Search Results
JEL Code: G13

3,357,215 Total downloads

Viewing: 51 - 100 of 7,894 papers

51.

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 4,919
52.

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 4,842
53.

Applied Multidimensional Girsanov Theorem

Number of pages: 18 Posted: 11 Apr 2011 Last Revised: 03 Mar 2015
Working Paper Series
Tenokonda Ltd
Downloads 4,813
54.

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 4,810
55.

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 4,755
56.

Local Stochastic Volatility Models: Calibration and Pricing

Number of pages: 57 Posted: 11 Jun 2014 Last Revised: 15 Jul 2014
Working Paper Series
Independent
Downloads 4,750
57.

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 4,660
58.

Smart Monte Carlo: Various Tricks Using Malliavin Calculus

Number of pages: 11 Posted: 02 Mar 2002
Working Paper Series
Université Paris Dauphine
Downloads 4,608
59.

Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory

NYU Tandon Research Paper No. 1701685
Number of pages: 56 Posted: 03 Nov 2010 Last Revised: 26 Jun 2017
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 4,603
60.

Deviations from Put-Call Parity and Stock Return Predictability

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 51 Posted: 05 Mar 2007 Last Revised: 18 Jul 2008
Accepted Paper Series
University of Notre Dame and Syracuse University
Downloads 4,603
61.

Functional Itô Calculus

Bloomberg Portfolio Research Paper No. 2009-04-FRONTIERS
Number of pages: 25 Posted: 25 Jul 2009 Last Revised: 28 Aug 2009
Working Paper Series
Bloomberg L.P.
Downloads 4,596
62.

Financial Econometrics

International Library of Financial Econometrics, Forthcoming
Number of pages: 31 Posted: 14 Jun 2007
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 4,593
63.

Markov-Functional Interest Rate Models

Number of pages: 25 Posted: 12 Jan 1998
Working Paper Series
WestLB - Global Derivatives and Fixed Income MarketsCitigroup - Global Corporate and Investment Banking Group (GCIB), University of Warwick - Department of Statistics and Maastricht University
Downloads 4,578
64.

Markov Models for Commodity Futures: Theory and Practice

Number of pages: 45 Posted: 30 May 2008 Last Revised: 30 Dec 2008
Working Paper Series
Bank of America
Downloads 4,549
65.

Earnings Quality and the Equity Risk Premium: A Benchmark Model

Contemporary Accounting Research, Vol. 23, No. 3, pp. 833-877, Fall 2006
Number of pages: 50 Posted: 15 Nov 2005
Accepted Paper Series
Independent
Downloads 4,530
66.

Smile Dynamics II

Number of pages: 14 Posted: 24 Oct 2009
Working Paper Series
Societe Generale
Downloads 4,518
67.

Moment Explosions in Stochastic Volatility Models

Number of pages: 32 Posted: 29 Jun 2004
Working Paper Series
Bank of America and NatWest Marketsaffiliation not provided to SSRN
Downloads 4,517
68.

Risk Premia and the VIX Term Structure

Journal of Financial and Quantitative Analysis 52 (2017), 2461-2490
Number of pages: 50 Posted: 11 Jan 2015 Last Revised: 17 Oct 2018
Accepted Paper Series
The University of Texas at Austin
Downloads 4,460
69.

Volatility Skews and Extensions of the Libor Market Model

Number of pages: 39 Posted: 04 Sep 1998
Working Paper Series
Bank of America and Saxo Bank
Downloads 4,460
70.

The Smile Calibration Problem Solved

Number of pages: 17 Posted: 15 Jul 2011
Working Paper Series
Bloomberg L.P. and Natixis - Paris, France
Downloads 4,459
71.

Option Pricing in the Real World: A Generalized Binomial Model with Applications to Real Options

Number of pages: 54 Posted: 27 Dec 2000
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business and University of Otago
Downloads 4,408
72.

Liquidity and Credit Risk

EFA 2003 Glasgow
Number of pages: 48 Posted: 01 Aug 2003
Working Paper Series
McGill University and University of Warwick Business School - Financial Econometrics Research Centre

Multiple version iconThere are 2 versions of this paper

Downloads 4,387
73.

Solving the Puzzle in the Interest Rate Market

Number of pages: 45 Posted: 15 Nov 2009 Last Revised: 18 Nov 2009
Working Paper Series
Banca IMI
Downloads 4,352
74.

Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-Hypothecation, WWR, Basel, Funding, CCDS and Margin Lending

Number of pages: 57 Posted: 05 Nov 2011 Last Revised: 18 Jun 2012
Working Paper Series
Imperial College London - Department of Mathematics
Downloads 4,338
75.

Option Returns and Volatility Mispricing

Number of pages: 38 Posted: 14 Mar 2006
Working Paper Series
University of Lausanne and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 4,286
76.

Information, Liquidity, and the (Ongoing) Panic of 2007

Number of pages: 13 Posted: 10 Jan 2009
Working Paper Series
Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,274
77.

Bankruptcy Prediction With Industry Effects

Number of pages: 49 Posted: 20 Oct 2001
Working Paper Series
Georgia Institute of Technology - Scheller College of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,255
78.

The Irony in the Derivatives Discounting Part II: The Crisis

Number of pages: 12 Posted: 14 Jul 2009 Last Revised: 19 Dec 2009
Working Paper Series
muRisQ Advisory

Multiple version iconThere are 2 versions of this paper

Downloads 4,189
79.

Yield Curve Construction with Tension Splines

Number of pages: 32 Posted: 19 Dec 2005
Working Paper Series
Bank of America
Downloads 4,156
80.

Is There Money to Be Made Investing in Options? A Historical Perspective

Number of pages: 35 Posted: 04 Jan 2006 Last Revised: 16 Jul 2008
Working Paper Series
University of New South Wales and Ohio University
Downloads 4,150
81.

Trend Without Hiccups - A Kalman Filter Approach

Number of pages: 35 Posted: 21 Mar 2016 Last Revised: 26 Apr 2016
Working Paper Series
Université Paris Dauphine
Downloads 4,147
82.

Funding Costs, Funding Strategies

C. Burgard, M. Kjaer. Funding Costs, Funding Strategies, Risk, 82-87, Dec 2013.
Number of pages: 17 Posted: 22 Mar 2012 Last Revised: 15 Jan 2015
Accepted Paper Series
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 4,143
83.

Extended Libor Market Models with Stochastic Volatility

Number of pages: 43 Posted: 31 Dec 2001
Working Paper Series
Bank of America and Gen Re Securities

Multiple version iconThere are 2 versions of this paper

Downloads 4,129
84.

Arbitrage-Free SVI Volatility Surfaces

Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Number of pages: 27 Posted: 03 Apr 2012 Last Revised: 15 Jan 2014
Accepted Paper Series
CUNY Baruch College and Imperial College London
Downloads 4,125
85.

An Impressionistic View of the 'Real' Price of Gold Around the World

Number of pages: 29 Posted: 19 Sep 2012 Last Revised: 20 Sep 2012
Working Paper Series
TR and Duke University - Fuqua School of Business
Downloads 4,101
86.

Facts and Fantasies About Commodity Futures Ten Years Later

Number of pages: 31 Posted: 27 May 2015
Working Paper Series
SummerHaven Investment Management, Yale School of Management and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 4,098
87.

Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach

Rapport Interne CMAP Working Paper No. 490
Number of pages: 39 Posted: 22 Nov 2002
Working Paper Series
University of Oxford and ENSAE, Institut Polytechnique de Paris
Downloads 4,062
88.

Copula-Dependent Defaults in Intensity Models

Number of pages: 30 Posted: 10 Mar 2002
Working Paper Series
ETH Zürich - Department of Mathematics and KPMG
Downloads 4,057
89.

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?

Journal of Financial Economics (JFE), Vol. 105, No. 3, 2012, AFA 2010 Atlanta Meetings Paper
Number of pages: 46 Posted: 22 Mar 2009 Last Revised: 24 Jun 2012
Accepted Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 3,994
90.

Smile Dynamics III

Number of pages: 12 Posted: 24 Oct 2009
Working Paper Series
Societe Generale
Downloads 3,933
91.

Managerial Traits and Capital Structure Decisions

EFA 2004 Maastricht Meetings Paper
Number of pages: 37 Posted: 03 Feb 2003
Working Paper Series
Boston University - Department of Finance & Economics
Downloads 3,914
92.

Improved Forecasting of Mutual Fund Alphas and Betas

Yale ICF Working Paper No. 04-23, EFA 2005 Moscow Meetings
Number of pages: 42 Posted: 27 Jul 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 3,871
93.

Cross Currency Swap Valuation

Number of pages: 15 Posted: 09 Apr 2009
Working Paper Series
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management
Downloads 3,867
94.

Tell Me What You Want, What You Really, Really Want! An Exercise in Tailor-Made Synthetic Fund Creation

Alternative Investment Research Centre Working Paper No. 36, Cass Business School Research Paper
Number of pages: 28 Posted: 10 Oct 2006
Working Paper Series
Independent and Independent
Downloads 3,859
95.

Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs

C. Burgard and M. Kjaer. Partial differential equation representations of derivatives with counterparty risk and funding costs. The Journal of Credit Risk, Vol. 7, No. 3, 1-19, 2011.
Number of pages: 19 Posted: 13 May 2010 Last Revised: 07 Aug 2014
Accepted Paper Series
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 3,845
96.

The Cross-Section of Volatility and Expected Returns

Number of pages: 56 Posted: 05 Apr 2005
Accepted Paper Series
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,798
97.

Analysis of Mortgage Backed Securities: Before and after the Credit Crisis

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42 Posted: 07 Jan 2007 Last Revised: 29 Jun 2018
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,777
98.

The BP Oil Disaster: Stock and Option Market Reactions

Number of pages: 33 Posted: 30 Jun 2010 Last Revised: 26 Dec 2010
Working Paper Series
Ohio University and Ohio University
Downloads 3,768
99.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads 3,742
100.

A Model for Pricing Stocks and Bonds with Default Risk

Number of pages: 54 Posted: 13 May 2002
Working Paper Series
Columbia University - Columbia Business School
Downloads 3,727