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Wiley-Blackwell: Mathematical Finance
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Incl. Fee Electronic Paper Black–Scholes Representation for Asian Options
Mathematical Finance, Vol. 24, Issue 3, pp. 598-626, 2014
Jan Vecer
Frankfurt School of Finance & Management Gemeinnützige GmbH
Date Posted: June 11, 2014
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Boundary Evolution Equations for American Options
Mathematical Finance, Vol. 24, Issue 3, pp. 505-532, 2014
Daniel Mitchell , Jonathan Goodman and Kumar Muthuraman
University of Texas at Austin - Red McCombs School of Business , New York University (NYU) - Courant Institute of Mathematical Sciences and University of Texas at Austin - McCombs School of Business
Date Posted: June 11, 2014
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Convex Risk Measures for Good Deal Bounds
Mathematical Finance, Vol. 24, Issue 3, pp. 464-484, 2014
Takuji Arai and Masaaki Fukasawa
Keio University - Faculty of Economics and Osaka University
Date Posted: June 11, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Dynamic Coherent Acceptability Indices and Their Applications to Finance
Mathematical Finance, Vol. 24, Issue 3, pp. 411-441, 2014
Tomasz R. Bielecki , Igor Cialenco and Zhao Zhang
Illinois Institute of Technology , Illinois Institute of Technology and Illinois Institute of Technology
Date Posted: June 11, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Limit Theorems for Partial Hedging Under Transaction Costs
Mathematical Finance, Vol. 24, Issue 3, pp. 567-597, 2014
Yan Dolinsky
ETH Zürich
Date Posted: June 11, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Portfolios of American Options Under General Preferences: Results and Counterexamples
Mathematical Finance, Vol. 24, Issue 3, pp. 533-566, 2014
Vicky Henderson , Jia Sun and A. Elizabeth Whalley
University of Oxford - Oxford Man Institute , China Credit Rating Co.,Ltd and University of Warwick - Finance Group
Date Posted: June 11, 2014
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Risk Measures on and Value at Risk with Probability/Loss Function
Mathematical Finance, Vol. 24, Issue 3, pp. 442-463, 2014
Marco Frittelli , Marco Maggis and Ilaria Peri
University of Florence - Dipartimento di Matematica , Milano University and ESC Rennes School of Business
Date Posted: June 11, 2014
Accepted Paper Series

Incl. Fee Electronic Paper The Two Fundamental Theorems of Asset Pricing for a Class of Continuous‐Time Financial Markets
Mathematical Finance, Vol. 24, Issue 3, pp. 485-504, 2014
Andrew Lyasoff
Boston University - School of Management
Date Posted: June 11, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Dynamic Portfolio Optimization with a Defaultable Security and Regime‐Switching
Mathematical Finance, Vol. 24, Issue 2, pp. 207-249, 2014
Agostino Capponi and José E. Figueroa‐López
Johns Hopkins University - Department of Applied Mathematics and Statistics and Purdue University
Date Posted: March 06, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime‐Switching Markets
Mathematical Finance, Vol. 24, Issue 2, pp. 250-288, 2014
Agostino Capponi , José E. Figueroa‐López and Jeffrey Nisen
Johns Hopkins University - Department of Applied Mathematics and Statistics , Purdue University and Purdue University
Date Posted: March 06, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Comment on 'Skewness‐Aware Asset Allocation'
Mathematical Finance, Vol. 24, Issue 2, pp. 403-410, 2014
Kwangil Bae
Chonnam National University
Date Posted: March 06, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Multifractional Stochastic Volatility Models
Mathematical Finance, Vol. 24, Issue 2, pp. 364-402, 2014
Sylvain Corlay , Joachim Lebovits and Jacques Lévy Véhel
Université Paris VI Pierre et Marie Curie , CNRS and Ecole Centrale Paris
Date Posted: March 06, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Pricing Derivatives on Multiscale Diffusions: An Eigenfunction Expansion Approach
Mathematical Finance, Vol. 24, Issue 2, pp. 331-363, 2014
Matthew Lorig
Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Date Posted: March 06, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Time‐Changed Ornstein–Uhlenbeck Processes and Their Applications in Commodity Derivative Models
Mathematical Finance, Vol. 24, Issue 2, pp. 289-330, 2014
Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences
Date Posted: March 06, 2014
Accepted Paper Series

Incl. Fee Electronic Paper A Method for Pricing American Options Using Semi‐Infinite Linear Programming
Mathematical Finance, Vol. 24, Issue 1, pp. 156-172, 2014
Sören Christensen
University of Kiel
Date Posted: December 13, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Arbitrage‐Free Bilateral Counterparty Risk Valuation Under Collateralization and Application to Credit Default Swaps
Mathematical Finance, Vol. 24, Issue 1, pp. 125-146, 2014
Damiano Brigo , Agostino Capponi and Andrea Pallavicini
Imperial College London - Department of Mathematics , Johns Hopkins University - Department of Applied Mathematics and Statistics and Banca IMI
Date Posted: December 13, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Mean–Variance Portfolio Optimization with State‐Dependent Risk Aversion
Mathematical Finance, Vol. 24, Issue 1, pp. 1-24, 2014
Tomas Bjork , Agatha Murgoci and Xun Yu Zhou
Stockholm School of Economics - Swedish House of Finance , Copenhagen Business School - Department of Finance and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Date Posted: December 13, 2013
Accepted Paper Series

Incl. Fee Electronic Paper No‐Arbitrage Pricing Under Systemic Risk: Accounting for Cross‐Ownership
Mathematical Finance, Vol. 24, Issue 1, pp. 97-124, 2014
Tom Fischer
University of Wuerzburg
Date Posted: December 13, 2013
Accepted Paper Series

Incl. Fee Electronic Paper On the Lower Arbitrage Bound of American Contingent Claims
Mathematical Finance, Vol. 24, Issue 1, pp. 147-155, 2014
Beatrice Acciaio and Gregor Svindland
University of Vienna and Ludwig-Maximilians-Universität München
Date Posted: December 13, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Rethinking Dynamic Capital Structure Models with Roll‐Over Debt
Mathematical Finance, Vol. 24, Issue 1, pp. 66-96, 2014
Jean‐Paul Décamps and Stephane Villeneuve
University of Toulouse 1 - Toulouse School of Economics (TSE) and University of Toulouse 1 - Toulouse School of Economics (TSE)
Date Posted: December 13, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Time‐Consistent and Market‐Consistent Evaluations
Mathematical Finance, Vol. 24, Issue 1, pp. 25-65, 2014
Antoon Pelsser and Mitja Stadje
Maastricht University and Tilburg University - Department of Econometrics & Operations Research
Date Posted: December 13, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Game Call Options Revisited
Mathematical Finance, Vol. 24, Issue 1, pp. 173-206, 2014
S. C. P. Yam , S. P. Yung and W. Zhou
The Chinese University of Hong Kong. Department of Statistics , University of Hong Kong and University of Hong Kong
Date Posted: December 13, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Arbitrage‐Free Multifactor Term Structure Models: A Theory Based on Stochastic Control
Mathematical Finance, Vol. 23, Issue 4, pp. 659-686, 2013
Andrea Gombani and Wolfgang J. Runggaldier
Italian National Research Council (CNR) - Institute for Systems Science and Biomedical Engineering (LADSEB) and University of Padova
Date Posted: August 06, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Consumption and Investment for a Large Investor: An Intensity‐Based Control Framework
Mathematical Finance, Vol. 23, Issue 4, pp. 687-717, 2013
Michael Busch , Ralf Korn and Frank Thomas Seifried
University of Kaiserslautern , University of Kaiserslautern - Department of Mathematics and University of Kaiserslautern
Date Posted: August 06, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Pricing Chained Options with Curved Barriers
Mathematical Finance, Vol. 23, Issue 4, pp. 763-776, 2013
Doobae Jun and Hyejin Ku
York University and York University - Department of Mathematics & Statistics
Date Posted: August 06, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Rating Based Lévy Libor Model
Mathematical Finance, Vol. 23, Issue 4, pp. 591-626, 2013
Ernst Eberlein and Zorana Grbac
University of Freiburg and Université d'Évry
Date Posted: August 06, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Running for the Exit: Distressed Selling and Endogenous Correlation in Financial Markets
Mathematical Finance, Vol. 23, Issue 4, pp. 718-741, 2013
Rama Cont and Lakshithe Wagalath
Imperial College London and IESEG School of Management
Date Posted: August 06, 2013
Accepted Paper Series

Incl. Fee Electronic Paper The Affine LIBOR Models
Mathematical Finance, Vol. 23, Issue 4, pp. 627-658, 2013
Martin Keller‐Ressel , Antonis Papapantoleon and Josef Teichmann
Technical University of Berlin , Technical University of Berlin and ETH Zurich
Date Posted: August 06, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Transform Analysis for Point Processes and Applications in Credit Risk
Mathematical Finance, Vol. 23, Issue 4, pp. 742-762, 2013
Kay Giesecke and Shilin Zhu
Stanford University - Management Science & Engineering and Stanford University - Department of Statistics
Date Posted: August 06, 2013
Accepted Paper Series

Incl. Fee Electronic Paper A Structural Risk‐Neutral Model for Pricing and Hedging Power Derivatives
Mathematical Finance, Vol. 23, Issue 3, pp. 387-438, 2013
René Aïd , Luciano Campi and Nicolas Langrené
EDF R&D , University of Paris Dauphine - UMR DIAL and Université Paris VII Denis Diderot
Date Posted: June 09, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Buy‐Low and Sell‐High Investment Strategies
Mathematical Finance, Vol. 23, Issue 3, pp. 560-578, 2013
Mihail Zervos , Timothy C. Johnson and Fares Alazemi
King's College London - Department of Mathematics , Heriot-Watt University - Maxwell Institute for Mathematical Sciences and Kuwait University
Date Posted: June 09, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Equity Correlations Implied by Index Options: Estimation and Model Uncertainty Analysis
Mathematical Finance, Vol. 23, Issue 3, pp. 496-530, 2013
Rama Cont and Romain Deguest
Imperial College London and EDHEC Business School
Date Posted: June 09, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Fast Monte Carlo Greeks for Financial Products with Discontinuous Pay‐Offs
Mathematical Finance, Vol. 23, Issue 3, pp. 459-495, 2013
Jiun Hong Chan and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: June 09, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Multiplicative Approximation of Wealth Processes Involving No‐Short‐Sales Strategies Via Simple Trading
Mathematical Finance, Vol. 23, Issue 3, pp. 579-590, 2013
Constantinos Kardaras and Eckhard Platen
Boston University and University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: June 09, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Stochastic Volatility Models and the Pricing of VIX Options
Mathematical Finance, Vol. 23, Issue 3, pp. 439-458, 2013
Joanna Goard and Mathew Mazur
University of Wollongong and University of Wollongong
Date Posted: June 09, 2013
Accepted Paper Series

Incl. Fee Electronic Paper The Effect of Estimation in High‐Dimensional Portfolios
Mathematical Finance, Vol. 23, Issue 3, pp. 531-559, 2013
Axel Gandy and Luitgard A. M. Veraart
Imperial College London and London School of Economics & Political Science (LSE)
Date Posted: June 09, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Lévy Processes Induced by Dirichlet (B‐)Splines: Modeling Multivariate Asset Price Dynamics
Mathematical Finance, Vol. 23, Issue 2, pp. 217-247, 2013
Vladimir K. Kaishev
City University London - Sir John Cass Business School
Date Posted: March 06, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper A Consistent Pricing Model for Index Options and Volatility Derivatives
Mathematical Finance, Vol. 23, Issue 2, pp. 248-274, 2013
Rama Cont and Thomas Kokholm
Imperial College London and School of Business and Social Sciences, Aarhus University
Date Posted: March 06, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Convergence of Barrier Option Prices in the Binomial Model
Mathematical Finance, Vol. 23, Issue 2, pp. 318-338, 2013
Jhihrong Lin and Ken Palmer
National Taiwan University and Providence University (Taiwan)
Date Posted: March 06, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Cooperative Games with General Deviation Measures
Mathematical Finance, Vol. 23, Issue 2, pp. 339-365, 2013
Bogdan Grechuk , Anton Molyboha and Michael Zabarankin
affiliation not provided to SSRN , affiliation not provided to SSRN and Stevens Institute of Technology - Department of Mathematical Sciences
Date Posted: March 06, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Hedging Under Arbitrage
Mathematical Finance, Vol. 23, Issue 2, pp. 297-317, 2013
Johannes Ruf
affiliation not provided to SSRN
Date Posted: March 06, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper No Marginal Arbitrage of the Second Kind for High Production Regimes in Discrete Time Production–Investment Models with Proportional Transaction Costs
Mathematical Finance, Vol. 23, Issue 2, pp. 366-386, 2013
Bruno Bouchard and Adrien Nguyen Huu
Université Paris-Dauphine - CEREMADE and Université Paris-Dauphine
Date Posted: March 06, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper The Multivariate SupOU Stochastic Volatility Model
Mathematical Finance, Vol. 23, Issue 2, pp. 275-296, 2013
Ole Eiler Barndorff‐Nielsen and Robert Stelzer
affiliation not provided to SSRN and Ulm University
Date Posted: March 06, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper A Nonzero‐Sum Game Approach to Convertible Bonds: Tax Benefit, Bankruptcy Cost, and Early/Late Calls
Mathematical Finance, Vol. 23, Issue 1, pp. 57-93, 2013
Nan Chen , Min Dai and Xiangwei Wan
The Chinese University of Hong Kong (CUHK) , National University of Singapore (NUS) - Department of Mathematics and Shanghai Jiao Tong University - Antai College of Economics & Management
Date Posted: January 10, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Continuously Monitored Barrier Options Under Markov Processes
Mathematical Finance, Vol. 23, Issue 1, pp. 1-38, 2013
Aleksandar Mijatović and Martijn Pistorius
affiliation not provided to SSRN and Imperial College London
Date Posted: January 10, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Generalized Supermartingale Deflators Under Limited Information
Mathematical Finance, Vol. 23, Issue 1, pp. 186-197, 2013
Constantinos Kardaras
Boston University
Date Posted: January 10, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Nonconvexity of the Optimal Exercise Boundary for an American Put Option on a Dividend‐Paying Asset
Mathematical Finance, Vol. 23, Issue 1, pp. 169-185, 2013
Huibin Cheng , Xinfu Chen and John Chadam
affiliation not provided to SSRN , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: January 10, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper On Surrender and Default Risks
Mathematical Finance, Vol. 23, Issue 1, pp. 143-168, 2013
Olivier Le Courtois and Hidetoshi Nakagawa
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and Hitotsubashi University - Graduate School of International Corporate Strategy
Date Posted: January 10, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Positive Alphas, Abnormal Performance, and Illusory Arbitrage
Mathematical Finance, Vol. 23, Issue 1, pp. 39-56, 2013
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Date Posted: January 10, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Recovering Portfolio Default Intensities Implied by CDO Quotes
Mathematical Finance, Vol. 23, Issue 1, pp. 94-121, 2013
Rama Cont and Andreea Minca
Imperial College London and Cornell University
Date Posted: January 10, 2013
Accepted Paper Series
1 downloads


 

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