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SSRN eLibrary Search Results
Econometric Modeling: Derivatives eJournal
330,361 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 2,652
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1 2 3 4 ... 54 | Next >
   

Incl. Electronic Paper Option-Based Pricing of Wrong Way Risk for CVA
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Scotiabank
Date Posted: July 27, 2016
Working Paper Series
11 downloads

Predicting Option Model Performance: Price Fitting Versus Efficiency Based Measures
Berk Orbay, Refik Güllü and Wolfgang Hörmann
Boğaziçi University - Department of Industrial Engineering, Boğaziçi University - Department of Industrial Engineering and Boğaziçi University - Department of Industrial Engineering
Date Posted: July 23, 2016
Working Paper Series

Incl. Electronic Paper Cluster Stability of Error Representation in Option Pricing
Berk Orbay, Refik Güllü and Wolfgang Hörmann
Boğaziçi University - Department of Industrial Engineering, Boğaziçi University - Department of Industrial Engineering and Boğaziçi University - Department of Industrial Engineering
Date Posted: July 23, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Non-Parametric Local Volatility Swaption Formula Revisited
Vladimir Lucic
Barclays Investment Bank
Date Posted: July 22, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Express Measurement of Market Volatility Using Ergodicity Concept
Jack Sarkissian
Algostox Trading
Date Posted: July 21, 2016
Last Revised: July 23, 2016
Working Paper Series
203 downloads

Incl. Fee Electronic Paper An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancelable Swaps Under the Libor Market Model
Journal of Computational Finance, Forthcoming
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: July 21, 2016
Accepted Paper Series

Incl. Electronic Paper Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility
Arabinda Basistha, Alexander Kurov and Marketa Halova Wolfe
West Virginia University - College of Business & Economics, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Date Posted: July 21, 2016
Working Paper Series
35 downloads

Incl. Electronic Paper A Model Selection Framework for Pricing Options
Berk Orbay, Refik Güllü and Wolfgang Hörmann
Boğaziçi University - Department of Industrial Engineering, Boğaziçi University - Department of Industrial Engineering and Boğaziçi University - Department of Industrial Engineering
Date Posted: July 21, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper A Multifactor Stochastic Volatility Model of Commodity Prices
Gonzalo Cortazar, Matias Lopez and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile - Department of Industrial Engineering and University of Miami - Department of Finance
Date Posted: July 20, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Variance and Skew Risk Premiums for the Volatility Market: The VIX Evidence
José Da Fonseca and Yahua Xu
Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Department of Finance
Date Posted: July 20, 2016
Working Paper Series
51 downloads

Incl. Electronic Paper Smile at Errors: A Discrete-Time Stochastic Volatility Framework for Pricing Options with Realized Measures
Giacomo Bormetti, Roberto Casarin, Fulvio Corsi and Giulia Livieri

Date Posted: July 19, 2016
Last Revised: July 28, 2016
Working Paper Series
43 downloads

Incl. Electronic Paper Pricing Asian Options: A Comparison of Numerical and Simulation Approaches, Twenty Years Later
Akos Horvath and Péter Medvegyev
Vienna Graduate School of Finance and Corvinus University of Budapest
Date Posted: July 19, 2016
Working Paper Series
22 downloads

Incl. Electronic Paper Cost Reduction, Informational Efficiency, and Prices of Options
Sophie X. Ni
Hong Kong University of Science and Technology
Date Posted: July 19, 2016
Working Paper Series
10 downloads

Portfolio Credit Derivatives Top Down Dependence Diagnostics Via Majorization
9th World Congress of the Bachelier Finance Society, New York, USA
Vilimir Yordanov
Independent
Date Posted: July 18, 2016
Working Paper Series

Incl. Electronic Paper Path Integrals and Greeks
Jan Dash
Bloomberg LP
Date Posted: July 17, 2016
Last Revised: July 22, 2016
Working Paper Series
37 downloads

Incl. Fee Electronic Paper Pricing Swing Options in Electricity Markets with Two Stochastic Factors Using a Partial Differential Equation Approach
Journal of Computational Finance, Forthcoming
Maria del Carmen Calvo-Garrido, Matthias Ehrhardt and Carlos Vázquez Cendón
University of Coruña - Department of Mathematics, Bergische Universitat Wuppertal and University of Coruña - Department of Mathematics
Date Posted: July 16, 2016
Accepted Paper Series

Incl. Electronic Paper Systemic Risk in Derivatives Markets: A Pilot Study Using CDS Data
Bank of England Financial Stability Paper No. 38
Robleh Ali, Nicholas Vause and Filip Zikes
Bank of England, Bank of England and Board of Governors of the Federal Reserve System
Date Posted: July 15, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper An Illustration of How to Price Asset Swaps with Accrued Interest
Nicholas Burgess
Independent
Date Posted: July 14, 2016
Last Revised: July 19, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper The Market Impact of Options
Feng Gao and Jiang Wang
Tsinghua University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: July 14, 2016
Working Paper Series
38 downloads

Incl. Electronic Paper Endogenous Trading in Credit Default Swaps
Marc Chesney, Delia Coculescu and Selim Gökay
University of Zurich - Swiss Banking Institute (ISB), University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)
Date Posted: July 14, 2016
Working Paper Series
12 downloads

Incl. Fee Electronic Paper Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions
Journal of Computational Finance, Forthcoming
Qian Feng, Shashi Jain, Patrik Karlsson, Drona Kandhai and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), ING Bank - Netherlands Office, ING Bank, University of Amsterdam and Center for Mathematics and Computer Science (CWI)
Date Posted: July 13, 2016
Accepted Paper Series

Incl. Electronic Paper An Accurate Pricing Formula for Vanilla Options in a Cash Dividend Framework with Linear Algorithmic Complexity
Gilles Boya
Natixis
Date Posted: July 13, 2016
Last Revised: July 18, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Smart Monte Carlo, Path Integrals, and American Options
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 13, 2016
Last Revised: July 22, 2016
Working Paper Series
95 downloads

Real Options on New Generation Access Networks Based on FTTH. An Approach to the Spanish Case
26th European Regional Conference of the International Telecommunications Society (ITS), Madrid, Spain, 24-27 June 2015
Fernando Gallardo, Mariano Mendez, Manuel Monjas and Fernando Sánchez
Universidad Autónoma de Madrid, ESIC Business & Marketing School, Universidad Autónoma de Madrid and Universidad Autónoma de Madrid
Date Posted: July 12, 2016
Accepted Paper Series

Incl. Electronic Paper Forward at the Money Forward Implied Volatility and Forward Underlying Move Estimations
Didier Kouokap Youmbi
Bank of England - Prudential Regulation Authority
Date Posted: July 12, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Write on the Money?
Lew Burton, Nikunj Kapadia and Brandon G Sneider
University of Massachusetts Amherst, University of Massachusetts Amherst - Department of Finance and University of Massachusetts Amherst - Department of Finance
Date Posted: July 12, 2016
Last Revised: July 20, 2016
Working Paper Series
56 downloads

Incl. Electronic Paper Quanto Options in the Presence of Stylized Facts About Returns: Online Appendix
Hasan Fallahgoul, Aaron Kim, Frank J. Fabozzi and Jiho Park
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute, State University of New York, SUNY at Stony Brook University, College of Business, EDHEC Business School and State University of New York, SUNY at Stony Brook University, College of Business
Date Posted: July 10, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Closed Form Solution and Term Structure for SPX Options
Quantitative Finance, Forthcoming
Stephen H.T. Lihn
Novus Partners, Inc.
Date Posted: July 08, 2016
Accepted Paper Series
24 downloads

Incl. Electronic Paper Using a Prediction Error Criterion for Model Selection in Forecasting Option Prices
Technical Report no 131, March 2001
Stavros Antonios Degiannakis and Evdokia Xekalaki
Panteion University of Political and Social Sciences and Athens University of Economics and Business
Date Posted: July 08, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper On the American Swaption in the Linear-Rational Framework
Swiss Finance Institute Research Paper No. 16-44
Damir Filipović and Yerkin Kitapbayev
Ecole Polytechnique Fédérale de Lausanne and Boston University - Questrom School of Business
Date Posted: July 08, 2016
Last Revised: July 12, 2016
Working Paper Series
20 downloads

Incl. Electronic Paper Using the Prediction Error Criterion as a Selection Method in Forecasting Option Prices: A Simulation Approach
Technical Report no 191, October (2002)
Stavros Antonios Degiannakis and Evdokia Xekalaki
Panteion University of Political and Social Sciences and Athens University of Economics and Business
Date Posted: July 08, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Index Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash
Qian Han and Jufang Liang
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Hunan University - School of Finance and Statistics
Date Posted: July 08, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Dynamic Corporate Risk Management: Motivations and Real Implications
Georges Dionne, Jean-Pierre Gueyie and Mohamed Mnasri
HEC Montreal - Department of Finance, University of Quebec in Montreal-Department of Finance and University of Quebec at Montreal (UQAM)
Date Posted: July 08, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper Employee Stock Options with Performance Conditions: Do Commonly Used Valuation Heuristics Work?
Stefan Kanne and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Financial Engineering and Derivatives Department and Karlsruhe Institute of Technology (KIT) - Financial Engineering and Derivatives Department
Date Posted: July 07, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Integral Put-Call Formula
Tumellano Sebehela
Sebehela Inc
Date Posted: July 06, 2016
Working Paper Series
35 downloads

Incl. Electronic Paper Option-Implied Intra-Horizon Risk and First-Passage Disentanglement
Markus Leippold and Nikola Vasiljevic
University of Zurich - Department of Banking and Finance and University of Zurich
Date Posted: July 06, 2016
Working Paper Series
46 downloads

SPEC Model Selection Algorithm for ARCH Models: An Options Pricing Evaluation Framework
(2008). Applied Financial Economics Letters, 4(6), 419-423
Stavros Antonios Degiannakis and Evdokia Xekalaki
Panteion University of Political and Social Sciences and Athens University of Economics and Business
Date Posted: July 05, 2016
Accepted Paper Series

Incl. Electronic Paper A Dynamic Hedging Approach for Refineries in Multiproduct Oil Markets
Energy, 36(2): 881-887.
Qiang Ji and Ying Fan
Chinese Academy of Sciences (CAS) - Institute of Policy and Management and Chinese Academy of Sciences - Institute of Policy and Management - Center for Energy and Environmental Policy Research
Date Posted: July 05, 2016
Last Revised: July 07, 2016
Accepted Paper Series
3 downloads

Incl. Electronic Paper Stock Return Predictability of Out-of-the-Money Option Trading
Chang Mo Kang, Donghyun Kim and Geul Lee
UNSW Australia Business School, School of Banking and Finance, University of Wisconsin - Milwaukee and UNSW Australia Business School, School of Banking and Finance
Date Posted: July 05, 2016
Last Revised: July 28, 2016
Working Paper Series
185 downloads

Incl. Electronic Paper The Determinants of CDS Spreads: Evidence from the Model Space
Matthias Pelster and Johannes Vilsmeier
Leuphana University Lueneburg and Deutsche Bundesbank
Date Posted: July 02, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper The Price of Being a Systematically Important Financial Institution (SIFI)
Michel M. Dacorogna and Marc Busse
DEAR-Consulting and Munich Re
Date Posted: July 01, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Does Financial Innovation Enhance or Inhibit Real Innovation?
Lora Dimitrova and Sapnoti K. Eswar
University of Exeter and University of Cincinnati
Date Posted: June 28, 2016
Last Revised: July 19, 2016
Working Paper Series
23 downloads

Interest Rate Volatility and Derivatives (Libor Market Model)
Sanjay Rajaram
Independent
Date Posted: June 27, 2016
Working Paper Series

Incl. Fee Electronic Paper Applications of Weather Derivatives in the Energy Market
Journal of Energy Markets, Vol. 8, No. 1, 2015
Kaijie Cui and Anatoliy V. Swishchuk
University of Calgary and University of Calgary
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Construction of Volatility Surfaces for Futures Markets
Journal of Energy Markets, Vol. 8, No. 1, 2015
Qimou Su, Ni Xiao and J Randall Curtis
SciComp Inc., University of Chicago and University of Washington
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Pricing and Hedging Quanto Options in Energy Markets
Journal of Energy Markets, Vol. 8, No. 1, 2015
Fred Espen Benth, Nina Lange and Tor Age Myklebust
University of Oslo - Department of Mathematics, Copenhagen Business School and Norwegian School of Economics (NHH)
Date Posted: June 24, 2016
Accepted Paper Series

Endogenous Trading in Credit Default Swaps
Marc Chesney, Delia Coculescu and Selim Gökay
University of Zurich - Swiss Banking Institute (ISB), University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)
Date Posted: June 23, 2016
Working Paper Series

Incl. Fee Electronic Paper Transform-Based Evaluation of Prices and Greeks of Lookback Options Driven by Lévy Processes
Journal of Computational Finance, Vol. 20, No. 2, 2016
Naser M Asghari and Michel Mandjes
University of Amsterdam and University of Amsterdam
Date Posted: June 23, 2016
Accepted Paper Series

Incl. Electronic Paper The Informational Role of Index Option Trading
Tarun Chordia, Alexander Kurov and Avanidhar Subrahmanyam
Emory University - Department of Finance, West Virginia University - College of Business & Economics and University of California, Los Angeles (UCLA) - Finance Area
Date Posted: June 22, 2016
Working Paper Series
162 downloads

Incl. Electronic Paper A Strange Disposition? Option Trading Based on Reference Prices
Kelley Bergsma, Andy Fodor and Emily Tedford
Ohio University - College of Business, Ohio University and 84.51˚
Date Posted: June 21, 2016
Last Revised: June 28, 2016
Working Paper Series
50 downloads


 

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