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SSRN eLibrary Search Results
Econometric Modeling: Derivatives eJournal
338,798 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 2,694
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1 2 3 4 ... 54 | Next >
   

Incl. Electronic Paper Securities Lending Strategies, Valuation of Term Loans using Option Theory
Ravi Kashyap
Gain Knowledge Group
Date Posted: August 25, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Volatility Smile as Relativistic Effect
Zura Kakushadze
Quantigic Solutions LLC
Date Posted: August 24, 2016
Working Paper Series
100 downloads

Incl. Electronic Paper Double Spiral Method, Gamma Transform and Pricing Arithmetic Asian Options
Sergei Levendorskii
Calico Science Consulting
Date Posted: August 23, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper What Goes into Risk Neutral Volatility? Empirical Estimates of Risk and Subjective Risk Preferences
Stephen Figlewski
New York University - Stern School of Business
Date Posted: August 23, 2016
Working Paper Series
25 downloads

Incl. Electronic Paper Derivatives Valuation Based on Arbitrage: The Trade Is Crucial
Proceedings of China Derivatives Markets Conference 2016
Stephen Figlewski
New York University - Stern School of Business
Date Posted: August 23, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper Integral Representation of Vega for American Put Options
Yanchu Liu, Zhenyu Cui and Ning Zhang
Lingnan (University) College, Sun Yat-sen University, Guangzhou, China., Stevens Institute of Technology and Jiangxi University of Finance and Economics
Date Posted: August 23, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Lead Lag Relationship and Price Behavior in Potato
International Journal of Business Quantitative Economics and Applied Management Research, Volume 1, Issue 7, December 2014
Tanushree Sharma
Manipal University
Date Posted: August 23, 2016
Accepted Paper Series
8 downloads

Incl. Electronic Paper Leveraged Buyouts and Credit Spreads
Yael Eisenthal-Berkovitz, Peter Feldhütter and Vikrant Vig
Columbia University - Columbia Business School, London Business School and London Business School
Date Posted: August 23, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Optionable Stocks and Mutual Fund Performance
Chune Young Chung, Doojin Ryu, Kainan Wang and Blerina Bela Zykaj
Chung-Ang University - College of Business & Economics, Sungkyunkwan University, University of Toledo and Clemson University
Date Posted: August 22, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper What Drives Informed Trading Before Public Releases? Evidence from Natural Gas Inventory Announcements
Chen Gu and Alexander Kurov
West Virginia University, College of Business & Economics, Department of Finance, Students and West Virginia University - College of Business & Economics
Date Posted: August 21, 2016
Last Revised: August 24, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Testing the Information-Based Trading Hypothesis in the Option Market: Evidence from Share Repurchases
Ihsan Badshah, Hardjo Koerniadi and James W. Kolari
Auckland University of Technology, Auckland University of Technology and Texas A&M University, Department of Finance
Date Posted: August 17, 2016
Last Revised: August 24, 2016
Working Paper Series
40 downloads

Incl. Electronic Paper Robust American Option Pricing Based on Gradient Strategies
Ye Du and Shan Xue
Southwestern University of Finance and Economics (SWUFE) - School of Finance and Southwest University of Finance and Economics
Date Posted: August 16, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Global Variance Term Premia and Intermediary Risk Appetite
FRB of NY Staff Report No. 789
Peter Van Tassel and Erik Vogt
Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: August 15, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Corporate Hedging: An Agency Costs & Accounting Perspective
Siddharth M Bhambhwani
University of Miami - School of Business Administration
Date Posted: August 14, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases
Claudia Yeap, Simon Kwok and Boris Choy
University of Sydney Business School, University of Sydney and University of Sydney Business School
Date Posted: August 14, 2016
Working Paper Series
26 downloads

Incl. Fee Electronic Paper An Analysis of Energy Futures
Journal of Energy Markets, Forthcoming
Coleen C. Pantalone, Joseph McCarthy and Hsi-Cheng Li
Northeastern University - Finance and Insurance Area, Bryant University and Bryant University
Date Posted: August 13, 2016
Accepted Paper Series

Incl. Electronic Paper Europäische Optionen im Brigo-Mercurio Hybridmodell (European Options in the Brigo-Mercurio Model)
Daniel Berger
Independent
Date Posted: August 13, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper A Discrete Time Approach to Option Pricing
Adam Aleksander Majewski
QUANT Lab
Date Posted: August 13, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper Why Do Option Returns Change Sign from Day to Night?
Dmitriy Muravyev and Xuechuan Ni
Boston College and Boston College - Carroll School of Management
Date Posted: August 12, 2016
Working Paper Series
195 downloads

Incl. Electronic Paper Are Tightened Trading Rules Always Bad? Evidence from the Chinese Index Futures Market
Hai Lin and You Wang
Victoria University of Wellington - School of Economics & Finance and Xiamen University
Date Posted: August 12, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper Maturity Structure of Commodity Roll Strategies: Evidence from the Energy Futures
Hamed Ghoddusi
Stevens Institute of Technology - School of Business
Date Posted: August 12, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper An Introduction to U.S. Commodity Futures Markets: A Historical Perspective Along with Commodity Trading Principles
Hilary Till
Premia Research LLC
Date Posted: August 12, 2016
Working Paper Series
66 downloads

Incl. Fee Electronic Paper A Mixed Monte Carlo and Partial Differential Equation Variance Reduction Method for Foreign Exchange Options Under the Heston–Cox–Ingersoll–Ross Model
Journal of Computational Finance, Forthcoming
Andrei Cozma and Christoph Reisinger
University of Oxford and University of Oxford - Oxford-Man Institute of Quantitative Finance
Date Posted: August 12, 2016
Accepted Paper Series

Incl. Electronic Paper The Chinese Warrant Bubble: A Fundamental Analysis
Yintian Wang, Guofu Zhou and Yingzi Zhu
Tsinghua University, Washington University in St. Louis - Olin School of Business and Tsinghua University - School of Economics & Management
Date Posted: August 11, 2016
Working Paper Series
27 downloads

Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing
Lingfei Li and Gongqiu Zhang
The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Date Posted: August 11, 2016
Working Paper Series

Incl. Electronic Paper Does OTC Derivatives Reform Incentivize Central Clearing?
Samim Ghamami and Paul Glasserman
Office of Financial Research, US Department of the Treasury and Columbia Business School
Date Posted: August 11, 2016
Working Paper Series
41 downloads

Incl. Fee Electronic Paper The Forward Smile in Local–Stochastic Volatility Models
Journal of Computational Finance, Forthcoming
Andrea Mazzon and Andrea Pascucci
Gran Sasso Science Institute and University of Bologna - Department of Mathematics
Date Posted: August 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Credit Default Swaps: Has the GFC Influenced Perceptions of Their Utility for Banks?
Journal of Economic Surveys, Vol. 30, Issue 4, pp. 712-735, 2016
Roshanthi Dias
Swinburne University of Technology
Date Posted: August 10, 2016
Accepted Paper Series

Incl. Electronic Paper Option Pricing with Stochastic Volatility
Journal of Applied Mathematics and Physics, Vol. 3, No. 12, pp. 1645-1653, December, 2015
Rossano Giandomenico
Independent
Date Posted: August 10, 2016
Accepted Paper Series
30 downloads

Parisian Exchange Options
Quantitative Finance, Vol. 11, No. 8, August 2011, 1207-1220
An Chen and Michael Suchanecki
University of Ulm and Deutsche Asset Management
Date Posted: August 08, 2016
Accepted Paper Series

Incl. Electronic Paper Economic Information Transmissions between Shipping Markets: New Evidence from Freight Derivatives Markets
George Alexandridis, Satya Sahoo and Ilias Visvikis
ICMA Centre, Henley Business School, ICMA Centre, Henley Business School and World Maritime University
Date Posted: August 07, 2016
Working Paper Series
109 downloads

Incl. Electronic Paper Estimating Option-Implied Distributions in Illiquid Markets and Implementing the Ross Recovery Theorem
Emlyn James Flint and Eben Mare
Peregrine Securities and Independent
Date Posted: August 04, 2016
Working Paper Series
52 downloads

Incl. Fee Electronic Paper High-Performance American Option Pricing
Journal of Computational Finance, 20(1), 39-87, DOI:10.21314/JCF.2016.312
Leif B. G. Andersen, Mark Lake and Dimitri Offengenden
Bank of America Merrill Lynch, Bank of America Merrill Lynch and Strategist
Date Posted: August 02, 2016
Accepted Paper Series

Incl. Electronic Paper An Improved Basket of Spread Options Heuristic for Merchant Energy Storage
Tepper Working Paper 2016-E21
Nicola Secomandi
Carnegie Mellon University - David A. Tepper School of Business
Date Posted: August 02, 2016
Last Revised: August 22, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Pricing Options with the Stochastic Volatility Regime Simulation for GARCH, HAR GARCH-VIX and VIX Models
Chrilly Donninger
Nimzowerkstatt OEG
Date Posted: August 01, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Efficient Pricing of Discrete Arithmetic Asian Options Under Mean Reversion and Jumps Based on Fourier-Cosine Expansions
Forthcoming in Journal of Computational and Applied Mathematics
Chun-Sung Huang, John G O'Hara and Sure Mataramvura
University of Cape Town (UCT) - Department of Finance and Tax, University of Essex - Centre for Computational Finance and Economic Agents and University of Cape Town (UCT)
Date Posted: July 30, 2016
Accepted Paper Series
20 downloads

Incl. Electronic Paper Comments on Option Pricing
Ilya I. Gikhman
Independent
Date Posted: July 30, 2016
Last Revised: August 11, 2016
Working Paper Series
11 downloads

Incl. Fee Electronic Paper Adjusting Exponential Lévy Models Toward the Simultaneous Calibration of Market Prices for Crash Cliquets
Journal of Computational Finance, 20(1), 89-111, DOI:10.21314/JCF.2016.309
Peter Carr, Ajay Khanna and Dilip B. Madan
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) and University of Maryland - Robert H. Smith School of Business
Date Posted: July 28, 2016
Accepted Paper Series

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
Last Revised: August 25, 2016
Working Paper Series
39 downloads

Incl. Electronic Paper Managing Energy Price Risk Using Futures Contracts: A Comparative Analysis
Hanly, J., Managing Energy Price Risk using Futures Contracts: A Comparative Analysis, Working Paper, Dublin Institute of Technology, Forthcoming
Jim Hanly
Dublin Institute of Technology
Date Posted: July 25, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Pricing Sovereign Contingent Convertible Debt
The Wharton Financial Institutions Center WP 16-05
Andrea Consiglio, Michele Tumminello and Stavros A. Zenios
University of Palermo, University of Palermo and University of Cyprus
Date Posted: July 25, 2016
Working Paper Series
28 downloads

Incl. Electronic Paper Jumps and Stochastic Volatility in Crude Oil Prices and Advances in Average Option Pricing
Quantitative Finance (Forthcoming)
Ioannis Kyriakou, Panos K. Pouliasis and Nikos C. Papapostolou
City University London - Sir John Cass Business School, Sir John Cass Business School and Cass Business School, City University London
Date Posted: July 24, 2016
Accepted Paper Series
62 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
11 downloads

Incl. Electronic Paper Non-Parametric Local Volatility Swaption Formula Revisited
Vladimir Lucic
Barclays Investment Bank
Date Posted: July 22, 2016
Working Paper Series
17 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
284 downloads

Incl. Electronic Paper Credit Default Swaps and Borrower Tax Avoidance
Jeong-Bon Kim, Bing Li, Zhenbin Liu and Liandong Zhang
University of Waterloo, City University of Hong Kong (CityUHK), Chinese University of Hong Kong, Shenzhen and City University of Hong Kong
Date Posted: July 21, 2016
Last Revised: August 26, 2016
Working Paper Series
41 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
47 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
12 downloads


 

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