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SSRN eLibrary Statistics:

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Abstracts: 566,605
Full Text Papers: 468,702
Authors: 262,693
Papers Received in
  Last 12 months:
63,680

Paper Downloads:
To date: 78,791,832
Last 12 months: 9,719,190
Last 30 days: 784,713

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264,260
Total References: 9,074,523
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6,006,425
Papers with
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  Footnotes:
93,431
Total Footnotes: 9,189,712


SSRN eLibrary Search Results
JEL Code: C63
343,919 Total downloads
Showing Papers 1 - 50 of 1,728
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Incl. Electronic Paper Efficient Simulation of the Heston Stochastic Volatility Model
Leif B. G. Andersen
Bank of America Merrill Lynch
Date Posted: November 22, 2006
Working Paper Series
7647 downloads

Incl. Electronic Paper Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals
Harvey J. Stein
Bloomberg L.P.
Date Posted: December 27, 2007
Working Paper Series
4596 downloads

Incl. Electronic Paper Real Options Valuation: A Monte Carlo Approach
Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper
Andrea Gamba
University of Warwick - Finance Group
Date Posted: March 06, 2002
Working Paper Series
4326 downloads

Incl. Electronic Paper Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing
Leif B. G. Andersen and Jesper Andreasen
Bank of America Merrill Lynch and Danske Bank - Danske Markets
Date Posted: August 11, 1999
Working Paper Series
4180 downloads

Incl. Electronic Paper Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach
Rapport Interne CMAP Working Paper No. 490
Rama Cont and Peter Tankov
Imperial College London and Ecole Polytechnique, Paris
Date Posted: November 22, 2002
Working Paper Series
3388 downloads

Incl. Electronic Paper Introduction to Fast Fourier Transform in Finance
Cass Business School Research Paper
Aleš Černý
Cass Business School
Date Posted: June 29, 2004
Working Paper Series
3028 downloads

Incl. Electronic Paper Analysis of Mortgage Backed Securities: Before and after the Credit Crisis
Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Harvey J. Stein , Alexander L. Belikoff , Kirill Levin and Xusheng Tian
Bloomberg L.P. , Google Inc. , Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Date Posted: January 07, 2007
Last Revised: March 16, 2011
Accepted Paper Series
2932 downloads

Incl. Electronic Paper Markov Models for Commodity Futures: Theory and Practice
Leif B. G. Andersen
Bank of America Merrill Lynch
Date Posted: May 30, 2008
Last Revised: December 30, 2008
Working Paper Series
2915 downloads

Incl. Electronic Paper The Irony in the Derivatives Discounting Part II: The Crisis
Marc P. A. Henrard
OpenGamma
Date Posted: July 14, 2009
Last Revised: December 19, 2009
Working Paper Series
2867 downloads

Incl. Electronic Paper Automated Trading with Boosting and Expert Weighting
Quantitative Finance, Vol. 4, No. 10, pp. 401–420 ,
Germán Creamer and Yoav Freund
Stevens Institute of Technology - Wesley J. Howe School of Technology Management and University of California, San Diego
Date Posted: October 17, 2006
Last Revised: February 20, 2013
Accepted Paper Series
2823 downloads

Incl. Electronic Paper The Irony in the Derivatives Discounting
Marc P. A. Henrard
OpenGamma
Date Posted: March 14, 2007
Working Paper Series
2803 downloads

Incl. Electronic Paper FX Market Behavior and Valuation
Harvey J. Stein
Bloomberg L.P.
Date Posted: January 12, 2007
Working Paper Series
2766 downloads

Incl. Electronic Paper Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk
EFMA 2002 London Meetings; ISMA Centre Finance Discussion Paper No. 2001 Series, No. 2001-14
Ali Bora Yigitbasioglu
University of Reading - ICMA Centre
Date Posted: December 19, 2001
Working Paper Series
2577 downloads

Incl. Electronic Paper Reproduction of Hierarchy? A Social Network Analysis of the American Law Professoriate
Journal of Legal Education, Vol. 61, No. 1, August 2011 , CELS 2009 4th Annual Conference on Empirical Legal Studies Paper
Daniel Martin Katz , Joshua R. Gubler , Jon Zelner , Michael James Bommarito II, Eric A. Provins and Eitan M. Ingall
Michigan State University - College of Law , Brigham Young University - Department of Political Science , University of Michigan at Ann Arbor - Center for Study of Complex Systems , Bommarito Consulting, LLC , University of Michigan - Department of Political Science and Childrens Hospital of Philadelphia
Date Posted: March 09, 2009
Last Revised: May 26, 2011
Accepted Paper Series
2549 downloads

Incl. Electronic Paper Buy Low Sell High: A High Frequency Trading Perspective
SIAM Journal of Financial Mathematics, Forthcoming
Álvaro Cartea , Sebastian Jaimungal and Jason Ricci
University College London , University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Date Posted: November 26, 2011
Last Revised: April 16, 2014
Accepted Paper Series
2491 downloads

Incl. Electronic Paper Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market
QUT School of Economics and Finance Discussion Paper No. 01-01
John Anderson
Queensland University of Technology - School of Economics and Finance
Date Posted: May 08, 2001
Working Paper Series
2302 downloads

Incl. Electronic Paper Optimal Portfolios from Ordering Information
Robert Almgren and Neil A Chriss
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Date Posted: December 25, 2004
Working Paper Series
2238 downloads

Incl. Electronic Paper A Boosting Approach for Automated Trading
Journal of Trading, Vol. 2, No. 3, pp. 84-96.
Germán Creamer and Yoav Freund
Stevens Institute of Technology - Wesley J. Howe School of Technology Management and University of California, San Diego
Date Posted: October 17, 2006
Last Revised: February 20, 2013
Accepted Paper Series
2214 downloads

Incl. Electronic Paper Closed-Form Approximations for Spread Option Prices and Greeks
Minqiang Li , Shijie Deng and Jieyun Zhou
Bloomberg LP , Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology
Date Posted: December 20, 2006
Last Revised: June 08, 2010
Working Paper Series
2105 downloads

Incl. Electronic Paper No-Arbitrage Dynamics for a Tractable SABR Term Structure Libor Model
Bloomberg Portfolio Research Paper No. 2010-03-FRONTIERS
Massimo Morini and Fabio Mercurio
Banca IMI and Bloomberg L.P.
Date Posted: October 02, 2007
Last Revised: April 07, 2010
Working Paper Series
2045 downloads

Incl. Electronic Paper The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing
Applied Mathematical Finance, Vol. 19, No. 5, 2012, Swiss Finance Institute Research Paper No. 08-02, EFA 2008 Athens Meetings Paper
Marc Chesney and Luca Taschini
University of Zurich - Swiss Banking Institute (ISB) and London School of Economics - Grantham Research Institute
Date Posted: February 04, 2008
Last Revised: October 12, 2013
Accepted Paper Series
1994 downloads

Incl. Electronic Paper A Resolution to the NPV - IRR Debate?
Michael Osborne
University of Sussex
Date Posted: April 05, 2004
Last Revised: January 04, 2010
Working Paper Series
1963 downloads

Incl. Electronic Paper Bermudan Swaptions in the LIBOR Market Model
Morten Bjerregaard Pedersen
SimCorp - Financial Research Department
Date Posted: July 26, 1999
Working Paper Series
1950 downloads

Incl. Electronic Paper An Empirical Comparison of Convertible Bond Valuation Models
Yuriy Zabolotnyuk , Robert A. Jones and Chris Veld
Carleton University , Simon Fraser University (SFU) - Department of Economics and Monash University
Date Posted: June 25, 2007
Last Revised: October 18, 2009
Working Paper Series
1802 downloads

Incl. Electronic Paper A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
Tinbergen Institute Discussion Paper No. 06-046/4
Roger Lord , Remmert Koekkoek and Dick J. C. van Dijk
Cardano Risk Management , Credit Suisse and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Date Posted: May 19, 2006
Last Revised: March 20, 2008
Working Paper Series
1783 downloads

Incl. Electronic Paper Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs
C. Burgard and M. Kjaer. Partial differential equation representations of derivatives with counterparty risk and funding costs. The Journal of Credit Risk, Vol. 7, No. 3, 1-19, 2011.
Christoph Burgard and Mats Kjaer
Barclays Capital and Barclays Investment Bank
Date Posted: May 13, 2010
Last Revised: August 07, 2014
Accepted Paper Series
1714 downloads

Incl. Electronic Paper A Monte Carlo Method for Optimal Portfolios
Jerome Detemple , René Garcia and Marcel Rindisbacher
Boston University - Department of Finance & Economics , EDHEC Business School and Center for Interuniversity Research and Analysis on Organization (CIRANO)
Date Posted: November 16, 2000
Working Paper Series
1712 downloads

Incl. Electronic Paper Systemic Risk in Financial Networks
Larry Eisenberg and Thomas H. Noe
New Jersey Institute of Technology and University of Oxford - Said Business School
Date Posted: September 24, 1999
Working Paper Series
1673 downloads

Incl. Electronic Paper An Agent-Based Model of the Flash Crash of May 6, 2010, with Policy Implications
Tommi A. Vuorenmaa and Liang Wang
Triangle Intelligence and University of Helsinki - Department of Computer Science
Date Posted: October 07, 2013
Last Revised: February 27, 2014
Working Paper Series
1636 downloads

Incl. Electronic Paper Arrow-Debreu Prices for Affine Models
Silverio Foresi and Regis Van Steenkiste
Goldman Sachs Group, Inc. - Quantitative Strategy Group and Salomon Smith Barney, Inc., U.S.
Date Posted: April 26, 1999
Working Paper Series
1560 downloads

Incl. Electronic Paper Implied Volatility Surface: Construction Methodologies and Characteristics
Cristian Homescu
Independent
Date Posted: July 10, 2011
Working Paper Series
1518 downloads

Incl. Electronic Paper Arbitrage-Free SVI Volatility Surfaces
Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Jim Gatheral and Antoine Jacquier
Baruch College, CUNY and Imperial College London - Department of Mathematics
Date Posted: April 03, 2012
Last Revised: January 15, 2014
Accepted Paper Series
1459 downloads

Incl. Electronic Paper Network Neutrality on the Internet: A Two-Sided Market Analysis
Information Economics and Policy, Vol. 24, 2012, NET Institute Working Paper No. 07-45, NYU Law and Economics Research Paper 07-40, NYU Working Paper No. 2451/26057
Nicholas Economides and Joacim Tåg
New York University - Leonard N. Stern School of Business - Department of Economics and Research Institute of Industrial Economics (IFN)
Date Posted: October 04, 2007
Last Revised: October 25, 2012
Working Paper Series
1435 downloads

Incl. Electronic Paper Cross-Currency and Hybrid Markov-Functional Models
Christian P. Fries and Marius G. Rott
LMU Munich, Department of Mathematics and Independent
Date Posted: April 27, 2004
Working Paper Series
1388 downloads

Incl. Electronic Paper Fourier Space Time-Stepping for Option Pricing With Levy Models
Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Kenneth R. Jackson , Sebastian Jaimungal and Vladimir Surkov
University of Toronto - Department of Computer Science , University of Toronto - Department of Statistics and RBC Capital Markets
Date Posted: October 10, 2007
Last Revised: July 01, 2009
Working Paper Series
1376 downloads

Incl. Electronic Paper Technical Analysis with a Long Term Perspective: Trading Strategies and Market Timing Ability
International Conference of the French Finance Association (AFFI), May 11-13, 2011
Dušan Isakov and Didier Marti
University of Fribourg (Switzerland) - Faculty of Economics and Social Science and University of Fribourg (Switzerland) - Faculty of Economics and Social Science
Date Posted: May 09, 2011
Last Revised: August 12, 2011
Working Paper Series
1351 downloads

Incl. Electronic Paper The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management
Harry Zheng , Lyn C. Thomas and David E. Allen
Imperial College London - Mathematical Finance , University of Southampton - School of Management and University of South Australia
Date Posted: April 13, 2001
Working Paper Series
1333 downloads

Incl. Electronic Paper Return-Based Style Analysis with Time-Varying Exposures
Laurens Swinkels and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR) and APG Asset Management, GTAA Fund
Date Posted: November 28, 2001
Working Paper Series
1317 downloads

Incl. Electronic Paper Analytic Loss Distributions of Heterogeneous Portfolios in the Asset Value Credit Risk Model
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Date Posted: May 07, 2003
Working Paper Series
1314 downloads

Incl. Electronic Paper Visual Portfolio Analysis

Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Date Posted: March 23, 2004
Working Paper Series
1295 downloads

Incl. Electronic Paper Option Pricing with Quadratic Volatility: A Revisit
Leif B. G. Andersen
Bank of America Merrill Lynch
Date Posted: April 10, 2008
Last Revised: August 14, 2008
Working Paper Series
1278 downloads

Incl. Electronic Paper Pricing Discrete Barrier Options with an Adaptive Mesh Model
Dong-Hyun Ahn , Stephen Figlewski and Bin Gao
University of North Carolina at Chapel Hill , New York University - Stern School of Business and University of North Carolina (UNC) at Chapel Hill - Finance Area
Date Posted: July 01, 1999
Working Paper Series
1237 downloads

Incl. Electronic Paper You Don't Have to Bother Newton for Implied Volatility
Minqiang Li
Bloomberg LP
Date Posted: December 20, 2006
Working Paper Series
1223 downloads

Incl. Electronic Paper An Algorithm Using GARCH Process, Monte-Carlo Simulation and Wavelets Analysis for Stock Prediction
Eleftherios Giovanis
IMT Lucca Institute for Advanced Studies
Date Posted: September 21, 2008
Last Revised: December 06, 2009
Working Paper Series
1220 downloads

Incl. Electronic Paper An Improved Estimator for Black-Scholes-Merton Implied Volatility
ERIM Report Series No. ERS-2004-054-F&A
Winfried G. Hallerbach
Robeco Asset Management, Quantitative Strategies
Date Posted: July 23, 2004
Working Paper Series
1211 downloads

Incl. Electronic Paper Cliquet Options: Pricing and Greeks in Deterministic and Stochastic Volatility Models
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Date Posted: September 18, 2007
Working Paper Series
1203 downloads

Incl. Electronic Paper Pricing Convertible Bonds with Monte Carlo Simulation
Christian Wilde and Axel H. Kind
Goethe University Frankfurt - Department of Finance and University of Basel
Date Posted: March 09, 2005
Working Paper Series
1198 downloads

Incl. Electronic Paper Strategic Asset Allocation and Market Timing: A Reinforcement Learning Approach
Thorsten Hens and Peter Woehrmann
University of Zurich - Department of Banking and Finance and University of Zurich
Date Posted: February 22, 2006
Working Paper Series
1194 downloads

Incl. Electronic Paper A Multi-Factor SABR Model for Forward Inflation Rates
Bloomberg Portfolio Research Paper No. 2009-08-FRONTIERS
Fabio Mercurio and Nicola Moreni
Bloomberg L.P. and Banca IMI
Date Posted: February 05, 2009
Last Revised: April 08, 2010
Working Paper Series
1169 downloads

Incl. Electronic Paper Constructing Long/Short Portfolios with the Omega Ratio
Swiss Finance Institute Research Paper No. 08-34
Manfred Gilli , Enrico Schumann , Giacomo di Tollo and Gerda Cabej
University of Geneva - Department of Economics , AQ Investment AG , affiliation not provided to SSRN and University of Geneva
Date Posted: October 27, 2008
Working Paper Series
1164 downloads


 

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