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Swiss Finance Institute Research Paper Series
226,678 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

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Showing Papers 1 - 50 of 602
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1 2 3 4 ... 13 | Next >
   


Incl. Electronic Paper Hedging with Small Uncertainty Aversion
Sebastian Herrmann , Johannes Muhle-Karbe and Frank Thomas Seifried
ETH Zurich , ETH Zürich and University of Trier
Date Posted: July 03, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Konsumentenschutz Im Crowdfunding (Investor Protection in Crowdfunding)
Rainer Lenz
University of Applied Sciences, Bielefeld
Date Posted: June 26, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper A Bayesian Time-Varying Approach to Risk Neutral Density Estimation
Roberto Casarin , German Molina and Enrique ter Horst
University Ca' Foscari of Venice - Department of Economics , Idalion Capital US LP and IESA
Date Posted: June 21, 2015
Working Paper Series
28 downloads

Incl. Electronic Paper Structured Products: Performance, Costs and Investments
Dietmar Maringer , Walter Pohl and Paolo Vanini
University of Basel , University of Zurich and Zurich Cantonal Bank
Date Posted: June 20, 2015
Working Paper Series
85 downloads

Incl. Electronic Paper Portfolio Selection with Active Risk Monitoring
Swiss Finance Institute Research Paper No. 15-17
Marc S. Paolella and Pawel Polak
University of Zurich and University of Zurich
Date Posted: June 12, 2015
Working Paper Series
61 downloads

Incl. Electronic Paper Human Capital and Employment Risks Diversification
Swiss Finance Institute Research Paper No. 15-18
Pascal St-Amour
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: June 10, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Evolutionary Behavioural Finance
Swiss Finance Institute Research Paper No. 15-16
Igor V. Evstigneev , Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences , University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Date Posted: June 06, 2015
Working Paper Series
44 downloads

Incl. Electronic Paper Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales
Swiss Finance Institute Research Paper No. 15-15
Tahir Choulli and Martin Schweizer
University of Alberta - Department of Mathematical and Statistical Sciences and Swiss Federal Institute of Technology Zurich - Department of Mathematics
Date Posted: June 06, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?
Swiss Finance Institute Research Paper No. 15-13
Amit Goyal and Narasimhan Jegadeesh
University of Lausanne and Emory University - Department of Finance
Date Posted: May 25, 2015
Working Paper Series
259 downloads

Incl. Electronic Paper A Civil Super-Manhattan Project in Nuclear Research for a Safer and Prosperous World
Swiss Finance Institute Research Paper No. 15-14
Didier Sornette
Swiss Finance Institute
Date Posted: May 02, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Efficient Parallel Solution Methods for High-Dimensional Option Pricing Problems
Peter Schober , Philipp Schröder and Gabriel Wittum
Goethe University Frankfurt - Department of Finance , Goethe Center for Scientific Computing and Goethe Center for Scientific Computing
Date Posted: April 07, 2015
Last Revised: June 29, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund
Swiss Finance Institute Research Paper No. 15-12
Giovanni Barone Adesi , Kostas Giannopoulos and Les Vosper
Swiss Finance Institute at the University of Lugano , Neapolis University, Pafos and LCH.Clearnet (Retired)
Date Posted: April 04, 2015
Working Paper Series
44 downloads

Incl. Electronic Paper History-Dependent Risk Preferences: Evidence from Individual Choices and Implications for the Disposition Effect
Swiss Finance Institute Research Paper No. 15-11
Angie Andrikogiannopoulou and Filippos Papakonstantinou
University of Geneva and Imperial College London
Date Posted: March 28, 2015
Last Revised: July 01, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Central Bank Collateral Frameworks
Swiss Finance Institute Research Paper No. 15-10
Kjell G. Nyborg
University of Zurich - Department of Banking and Finance
Date Posted: March 26, 2015
Working Paper Series
154 downloads

Incl. Electronic Paper Noisy Arrow-Debreu Equilibria
Swiss Finance Institute Research Paper No. 15-09
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Date Posted: March 07, 2015
Last Revised: April 29, 2015
Working Paper Series
31 downloads

Incl. Electronic Paper Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model
Swiss Finance Institute Research Paper No. 15-08
Markus Leippold and Nikola Vasiljevic
University of Zurich - Department of Banking and Finance and University of Zurich
Date Posted: March 03, 2015
Last Revised: March 04, 2015
Working Paper Series
88 downloads

Incl. Electronic Paper Innovation, Delegation, and Asset Price Swings
Swiss Finance Institute Research Paper No. 15-03
Yuki Sato
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: February 25, 2015
Last Revised: April 09, 2015
Working Paper Series
60 downloads

Incl. Electronic Paper Delegated Portfolio Management, Optimal Fee Contracts, and Asset Prices
Swiss Finance Institute Research Paper No. 15-06
Yuki Sato
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: February 24, 2015
Working Paper Series
76 downloads

Incl. Electronic Paper Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales)
Swiss Finance Institute Research Paper No. 15-05
Martin Herdegen and Martin Schweizer
ETH Zurich and Swiss Federal Institute of Technology Zurich - Department of Mathematics
Date Posted: February 21, 2015
Working Paper Series
93 downloads

Incl. Electronic Paper A Proposed Model for Prediction of Industrial Sickness
Nisarg A Joshi
Shri Chimanbhai Patel Institute of Management & Research
Date Posted: February 19, 2015
Working Paper Series
53 downloads

Incl. Electronic Paper Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders
Swiss Finance Institute Research Paper No. 15-07
Taisei Kaizoji , Matthias Leiss , Alexander I. Saichev and Didier Sornette
International Christian University , ETH Zurich , ETH Zurich - D-MTEC (Deceased) and Swiss Finance Institute
Date Posted: February 08, 2015
Last Revised: March 10, 2015
Working Paper Series
112 downloads

Incl. Electronic Paper The Shadow Cost of Repos and Bank Liability Structure
Swiss Finance Institute Research Paper No. 15-04
Nataliya Klimenko and Santiago Moreno-Bromberg
University of Zurich and University of Zurich - Department of Banking and Finance
Date Posted: February 05, 2015
Last Revised: July 01, 2015
Working Paper Series
80 downloads

Incl. Electronic Paper Tips and Tells from Managers: How Analysts and the Market Read between the Lines of Conference Calls
Swiss Finance Institute Research Paper No. 15-02
Marina Druz , Alexander F. Wagner and Richard J. Zeckhauser
Swiss Finance Institute , University of Zurich - Department of Banking and Finance and Harvard University - Harvard Kennedy School (HKS)
Date Posted: February 03, 2015
Working Paper Series
91 downloads

Incl. Electronic Paper An Arithmetic Analysis of Bangladeshi Sending Migrants Stock and Remittance Per Capita in Malaysia
Kazi Abdul Mannan and Khandaker Mursheda Farhana
Southern Cross University, Australia and Migration Research, Development and Society of Bangladesh
Date Posted: February 02, 2015
Working Paper Series
31 downloads

Incl. Electronic Paper Do Situational Social Norms Crowd Out Intrinsic Preferences? An Experiment Regarding the Choice of Honesty
Swiss Finance Institute Research Paper No. 15-01
Rajna Gibson , Carmen Tanner and Alexander F. Wagner
University of Geneva - Graduate School of Business (HEC-Geneva) , University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: January 30, 2015
Last Revised: April 13, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper Liquidation with Self-Exciting Price Impact
Swiss Finance Institute Research Paper No. 14-74
Thomas Cayé and Johannes Muhle-Karbe
ETH Zurich and ETH Zürich
Date Posted: December 20, 2014
Working Paper Series
85 downloads

Incl. Electronic Paper Higher-Order Dynamics in Asset-Pricing Models with Recursive Preferences
Swiss Finance Institute Research Paper No. 14-68
Walt Pohl , Karl Schmedders and Ole Wilms
University of Zurich , Swiss Finance Institute and University of Zurich
Date Posted: December 20, 2014
Working Paper Series
44 downloads

Incl. Electronic Paper Heterogeneity in Decentralized Asset Markets
Swiss Finance Institute Research Paper No. 14-67
Julien Hugonnier , Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne , Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Date Posted: December 05, 2014
Last Revised: December 06, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Fed Funds Futures Variance Futures
Swiss Finance Institute Research Paper No. 14-66
Damir Filipović and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: November 28, 2014
Last Revised: May 18, 2015
Working Paper Series
88 downloads

Incl. Electronic Paper Symmetric Thermal Optimal Path and Time-Dependent Lead-Lag Relationship: Novel Statistical Tests and Application to UK and US Real-Estate and Monetary Policies
Swiss Finance Institute Research Paper No. 14-57
Hao Meng , Wei-Xing Zhou and Didier Sornette
East China University of Science and Technology (ECUST) , East China University of Science and Technology - School of Business and Swiss Finance Institute
Date Posted: November 25, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment
Swiss Finance Institute Research Paper No. 14-65
Matthias Efing
Swiss Finance Institute
Date Posted: November 25, 2014
Last Revised: June 20, 2015
Working Paper Series
79 downloads

Incl. Electronic Paper Claims Run-Off Uncertainty: The Full Picture
Swiss Finance Institute Research Paper No. 14-69
Michael Merz and Mario V. Wuthrich
University of Hamburg and RiskLab, ETH Zurich
Date Posted: November 15, 2014
Last Revised: July 03, 2015
Working Paper Series
332 downloads

Incl. Electronic Paper To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
Swiss Finance Institute Research Paper No. 14-63
Hamed Amini , Damir Filipović and Andreea Minca
Ecole Polytechnique Fédérale de Lausanne , Ecole Polytechnique Fédérale de Lausanne and Cornell University
Date Posted: November 01, 2014
Last Revised: June 25, 2015
Working Paper Series
109 downloads

Incl. Electronic Paper Martingale Optimal Transport in the Skorokhod Space
Swiss Finance Institute Research Paper No. 14-62
Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Date Posted: October 22, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Facelifting in Utility Maximization
Swiss Finance Institute Research Paper No. 14-61
Kasper Larsen , Halil Mete Soner and Gordan Zitkovic
Carnegie Mellon University - Department of Mathematical Sciences , ETH Zürich and University of Texas at Austin
Date Posted: October 21, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper Hedging Under an Expected Loss Constraint with Small Transaction Costs
Swiss Finance Institute Research Paper No. 14-60
Bruno Bouchard , Ludovic Moreau and Halil Mete Soner
Paris Dauphine University - CEREMADE , ETH Zurich - Department of Mathematics and ETH Zürich
Date Posted: October 21, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Optimal Long-Term Allocation with Pension Fund Liabilities
Swiss Finance Institute Research Paper No. 14-58
Eric Jondeau and Michael Rockinger
University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: October 19, 2014
Last Revised: October 20, 2014
Working Paper Series
89 downloads

Incl. Electronic Paper Asymmetric Beta Comovement and Systematic Downside Risk
Swiss Finance Institute Research Paper No. 14-59
Eric Jondeau and Qunzi Zhang
University of Lausanne and Shandong University
Date Posted: October 19, 2014
Working Paper Series
121 downloads

Incl. Electronic Paper Strategic Technology Adoption and Hedging under Incomplete Markets
Swiss Finance Institute Research Paper No. 14-73
Markus Leippold and Jacob Stromberg
University of Zurich - Department of Banking and Finance and Swiss Finance Institute
Date Posted: October 18, 2014
Last Revised: January 06, 2015
Working Paper Series
65 downloads

Incl. Electronic Paper High-Resilience Limits of Block-Shaped Order Books
Swiss Finance Institute Research Paper No. 14-72
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and ETH Zürich
Date Posted: September 27, 2014
Working Paper Series
18 downloads

Incl. Electronic Paper Determinants of the Homeownership Rate: A Survey of Recent Contributions
Swiss Finance Institute Research Paper No. 11-49
Steven C. Bourassa , Donald R. Haurin , Patric H. Hendershott and Martin Hoesli
Florida Atlantic University , Ohio State University (OSU) - Economics , University of Aberdeen - Aberdeen Business School and University of Geneva - Graduate School of Business (HEC-Geneva)
Date Posted: September 22, 2014
Working Paper Series
44 downloads

Incl. Electronic Paper Merger Activity in Industry Equilibrium
Swiss Finance Institute Research Paper No. 14-56
Theodosios Dimopoulos and Stefano Sacchetto
HEC- University of Lausanne and Carnegie Mellon University - David A. Tepper School of Business
Date Posted: September 06, 2014
Last Revised: July 02, 2015
Working Paper Series
54 downloads

Incl. Electronic Paper Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks
Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper, Swiss Finance Institute Research Paper No. 14-55
Matthias Efing , Harald Hau , Patrick Kampkötter and Johannes Steinbrecher
Swiss Finance Institute , University of Geneva - Geneva Finance Research Institute , University of Cologne - Department of Business Administration and Human Resource Management and CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute
Date Posted: September 06, 2014
Last Revised: December 10, 2014
Working Paper Series
91 downloads

Incl. Electronic Paper Modified Munich Chain-Ladder Method
Swiss Finance Institute Research Paper No. 14-65
Michael Merz and Mario V. Wuthrich
University of Hamburg and RiskLab, ETH Zurich
Date Posted: August 30, 2014
Working Paper Series
134 downloads

Incl. Electronic Paper Best-Estimate Claims Reserves in Incomplete Markets
Swiss Finance Institute Research Paper No. 14-64
Sebastian Happ , Michael Merz and Mario V. Wuthrich
University of Hamburg , University of Hamburg and RiskLab, ETH Zurich
Date Posted: August 17, 2014
Last Revised: November 12, 2014
Working Paper Series
134 downloads

Incl. Electronic Paper Polynomial Preserving Diffusions and Applications in Finance
Swiss Finance Institute Research Paper No. 14-54
Damir Filipović and Martin Larsson
Ecole Polytechnique Fédérale de Lausanne and ETH Zurich - Department of Mathematics
Date Posted: August 15, 2014
Last Revised: May 26, 2015
Working Paper Series
86 downloads

Incl. Electronic Paper Estimation of the Hawkes Process with Renewal Immigration Using the EM Algorithm
Swiss Finance Institute Research Paper No. 14-53
Spencer Wheatley , Vladimir Filimonov and Didier Sornette
ETH Zurich , Swiss Federal Institute of Technology Zurich (ETH Zurich) and Swiss Finance Institute
Date Posted: August 08, 2014
Last Revised: November 08, 2014
Working Paper Series
80 downloads

Incl. Electronic Paper Super-Exponential Growth Expectations and the Global Financial Crisis
Swiss Finance Institute Research Paper No. 14-52
Matthias Leiss , Heinrich H. Nax and Didier Sornette
ETH Zurich , ETH Zurich and Swiss Finance Institute
Date Posted: August 08, 2014
Last Revised: January 28, 2015
Working Paper Series
255 downloads

Incl. Electronic Paper Luck and Entrepreneurial Success
Swiss Finance Institute Research Paper No. 14-51
Diego Liechti , Claudio F. Loderer and Urs Peyer
University of Berne - Institute for Financial Management , University of Berne - Institute for Financial Management and INSEAD - Finance
Date Posted: August 08, 2014
Working Paper Series
109 downloads

Incl. Electronic Paper Are Institutions Informed About News?
Swiss Finance Institute Research Paper No. 14-49
Terrence Hendershott , Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business , University of California, Berkeley and University of Lausanne
Date Posted: July 27, 2014
Working Paper Series
142 downloads


 

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