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JEL Code: G13

3,356,174 Total downloads

Viewing: 151 - 200 of 7,893 papers

151.

Is the 'Leverage Effect' a Leverage Effect?

Number of pages: 40 Posted: 12 Jan 2001
Working Paper Series
New York University - Stern School of Business and City University of Hong Kong (CityU) - Department of Economics & Finance
Downloads 3,050
152.

A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities

Number of pages: 49 Posted: 11 Jun 1997
Working Paper Series
Peking University - Guanghua School of Management - Finance
Downloads 3,048
153.

Theory of Financial Risk: Basic Notions in Probability

Number of pages: 51 Posted: 04 Jul 1999
Working Paper Series
Capital Fund Management and Capital Fund ManagementCapital Fund Management
Downloads 3,042
154.

Covered Calls Uncovered

Financial Analysts Journal, Vol. 71, No. 6, November/December 2015
Number of pages: 24 Posted: 04 Jun 2014 Last Revised: 27 Jan 2017
Accepted Paper Series
NDVR, Inc. and AQR Capital Management, LLC
Downloads 3,020
155.

Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review

Journal of Derivatives, Vol. 7, No. 2, pp. 66-82, Winter 1999
Number of pages: 17 Posted: 21 Oct 1999 Last Revised: 20 Nov 2008
Accepted Paper Series
University of Konstanz - Department of Economics
Downloads 3,013
156.

Stochastic Volatility with an Ornstein-Uhlenbeck Process: An Extension

Number of pages: 18 Posted: 07 Sep 1998
Working Paper Series
University of Tuebingen - Faculty of Economics and Social Sciences and University of Tuebingen
Downloads 3,007
157.

Which Index Options Should You Sell?

Number of pages: 35 Posted: 28 Jun 2017 Last Revised: 01 Jul 2017
Working Paper Series
NDVR, Inc. and AQR Capital Management, LLC
Downloads 3,005
158.

The Price of Correlation Risk: Evidence from Equity Options

EFA 2005 Moscow Meetings
Number of pages: 60 Posted: 25 Feb 2005 Last Revised: 14 Jul 2008
Working Paper Series
Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 2,996
159.

LIBOR Market Models with Stochastic Basis

Bloomberg Education and Quantitative Research Paper No. 2010-05-FRONTIERS
Number of pages: 39 Posted: 05 Mar 2010 Last Revised: 08 Jun 2010
Working Paper Series
Bloomberg L.P.
Downloads 2,991
160.

A Jump Diffusion Model for Option Pricing

Number of pages: 36 Posted: 16 Sep 2000
Working Paper Series
Boston University
Downloads 2,985
161.

Calibrating Volatility Surfaces Via Relative-Entropy Minimization

Number of pages: 38 Posted: 01 Feb 1997
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, State++, New York University (NYU) - Courant Institute of Mathematical Sciences and Decision Synergy
Downloads 2,982
162.

Efficient and Exact Simulation of the Hull-White Model

Number of pages: 6 Posted: 02 Aug 2013
Working Paper Series
Talanx Asset Management
Downloads 2,979
163.

Economic Catastrophe Bonds

HBS Finance Working Paper No. 07-102
Number of pages: 46 Posted: 26 Jun 2007 Last Revised: 13 Apr 2008
Working Paper Series
Harvard Business School - Finance Unit, University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 2,974
164.

A Practical Guide to GMM (with Applications to Option Pricing)

Number of pages: 74 Posted: 10 May 2001
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business and University of Otago
Downloads 2,973
165.

Malliavin Calculus for Monte Carlo Methods in Finance

LSE Working Paper
Number of pages: 10 Posted: 24 Jan 2002
Working Paper Series
Université Paris Dauphine
Downloads 2,959
166.

Breaking Bad Trends

Number of pages: 22 Posted: 03 Jun 2020 Last Revised: 11 Dec 2020
Working Paper Series
Research Affiliates LLC, Research Affiliates, LLC, Duke University - Fuqua School of Business and Research Affiliates, LLC
Downloads 2,917
167.

Option Return Predictability

Review of Financial Studies accepted, 27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 80 Posted: 06 Dec 2015 Last Revised: 18 Oct 2021
Accepted Paper Series
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Toronto, Rotman School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Shanghai LiLi Technology Co.,Ltd.
Downloads 2,904
168.

Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk

Number of pages: 58 Posted: 19 Dec 2001
Working Paper Series
University of Reading - ICMA Centre
Downloads 2,898
169.

Bridging the gap between Markowitz planning and deep reinforcement learning (ICAPS PRL Presentation Slides 2020)

Number of pages: 37 Posted: 25 Oct 2021
Working Paper Series
Université Paris Dauphine, A.I. Square Connect, Societe Generale and SGCIB
Downloads 2,880
170.

Implied Volatility Surface: Construction Methodologies and Characteristics

Number of pages: 38 Posted: 10 Jul 2011
Working Paper Series
Independent
Downloads 2,878
171.

Where is the Value in High Frequency Trading?

Number of pages: 54 Posted: 21 Nov 2010 Last Revised: 17 Feb 2012
Working Paper Series
University of Oxford and Universidad Carlos III, Madrid - Business Economics Department

Multiple version iconThere are 2 versions of this paper

Downloads 2,878
172.

Small Dimension Pde for Discrete Asian Options

LSE Working Paper
Number of pages: 20 Posted: 03 Apr 2001
Working Paper Series
Université Paris Dauphine and BNP - Paribas
Downloads 2,870
173.

Modeling the Term Structure of Interest Rates: A Review of the Literature

Number of pages: 97 Posted: 23 Jul 2001
Working Paper Series
Kedge Capital Fund Management, University of Geneva - Geneva Finance Research Institute (GFRI) and French National Institute for Research in Computer Science and Control (INRIA)

Multiple version iconThere are 2 versions of this paper

Downloads 2,856
174.

A Framework for Valuing Corporate Securities

WP 89
Number of pages: 25 Posted: 12 Dec 1996
Working Paper Series
McGill University and Stockholm School of Economics - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,853
175.

A Valuation Study of Stock-Market Seasonality and Firm Size

Journalof Portfolio Management, Vol. 36, 2010, Yale ICF Working Paper No. 00-37
Number of pages: 47 Posted: 12 Jun 2001 Last Revised: 11 Mar 2013
Working Paper Series
University of Hong Kong, Faculty of Business Economics (HKU Business School) and U.S. Securities and Exchange Commission - Division of Economic and Risk Analysis
Downloads 2,850
176.

Static Replication of Barrier Options: Some General Results

Number of pages: 25 Posted: 19 May 2000
Working Paper Series
Bank of America, Saxo Bank and General Reinsurance Financial Products in New York
Downloads 2,837
177.

Market Return Around the Clock: A Puzzle

Number of pages: 70 Posted: 27 May 2020 Last Revised: 25 Aug 2021
Working Paper Series
University of Illinois at Chicago - Department of Finance and Michigan State University - Department of Finance
Downloads 2,827
178.

On the Option Pricing Formula Based on the Bachelier Model

Number of pages: 26 Posted: 02 Aug 2019 Last Revised: 24 Sep 2019
Working Paper Series
KPMG Azsa LLC
Downloads 2,826
179.

Kalman Filter Demystified: From Intuition to Probabilistic Graphical Model to Real Case in Financial Markets

Number of pages: 44 Posted: 03 Dec 2018 Last Revised: 15 Dec 2018
Working Paper Series
Université Paris Dauphine
Downloads 2,819
180.

Dynamic Portfolio Choice

Number of pages: 59 Posted: 11 Jul 2012
Working Paper Series
BlackRock, Inc
Downloads 2,817
181.

Expected Option Returns

Number of pages: 35 Posted: 05 Nov 1999
Working Paper Series
University of Michigan at Ann Arbor, The Stephen M. Ross School of Business and Harvard Business School - Finance Unit

Multiple version iconThere are 2 versions of this paper

Downloads 2,809
182.

Staging of Venture Capital Investment: A Real Options Analysis

Number of pages: 36 Posted: 06 Jun 2002
Working Paper Series
National Taiwan University - Department of International Business
Downloads 2,806
183.

Implied Risk-Neutral Probability Density Functions from Option Prices: Theory and Application

Bank of England Working Paper No 66
Number of pages: 56 Posted: 19 Apr 1998
Working Paper Series
Bank of England
Downloads 2,800
184.

Stock Options for Undiversified Executives

Number of pages: 55 Posted: 14 Dec 2000
Working Paper Series
NOM Unit Head, Harvard Business School and University of Southern California - Marshall School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 2,787
185.

On the Profit and Loss Distribution of Dynamic Hedging Strategies

Discussion Paper Series No. 9899-03
Number of pages: 24 Posted: 02 Feb 1999
Working Paper Series
Quant Isle Ltd. and JP Morgan Securities Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 2,779
186.

Analytical Formulas for Local Volatility Model with Stochastic Rates

Number of pages: 25 Posted: 24 Oct 2009
Working Paper Series
Université Paris Dauphine, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 2,763
187.

An Application of Malliavin Calculus to Continuous Time Asian Options Greeks

LSE Working Paper
Number of pages: 19 Posted: 11 May 2001
Working Paper Series
Université Paris Dauphine
Downloads 2,750
188.

The VIX Premium

Review of Financial Studies, Forthcoming
Number of pages: 57 Posted: 13 Sep 2014 Last Revised: 07 Jun 2018
Accepted Paper Series
University of Toronto - Rotman School of Management
Downloads 2,747
189.

Application of Machine Learning to Systematic Strategies

Number of pages: 7 Posted: 12 Sep 2016 Last Revised: 13 Oct 2016
Working Paper Series
ING
Downloads 2,746
190.

Market Price of Variance Risk and Performance of Hedge Funds

AFA 2006 Boston Meetings Paper
Number of pages: 50 Posted: 08 Nov 2005
Working Paper Series
University of Illinois at Chicago - Department of Finance
Downloads 2,701
191.

Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

Journal of Finance, Forthcoming
Number of pages: 58 Posted: 30 Sep 2009
Accepted Paper Series
Massachusetts Institute of Technology

Multiple version iconThere are 2 versions of this paper

Downloads 2,696
192.

The Convergence of Binomial Trees for Pricing the American Put

Number of pages: 24 Posted: 15 Nov 2007 Last Revised: 27 Mar 2009
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads 2,696
193.

Liquidity and Credit Default Swap Spreads

AFA 2007 Chicago Meetings Paper, EFA 2008 Athens Meetings Paper
Number of pages: 44 Posted: 03 Mar 2008 Last Revised: 22 Jan 2009
Working Paper Series
The University of Hong Kong - Faculty of Business and Economics and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Multiple version iconThere are 2 versions of this paper

Downloads 2,688
194.

Smiling at Convexity: Bridging Swaption Skews and Cms Adjustments

Number of pages: 16 Posted: 21 Mar 2006
Working Paper Series
Bloomberg L.P. and Intesa Sanpaolo
Downloads 2,672
195.

Risk Metrics and Fine Tuning of High Frequency Trading Strategies

Cartea, ÁLvaro, and Sebastian Jaimungal. "RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES." Mathematical Finance (2013).
Number of pages: 37 Posted: 26 Feb 2012 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford and University of Toronto - Department of Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 2,670
196.

Option Pricing Model: Comparing Louis Bachelier with Black-Scholes Merton

Number of pages: 45 Posted: 22 May 2016
Working Paper Series
University of St Joseph
Downloads 2,652
197.

Smart Expansion and Fast Calibration for Jump Diffusion

Number of pages: 26 Posted: 01 Jan 2008 Last Revised: 30 Dec 2009
Working Paper Series
Université Paris Dauphine, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 2,649
198.

An E-Arch Model for the Term Structure of Implied Volatility of FX Options

Number of pages: 25 Posted: 01 Apr 1997
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and Tsinghua University - School of Economics & Management
Downloads 2,633
199.

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

Number of pages: 43 Posted: 24 Jun 2005
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads 2,628
200.

The Discount Rate for Discounted Cash Flow Valuations of Intangible Assets

Number of pages: 18 Posted: 02 Apr 2007
Working Paper Series
KPMG Corporate Finance, Vrije Universiteit Amsterdam and Shell International B.V.
Downloads 2,626