Search Results
JEL Code: C02

299,743 Total downloads

Viewing: 151 - 200 of 1,434 papers

151.

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 313
152.

Pair Trading and VAR Analysis Applied to Energy Stocks

Number of pages: 33 Posted: 24 Sep 2019
Working Paper Series
University of LondonNew York City Data Science Academy
Downloads 312
153.

Verifiability and Group Formation in Markets

Number of pages: 68 Posted: 21 Sep 2015
Working Paper Series
University of California - Department of Economics (Deceased) and University of California, Berkeley - Department of Economics
Downloads 312
154.

Pricing CDOs with State Dependent Stochastic Recovery Rates

Number of pages: 38 Posted: 28 Oct 2010
Working Paper Series
BNP Paribas, BNP Paribas, BNP Paribas and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi
Downloads 311
155.

Exponential versus Hyperbolic Discounting: A Theoretical Analysis

Number of pages: 13 Posted: 03 Nov 2014 Last Revised: 28 Aug 2016
Working Paper Series
University of Sussex Business School
Downloads 309
156.

Unveiling Causal Interactions in Complex Systems

Proceedings of the National Academy of Sciences (PNAS) of the United States of America, Volume 117, Issue 14, p. 7599-7605, March 2020, DOI: 10.1073/pnas.1918269117
Number of pages: 68 Posted: 12 Nov 2020
Accepted Paper Series
University College Dublin, Monash University - Department of Econometrics & Business Statistics, Boston University - Center for Polymer Studies and California Institute of Technology
Downloads 308
157.

A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates

PLoS ONE, Volume 13, Issue 3, pp. 1-40 e0194067, March 2018 DOI: 10.1371/journal.pone.0194067
Number of pages: 41 Posted: 14 Jul 2017 Last Revised: 20 Mar 2018
Accepted Paper Series
Institute for Risk and Uncertainty, University of Liverpool, UK, University of Palermo, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 307
158.

Fixed and Mixed Effects Models in Meta-Analysis

Number of pages: 41 Posted: 25 Jul 2006
Working Paper Series
Boston College
Downloads 307
159.

Deep Option Pricing - Term Structure Models

Number of pages: 22 Posted: 09 Dec 2019
Working Paper Series
University of Wuppertal - Applied Mathematics, Quaternion Risk Management, Quaternion Risk Management and AcadiaSoft
Downloads 305
160.

On the Martingale Representation Theorem and Approximate Hedging a Contingent Claim in the Minimum Mean Square Deviation Criterion

VNU Journal of Science, Mathematics & Physics , Vol. 23, pp. 143-154, 2007
Number of pages: 12 Posted: 02 Aug 2009
Accepted Paper Series
Hanoi National University of Education and Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management
Downloads 305
161.

Productivity of Automobile Industries using the Malmquist Index: Evidence from the Last Economic Recession

Journal of CENTRUM Cathedra: The Business and Economics Research Journal, Vol. 4, Issue 2, pp. 165-181, 2011
Number of pages: 17 Posted: 22 Sep 2011 Last Revised: 30 Oct 2012
Accepted Paper Series
University of Massachusetts Lowell
Downloads 305
162.

New Bid-Ask Spread Estimators from Daily High and Low Prices

Number of pages: 66 Posted: 13 May 2017 Last Revised: 22 Aug 2018
Working Paper Series
University of Leicester, University of Leicester and University of Nottingham
Downloads 298
163.

New Directions in Measurement of Economic Growth, Development and Under Development

Journal of Economics and Political Economy - JEPE, vol. 4, n. 4, pp. 382-395
Number of pages: 22 Posted: 17 Jan 2018
Accepted Paper Series
National Research Council of Italy (CNR)
Downloads 297
164.

The Past as Prologue: A New Approach to Forecasting

MIT Sloan Research Paper No. 6166-20
Number of pages: 26 Posted: 17 Aug 2020 Last Revised: 12 Mar 2021
Working Paper Series
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 297
165.

NYU Yield Curve Seminar - An Overview of Yield Curve Calibration & LIBOR Reform

Number of pages: 40 Posted: 08 Apr 2021
Working Paper Series
University of Oxford, Said Business School
Downloads 295
166.

A Non-Structural Investigation of VIX Risk Neutral Density

Journal of Banking and Finance, Forthcoming
Number of pages: 45 Posted: 01 Apr 2017 Last Revised: 16 Nov 2018
Accepted Paper Series
Nordea, Aarhus University - CREATES and Maastricht University - Department of Economics
Downloads 292
167.

A Framework for Derivative Pricing in the Fractional Black-Scholes Market

Number of pages: 11 Posted: 26 Oct 2008
Working Paper Series
University of Zurich - Department of Banking and Finance
Downloads 291
168.

Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM

Number of pages: 24 Posted: 23 Dec 2011
Working Paper Series
University of Leicester
Downloads 291
169.

The Inverted Parabola World of Classical Quantitative Finance: Non-Equilibrium and Non-Perturbative Finance Perspective

Number of pages: 14 Posted: 23 Sep 2020
Working Paper Series
Fidelity Investments, Inc.
Downloads 290
170.

Applied Artificial Intelligence in Modern Warfare and National Security Policy

Brian Seamus Haney, Applied Artificial Intelligence in Modern Warfare and National Security Policy, 11 Hastings Sci. & Tech. L.J. 61 (2020).
Number of pages: 41 Posted: 24 Sep 2019 Last Revised: 11 Mar 2021
Accepted Paper Series
Independent
Downloads 289
171.

CVA, DVA, LVA, FVA, CSA and What Else?

Number of pages: 23 Posted: 19 Mar 2013 Last Revised: 07 Jan 2016
Working Paper Series
CTK corp
Downloads 288
172.

From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An Analysis of Crude Oil Calendar Spread Options

Journal of Banking & Finance, Volume 95, October 2018, Pages 185-202
Number of pages: 39 Posted: 27 Sep 2014 Last Revised: 23 Feb 2019
Accepted Paper Series
EMLYON Business School and emlyon business school
Downloads 287
173.

An Axiomatic Foundation for the Expected Shortfall

Management Science, Forthcoming
Number of pages: 38 Posted: 22 Jul 2019 Last Revised: 17 Mar 2020
Accepted Paper Series
University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 286
174.

A Unified Approach to Algorithms Generating Unrestricted and Restricted Integer Compositions and Integer Partitions

Journal of Mathematical Modelling and Algorithms
Number of pages: 36 Posted: 18 Aug 2008 Last Revised: 31 Jan 2011
Accepted Paper Series
DataMineit, LLC; Allstate
Downloads 277
175.

Stochastic Processes and Models

COMPANION TO FINANCIAL DERIVATIVES, Robert Kolb, James Overdahl, eds., Palgrave, Forthcoming
Number of pages: 30 Posted: 19 Mar 2008
Accepted Paper Series
Loyola University Chicago and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 276
176.

Extending the G2++ Model: Fitting the Term Structure of Implied Volatility

Number of pages: 39 Posted: 23 Jun 2020
Working Paper Series
UnipolSai Assicurazioni SpA and UnipolSai Assicurazioni SpA
Downloads 274
177.

Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time

Number of pages: 32 Posted: 23 Sep 2018 Last Revised: 20 Mar 2019
Working Paper Series
University of Zurich, Flov technologies and Lykke Corp
Downloads 270
178.

Power Law Scaling and 'Dragon-Kings' in Distributions of Intraday Financial Drawdowns

Swiss Finance Institute Research Paper No. 14-48
Number of pages: 33 Posted: 20 Jul 2014 Last Revised: 07 Apr 2015
Working Paper Series
Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 268
179.

Privacy-Preserving Personalized Revenue Management

HEC Paris Research Paper No. MOSI-2020-1391
Number of pages: 43 Posted: 15 Oct 2020 Last Revised: 23 Mar 2021
Working Paper Series
Queen's University - Smith School of Business, McGill University - Desautels Faculty of Management and Northwestern University - Kellogg School of Management
Downloads 265
180.

Delta-Gamma Component VaR: Non-Linear Risk Decomposition for any Type of Funds

Number of pages: 12 Posted: 25 May 2015 Last Revised: 27 Sep 2021
Working Paper Series
Illinois Institute of Technology
Downloads 263
181.

Static Replication of European Standard Dispersion Options

Number of pages: 21 Posted: 12 Oct 2020 Last Revised: 06 Mar 2021
Working Paper Series
NYU Courant, New York University (NYU) - Finance and Risk Engineering Department and North Carolina State University - Department of Mathematics
Downloads 259
182.

Internal Default Risk Model: Simulation of Default Times And Recovery Rates within the New FRTB Framework

Number of pages: 18 Posted: 21 Mar 2018
Working Paper Series
UniCredit Group, UniCredit Bank Austria AG, UniCredit Group, UniCredit Group, UniCredit S.p.A., Unicredit Bank AG, Bank Austria Creditanstalt - Department of Market Risk Management and UniCredit Bank AG
Downloads 258
183.

McCarthyism and the Mathematization of Economics

The Center for the History of Political Economy Working Paper Series 2016-18
Number of pages: 41 Posted: 24 Feb 2016 Last Revised: 03 Sep 2021
Working Paper Series
Duke University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 246
184.

Affine Forward Variance Models

Finance and Stochastics, Vol. 23, No. 3, 501-533, 2019
Number of pages: 30 Posted: 28 Jan 2018 Last Revised: 09 Jan 2020
Accepted Paper Series
CUNY Baruch College and Dresden University of Technology - Department of Mathematics
Downloads 245
185.
Downloads 245
186.

Backtesting Distributional Forecasts in Counterparty Risk: Theoretical Aspects in Long Horizon Testing and Autocorrelations

Number of pages: 14 Posted: 09 Mar 2017
Working Paper Series
CIBC World Markets - Risk Quant, Capital Markets, CIBC
Downloads 244
187.

Concavifying the QuasiConcave

Number of pages: 52 Posted: 09 Aug 2011 Last Revised: 14 May 2014
Working Paper Series
Indiana University Bloomington - Department of Mathematics and Indiana University - Kelley School of Business - Department of Business Economics & Public Policy
Downloads 242
188.

Pairs Trading Under Drift Uncertainty and Risk Penalization

International Journal of Theoretical and Applied Finance, Vol. 21, No. 7, 2018
Number of pages: 24 Posted: 20 Apr 2017 Last Revised: 25 Oct 2018
Accepted Paper Series
Vienna University of Economics and Business, Institute for Statistics and Mathematics, University of Rome Tor Vergata, Department of Economics and Finance and Vienna University of Economics and Business, Institute for Statistics and Mathematics
Downloads 242
189.

Pricing kth-to-Default Swaps Under Default Contagion: The Matrix-Analytic Approach

Number of pages: 27 Posted: 09 Feb 2007
Working Paper Series
University of Gothenburg - Department of Economics/Centre for Finance and Chalmers University of Technology
Downloads 240
190.

Capital Asset Pricing Model

Palgrave Encyclopedia of Strategic Management, Eds. Mie Augier, David J. Teece, ISBN 978-1-137-49190-9, Palgrave Macmillan UK, 2016
Number of pages: 4 Posted: 08 Jun 2017
Accepted Paper Series
Washington Finance and Economics
Downloads 238
192.

Sparse economic scenarios

Swiss Finance Institute Research Paper No. 19-17
Number of pages: 55 Posted: 22 Mar 2019 Last Revised: 29 Nov 2021
Working Paper Series
University of Lugano - Institute of Finance
Downloads 236
193.

Artificial Intelligence and Arbitration: The Computer as an Arbitrator — Are We There Yet?

74 Dispute Resolution Journal 35 (2020) (American Arbitration Association), 2020
Number of pages: 42 Posted: 13 Nov 2020
Accepted Paper Series
New York Law School, American Arbitration Association and New York University (NYU) - NYU Tandon Future Labs
Downloads 234
194.

Privacy Management in Service Systems

Number of pages: 52 Posted: 09 Jul 2020 Last Revised: 27 Aug 2021
Working Paper Series
University of Toronto - Rotman School of Management, Northwestern University - Kellogg School of Management and City University of Hong Kong
Downloads 232
195.

Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles

Number of pages: 27 Posted: 22 Mar 2021
Working Paper Series
University of Hamburg, Old Mutual Insure, The Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 230
196.

Scientific Research Measures

Swiss Finance Institute Research Paper No. 13-37
Number of pages: 28 Posted: 02 Jul 2013 Last Revised: 30 Jan 2015
Working Paper Series
University of Florence - Dipartimento di Matematica, USI Lugano - Institute of Finance and University of London - Economics, Mathematics and Statistics
Downloads 228
197.

The Multi-Scale Interaction Between Interest Rate, Exchange Rate and Stock Price

Number of pages: 10 Posted: 25 Oct 2009 Last Revised: 25 Oct 2009
Working Paper Series
Heigh Institute of Applied Mathematics and Informatics, University of Monastir - Computational Mathematics Laboratory and University of Monastir - Computational Mathematics Laboratory
Downloads 225
198.

Multi-Objective Portfolio Optimization by Mixed Integer Programming

Number of pages: 208 Posted: 24 Jun 2016
Working Paper Series
AGH University of Science and Technology
Downloads 224
199.

A Case Study of Misconceptions Students in the Learning of Mathematics; The Concept Limit Function in High School

Jurnal Riset Pendidikan Matematika, Volume 4, Nomor 1, 2017
Number of pages: 8 Posted: 05 Jun 2017 Last Revised: 19 Jul 2017
Accepted Paper Series
IAIN Syekh Nurjati Cirebon and IAIN Syekh Nurjati Cirebon
Downloads 222
200.

A New Measure of Price Discovery in Financial Markets

Number of pages: 49 Posted: 27 Dec 2018 Last Revised: 14 Sep 2019
Working Paper Series
Lum University Giuseppe Degennaro
Downloads 222