Search Results
JEL Code: G13

3,361,810 Total downloads

Viewing: 101 - 150 of 7,896 papers

101.

A Formula for Interest Rate Swaps Valuation Under Counterparty Risk in Presence of Netting Agreements

Number of pages: 31 Posted: 09 May 2005
Working Paper Series
Imperial College London - Department of Mathematics and Royal Bank of Scotland (RBS)
Downloads 3,724
102.

The Dynamics of Mergers and Acquisitions

Number of pages: 29 Posted: 30 Aug 2001
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and Pennsylvania State University
Downloads 3,711
103.

Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index

Journal of Derivatives, Vol. 14, No. 3, 2007
Number of pages: 41 Posted: 08 Feb 2006 Last Revised: 01 May 2014
Working Paper Series
Washington State University and York University - Schulich School of Business
Downloads 3,696
104.

Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option

Number of pages: 15 Posted: 08 Feb 2006
Working Paper Series
muRisQ Advisory

Multiple version iconThere are 3 versions of this paper

Downloads 3,686
105.

A Closed-Form GARCH Option Pricing Model

97-9
Number of pages: 34 Posted: 08 Jun 1998
Working Paper Series
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Downloads 3,665
106.

Smile Dynamics IV

Number of pages: 12 Posted: 13 Dec 2009
Working Paper Series
Societe Generale
Downloads 3,650
107.

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Number of pages: 45 Posted: 16 Sep 2009 Last Revised: 18 Jun 2012
Working Paper Series
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,582
108.

The Irony in the Derivatives Discounting

Number of pages: 10 Posted: 14 Mar 2007
Working Paper Series
muRisQ Advisory

Multiple version iconThere are 2 versions of this paper

Downloads 3,574
109.

Do Noise Traders Move Markets?

EFA 2006 Zurich Meetings Paper
Number of pages: 47 Posted: 15 Dec 2005
Working Paper Series
University of California, Davis, University of California, Berkeley - Haas School of Business and China Academy of Financial Research (CAFR)
Downloads 3,555
110.

Counterparty Valuation Adjustments

CREDIT RISK FRONTIERS: SUBPRIME CRISIS, PRICING AND HEDGING, CVA, MBS, RATINGS, AND LIQUIDITY; Tomasz Bielecki, Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 24 Posted: 28 Aug 2009 Last Revised: 15 Feb 2012
Accepted Paper Series
Bloomberg L.P. and Bloomberg L.P.
Downloads 3,526
111.

Momentum Turning Points

Number of pages: 80 Posted: 05 Dec 2019 Last Revised: 29 Jul 2021
Working Paper Series
Research Affiliates LLC, Research Affiliates, LLC, Duke University - Fuqua School of Business and Research Affiliates, LLC
Downloads 3,526
112.

A General Asymptotic Implied Volatility for Stochastic Volatility Models

Number of pages: 35 Posted: 14 Apr 2005
Working Paper Series
Natixis - Paris, France
Downloads 3,523
113.

Relative Implied Volatility Arbitrage with Index Options

University of St. Gallen, Department of Economics Working Paper No. 2001-06, Financial Analysts Journal, Vol. 58, No. 6, November/December 2002
Number of pages: 36 Posted: 20 Jun 2003
Working Paper Series
University of St. Gallen - School of Finance and Universität St. Gallen
Downloads 3,500
114.

Stochastic Interest Rates for Local Volatility Hybrids Models

Number of pages: 10 Posted: 19 Mar 2008
Working Paper Series
Université Paris Dauphine, Supélec and Misys Summit
Downloads 3,489
115.

Explicit Bond Option and Swaption Formula in Heath-Jarrow-Morton One Factor Model

Number of pages: 12 Posted: 30 Nov 2003
Working Paper Series
muRisQ Advisory

Multiple version iconThere are 2 versions of this paper

Downloads 3,461
116.

A Tree Implementation of a Credit Spread Model for Credit Derivatives

Number of pages: 35 Posted: 04 Oct 2000
Working Paper Series
ETH Zürich - Department of Mathematics
Downloads 3,449
117.

Trend-Following, Risk-Parity and the Influence of Correlations

"Risk-Based and Factor Investing", Elsevier & ISTE Press, 2015 (Forthcoming)
Number of pages: 25 Posted: 14 Oct 2015 Last Revised: 24 Dec 2015
Accepted Paper Series
Imperial College Business SchoolGoldman Sachs International
Downloads 3,444
118.

A Comparison of Bond Pricing Models in the Pricing of Credit Risk

Number of pages: 53 Posted: 04 Jun 1999
Working Paper Series
Credit Suisse First Boston
Downloads 3,431
119.

Equity Returns at the Turn of the Month

Number of pages: 50 Posted: 18 Jul 2006
Working Paper Series
Purdue UniversityHSBC School of Business, Peking University and Purdue University

Multiple version iconThere are 2 versions of this paper

Downloads 3,427
120.

Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions

Quantitative Finance, vol. 11 (4), pp.547 - 558
Number of pages: 20 Posted: 15 Feb 2008 Last Revised: 15 Jul 2014
Accepted Paper Series
Digital Gold Institute and University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads 3,413
121.

KVA: Capital Valuation Adjustment

Risk, December 2014
Number of pages: 25 Posted: 24 Feb 2014 Last Revised: 06 Nov 2014
Accepted Paper Series
Scotiabank, MUFG Securities EMEA plc and Lloyds Banking Group
Downloads 3,404
122.

A Libor Market Model with Default Risk

Number of pages: 36 Posted: 21 Feb 2001
Working Paper Series
ETH Zürich - Department of Mathematics
Downloads 3,398
123.

A Martingale Result for Convexity Adjustment in the Black Pricing Model

LSE Working Paper
Number of pages: 18 Posted: 27 Apr 2001
Working Paper Series
Université Paris Dauphine
Downloads 3,356
124.

Option Pricing with Levy Process

LSE Working Paper
Number of pages: 22 Posted: 16 Apr 2001
Working Paper Series
Université Paris Dauphine
Downloads 3,356
125.

Pricing Convexity Adjustment with Wiener Chaos

FMG Dp351
Number of pages: 22 Posted: 21 Mar 2001
Working Paper Series
Université Paris Dauphine
Downloads 3,355
126.

Risk Measurement and Hedging

Number of pages: 45 Posted: 11 May 1997
Working Paper Series
Northwestern University - Kellogg School of Management and Mellon Capital Management Corporation
Downloads 3,338
127.

Liquidity Risk Premia in Corporate Bond Markets

Number of pages: 47 Posted: 08 Apr 2005 Last Revised: 07 May 2009
Working Paper Series
Tilburg University - Department of Finance and Tilburg University - Tilburg University School of Economics and Management
Downloads 3,307
128.

Calibration of Local Stochastic Volatility Models to Market Smiles: A Monte-Carlo Approach

Risk Magazine, September 2009
Number of pages: 16 Posted: 24 Oct 2009 Last Revised: 19 Aug 2011
Accepted Paper Series
Natixis - Paris, France
Downloads 3,305
129.

Mercado de Derivados Financieros: Swaps (Market of Financial Derivatives: Swaps)

Number of pages: 58 Posted: 19 Aug 2013 Last Revised: 22 Jun 2021
Working Paper Series
Universidad Complutense de Madrid
Downloads 3,300
130.

Fast Fourier Transform for Discrete Asian Options

Number of pages: 18 Posted: 10 May 2001
Working Paper Series
Université Paris Dauphine
Downloads 3,299
131.

Closed Forms for European Options in a Local Volatility Model

Number of pages: 32 Posted: 01 Oct 2008
Working Paper Series
Université Paris Dauphine, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 3,298
132.

Expected Stock Returns and Variance Risk Premia

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008
Working Paper Series
Duke University - Finance, Duke University - Economics Group and SUSTech Business School

Multiple version iconThere are 2 versions of this paper

Downloads 3,290
133.

A Market Model for Stochastic Implied Volatility

SFB 303 Working Paper No. B - 453
Number of pages: 23 Posted: 15 Oct 1999
Working Paper Series
ETH Zürich - Department of Mathematics
Downloads 3,272
134.

The Smile in Stochastic Volatility Models

Number of pages: 15 Posted: 03 Dec 2011 Last Revised: 06 May 2012
Working Paper Series
Societe Generale and Bloomberg L.P.
Downloads 3,262
135.

Valuation of Arithmetic Average of Fed Funds Rates and Construction of the US Dollar Swap Yield Curve

Number of pages: 17 Posted: 08 Jan 2012 Last Revised: 16 Jan 2012
Working Paper Series
affiliation not provided to SSRN
Downloads 3,254
136.

Structural Models of Corporate Bond Pricing: An Empirical Analysis

Number of pages: 68 Posted: 21 Mar 2002
Working Paper Series
Yonsei University, Pennsylvania State University - University Park - Department of Finance and UC Riverside
Downloads 3,248
137.

Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

Applied Mathematical Finance, Vol. 12, No. 4, December 2005
Number of pages: 29 Posted: 04 Oct 2006
Accepted Paper Series
University of Oxford and University of London - Birkbeck College
Downloads 3,212
138.

Valuing Energy Options in a One Factor Model Fitted to Forward Prices

Number of pages: 28 Posted: 24 May 1999
Working Paper Series
Lacima and University of Technology Sydney (UTS)
Downloads 3,210
139.

Curves and Term Structure Models: Definition, Calibration and Application of Rate Curves and Term Structure Models

Number of pages: 22 Posted: 01 Jan 2013 Last Revised: 11 Apr 2013
Working Paper Series
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 3,204
140.

A GARCH Option Pricing Model with Filtered Historical Simulation

Review of Financial Studies, 2008
Number of pages: 54 Posted: 15 Oct 2004 Last Revised: 29 Apr 2008
Working Paper Series
University of Lugano, New York University (NYU) - Department of Finance and USI Lugano - Institute of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,188
141.

Term Structure Estimation

Number of pages: 45 Posted: 21 Feb 2008 Last Revised: 06 Nov 2020
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics
Downloads 3,179
142.

You Don't Have to Bother Newton for Implied Volatility

Number of pages: 28 Posted: 20 Dec 2006
Working Paper Series
Bloomberg LP
Downloads 3,169
143.

VIX Futures Basis Trading: The Calvados-Strategy 2.0

Sibyl-Working-Paper, Jan 2014
Number of pages: 16 Posted: 16 Jan 2014 Last Revised: 21 Jan 2014
Working Paper Series
Nimzowerkstatt OEG
Downloads 3,155
144.

Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 67 Posted: 09 Sep 2013 Last Revised: 23 Jan 2019
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 3,147
145.

Strategic Rebalancing

Number of pages: 25 Posted: 17 Feb 2019 Last Revised: 20 Dec 2019
Working Paper Series
Man Group plc, Man AHL, Duke University - Fuqua School of Business and Man AHL
Downloads 3,132
146.

Exchange Rate Risk Measurement and Management: Issues and Approaches for Firms

Number of pages: 22 Posted: 27 Nov 2006
Working Paper Series
International Monetary Fund (IMF)
Downloads 3,120
147.

ZABR -- Expansions for the Masses

Number of pages: 16 Posted: 07 Jan 2012
Working Paper Series
Saxo Bank and Danske Bank
Downloads 3,110
148.

Value at Risk (VAR) in Real Options Analysis

Number of pages: 42 Posted: 20 May 2003
Working Paper Series
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 3,107
149.

Credit Default Swaps and the Credit Crisis

Charles A. Dice Center Working Paper No. 2009-16 , Fisher College of Business Working Paper No. 2009-03-16, ECGI - Finance Working Paper No. 264/2009
Number of pages: 47 Posted: 29 Sep 2009 Last Revised: 27 Sep 2010
Working Paper Series
Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,073
150.

Discounting Revisited: Valuation Under Funding, Counterparty Risk and Collateralization

Number of pages: 34 Posted: 17 May 2010 Last Revised: 14 Mar 2011
Working Paper Series
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 3,060