985
24.

Exploring the Advantages of Transformers for High-Frequency Trading

Number of pages: 20 Posted: 24 Feb 2023
Working Paper Series
The University of Edinburgh, Department of Computing, Imperial College London, Imperial College London - Department of Computing and Imperial College London - Department of Computing
Downloads 911
25.

Unraveling Hedge Fund Returns: An Introduction to Independent Component Analysis as an Analytical Tool

Number of pages: 29 Posted: 22 Feb 2006
Working Paper Series
Perella Weinberg Partners
Downloads 905
26.

Solving the Two-Period Consumer Choice Model with Excel-Solver

Number of pages: 15 Posted: 30 Jan 2012
Working Paper Series
University of Girona and University of Girona - Department of Economics
Downloads 869
27.

A Review of the Generalized Black-Scholes Formula & It’s Application to Different Underlying Assets

Number of pages: 12 Posted: 23 Aug 2017 Last Revised: 15 Feb 2018
Working Paper Series
University of Oxford - Said Business School
Downloads 867
28.

Factor Risk Parity with Portfolio Weight Constraints

Number of pages: 61 Posted: 08 Jun 2015 Last Revised: 08 Jan 2016
Working Paper Series
BUW - Schumpeter School of Business and Economics and University of Wuppertal
Downloads 855
29.

A General Option Valuation Approach to Discount for Lack of Marketability

Number of pages: 32 Posted: 15 Jan 2014 Last Revised: 08 Nov 2014
Working Paper Series
Financial Risk Management LLC
Downloads 854
30.

Ambiguity and the Tradeoff Theory of Capital Structure

Management Science
Number of pages: 69 Posted: 21 Nov 2016 Last Revised: 08 Mar 2021
Accepted Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, New York University (NYU) - Stern School of Business and University of Colorado at Boulder - Department of Finance
Downloads 798
31.

'Quantum Equilibrium-Disequilibrium': Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons

Number of pages: 51 Posted: 15 Aug 2018 Last Revised: 29 May 2019
Working Paper Series
Fidelity Investments, Inc. and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 764
32.

Counterparty Risk Valuation for Energy-Commodities Swaps: Impact of Volatilities and Correlation

Number of pages: 21 Posted: 24 Jun 2008
Working Paper Series
Imperial College London - Department of Mathematics, FitchSolutions and Fitch Ratings Inc. - FitchSolutions
Downloads 760
33.

Cyberbullying: A Study of Causes, Implications and Mitigation

Number of pages: 52 Posted: 24 Aug 2016 Last Revised: 25 Aug 2016
Working Paper Series
Dhirubhai Ambani International School, Students and Massachusetts Institute of Technology (MIT)
Downloads 756
34.

Portfolio Management Framework for Derivative Instruments

Number of pages: 9 Posted: 25 Sep 2022 Last Revised: 26 Dec 2023
Working Paper Series
Fortitudo Technologies
Downloads 754
35.

A Concise Guide to Dynamic Optimization

Number of pages: 43 Posted: 16 Oct 2011 Last Revised: 27 Nov 2016
Working Paper Series
University at Buffalo - Department of Economics
Downloads 721
36.

Ambiguity and Overconfidence

Number of pages: 49 Posted: 02 Mar 2011 Last Revised: 01 Aug 2015
Working Paper Series
New York University (NYU) - Department of Finance, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Hebrew University of Jerusalem - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 708
37.

A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets

133 Acta Physica Polonica A 1408 (2018)
Number of pages: 21 Posted: 30 Jan 2017 Last Revised: 04 Aug 2018
Accepted Paper Series
Texas A&M University School of Innovation
Downloads 706
38.

Gambling for Quants, Part 1: A Simple Fractional Betting System

Number of pages: 19 Posted: 10 Feb 2017
Working Paper Series
Stuart School of Business, Illinois Institute of Technology
Downloads 694
39.

Risk Management with Expectiles

Number of pages: 22 Posted: 05 Aug 2014 Last Revised: 21 Dec 2014
Working Paper Series
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Conservatoire National des Arts et Métiers (CNAM)
Downloads 683
40.

Interest Rate Models for Pricing Derivatives: The Case of Cap Contracts

Number of pages: 22 Posted: 27 Jan 2010 Last Revised: 30 Sep 2010
Working Paper Series
CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF)
Downloads 625
41.

Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations

Number of pages: 23 Posted: 17 Nov 2009 Last Revised: 04 Feb 2010
Working Paper Series
Imperial College London - Department of Mathematics, Intesa Sanpaolo and Barclays Capital
Downloads 604
42.

Parameters for Estimation of Entropy to Study Price Manipulation in Stock Market

10th Capital Markets Conference, Indian Institute of Capital Markets Paper
Number of pages: 19 Posted: 09 Feb 2007
Working Paper Series
Goa University - Department of Commerce and National Stock Exchange of India
Downloads 590
43.

A Novel Causal Risk-Based Decision-Making Methodology: The Case of Coronavirus

Risk Analysis: An International Journal, Volume 41, Issue 5, pp. 814-830, May 2021 DOI: 10.1111/risa.13678
Number of pages: 30 Posted: 10 Aug 2020 Last Revised: 07 Jun 2021
Accepted Paper Series
University of Edinburgh Business School, University of Maryland - College Park, University of Liverpool - Management School (ULMS), Monash University - Department of Econometrics & Business Statistics and Boston University - Center for Polymer Studies
Downloads 587
44.

Low Latency Interest Rate Markets - Theory, Pricing & Practice (Presentation Slides)

Number of pages: 55 Posted: 02 Feb 2023
Working Paper Series
University of Oxford - Said Business School
Downloads 586
46.

Evaluation of Structural Stability to Threats

Journal Mechanics, Transport, Communications, vol. 15, issue 1, 2017,
Number of pages: 6 Posted: 03 Apr 2017
Accepted Paper Series
University of National and World Economy, Department of Management
Downloads 536
47.

Convexity Adjustments for ATS Models

ISEG Advance Working Paper No. 9/2008
Number of pages: 25 Posted: 05 May 2009 Last Revised: 18 Mar 2016
Working Paper Series
ISEG and Cemapre/REM, Universidade de Lisboa and Independent
Downloads 529
48.

Cheers to Enhanced Portfolio Performance: Wine as a Unique Asset Class

Number of pages: 30 Posted: 28 Nov 2023 Last Revised: 20 Feb 2024
Working Paper Series
Department of Statistics and Actuarial Science - Stellenbosch University, Stellenbosch University - Department of Statistics and Actuarial Science and Stellenbosch University - Department of Statistics and Actuarial Science
Downloads 515
49.

Model-Free Market Risk Hedging Using Crowding Networks

Number of pages: 8 Posted: 19 Jun 2023
Working Paper Series
Fidelity Investments, Inc., Fidelity Investments, Inc., Fidelity Investments, Inc., Fidelity Investments, Inc. and Fidelity Investments, Inc.
Downloads 510
50.

CCP Anti-Procyclicality Tools - A Closer Assessment

Number of pages: 23 Posted: 03 Jan 2019
Working Paper Series
ICE Clear Europe and EACH Risk Committee
Downloads 505