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SSRN eLibrary Search Results
Review of Derivatives Research
7,605 Total downloads
Showing Papers 1 - 36 of 36
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The Unbiasdness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests
Review of Derivatives Research, Vol. 7, No. 3, 2004, pp 241-266
Ilias Visvikis , David A Menachof and Manolis G. Kavussanos
Independent , Hull University Business School (HUBS) and Athens University of Economics and Business - Department of Accounting and Finance
Date Posted: February 12, 2014
Accepted Paper Series

Price Discovery, Causality and Forecasting in the Freight Futures Market
Review of Derivatives Research, Vol. 6, No. 3, 2003, 203 -230
Manolis G. Kavussanos and Nikos K. Nomikos
Athens University of Economics and Business - Department of Accounting and Finance and Cass Business School, City University London
Date Posted: February 07, 2014
Accepted Paper Series

An Analytical Approach for Systematic Risk Sensitivity of Structured Finance Products
Review of Derivatives Research, Forthcoming
Arndt Claussen , Sebastian Löhr and Daniel Roesch
Leibniz University Hannover , Leibniz University Hannover and University of Regensburg
Date Posted: October 30, 2013
Last Revised: November 09, 2013
Accepted Paper Series

American Bond Option Pricing in One-Factor Dynamic Term Structure Models
Review of Derivatives Research, Vol. 1, No. 3, 1996
Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences
Date Posted: December 20, 2012
Accepted Paper Series

Incl. Electronic Paper Parametric Modeling of Implied Smile Functions: A Generalized SVI Model
Review of Derivatives Research, Forthcoming
Bo Zhao and Stewart D. Hodges
City University London - Sir John Cass Business School and University of Warwick - Financial Options Research Centre (FORC)
Date Posted: May 12, 2012
Accepted Paper Series
240 downloads

Incl. Electronic Paper Local Volatility of Volatility for the VIX Market
Review of Derivatives Research, 16(3), 267-293, (2013)
Gabriel G. Drimus and Walter Farkas
Institute of Banking and Finance, University of Zürich and University of Zurich, Department of Banking and Finance
Date Posted: December 11, 2011
Last Revised: October 09, 2013
Accepted Paper Series
560 downloads

Incl. Electronic Paper A General Framework for the Derivation of Asset Price Bounds: An Application to Stochastic Volatility Option Models
Review of Derivatives Research, Vol. 12, 2009, pp. 81-107
Oleg Bondarenko and I. Rodriguez Longarela
University of Illinois at Chicago - Department of Finance and University of Tromsø - Department of Economics - NFH
Date Posted: October 14, 2011
Last Revised: November 03, 2014
Accepted Paper Series
43 downloads

Incl. Electronic Paper Pricing Average Options Under Time-Changed Levy Processes
Review of Derivatives Research, Vol. 17, No. 1, 2014
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Date Posted: April 06, 2011
Last Revised: March 17, 2014
Accepted Paper Series
173 downloads

Incl. Electronic Paper Leverage, Options Liabilities, and Corporate Bond Pricing
Review of Derivatives Research, Vol. 11, No. 3, 2008
Henry Hongren Huang and Yildiray Yildirim
National Central University at Taiwan and Syracuse University - Whitman School of Management
Date Posted: February 07, 2011
Accepted Paper Series
47 downloads

Incl. Electronic Paper The Cost of Operational Risk Loss Insurance
Review of Derivatives Research, Vol. 13, No. 3, 2010, Johnson School Research Paper Series No. 19-2011
Robert A. Jarrow , Jeffrey Oxman and Yildiray Yildirim
Cornell University - Samuel Curtis Johnson Graduate School of Management , University of St. Thomas (Minnesota) - University of St. Thomas, Minneapolis and Syracuse University - Whitman School of Management
Date Posted: February 07, 2011
Last Revised: March 27, 2011
Accepted Paper Series
178 downloads

Incl. Electronic Paper Single Name Credit Default Swaptions Meet Single Sided Jump Models
Review of Derivatives Research, Vol. 11, No. 1, 2008
Henrik Jönsson and Wim Schoutens
European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM) and KU Leuven - Department of Mathematics
Date Posted: June 22, 2010
Accepted Paper Series
51 downloads

A Quasi-Analytical Interpolation Method for Pricing American Options Under General Multi-Dimensional Diffusion Processes
Review of Derivatives Research, Vol. 13, No. 2, pp. 177-217, 2010
Minqiang Li
Bloomberg LP
Date Posted: June 09, 2010
Accepted Paper Series

Incl. Electronic Paper The Role of Hedge Funds as Primary Lenders
Review of Derivatives Research, Forthcoming
Vikas Agarwal and Costanza Meneghetti
Georgia State University and West Virginia University
Date Posted: April 29, 2010
Last Revised: January 24, 2011
Accepted Paper Series
208 downloads

Incl. Electronic Paper Manager Fee Contracts and Managerial Incentives
Review of Derivatives Research, Forthcoming
Gong Zhan
University of Massachusetts, Amherst - Isenberg School of Management
Date Posted: April 05, 2010
Accepted Paper Series
135 downloads

Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison
Review of Derivatives Research, Vol. 13, No. 1, pp. 75-99, 2010
Minqiang Li
Bloomberg LP
Date Posted: March 15, 2010
Accepted Paper Series

Incl. Electronic Paper Option Market Making Under Inventory Risk
Review of Derivatives Research, Vol. 12, No. 1, 2009
Sasha Stoikov and Mehmet Saglam
Cornell Financial Engineering Manhattan and University of Cincinnati - Department of Finance - Real Estate
Date Posted: July 01, 2009
Accepted Paper Series
365 downloads

Incl. Electronic Paper A Forward Started Jump-Diffusion Model and Pricing of Cliquet Style Exotics
Review of Derivatives Research, Vol. 13, No. 2, 2010
Gabriel G. Drimus
Institute of Banking and Finance, University of Zürich
Date Posted: April 04, 2009
Last Revised: December 21, 2010
Accepted Paper Series
322 downloads

Incl. Electronic Paper A Call on Art Investments
Review of Derivatives Research, Vol. 15, No. 1, 2012.
Roman Kräussl and Christian Wiehenkamp
Universite du Luxembourg - School of Finance and RiskLab GmbH
Date Posted: November 17, 2008
Last Revised: March 20, 2012
Accepted Paper Series
514 downloads

An Extended Set of Risk Neutral Valuation Relationships for the Pricing of Contingent Claims
Review of Derivatives Research, Vol. 3, No. 1, 1999
Antonio Camara
Oklahoma State University, Stillwater - College of Business Administration
Date Posted: September 03, 2008
Accepted Paper Series

Incl. Electronic Paper Corporate Governance and Hedge Fund Activism
Review of Derivatives Research, Vol. 14, No. 2, 2011
Nicole M. Boyson and Robert M. Mooradian
Northeastern University - D’Amore-McKim School of Business and Northeastern University, D’Amore-McKim School of Business, Finance Area
Date Posted: March 21, 2008
Last Revised: December 04, 2012
Accepted Paper Series
1632 downloads

On Improving the Least Squares Monte Carlo Option Valuation Method
Review of Derivatives Research, Forthcoming
Nelson Areal , Artur Rodrigues and Manuel J. Rocha Armada
University of Minho - School of Economics and Management , University of Minho - School of Economics and Management and University of Minho
Date Posted: February 05, 2008
Last Revised: October 26, 2008
Working Paper Series

Incl. Electronic Paper On the Robustness of Least - Squares Monte Carlo (LSM) for Pricing American Derivatives
Review of Derivatives Research, Vol. 6, No. 2, 2003
Manuel Moreno and Javier F. Navas
University of Castilla-La Mancha and Universidad Pablo de Olavide
Date Posted: November 20, 2007
Last Revised: December 07, 2007
Accepted Paper Series
468 downloads

Stochastic Dividend Yield and Derivatives Pricing in Complete Markets
Review of Derivatives Research, Forthcoming
Abraham Lioui
EDHEC Business School
Date Posted: August 01, 2006
Accepted Paper Series

Hedging With Derivatives & Performance Evaluation
Journal of Derivatives, Forthcoming, Review of Derivatives Research, Forthcoming
Sourabh Arora
Amity International Business School
Date Posted: July 12, 2006
Accepted Paper Series

Option Prices Under Generalized Pricing Kernels
Review of Derivatives Research, Vol. 8, No. 2, pp. 97-123, 2005
Bertram Düring and Erik Lüders
University of Sussex - School of Mathematical and Physical Sciences and Centre for European Economic Research (ZEW)
Date Posted: May 08, 2006
Accepted Paper Series

Incl. Electronic Paper The Bias in Black-Scholes/Black Implied Volatility: An Analysis of Equity and Energy Markets
Review of Derivatives Research, Vol. 8, No. 3, 2005
James S. Doran and Ehud I. Ronn
Florida State University - Department of Finance and University of Texas at Austin - Department of Finance
Date Posted: December 08, 2004
Last Revised: November 07, 2014
Working Paper Series
1229 downloads

Incl. Electronic Paper A Comparison of Single-Factor Markov-Functional and Multi-Factor Market Models
Review of Derivatives Research, Vol. 13, No. 3, 2010
Raoul Pietersz and Antoon Pelsser
Erasmus Research Institute of Management (ERIM) and Maastricht University
Date Posted: June 29, 2004
Last Revised: May 07, 2011
Accepted Paper Series
465 downloads

Lean Trees - A General Approach for Improving Performance of Lattice Models for Option Pricing
Review of Derivatives Research Vol. 7, pp. 53-72, 2004
Rainer Baule and Marco Wilkens
University of Hagen and University of Augsburg
Date Posted: May 13, 2004
Accepted Paper Series

Pricing of Swaps with Default Risk
Review of Derivatives Research, Vol. 2, 1998
Haitao Li
University of Michigan - Stephen M. Ross School of Business
Date Posted: October 12, 2002
Accepted Paper Series

Incl. Electronic Paper On the Information in the Interest Rate Term Structure and Option Prices
Review of Derivatives Research, Vol. 7, No. 2, 2004
Frank De Jong , Joost Driessen and Antoon Pelsser
Tilburg University - Department of Finance , Tilburg University - Department of Finance and Maastricht University
Date Posted: February 28, 2002
Last Revised: May 08, 2011
Accepted Paper Series
492 downloads

Incl. Electronic Paper Efficient Option Replication in the Presence of Transaction Costs
Review of Derivatives Research
Lionel Martellini
EDHEC Business School
Date Posted: November 28, 2000
Accepted Paper Series
483 downloads

On Pricing Kernels and Finite State Variable Heath Jarrow Morton Models
REVIEW OF DERIVATIVES RESEARCH, Vol. 1 No. 1
George Pennacchi , Peter H. Ritchken and L. Sankarasubramanian
University of Illinois , Case Western Reserve University - Department of Banking & Finance and affiliation not provided to SSRN
Date Posted: May 12, 2000
Accepted Paper Series

The Valuation and Behavior of Black-Scholes Options Subject to Intertemporal Default Risk
REVIEW OF DERIVATIVES RESEARCH, Vol. 1 No. 1
Don R. Rich
affiliation not provided to SSRN
Date Posted: May 03, 2000
Accepted Paper Series

Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach
Review of Derivatives Research, Vol. 3, Pp. 5-66, 1999
João Pedro Vidal Nunes , Les Clewlow and Stewart D. Hodges
ISCTE Business School , Lacima and University of Warwick - Financial Options Research Centre (FORC)
Date Posted: April 18, 2000
Accepted Paper Series

The Dynamics of the S&P 500 Implied Volatility Surface
Review of Derivatives Research, Vol. 3, No. 3, 1999
George S. Skiadopoulos , Stewart D. Hodges and Les Clewlow
University of Piraeus , University of Warwick - Financial Options Research Centre (FORC) and Lacima
Date Posted: March 27, 2000
Accepted Paper Series

An Alternative Approach to the Valuation of American Options and Applications
REVIEW OF DERIVATIVES RESEARCH, Vol. 1 No. 1
In-Moo Kim and G. George Yu
Sungkyunkwan University and Goldman Sachs Group, Inc.
Date Posted: November 18, 1999
Accepted Paper Series


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