1.
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
28,897
2.
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
20,314
3.
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
18,850
4.
The Flash Crash: High-Frequency Trading in an Electronic Market
Journal of Finance, Forthcoming
Number of pages: 42
Posted: 27 May 2011
Last Revised: 10 Mar 2018
Accepted Paper Series
University of Cambridge - Finance, University of Maryland, Southern Methodist University (SMU) - Finance Department and Board of Governors of the Federal Reserve System
Downloads
18,087
5.
Easy Volatility Investing
Number of pages: 34
Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads
15,539
6.
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
15,073
7.
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
There are 2 versions of this paper
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
Downloads
14,418
The Fundamentals of Commodity Futures Returns
NBER Working Paper No. w13249
Number of pages: 63
Posted: 13 Jul 2007
Last Revised: 15 Sep 2010
Downloads
297
Downloads
14,418
8.
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
Digital Gold Institute and Intesa Sanpaolo - Financial and Market Risk Management
Downloads
13,989
9.
Mathematical Finance Introduction to Continuous Time Financial Market Models
Number of pages: 129
Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads
12,452
10.
Non-Life Insurance: Mathematics & Statistics
Number of pages: 315
Posted: 03 Sep 2013
Last Revised: 17 Dec 2020
Working Paper Series
RiskLab, ETH Zurich
Downloads
12,155
11.
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
Downloads
11,587
12.
Efficient Simulation of the Heston Stochastic Volatility Model
Number of pages: 38
Posted: 22 Nov 2006
Working Paper Series
Bank of America
Downloads
10,574
13.
Stock Valuation and Investment Strategies
Number of pages: 55
Posted: 26 Jul 2001
Working Paper Series
York University - Schulich School of Business and University of Hong Kong
Downloads
10,230
14.
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
There are 2 versions of this paper
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Number of pages: 54
Posted: 27 Aug 2006
Downloads
10,175
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Journal of Investment Management, Vol. 5, No. 2, Second Quarter 2007
Posted: 30 May 2007
Downloads
10,175
15.
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
There are 2 versions of this paper
The Tactical and Strategic Value of Commodity Futures
Number of pages: 61
Posted: 03 Feb 2005
Downloads
9,984
The Tactical and Strategic Value of Commodity Futures
NBER Working Paper No. w11222
Number of pages: 46
Posted: 29 Apr 2005
Last Revised: 01 Sep 2010
Downloads
417
Downloads
9,984
16.
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
9,726
17.
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
9,491
18.
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 Group plc
Downloads
8,124
19.
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
There are 2 versions of this paper
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
Downloads
8,114
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Risk, August 2010
Posted: 15 Sep 2011
Last Revised: 10 Sep 2018
Downloads
8,114
20.
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: 11 Sep 2019
Accepted Paper Series
Cass Business School, City University of London, Audencia Business School and City University of London - Sir John Cass Business School
Downloads
7,964
21.
Credit Risk Modeling and Valuation: An Introduction
Number of pages: 67
Posted: 21 Dec 2003
Working Paper Series
Stanford University - Department of Management Science & Engineering
Downloads
7,252
22.
On Default Correlation: A Copula Function Approach
Number of pages: 28
Posted: 09 Dec 1999
Working Paper Series
Shanghai Advanced Institute of Finance, SJTU
Downloads
6,892
23.
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
6,870
24.
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
6,767
25.
Which Trend Is Your Friend?
Financial Analysts Journal, vol. 72, no. 3 (May/June 2016)
Number of pages: 32
Posted: 10 May 2015
Last Revised: 19 Apr 2016
Accepted Paper Series
AQR Capital Management and AQR Capital Management, LLC
Downloads
6,411
26.
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
IESE Business School
Downloads
6,349
27.
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 Business School and City University of London - Sir John Cass Business School
There are 2 versions of this paper
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
Downloads
6,348
Momentum Strategies in Commodity Futures Markets
Journal of Banking and Finance, Vol. 31, No. 6, 2007
Posted: 27 May 2008
Downloads
6,348
28.
Discrete Time Finance
Number of pages: 104
Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads
6,194
29.
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
Downloads
6,065
30.
A Century of Evidence on Trend-Following Investing
Number of pages: 26
Posted: 28 Jun 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads
6,045
31.
Calibration and Implementation of Convertible Bond Models
Number of pages: 39
Posted: 28 Mar 2003
Working Paper Series
Bank of America and Bank of America
Downloads
5,745
32.
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
5,735
33.
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
5,463
34.
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
5,433
35.
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 ISAM Funds
There are 2 versions of this paper
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
Downloads
5,424
Three Centuries of Asset Pricing
Journal of Banking and Finance, Vol 23, No 12, 1999, pages 1745–1769
Posted: 11 Jan 2000
Last Revised: 20 Mar 2016
Downloads
5,424
36.
Downloads
5,399
37.
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
5,398
38.
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
There are 2 versions of this paper
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
Downloads
5,354
Originate-to-Distribute Model and the Subprime Mortgage Crisis
FDIC Working Paper No. 2010-08
Number of pages: 54
Posted: 09 Jan 2012
Downloads
162
Downloads
5,354
39.
Estimating the Dynamics of Mutual Fund Alphas and Betas
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
There are 2 versions of this paper
Estimating the Dynamics of Mutual Fund Alphas and Betas
Number of pages: 40
Posted: 10 Mar 2005
Downloads
5,314
Estimating the Dynamics of Mutual Fund Alphas and Betas
The Review of Financial Studies, Vol. 21, Issue 1, pp. 233-264, 2008
Posted: 26 Jun 2008
Downloads
5,314
40.
Volatility Interpolation
Number of pages: 11
Posted: 21 Oct 2010
Last Revised: 30 Oct 2010
Working Paper Series
Saxo Bank and Danske Bank
Downloads
5,308
41.
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 Saxo Bank
Downloads
5,164
42.
A Market Model for Inflation
Number of pages: 15
Posted: 17 Aug 2004
Working Paper Series
CDC Ixis Capital Markets, AI For Alpha and CNCE
Downloads
5,152
43.
Stock Price Clustering on Option Expiration Dates
Number of pages: 53
Posted: 22 Mar 2004
Working Paper Series
Hong Kong Baptist University (HKBU), University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads
4,920
44.
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
4,893
45.
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 and Washington and Lee University - Department of Business Administration
Downloads
4,704
46.
Mercado de Derivados Financieros: Futuros y Opciones (Market of Financial Derivatives: Futures and Options)
Number of pages: 82
Posted: 19 Aug 2013
Last Revised: 04 Feb 2020
Working Paper Series
Universidad Complutense de Madrid
Downloads
4,630
47.
Rebalancing Risk
Number of pages: 34
Posted: 30 Aug 2014
Last Revised: 04 Oct 2014
Working Paper Series
Man AHL, Independent, Duke University - Fuqua School of Business, Man Group plc and Man - AHL
Downloads
4,581
48.
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 Finance and Risk Engineering
Downloads
4,571
49.
Financial Econometrics
International Library of Financial Econometrics, Forthcoming
Number of pages: 31
Posted: 14 Jun 2007
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads
4,531
50.
Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs
FORTHCOMING IN THE REVIEW OF FINANCIAL STUDIES
Number of pages: 88
Posted: 22 Nov 2014
Last Revised: 22 Feb 2019
Working Paper Series
Independent, Universite du Luxembourg - Department of Finance, Aalto University School of Business and Independent
Downloads
4,521
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