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Wiley-Blackwell: Mathematical Finance
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Incl. Fee Electronic Paper Coherence and Elicitability
Mathematical Finance, Vol. 26, Issue 4, pp. 901-918, 2016
Johanna F. Ziegel
University of Bern
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling
Mathematical Finance, Vol. 26, Issue 4, pp. 748-784, 2016
Ovidiu Costin, Michael B. Gordy, Min Huang and Pawel Szerszen
Ohio State University (OSU), Board of Governors of the Federal Reserve, City University of Hong Kong (CityUHK) and Board of Governors of the Federal Reserve System
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Fast Swaption Pricing in Gaussian Term Structure Models
Mathematical Finance, Vol. 26, Issue 4, pp. 962-982, 2016
Jaehyuk Choi and SungChan Shin
Korea Advanced Institute of Science and Technology (KAIST) and Korea Advanced Institute of Science and Technology (KAIST)
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Fire Sales Forensics: Measuring Endogenous Risk
Mathematical Finance, Vol. 26, Issue 4, pp. 835-866, 2016
Rama Cont and Lakshithe Wagalath
Imperial College London and IESEG School of Management
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Model‐Independent Lower Bound on Variance Swaps
Mathematical Finance, Vol. 26, Issue 4, pp. 939-961, 2016
Nabil Kahalé
ESCP Europe
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multivariate Risk Measures: A Constructive Approach Based on Selections
Mathematical Finance, Vol. 26, Issue 4, pp. 867-900, 2016
Ilya Molchanov and Ignacio Cascos
University of Bern - Department of Mathematical Statistics and Actuarial Science and Universidad Carlos III de Madrid
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multivariate Subordination of Markov Processes with Financial Applications
Mathematical Finance, Vol. 26, Issue 4, pp. 699-747, 2016
Rafael Mendoza-Arriaga and Vadim Linetsky
University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk
Mathematical Finance, Vol. 26, Issue 4, pp. 785-834, 2016
Lijun Bo and Agostino Capponi
Xidian University and Columbia University
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Price‐Admissibility Conditions for Arbitrage‐Free Linear Price Function Models for the Term Structure of Interest Rates
Mathematical Finance, Vol. 26, Issue 4, pp. 919-938, 2016
Andrew F. Siegel
University of Washington - Department of Finance and Business Economics
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A First‐Order BSPDE for Swing Option Pricing
Mathematical Finance, Vol. 26, Issue 3, pp. 461-491, 2016
Christian Bender and Nikolai Dokuchaev
Saarland University and Curtin University of Technology - Department of Mathematics and Statistics
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Note on the Quantile Formulation
Mathematical Finance, Vol. 26, Issue 3, pp. 589-601, 2016
Zuo Quan Xu
Hong Kong Polytechnic University
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Arrow-Debreu Equilibria for Rank-Dependent Utilities
Mathematical Finance, Vol. 26, Issue 3, pp. 558-588, 2016
Jianming Xia and Xun Yu Zhou
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Benchmarked Risk Minimization
Mathematical Finance, Vol. 26, Issue 3, pp. 617-637, 2016
Ke Du and Eckhard Platen
Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE) and University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Do Arbitrage‐Free Prices Come from Utility Maximization?
Mathematical Finance, Vol. 26, Issue 3, pp. 602-616, 2016
Pietro Siorpaes
University of Vienna
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Gambling in Contests with Regret
Mathematical Finance, Vol. 26, Issue 3, pp. 674-695, 2016
Han Feng and David Hobson
University of Warwick and University of Warwick
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper High‐Order Short‐Time Expansions for ATM Option Prices of Exponential Lévy Models
Mathematical Finance, Vol. 26, Issue 3, pp. 516-557, 2016
Jose E. Figueroa-Lopez, Ruoting Gong and Christian Houdre
Purdue University, Rutgers, The State University of New Jersey and Georgia Institute of Technology
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multidimensional Dynamic Risk Measure via Conditional G‐Expectation
Mathematical Finance, Vol. 26, Issue 3, pp. 638-673, 2016
Yuhong Xu
Shandong University
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Valuation of Barrier Options via a General Self‐Duality
Mathematical Finance, Vol. 26, Issue 3, pp. 492-515, 2016
Elisa Alos, Zhanyu Chen and Thorsten Rheinlaender
University of Pompeu Fabra - Department of Economics, London School of Economics & Political Science (LSE) and Vienna University of Technology
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Model‐Free Version of the Fundamental Theorem of Asset Pricing and the Super‐Replication Theorem
Mathematical Finance, Vol. 26, Issue 2, pp. 233-251, 2016
Beatrice Acciaio, M. Beiglböck, F. Penkner and W. Schachermayer
University of Vienna, University of Vienna, University of Vienna and University of Vienna
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Model‐Independent No‐Arbitrage Conditions on American Put Options
Mathematical Finance, Vol. 26, Issue 2, pp. 431-458, 2016
Alexander Cox and Christoph Hoeggerl
University of Bath and University of Bath
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper On Valuing Stochastic Perpetuities Using New Long Horizon Stock Price Models Distinguishing Booms, Busts, and Balanced Markets
Mathematical Finance, Vol. 26, Issue 2, pp. 296-328, 2016
Dilip B. Madan and Marc Yor
University of Maryland and Université Paris VI Pierre et Marie Curie
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Stochastic Local Intensity Loss Models with Interacting Particle Systems
Mathematical Finance, Vol. 26, Issue 2, pp. 366-394, 2016
Aurélien Alfonsi, Céline Labart and Jérôme Lelong
Université Paris Est - CERMICS, University of Savoy and Université Grenoble Alpes
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Incentives of Hedge Fund Fees and High‐Water Marks
Mathematical Finance, Vol. 26, Issue 2, pp. 269-295, 2016
Paolo Guasoni and Jan Obłój
Boston University - Department of Mathematics and Statistics and University of Oxford
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Utility Maximization Under Model Uncertainty in Discrete Time
Mathematical Finance, Vol. 26, Issue 2, pp. 252-268, 2016
Marcel Nutz
Columbia University
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Comparing Local Risks by Acceptance and Rejection
Mathematical Finance, Vol. 26, Issue 2, pp. 412-430, 2016
Amnon Schreiber
Hebrew University of Jerusalem
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Measuring Distribution Model Risk
Mathematical Finance, Vol. 26, Issue 2, pp. 395-411, 2016
Thomas Breuer and Imre Csiszar
University of Applied Sciences Vorarlberg and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Resilience to Contagion in Financial Networks
Mathematical Finance, Vol. 26, Issue 2, pp. 329-365, 2016
Hamed Amini, Rama Cont and Andreea Minca
Ecole Polytechnique Fédérale de Lausanne, Imperial College London and Cornell University
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A New Look at Short‐Term Implied Volatility in Asset Price Models with Jumps
Mathematical Finance, Vol. 26, Issue 1, pp. 149-183, 2016
Aleksandar Mijatovic and Peter Tankov
Imperial College London and Ecole Polytechnique, Paris
Date Posted: January 13, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Behavioral Portfolio Selection: Asymptotics and Stability Along a Sequence of Models
Mathematical Finance, Vol. 26, Issue 1, pp. 51-85, 2016
Christian Reichlin
ETH Zurich
Date Posted: January 13, 2016
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Bessel Processes, Stochastic Volatility, and Timer Options
Mathematical Finance, Vol. 26, Issue 1, pp. 122-148, 2016
Chenxu Li
Peking University
Date Posted: January 13, 2016
Accepted Paper Series

Incl. Fee Electronic Paper CVaR Hedging Using Quantization‐Based Stochastic Approximation Algorithm
Mathematical Finance, Vol. 26, Issue 1, pp. 184-229, 2016
O. Bardou, N. Frikha and G. Pages
GMS Management Solutions S.L. - Risk Department, Université Paris Diderot - Laboratoire de Probabilités et Modèles Aléatoires (LPMA) and Université Paris VI Pierre et Marie Curie
Date Posted: January 13, 2016
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Hope, Fear, and Aspirations
Mathematical Finance, Vol. 26, Issue 1, pp. 3-50, 2016
Xue Dong He and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Date Posted: January 13, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Linked Recursive Preferences and Optimality
Mathematical Finance, Vol. 26, Issue 1, pp. 86-121, 2016
Shlomo Levental, Sumit Sinha and Mark D. Schroder
Michigan State University, Michigan State University and Michigan State University - The Eli Broad Graduate School of Management
Date Posted: January 13, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A General Equilibrium Model of a Multifirm Moral‐Hazard Economy with Financial Markets
Mathematical Finance, Vol. 25, Issue 4, pp. 827-868, 2015
Jaeyoung Sung and Xuhu Wan
Ajou University and Hong Kong University of Science & Technology (HKUST)
Date Posted: September 14, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Long Horizons, High Risk Aversion, and Endogenous Spreads
Mathematical Finance, Vol. 25, Issue 4, pp. 724-753, 2015
Paolo Guasoni and Johannes Muhle-Karbe
Boston University - Department of Mathematics and Statistics and University of Michigan at Ann Arbor
Date Posted: September 14, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Markets for Inflation‐Indexed Bonds as Mechanisms for Efficient Monetary Policy
Mathematical Finance, Vol. 25, Issue 4, pp. 869-889, 2015
Christian-Oliver Ewald and Johannes Geissler
University of Glasgow and University of St. Andrews - School of Economics and Finance
Date Posted: September 14, 2015
Accepted Paper Series

Incl. Fee Electronic Paper No‐Arbitrage Pricing for Dividend‐Paying Securities in Discrete‐Time Markets with Transaction Costs
Mathematical Finance, Vol. 25, Issue 4, pp. 673-701, 2015
Tomasz R. Bielecki, Igor Cialenco and Rodrigo Rodriguez
Illinois Institute of Technology, Illinois Institute of Technology and Illinois Institute of Technology
Date Posted: September 14, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Option Pricing and Hedging with Small Transaction Costs
Mathematical Finance, Vol. 25, Issue 4, pp. 702-723, 2015
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and University of Michigan at Ann Arbor
Date Posted: September 14, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Static Fund Separation of Long‐Term Investments
Mathematical Finance, Vol. 25, Issue 4, pp. 789-826, 2015
Paolo Guasoni and Scott Robertson
Boston University - Department of Mathematics and Statistics and Questrom School of Business, Boston University
Date Posted: September 14, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Risk Metrics and Fine Tuning of High Frequency Trading Strategies
Mathematical Finance, Vol. 25, Issue 3, pp. 576-611, 2015
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Date Posted: June 09, 2015
Accepted Paper Series

Incl. Fee Electronic Paper General Intensity Shapes in Optimal Liquidation
Mathematical Finance, Vol. 25, Issue 3, pp. 457-495, 2015
Olivier Edmond Guéant and Charles‐Albert Lehalle
Université Paris VII Denis Diderot and Capital Fund Management
Date Posted: June 05, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Execution Horizon
Mathematical Finance, Vol. 25, Issue 3, pp. 640-672, 2015
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Harvard University and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: June 05, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Execution of a VWAP Order: A Stochastic Control Approach
Mathematical Finance, Vol. 25, Issue 3, pp. 612-639, 2015
Christoph Frei and Nicholas Westray
University of Alberta and Deutsche Bank AG
Date Posted: June 05, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Optimal High‐Frequency Trading in a Pro Rata Microstructure with Predictive Information
Mathematical Finance, Vol. 25, Issue 3, pp. 545-575, 2015
Fabien Guilbaud and Huyên Pham
Université Paris VII Denis Diderot and Université Paris VII Denis Diderot
Date Posted: June 05, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Portfolio Liquidation in Dark Pools in Continuous Time
Mathematical Finance, Vol. 25, Issue 3, pp. 496-544, 2015
Peter Kratz and Torsten Schöneborn
Humboldt University of Berlin and Deutsche Bank AG
Date Posted: June 05, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Investment Under Relative Performance Concerns
Mathematical Finance, Vol. 25, Issue 2, pp. 221-257, 2015
Gilles‐Edouard Espinosa and Nizar Touzi
Ecole Polytechnique, Paris and Ecole Polytechnique, Paris
Date Posted: March 04, 2015
Accepted Paper Series

Incl. Fee Electronic Paper An Online Portfolio Selection Algorithm with Regret Logarithmic in Price Variation
Mathematical Finance, Vol. 25, Issue 2, pp. 288-310, 2015
Elad Hazan and Satyen Kale
Technion-Israel Institute of Technology and Yahoo! Research Labs
Date Posted: March 04, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Correlation Under Stress in Normal Variance Mixture Models
Mathematical Finance, Vol. 25, Issue 2, pp. 426-456, 2015
Michael Kalkbrener and Natalie E. Packham
Deutsche Bank AG - Risk Management and Berlin School of Economics and Law
Date Posted: March 04, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Dual Representations for General Multiple Stopping Problems
Mathematical Finance, Vol. 25, Issue 2, pp. 339-370, 2015
Christian Bender, John Schoenmakers and Jianing Zhang
Technology University of Braunschweig, Weierstras Institute for Applied Analysis and Stochastics (WIAS) and Weierstrass Institute for Applied Analysis and Stochastics
Date Posted: March 04, 2015
Accepted Paper Series

Incl. Fee Electronic Paper From Smile Asymptotics to Market Risk Measures
Mathematical Finance, Vol. 25, Issue 2, pp. 400-425, 2015
Ronnie Sircar and Stephan Sturm
Princeton University - Department of Operations Research and Financial Engineering and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Date Posted: March 04, 2015
Accepted Paper Series


 

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