Search Results
JEL Code: C60

245,679 Total downloads

Viewing: 151 - 200 of 1,025 papers

151.

Measuring Risk with Multiple Eligible Assets

Mathematics and Financial Economics, 9 (2015)
Number of pages: 28 Posted: 25 Jan 2012 Last Revised: 05 Nov 2015
Accepted Paper Series
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 402
152.

Is 1/n Really Better than Optimal Mean-Variance Portfolio?

Number of pages: 23 Posted: 25 Nov 2014
Working Paper Series
Korea Advanced Institute of Science and Technology (KAIST), UNIST and University of British Columbia (UBC) - Sauder School of Business
Downloads 400
153.

Measuring the Risk of Large Losses

Journal of Investment Management (JOIM), Fourth Quarter 2008
Number of pages: 19 Posted: 01 Oct 2005 Last Revised: 10 Jan 2012
Accepted Paper Series
Stanford University - Department of Management Science & Engineering, University of Freiburg and Leibniz Universität Hannover - House of Insurance
Downloads 400
154.

Conditions on Option Prices for Absence of Arbitrage and Exact Calibration

Number of pages: 22 Posted: 28 Oct 2010
Working Paper Series
BNP Paribas
Downloads 399
155.

Pricing and Hedging of CDOs: A Top Down Approach

Number of pages: 22 Posted: 14 Sep 2009 Last Revised: 06 Dec 2009
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and University of Freiburg
Downloads 396
156.

Pricing of Options on Forward Bonds and Constant Maturity Treasury (CMT): A Monte Carlo Approach

Number of pages: 31 Posted: 19 Apr 2012 Last Revised: 29 Oct 2013
Working Paper Series
HSBC (London)
Downloads 392
157.

Discrete Local Volatility for Large Time Steps (Short Version)

Number of pages: 16 Posted: 25 May 2016 Last Revised: 19 Nov 2018
Working Paper Series
JP Morgan and JP Morgan Chase
Downloads 391
158.

Portfolio Allocation with Skewness Risk: A Practical Guide

Number of pages: 33 Posted: 15 Jul 2018 Last Revised: 08 Feb 2019
Working Paper Series
Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 391
159.

Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles

Number of pages: 35 Posted: 28 Oct 2010 Last Revised: 05 Jul 2011
Working Paper Series
New York University Finance and Risk Engineering and BNP Paribas
Downloads 387
160.

Pareto and Income Distribution

Number of pages: 10 Posted: 15 Sep 2000
Working Paper Series
Revista Tendencias
Downloads 383
161.

Benchmarking Model of Default Probabilities of Listed Companies

Journal of Fixed Income, Vol. 15, No. 2, pp. 76-86, 2006
Number of pages: 11 Posted: 30 Apr 2007
Accepted Paper Series
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Downloads 382
162.

Inefficient Bubbles and Efficient Drawdowns in Financial Markets

Swiss Finance Institute Research Paper No. 18-49
Number of pages: 57 Posted: 16 Jul 2018 Last Revised: 17 Apr 2020
Working Paper Series
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 381
163.

GPU Computing in Economics

Number of pages: 54 Posted: 28 Oct 2014
Working Paper Series
University of California, Santa Cruz
Downloads 380
164.

Panel-Data Estimation of Non-Linear Term-Structure Models

Number of pages: 29 Posted: 01 May 1998
Working Paper Series
Danske Bank - Danske Markets
Downloads 380
165.

Digital Pricing and Hedging

Number of pages: 24 Posted: 10 Sep 2011 Last Revised: 20 May 2012
Working Paper Series
CTK corp
Downloads 376
166.

Estimating Unbiassed Expected Loss, with Application to Consumer Credit

Number of pages: 23 Posted: 13 Feb 2017
Working Paper Series
University of Nottingham Ningbo China
Downloads 374
167.

Distance Measures for Dynamic Citation Networks

Physica A, Vol. 389, pp. 4201-4208, 2010
Number of pages: 8 Posted: 11 Sep 2009 Last Revised: 09 Nov 2010
Accepted Paper Series
Bommarito Consulting, LLC, Illinois Tech - Chicago Kent College of Law, University of Michigan at Ann Arbor - Center for Study of Complex Systems and UC San Diego Division of Social Sciences
Downloads 372
168.

Integration of Macroeconomic Data into Multi-Asset Allocation with Machine Learning Techniques

Number of pages: 25 Posted: 27 May 2020
Working Paper Series
CentraleSupélec, CentraleSupélec, University of Paris-Saclay - CentraleSupélec and Ecole Polytechnique
Downloads 370
169.

A Journey into the Dark Arts of Quantitative Finance

Number of pages: 155 Posted: 15 Feb 2014
Working Paper Series
Danske Bank - Danske Markets
Downloads 365
170.

Advances in Factor Replication

MIT Sloan Research Paper No. 5174-16
Number of pages: 29 Posted: 14 Aug 2016 Last Revised: 19 Aug 2016
Working Paper Series
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 365
171.

Intrinsic Risk Measures

Swiss Finance Institute Research Paper No. 16-65
Number of pages: 19 Posted: 09 Nov 2016 Last Revised: 16 Jan 2018
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 355
172.

Effect of Asset Value Correlation on Credit-Linked Note Values

International Journal of Theoretical and Applied Finance (2002), Vol.5, No. 5, 455-478
Number of pages: 24 Posted: 08 May 2007
Accepted Paper Series
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 353
173.

Modelos Económicos Básicos y Simulaciones en MATLAB (Basic Economic Models and Simulations with MATLAB)

Documento de Trabajo Omega Beta Gamma No. 16-2015
Number of pages: 49 Posted: 17 May 2017
Working Paper Series
Universidad Nacional Mayor de San Marcos
Downloads 353
174.

Earnings Quality, Profit at Risk, Conservatism, Earnings Management, Objectivity and Why Accounting Allocations Matter: A Statistical Perspective

Number of pages: 48 Posted: 09 Jun 2013
Working Paper Series
Victoria University of Wellington - Victoria Business School
Downloads 351
175.

It Only Takes a Few Moments to Hedge

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 40 Posted: 14 Dec 2017 Last Revised: 01 Dec 2018
Accepted Paper Series
Nordea, Aarhus University - CREATES and Danske Bank - Danske Markets
Downloads 348
176.

Computing the First Passage Time Density of a Time-Dependent Urnstein-Uhlenbeck Process to a Moving Boundary

Applied Mathematics Letters, Vol. 19, pp. 1399-1405, 2006
Number of pages: 7 Posted: 27 Aug 2007
Accepted Paper Series
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 347
177.

Rare Disasters, Credit and Option Market Puzzles

Rotman School of Management Working Paper No. 2270517
Number of pages: 56 Posted: 22 Aug 2013 Last Revised: 22 Feb 2016
Working Paper Series
University of Toronto - Rotman School of Management, Hong Kong University of Science & Technology (HKUST) and University of Toronto - Rotman School of Management
Downloads 344
178.

Measuring Risk When Expected Losses are Unbounded

Risks 2014, 2(4), 411-424
Number of pages: 14 Posted: 19 Apr 2015
Accepted Paper Series
Universidad Carlos III de Madrid - Department of Business Administration, CUNEF and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 336
179.

Barrier Options and a Reflection Principle of the Fractional Brownian Motion

Number of pages: 9 Posted: 20 Oct 2008
Working Paper Series
University of Zurich - Department of Banking and Finance
Downloads 332
180.

No Fear of Discounting: How to Manage the Transition from EONIA to €STR

Number of pages: 23 Posted: 08 Sep 2020 Last Revised: 29 Jan 2021
Working Paper Series
Intesa Sanpaolo - Financial and Market Risk Management and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 329
181.

The Eigenfunction Expansion Method in Multi-Factor Quadratic Term Structure Models

Number of pages: 48 Posted: 10 Jan 2006
Working Paper Series
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 329
182.

Estimation of Distress Costs Associated with Downgrades Using Regime Switching Models

North American Actuarial Journal, Vol. 11, No. 4, pp. 42-60, 2007
Number of pages: 40 Posted: 04 Sep 2007 Last Revised: 20 Jan 2011
Accepted Paper Series
University of Cyprus - Department of Accounting and Finance and Georgia State University's Robinson College of Business
Downloads 328
183.

Optimal Design of Process Flexibility for General Production Systems

Number of pages: 49 Posted: 24 Oct 2016 Last Revised: 09 May 2018
Working Paper Series
New York University (NYU) - Leonard N. Stern School of Business, Princeton University, New York University (NYU) - Department of Information, Operations, and Management Sciences and University of Illinois at Urbana-Champaign
Downloads 327
184.

Transition in Romania between 1990 and 2005 - An Econometric Approach

Number of pages: 7 Posted: 24 Feb 2008
Working Paper Series
Alexandru Ioan Cuza University - Faculty of Economics and Business Administration
Downloads 326
185.

Reduced Form Modelling for Credit Risk

Number of pages: 25 Posted: 19 Oct 2007 Last Revised: 02 Aug 2009
Working Paper Series
Université d'Évry - Departement de Mathematiques and Evry University
Downloads 325
186.

Forward Indifference Valuation of American Options

Stochastics: An International Journal of Probability and Stochastic Processes, 84(5-6): 741-770, 2012
Number of pages: 30 Posted: 10 Apr 2010 Last Revised: 27 Jan 2015
Accepted Paper Series
University of Washington - Department of Applied Math, Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 322
187.

Dynamic CDO Term Structure Modelling

Mathematical Finance, Forthcoming
Number of pages: 21 Posted: 09 Jul 2009
Accepted Paper Series
Ecole Polytechnique Fédérale de Lausanne, University of Giessen and University of Freiburg
Downloads 321
188.

Arbitrary Initial Term Structure within the Cir Model: A Perturbative Solution

University of Siena Economics Working Paper No. 380
Number of pages: 15 Posted: 04 Oct 2003
Working Paper Series
University of Siena - Department of Economics and University of Verona - Department of Economics
Downloads 320
189.

Aspiration Level, Probability of Success and Failure, and Expected Utility

International Economic Review (2008) 49, 683-700
Number of pages: 31 Posted: 22 Sep 2006
Accepted Paper Series
INSEAD – Decision Sciences and University of Amsterdam

Multiple version iconThere are 2 versions of this paper

Downloads 318
190.

Expensive Martingales

Quantitative Finance, Vol. 6, No. 3, June 2006
Number of pages: 25 Posted: 07 Jun 2008
Accepted Paper Series
JP Morgan

Multiple version iconThere are 2 versions of this paper

Downloads 318
191.

The Duality of Optimal Exercise and Domineering Claims: a Doob-Meyer Decomposition Approach to the Snell Envelope

Number of pages: 29 Posted: 18 May 2006
Working Paper Series
University of Twente - FELAB
Downloads 318
192.

Tractable Robust Drawdown Management

Number of pages: 19 Posted: 08 Sep 2016 Last Revised: 21 Sep 2016
Working Paper Series
Lombard Odier & Cie
Downloads 316
193.

Measuring Portfolio Risk Under Partial Dependence Information

Number of pages: 39 Posted: 09 Mar 2014 Last Revised: 02 Nov 2017
Working Paper Series
Grenoble Ecole de Management, Catholic University of Louvain and Vrije Universiteit Brussel (VUB)

Multiple version iconThere are 2 versions of this paper

Downloads 315
194.

Challenges, Solutions, Knowledge Models in E-Governance

Published Selected Papers of the 5th International Scientific Conference "e-Governance", Technical University-Sofia, June 2013
Number of pages: 114 Posted: 20 Sep 2013 Last Revised: 22 Oct 2016
Accepted Paper Series
Technical University-Sofia and Technical University-Sofia
Downloads 314
195.

A Risk Management Framework for Penetration Testing of Global Banking & Finance Networks VoIP Protocols

Number of pages: 8 Posted: 25 Jan 2015
Working Paper Series
Global Risk Management Network, LLC
Downloads 313
196.

Describing Human Decisions in Agent-Based Social-Ecological Models - ODD+D an Extension of the ODD Protocol

Number of pages: 39 Posted: 23 Apr 2012 Last Revised: 04 May 2012
Working Paper Series
UFZ - Helmholtz Centre for Environmental Research Leipzig-Halle, UFZ Centre for Environmental Research Leipzig-Halle, UFZ Centre for Environmental Research Leipzig-Halle, UFZ Centre for Environmental Research Leipzig-Halle, UFZ Centre for Environmental Research Leipzig-Halle, UFZ Centre for Environmental Research Leipzig-Halle, Stockholm University, UFZ Centre for Environmental Research Leipzig-Halle, UFZ Centre for Environmental Research Leipzig-Halle and UFZ Centre for Environmental Research Leipzig-Halle
Downloads 313
197.

Pricing European and Barrier Options in the Fractional Black-Scholes Market

Number of pages: 13 Posted: 27 Oct 2008
Working Paper Series
University of Zurich - Department of Banking and Finance
Downloads 311
198.

A Theory of the Gambling Effect

Journal of Risk and Uncertainty (2004) 29, 241-259, CentER Working Paper No. 75
Number of pages: 32 Posted: 31 Dec 2000
Accepted Paper Series
INSEAD – Decision Sciences, University of Kiel - Institute of Economics and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 307
199.

Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results

Number of pages: 92 Posted: 28 Jun 2012
Working Paper Series
Bank of America and affiliation not provided to SSRN
Downloads 307
200.

Valuing Double Barrier Options With Time-Dependent Parameters by Fourier Series Expansion

IAENG International Journal of Applied Mathematics, Vol. 36, No. 1, 2007
Number of pages: 5 Posted: 27 Aug 2007
Accepted Paper Series
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 306