Search Results
JEL Code: C61

898,608 Total downloads

Viewing: 151 - 200 of 4,646 papers

151.

Fiscal and Monetary Policies and Economic Growth

Number of pages: 25 Posted: 06 Mar 2008
Working Paper Series
Bucharest Academy of Economic Studies
Downloads 913
152.

On Leland's Option Hedging Strategy with Transaction Costs

Sauder School of Business Working Paper
Number of pages: 33 Posted: 17 Sep 2004
Working Paper Series
Nanyang Technological University and University of British Columbia (UBC) - Sauder School of Business
Downloads 913
153.

Multi-Factor Models and Signal Processing Techniques: Survey and Examples

IEEE Signal Processing Magazine - Special Issue on Financial Applications, Forthcoming
Number of pages: 12 Posted: 18 May 2011
Accepted Paper Series
QUANTED, ENSEA-ETIS, Université Paris Dauphine - DRM-CEREG and Aequam Capital
Downloads 901
154.

Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation

Mathematical Finance, 2008, 18(3), 473-492
Number of pages: 24 Posted: 20 Mar 2008 Last Revised: 22 Jun 2020
Working Paper Series
Bayes Business School, City, University of London and Munich University of Technology
Downloads 897
155.

Forecasting Intraday Trading Volume: A Kalman Filter Approach

Number of pages: 16 Posted: 26 Apr 2018
Working Paper Series
Hong Kong University of Science & Technology (HKUST), Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science and Technology (HKUST)
Downloads 893
156.

Portfolio Optimization with Respect to Risk Diversification

Number of pages: 7 Posted: 16 Nov 2008
Working Paper Series
HQ Trust GmbH
Downloads 893
157.

Optimal Posting of Sticky Collateral

Number of pages: 29 Posted: 01 May 2013
Working Paper Series
NatWest Marketsaffiliation not provided to SSRN
Downloads 887
158.

The Liquidity Discount

Mathematical Finance, Vol. 11, No. 4, pp. 447-474, October 2001
Number of pages: 28 Posted: 16 Feb 2004 Last Revised: 31 Mar 2009
Accepted Paper Series
Georgia State University and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 882
159.

Q-Learning and SARSA: A Comparison between Two Intelligent Stochastic Control Approaches for Financial Trading

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 15/WP/2015
Number of pages: 25 Posted: 17 Jun 2015
Working Paper Series
Ca Foscari University of Venice - Dipartimento di Economia and Independent
Downloads 880
160.

Robust Asset Allocation with Benchmarked Objectives

Number of pages: 45 Posted: 22 Sep 2006 Last Revised: 24 Sep 2009
Working Paper Series
National University of Singapore (NUS) - Department of Decision Sciences, University of California, Berkeley and Chulalongkorn University - Department of Banking & Finance

Multiple version iconThere are 2 versions of this paper

Downloads 873
161.

Accelerating Exotic Option Pricing and Model Calibration Using GPUs

Number of pages: 19 Posted: 03 Feb 2011
Working Paper Series
WestLB, WestLB and affiliation not provided to SSRN
Downloads 871
162.

Test & Roll: Profit-Maximizing A/B Tests

Number of pages: 46 Posted: 01 Nov 2018 Last Revised: 23 May 2019
Working Paper Series
Drexel University - Department of Marketing and University of Pennsylvania - The Wharton School
Downloads 861
163.

Optimal Portfolio Execution Using Market and Limit Orders

Number of pages: 29 Posted: 01 Jan 2012 Last Revised: 14 Mar 2014
Working Paper Series
University of Zurich - Department of Banking and Finance
Downloads 859
164.

Fórmula Para Matriz de Correlación y de Covarianza en Excel (Formula for Correlation and Covariance Matrix in Excel)

Number of pages: 12 Posted: 15 Oct 2012
Working Paper Series
Universidad Tecnológica de Bolívar
Downloads 851
165.

Libor Benchmark Reform: An Overview of Libor Changes and Its Impact on Yield Curves, Pricing and Risk

Number of pages: 67 Posted: 12 Nov 2019 Last Revised: 03 Jan 2020
Working Paper Series
University of Oxford, Said Business School
Downloads 848
166.

How to Do Strategic Supply-Chain Planning

Sloan Management Review, Vol. 45, No. 1, pp. 69-75, Fall 2003, Cass Business School Research Paper
Number of pages: 24 Posted: 23 Jun 2006
Accepted Paper Series
City University London - Sir John Cass Business School
Downloads 841
167.

Generic Computing Alternatives for Better Greeks

Number of pages: 28 Posted: 03 Sep 2011 Last Revised: 12 Sep 2011
Working Paper Series
Independent
Downloads 836
168.

Using Investment Portfolio Return to Combine Forecasts: A Multi-Objective Approach

Number of pages: 35 Posted: 21 Nov 2000
Working Paper Series
University of Texas at San Antonio - Department of Management Science and Statistics, Cornell University - School of Applied Economics and Management and National Chung Cheng University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 830
169.

Volatility vs. Downside Risk: Optimally Protecting Against Drawdowns and Maintaining Portfolio Performance

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 18/WP/2014
Number of pages: 28 Posted: 12 Nov 2014
Working Paper Series
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia and Independent
Downloads 820
170.

Arc-Sine Law and the Libor Reform

Number of pages: 37 Posted: 08 Sep 2020 Last Revised: 25 Jan 2021
Working Paper Series
NatWest Marketsaffiliation not provided to SSRN
Downloads 815
171.

Modeling Vaccine Allocations in the COVID-19 Pandemic: A Case Study in Australia

Number of pages: 34 Posted: 09 Dec 2020
Working Paper Series
RMIT University, RMIT University - Department of Supply Chain and Logistics, RMIT University, University of Agder and RMIT University
Downloads 815
172.

Deep Hedging under Rough Volatility

Number of pages: 25 Posted: 18 Feb 2021
Working Paper Series
ETH Zürich - Department of Mathematics, ETH Zurich and Imperial College London - Department of Mathematics
Downloads 808
173.

Heuristic Optimisation in Financial Modelling

Annals of Operations Research, Vol. 193, No. 1, pp. 129-158, 2012
Number of pages: 31 Posted: 02 Oct 2008 Last Revised: 14 Mar 2013
Accepted Paper Series
University of Geneva - Research Center for Statistics and Independent
Downloads 806
174.

Learning and Asset Prices Under Ambiguous Information

University of St.Gallen Economics Discussion Paper No. 2005-03
Number of pages: 66 Posted: 23 Sep 2004
Working Paper Series
University of Basel, University of Zurich and Swiss Finance Institute

Multiple version iconThere are 2 versions of this paper

Downloads 800
175.

A Multi Strategy Approach to Trading Foreign Exchange Futures

Number of pages: 26 Posted: 28 Jan 2019 Last Revised: 05 Feb 2019
Working Paper Series
Wright Research, Qplum, Qplum and affiliation not provided to SSRN
Downloads 799
176.

Stock Options and Chief Executive Officer Compensation

Operations Research, Vol. 58, No. 4, Part 2 of 2, July–August 2010, pp. 1090–1106, Rock Center for Corporate Governance Working Paper No. 27
Number of pages: 48 Posted: 21 May 2007 Last Revised: 06 Nov 2012
Accepted Paper Series
University of Pennsylvania - Accounting Department, Stanford University - Graduate School of Business and University of Chicago - Booth School of Business
Downloads 798
177.

A Theory of Model Sophistication and Operational Risk

Number of pages: 44 Posted: 26 Feb 2016 Last Revised: 24 May 2019
Working Paper Series
London Business School and University of Colorado at Boulder - Leeds School of Business
Downloads 796
178.

Building Brand Awareness in Dynamic Oligopoly Markets

Management Science, Vol. 54, No. 1, pp. 129-138, January 2008
Number of pages: 22 Posted: 06 Feb 2008 Last Revised: 08 May 2014
Accepted Paper Series
University of California, Davis, University of California, Riverside (UCR) and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 794
179.

Optimal Execution with a Price Limiter

RISK, July 2014
Number of pages: 11 Posted: 13 Jan 2013 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Toronto - Department of Statistics and The Fields Institute for Mathematical Sciences
Downloads 791
180.

Firm Characteristics, Economic Conditions and Capital Structure Adjustments

Number of pages: 38 Posted: 14 Aug 2006
Working Paper Series
University of Hamburg, University of Basel - Department of Finance and Institut für Finanzdienstleistungen Zug (IFZ)
Downloads 784
181.

Simulation in the Textile Industry: Production Planning Optimization

WOA 2004: Dagli Oggetti agli Agenti. 5th AI*IA/TABOO Joint Workshop
Number of pages: 7 Posted: 03 Jan 2005
Accepted Paper Series
University of Turin and Ecole Normale Supérieure (ENS) de Lyon
Downloads 782
182.

An Application of Fault Tree Analysis to the Identification and Management of Risks in Government Funded Human Service Delivery

In Singh, K., Singh, B., et al. (Eds.), Proceedings of the 2nd International Conference on Public Policy and Social Sciences held in Kuching, October 31, 2011
Number of pages: 15 Posted: 06 Nov 2012
Accepted Paper Series
Department of Communities, Disability Services and Child Safety
Downloads 780
183.

Applications of Bayesian Networks

Number of pages: 18 Posted: 09 Nov 2012 Last Revised: 10 Aug 2021
Working Paper Series
KPA Ltd.
Downloads 774
184.

Representation-Constrained Canonical Correlation Analysis: A Hybridization of Canonical Correlation and Principal Component Analyses

Number of pages: 24 Posted: 12 Feb 2009
Working Paper Series
North-Eastern Hill University (NEHU)
Downloads 774
185.

Optimal Asset Allocation Strategies

Number of pages: 25 Posted: 28 Jun 2016 Last Revised: 15 Jul 2016
Working Paper Series
North Carolina State University
Downloads 773
186.

Optimal Consumption and Investment with Bankruptcy

Suresh Sethi, OPTIMAL CONSUMPTION AND INVESTMENT WITH BANKRUPTCY, Kluwer Academic Publishers, Boston MA, 1997, 428 pages.
Number of pages: 444 Posted: 10 Apr 2008 Last Revised: 07 Nov 2017
Working Paper Series
University of Texas at Dallas - Naveen Jindal School of Management
Downloads 773
187.

Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing Under Data-Restricted Environments

Number of pages: 52 Posted: 12 Jan 2007
Working Paper Series
International Monetary Fund (IMF) - Monetary and Financial Systems Department and Universidad Nacional Autónoma de México (UNAM)
Downloads 773
188.

Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets

Number of pages: 32 Posted: 03 Jun 2010 Last Revised: 28 Jun 2011
Working Paper Series
Goethe University Frankfurt, University of Trier and University of Copenhagen
Downloads 771
189.

Pricing Exotic Barrier Options with Finite Differences

Number of pages: 29 Posted: 30 May 2007
Working Paper Series
Morgan Stanley and Rodel Tech Financial
Downloads 771
190.

Adaptive Market Timing with ETFs

Number of pages: 18 Posted: 29 Dec 2010
Working Paper Series
Independent
Downloads 766
191.

GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model

Number of pages: 16 Posted: 08 Feb 2010 Last Revised: 26 Feb 2011
Working Paper Series
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 763
192.

On the Aggregation of Firm-Wide Market and Credit Risks

ISMA Centre Discussion Paper No. DP2003-13
Number of pages: 28 Posted: 26 Feb 2004
Working Paper Series
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 756
193.

The Influence of Monetary and Fiscal Policies on Social Welfare

Number of pages: 18 Posted: 11 Mar 2008
Working Paper Series
Bucharest Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 756
194.

Models and Techniques for Hotel Revenue Management Using a Roling Horizon

ERIM Report Series Reference No. ERS-2001-80-LIS
Number of pages: 23 Posted: 20 Feb 2003
Working Paper Series
ORTEC Consultants, Erasmus Universiteit Rotterdam, ECOPT & ERIM (Deceased), Erasmus Research Institute of Management (ERIM) and University of Amsterdam - Academy for Economic Studies
Downloads 750
195.

Implied Volatility from Asian Options Via Monte Carlo Methods

Number of pages: 33 Posted: 19 Jan 2007 Last Revised: 03 Jan 2008
Working Paper Series
University of Glasgow, Southern University of Science and Technology - Department of Finance and University of Freiburg - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 748
196.

Optimal Advertising and Promotion Budgets in Dynamic Markets with Brand Equity as a Mediating Variable

Management Science, Forthcoming
Number of pages: 41 Posted: 03 Jul 2006
Accepted Paper Series
The Stephen M. Ross School of Business at the University of Michigan and Purdue University
Downloads 747
197.

A Structural Model of Sales-Force Compensation Dynamics: Estimation and Field Implementation

Stanford University Graduate School of Business Research Paper No. 2037, Simon School Working Paper No. FR 09-26
Number of pages: 56 Posted: 18 Sep 2009 Last Revised: 17 Feb 2011
Working Paper Series
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
Downloads 746
198.

Trading Cointegrated Assets with Price Impact

Number of pages: 32 Posted: 28 Oct 2015 Last Revised: 15 Jul 2018
Working Paper Series
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
Downloads 745
199.

The Hub-and-Spoke Model - A Tutorial

Number of pages: 23 Posted: 20 Dec 2006 Last Revised: 27 Feb 2012
Working Paper Series
IC2 Institute, The University of Texas at Austin and affiliation not provided to SSRN
Downloads 743
200.

Investment Decisions, Net Present Value and Bounded Rationality

Quantitative Finance, Vol. 9, No. 8, pp. 967-979, December 2009
Number of pages: 24 Posted: 03 Dec 2007 Last Revised: 29 Jan 2010
Accepted Paper Series
Università degli studi di Modena e Reggio Emilia (UNIMORE) - School of Doctorate E4E (Engineering for Economics-Economics for Engineering)
Downloads 738