SSRN Derivatives

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Derivatives

1,417,340 Total downloads for all papers in this Journal/Topic

Records 1 - 20 of 5275 matches
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Incl. Electronic Paper eDocument is available from the SSRN eLibrary for free
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Options on Realized Variance by Transform Methods: A Non-Affine Stochastic Volatility Model
Gabriel Drimus
University of Copenhagen - Institute for Mathematical Sciences
Date Posted: November 21, 2009
Last Revised: November 21, 2009
Working Paper Series
10 downloads

Incl. Electronic Paper

Special Dividends and Stock Option Contract Adjustments
Kathryn Barraclough , Hans R. Stoll and Robert E. Whaley
affiliation not provided to SSRN , Vanderbilt University - Finance and Vanderbilt University - Owen Graduate School of Management
Date Posted: November 15, 2009
Last Revised: November 20, 2009
Working Paper Series
73 downloads

Incl. Electronic Paper

Impact of Derivatives on Stock Market
Indian Finance Summit, January 2009
Ravi Agarwal , Shiva Kumar , Wasif Mukhtar and Hemanth Abar
BIMTECH , Birla Institute of Management Technology (BIMTECH) , Birla Institute of Management Technology and affiliation not provided to SSRN
Date Posted: November 12, 2009
Last Revised: November 13, 2009
Accepted Paper Series
29 downloads

Incl. Electronic Paper

A Dynamic Model for Credit Index Derivatives
Louis Paulot
Sophis
Date Posted: November 11, 2009
Last Revised: November 11, 2009
Working Paper Series
12 downloads

Incl. Electronic Paper

Credit Default Swap Market: 'Big Bang'?
Makrem Boumlouka
Hedge Fund Strategies
Date Posted: November 11, 2009
Last Revised: November 11, 2009
Working Paper Series
14 downloads

Incl. Electronic Paper

An Integro-differential Equation for Pricing CDO
Guibao Liu
CNH Partners
Date Posted: November 10, 2009
Last Revised: November 10, 2009
Working Paper Series
11 downloads

Incl. Electronic Paper

Edgeworth Expansions of Stochastic Trading Time
Marc Decamps and Ann De Schepper
Katholieke Universiteit Leuven (KUL) and University of Antwerp - Faculty of Applied Economics
Date Posted: November 10, 2009
Last Revised: November 10, 2009
Working Paper Series
13 downloads

Incl. Fee Electronic Paper

The Chinese Warrants Bubble
NBER Working Paper No. w15481
Wei Xiong and Jialin Yu
Princeton University - Department of Economics and Columbia Business School - Finance Subdivision
Date Posted: November 9, 2009
Last Revised: November 12, 2009
Working Paper Series
5 downloads

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The Behavior of Emerging Market Sovereigns' Credit Default Swap Premiums and Bond Yield Spreads
International Journal of Finance and Economics, Forthcoming
Michael Adler and Jeong Song
Columbia University Business School and Morgan Stanley
Date Posted: November 9, 2009
Last Revised: November 9, 2009
Accepted Paper Series
21 downloads

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Can the Derivatives Market Self-Regulate? Evidence from OTC Derivatives Confirmations
Siona Robin Listokin
George Mason University - School of Public Policy
Date Posted: November 6, 2009
Last Revised: November 6, 2009
Working Paper Series
23 downloads

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A Value-at-Risk Analysis of VIX Futures Long Memory, Heavy Tails, and Asymmetry
Bujar Huskaj
Lund University
Date Posted: November 4, 2009
Last Revised: November 4, 2009
Working Paper Series
17 downloads

Incl. Electronic Paper

Pricing of Cross-Currency Interest Rate Derivatives on Graphics Processing Units
Duy Minh Dang
University of Toronto - Department of Computer Science
Date Posted: November 4, 2009
Last Revised: November 4, 2009
Working Paper Series
39 downloads

Incl. Electronic Paper

An Empirical Comparison of Default Swap Pricing Models
ERIM Report Series Reference No. ERS-2002-23-F&A
Patrick Houweling and Ton Vorst
Robeco Quantitative Strategies and VU University Amsterdam - Department of Finance and Financial Sector Management
Date Posted: November 3, 2009
Last Revised: November 3, 2009
Working Paper Series
16 downloads

Incl. Fee Electronic Paper

Macro-Hedging for Commodity Exporters
NBER Working Paper No. w15452
Eduardo Borensztein , Olivier Jeanne and Damiano Sandri
International Monetary Fund (IMF) - Developing Country Studies Division , International Monetary Fund (IMF) - Research Department and International Monetary Fund (IMF) - Research Department
Date Posted: November 3, 2009
Last Revised: November 9, 2009
Working Paper Series
2 downloads

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A Remark on Gatheral's 'Most-Likely Path Approximation' of Implied Volatility
Martin Keller-Ressel and Josef Teichmann
Swiss Federal Institute of Technology Zurich and affiliation not provided to SSRN
Date Posted: November 3, 2009
Last Revised: November 4, 2009
Working Paper Series
10 downloads

Credit Default Swap and Accounting Conservatism
Xiumin Martin
Washington University in Saint Louis - Olin School of Business
Date Posted: November 2, 2009
Last Revised: November 7, 2009
Working Paper Series

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Do Credit Default Swaps Predict Currency Values?
Applied Financial Economics, Forthcoming
Gaiyan Zhang , Jot Yau and Hung-Gay Fung
University of Missouri at St. Louis - College of Business Administration , Seattle University - Albers College of Business & Economics and University of Missouri at St. Louis - College of Business Administration
Date Posted: November 1, 2009
Last Revised: November 1, 2009
Accepted Paper Series
13 downloads

Exact and Efficient Simulation of Correlated Defaults
Kay Giesecke , Hossein Kakavand , Seyed Mousavi and Hideyuki Takada
Stanford University - Management Science & Engineering , affiliation not provided to SSRN , Stanford University - Management Science & Engineering and Mizuho-DL Financial Technology Co., Ltd.
Date Posted: November 1, 2009
Last Revised: November 1, 2009
Working Paper Series

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Good and Bad Credit Contagion: Evidence from Credit Default Swaps
Journal of Financial Economics, Vol. 84, 2007
Philippe Jorion and Gaiyan Zhang
University of California, Irvine - Paul Merage School of Business and University of Missouri at St. Louis - College of Business Administration
Date Posted: November 1, 2009
Last Revised: November 7, 2009
Accepted Paper Series
10 downloads

Incl. Electronic Paper

Model-Independent Lower Bound on Variance Swaps
Nabil Kahale
ESCP Europe
Date Posted: November 1, 2009
Last Revised: November 17, 2009
Working Paper Series
10 downloads