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JEL Code: G13

3,216,868 Total downloads

Viewing: 1 - 50 of 7,768 papers

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 29,844
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 20,451
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 18,929
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, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 18,391
5.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads 16,001
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 15,220
7.

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 14,702
8.

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

Multiple version iconThere are 2 versions of this paper

Downloads 14,511
9.

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 12,847
10.

Mathematical Finance Introduction to Continuous Time Financial Market Models

Number of pages: 129 Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads 12,477
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 11,806
12.

The Best Strategies for Inflationary Times

Number of pages: 32 Posted: 29 Mar 2021 Last Revised: 25 May 2021
Working Paper Series
Man Group, Man Group, Man Group, Duke University - Fuqua School of Business and Man AHL
Downloads 10,925
13.

Efficient Simulation of the Heston Stochastic Volatility Model

Number of pages: 38 Posted: 22 Nov 2006
Working Paper Series
Bank of America
Downloads 10,775
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) - Laboratory for Financial Engineering

Multiple version iconThere are 2 versions of this paper

Downloads 10,315
15.

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 10,287
16.

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

Multiple version iconThere are 2 versions of this paper

Downloads 10,121
17.

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 9,827
18.

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 9,531
19.

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 8,491
20.

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

Multiple version iconThere are 2 versions of this paper

Downloads 8,196
21.

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 8,057
22.

A Market Model for Inflation

Number of pages: 15 Posted: 17 Aug 2004
Working Paper Series
CDC Ixis Capital Markets, LAMSADE- Paris Dauphine University and CNCE
Downloads 7,416
23.

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 7,361
24.

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 6,941
25.

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 6,915
26.

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 6,770
27.

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 6,642
28.

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

Multiple version iconThere are 2 versions of this paper

Downloads 6,417
29.

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 6,403
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 6,286
31.

Discrete Time Finance

Number of pages: 104 Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads 6,217
32.

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 6,098
33.

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 5,813
34.

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 5,770
35.

Smile Dynamics I

Number of pages: 14 Posted: 24 Oct 2009
Working Paper Series
Societe Generale
Downloads 5,586
36.

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 5,526
37.

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 5,518
38.

Volatility Interpolation

Number of pages: 11 Posted: 21 Oct 2010 Last Revised: 30 Oct 2010
Working Paper Series
Saxo Bank and Danske Bank
Downloads 5,479
39.

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 5,459
40.

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

Multiple version iconThere are 2 versions of this paper

Downloads 5,447
41.

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

Multiple version iconThere are 2 versions of this paper

Downloads 5,407
42.

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

Multiple version iconThere are 2 versions of this paper

Downloads 5,323
43.

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 5,189
44.

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 4,959
45.

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 4,906
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 4,824
47.

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 4,726
48.

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 4,691
49.

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 4,670
50.

Applied Multidimensional Girsanov Theorem

Number of pages: 18 Posted: 11 Apr 2011 Last Revised: 03 Mar 2015
Working Paper Series
Tenokonda Ltd
Downloads 4,637