Search Results
JEL Code: C60

245,420 Total downloads

Viewing: 101 - 150 of 1,025 papers

101.

Parametric Modeling of Implied Smile Functions: A Generalized SVI Model

Review of Derivatives Research, Forthcoming
Number of pages: 30 Posted: 12 May 2012
Accepted Paper Series
City University London - Sir John Cass Business School and University of Warwick - Financial Options Research Centre (FORC)
Downloads 571
102.

The Value of Information in Monotone Decision Problems

Number of pages: 27 Posted: 05 Jan 1999
Working Paper Series
Stanford Graduate School of Business and Stanford Graduate School of Business
Downloads 568
103.

Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models

Swiss Finance Institute Research Paper No. 14-25
Number of pages: 78 Posted: 07 Apr 2014
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 552
104.

Integration of ESG in Asset Allocation

Number of pages: 29 Posted: 05 Nov 2019 Last Revised: 11 Nov 2019
Working Paper Series
Lyxor Asset Management, Ecole Polytechnique, Palaiseau, Student, Lyxor Asset Management and Ecole Polytechnique
Downloads 550
105.

Yogurts Choose Consumers? Estimation of Random Utility Models via Two-Sided Matching

Number of pages: 55 Posted: 09 Mar 2017 Last Revised: 10 Jun 2021
Working Paper Series
Sciences Po, NYU, Department of Economics and Courant Institute, Amazon, New York University (NYU) and California Institute of Technology
Downloads 543
106.

Joint Dynamic Pricing and Order Fulfillment for E-Commerce Retailers

Manufacturing & Service Operations Management, Forthcoming, Ross School of Business Paper No. 1310
Number of pages: 43 Posted: 25 Mar 2016 Last Revised: 04 Dec 2017
Accepted Paper Series
Queen's University - Smith School of Business, University of Michigan, Stephen M. Ross School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 529
107.

Ex-Ante vs. Ex-Post Efficiency in Matching

Number of pages: 18 Posted: 23 May 2011 Last Revised: 25 Jan 2012
Working Paper Series
NYU, Department of Economics and Courant Institute
Downloads 526
108.

On the Prediction of Credit Ratings

Number of pages: 24 Posted: 31 Aug 2007
Working Paper Series
The Brattle Group
Downloads 526
109.

Risk, Robustness and Knightian Uncertainty in Continuous-Time, Heterogenous Agents, Financial Equilibria

Number of pages: 59 Posted: 06 Dec 2001
Working Paper Series
University of Basel and Swiss Finance Institute
Downloads 520
110.

Incorporating Managerial Information into Real Option Valuation

Fields Volume on Commodities, Energy, and Environmental Finance, Forthcoming
Number of pages: 25 Posted: 24 Dec 2010 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Toronto - Department of Statistics and University of Toronto
Downloads 519
111.

Trading Events: Smiles, Frowns and Moustaches – the Many Faces of the Options Market

Number of pages: 24 Posted: 31 Oct 2018
Working Paper Series
Bank of America - Bank of America Merrill Lynch, Bank of America - Bank of America Merrill Lynch and Bank of America - Bank of America Merrill Lynch
Downloads 515
112.

Expected Loss and Impact of Risk: Backtesting Parameter-Based Expected Loss in a Basel II Framework

Journal of Risk Model Validation 7(3), 59-84, Fall 2013, Incisive Media
Number of pages: 28 Posted: 29 Jul 2015 Last Revised: 13 Aug 2015
Accepted Paper Series
Erste Group Bank AG
Downloads 509
113.

Portfolio Management and the European Crisis

Number of pages: 14 Posted: 09 Nov 2011 Last Revised: 29 Nov 2011
Working Paper Series
affiliation not provided to SSRN
Downloads 503
114.

A New Approach to Assessing Model Risk in High Dimensions

Journal of Banking and Finance, Forthcoming
Number of pages: 28 Posted: 10 Feb 2014 Last Revised: 03 Apr 2015
Accepted Paper Series
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 500
115.

A Mathematical and Empirical Analysis of Rebalancing Alpha

Journal of Portfolio Management, Forthcoming
Number of pages: 43 Posted: 31 Dec 2014
Accepted Paper Series
PanAgora Asset Management
Downloads 496
116.

A Cyclical Model of Multiple-Horizon Credit Rating Transitions and Default

Number of pages: 47 Posted: 14 Jun 2007
Working Paper Series
The Brattle Group
Downloads 490
117.

Bitcoin as Asset Class

Number of pages: 51 Posted: 24 Jul 2018
Working Paper Series
Prairie View A&M University - College of Business and Western Carolina University
Downloads 480
118.

Long-Short Portfolio Optimisation in the Presence of Discrete Asset Choice Constraints and Two Risk Measures

Number of pages: 36 Posted: 12 Mar 2008
Working Paper Series
Indian Institute of Management (IIM), Calcutta, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - School of Information Systems, Computing and Mathematics
Downloads 477
119.

The Term Structure of Implied Volatility in Symmetric Models with Applications to Heston

Number of pages: 25 Posted: 13 Jun 2010 Last Revised: 20 Nov 2010
Working Paper Series
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Zeliade Systems
Downloads 474
120.

A Statistical Analysis to Improve Basketball Strategy

WSUN Working Paper
Number of pages: 19 Posted: 30 Apr 2008
Working Paper Series
MIT EECS
Downloads 473
121.

Herd Behavior Towards the Market Index: Evidence from 21 Financial Markets

IESE Business School Working Paper No. 776
Number of pages: 41 Posted: 16 Dec 2008
Working Paper Series
University of Navarra, IESE Business School
Downloads 472
122.

A Simple Robust Methodology for Incorporating Views on Expected Returns into the Portfolio Construction Process

Number of pages: 21 Posted: 19 May 2015 Last Revised: 30 Jun 2015
Working Paper Series
Lombard Odier & Cie
Downloads 469
123.

Bergman, Piterbarg and Beyond: Pricing Derivatives under Collateralization and Differential Rates

Number of pages: 19 Posted: 17 Sep 2013 Last Revised: 18 Dec 2013
Working Paper Series
Bloomberg L.P.
Downloads 468
124.

A 'Smart' Alpha Overlay

Number of pages: 13 Posted: 17 Sep 2015
Working Paper Series
Lombard Odier & Cie and Lombard Odier & Cie
Downloads 466
125.

Implied Volatilities for Options on Backward-Looking Term Rates

Number of pages: 18 Posted: 12 Jun 2020
Working Paper Series
Deloitte GmbH Wirtschaftsprüfungsgesellschaft
Downloads 464
126.

Robustness and Ambiguity Aversion in General Equilibrium

Number of pages: 52 Posted: 05 Apr 2004
Working Paper Series
Swiss Finance Institute and University of Basel
Downloads 460
127.

Binary Events Loading for Solvency II Technical Provisions: Practical Approximations

Number of pages: 34 Posted: 04 Nov 2015
Working Paper Series
Guy Carpenter
Downloads 455
128.

A Sharp Approximation for ATM-Forward Option Prices and Implied Volatilites

International Journal of Financial Engineering, Vol. 3, No. 1 (2016)
Number of pages: 20 Posted: 15 Jul 2015 Last Revised: 24 Sep 2016
Accepted Paper Series
Baruch College, City University of New York and CUNY Baruch College
Downloads 454
129.

Cascading Logistic Regression Onto Gradient Boosted Decision Trees to Predict Stock Market Changes Using Technical Analysis

Swiss Finance Institute Research Paper No. 18-50
Number of pages: 27 Posted: 25 Jul 2018 Last Revised: 08 Aug 2018
Working Paper Series
Guangdong University of Finance and Economics, Guangdong University of Foreign Studies, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and University of Surrey - Surrey Business School
Downloads 454
130.

Affine Processes on Positive Semidefinite Matrices

Number of pages: 57 Posted: 04 Oct 2009 Last Revised: 08 Mar 2011
Working Paper Series
Independent, Ecole Polytechnique Fédérale de Lausanne, University of Limerick - Department of Mathematics and Statistics and Vienna University of Technology
Downloads 453
131.

Is There A Real Estate Bubble in Switzerland? (Diagnostic as of 2012-Q4)

Swiss Finance Institute Research Paper No. 13-07
Number of pages: 17 Posted: 22 Mar 2013
Working Paper Series
ETH Zürich, ETH Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 444
132.

Pricing Derivatives With Barriers in a Stochastic Interest Rate Environment

Journal of Economic Dynamics and Control, Vol. 32, No. 9, pp. 2903-2938, September 2008
Number of pages: 32 Posted: 26 Mar 2005 Last Revised: 14 Apr 2010
Accepted Paper Series
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 444
133.

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 443
134.

American Put Options with Regime-Switching Volatility

Number of pages: 35 Posted: 18 Nov 2005
Working Paper Series
Pohang University of Science and Technology (POSTECH) and Ajou University - Department of Business Administration
Downloads 441
135.

Empirical Study: Order Sharing between Transportation Companies May Result in Cost Reductions between 5 to 15 Percent

CentER Discussion Paper No. 2004-80
Number of pages: 23 Posted: 21 Oct 2004
Working Paper Series
Tilburg University - Tilburg University School of Economics and Management and University of California, San Francisco (UCSF)
Downloads 440
136.

A Sharp Polya-Based Approximation to the Normal CDF

Applied Mathematics and Computation, Volume 322, April 2018, Pages 111–122
Number of pages: 16 Posted: 26 Sep 2016 Last Revised: 25 Jul 2018
Accepted Paper Series
CUNY Baruch College, CUNY Baruch College and Baruch College, City University of New York
Downloads 439
137.

Web Sentiment Analysis for Revealing Public Opinions, Trends and Making Good Financial Decisions

Number of pages: 9 Posted: 28 Mar 2014
Working Paper Series
University of Lugano and University of Lugano
Downloads 435
138.

A New Interpretation of the Economic Complexity Index

Number of pages: 36 Posted: 27 Nov 2017 Last Revised: 21 Sep 2018
Working Paper Series
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and University of Oxford - Oxford Martin School
Downloads 433
139.

How to Use Models to Improve Analysis and Governance of Social-Ecological Systems - The Reference Frame MORE

Number of pages: 32 Posted: 10 Apr 2012 Last Revised: 05 Apr 2013
Working Paper Series
Stockholm University, UFZ - Helmholtz Centre for Environmental Research Leipzig-Halle and Helmholtz Centre for Environmental Research - UFZ, Leipzig
Downloads 433
140.

A Note on Building Proxy Volatility Cubes

Number of pages: 13 Posted: 17 May 2019 Last Revised: 25 May 2019
Working Paper Series
Bloomberg L.P.
Downloads 429
141.

Pricing Strongly Path-Dependent Options in Libor Market Models without Simulation

Number of pages: 21 Posted: 26 Aug 2008
Working Paper Series
MUFG Securities EMEA plc
Downloads 428
142.

Endogenous Selection and Moral Hazard in Executive Compensation Contracts

Operation Research Part-2, Vol. 58, No. 4, pp. 1090-1106, July-August 2010, Rock Center for Corporate Governance at Stanford University Working Paper No. 73
Number of pages: 46 Posted: 17 Feb 2010 Last Revised: 04 Apr 2012
Accepted Paper Series
University of Pennsylvania - Accounting Department, Stanford University - Graduate School of Business and University of Chicago - Booth School of Business
Downloads 425
143.

Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems

Number of pages: 23 Posted: 23 Jan 2015
Working Paper Series
Global Risk Management Network, LLC
Downloads 425
144.

The Economics of Institutions and the Institutions of Economics

U of Siena Economics Working Paper No. 359
Number of pages: 18 Posted: 09 Dec 2002
Working Paper Series
University of Siena - Department of Economics
Downloads 422
145.

Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies

Number of pages: 21 Posted: 02 Sep 2014 Last Revised: 05 Jun 2015
Working Paper Series
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 420
146.

Conditional Density Models for Asset Pricing

Swiss Finance Institute Research Paper No. 10-44
Number of pages: 23 Posted: 06 Nov 2010 Last Revised: 09 Nov 2011
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, King's College London - Department of Mathematics and University College London
Downloads 412
147.

A Proof of the Outperformance of Beta Arbitrage Strategies

Number of pages: 13 Posted: 20 Apr 2010
Working Paper Series
Pictet Asset Management SA and Ersel Asset Management SGR s.p.a.
Downloads 411
148.

Optimisation in Financial Engineering

Journal of Financial Transformation, Vol. 28, pp. 117-122, 2010
Number of pages: 10 Posted: 03 Feb 2010 Last Revised: 19 Oct 2010
Accepted Paper Series
University of Geneva - Research Center for Statistics and Independent
Downloads 409
149.

Conic Coconuts: The Pricing of Contingent Capital Notes Using Conic Finance

Robert H. Smith School Research Paper No. RHS 06-135
Number of pages: 21 Posted: 08 Jul 2010 Last Revised: 23 Nov 2010
Working Paper Series
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 407
150.

Economic Order Quantity (EOQ)

Number of pages: 14 Posted: 05 Nov 2019
Working Paper Series
International Training Institute
Downloads 407