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JEL Code: G13
1,850,804 Total downloads
Showing Papers 1,151 - 1,200 of 4,932
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Execution Costs and Efficient Execution Frontiers Robert H. Smith School Research Paper No. RHS 06-131
Dilip B. Madan
Date Posted: September 20, 2010Last Revised: November 23, 201092 downloads
Markets, Profits, Capital, Leverage and Return
Peter Carr ,
Juan Jose Vicente Alvarez
and
Dilip B. Madan
Date Posted: September 20, 2010171 downloads
S&P 500 Index Option Surface Drivers and their Real World and Risk Neutral Covariations Robert H. Smith School Research Paper No. RHS 06-130
Dilip B. Madan
Date Posted: September 20, 2010Last Revised: November 20, 2010125 downloads
Invest in Option or in its Underlying Stock?
Yves Rakotondratsimba
Date Posted: September 19, 201059 downloads
Regime-Dependent Smile-Adjusted Delta Hedging ICMA Centre Discussion Paper in Finance No. DP2010-10
Carol Alexander ,
Alexander Rubinov
,
Markus Kalepky
and
Stamatis Leontsinis
Date Posted: September 19, 2010Last Revised: April 30, 2011135 downloads
A Partial Equilibrium Model for the Convenience Yield Risk Premium
Sami Attaoui
,
Vincent Lacoste
and
Pierre Six
Date Posted: September 17, 2010Last Revised: May 23, 2011191 downloads
Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades
Chris Kenyon
Date Posted: September 17, 2010236 downloads
Credit Modelling Under Jump Diffusions with Exponentially Distributed Jumps - Stable Calibration, Dynamics and Gap Risk
Stefan Kassberger
,
Martin Hellmich
and
Wolfgang M. Schmidt
Date Posted: September 15, 2010Last Revised: November 04, 2010103 downloads
Product Liability Litigation: An Issue of Merck and Lawsuits Over Vioxx - The Short Version Applied Financial Economics, Vol. 20, No. 24, pp. 1867-1878, December 2010
Kurt W. Rotthoff
Date Posted: September 13, 2010Last Revised: June 09, 201148 downloads
Stochastic Discount Factor in the Brazilian Equity Market (Fator de Desconto Estocástico no Mercado Acionário Brasileiro) (Portuguese) Revista Estudos Econômicos, São Paulo, 36(3): 435-463, jul-set 200,
André Borges Catalão
and
Joe Akira Yoshino
Date Posted: September 12, 2010Last Revised: September 15, 201036 downloads
Empirical Performance of Option Pricing Models Based on Time-Changed Lévy Processes
Achim Dahlbokum
Date Posted: September 11, 2010Last Revised: October 15, 2010257 downloads
Valuing Options in Heston's Stochastic Volatility Model: Another Analytical Approach
Robert Frontczak
Date Posted: September 11, 2010114 downloads
Index Futures and Predictability of the Underlying Stocks' Returns: The Case of the Nikkei 225 Journal of Financial Services Research, Vol. 34, No. 1, pp. 77-91, 2008
Shinhua Liu
Date Posted: September 09, 2010
Investment Shocks and the Commodity Basis Spread
Fan Yang
Date Posted: September 09, 2010Last Revised: July 05, 2011302 downloads
The Impacts of Index Options on the Underlying Stocks: The Case of the S&P 100 Quarterly Review of Economics and Finance,
Vol. 49, No. 3, 2009
Shinhua Liu
Date Posted: September 09, 2010
An Efficient GPU-Based Parallel Algorithm for Pricing Multi-Asset American Options
Duy Minh Dang ,
Christina Christara
and
Kenneth R. Jackson
Date Posted: September 08, 2010Last Revised: April 02, 2011551 downloads
Discrete Dividends and the FTSE-100 Index Options Valuation
Nelson Areal and
Artur Rodrigues
Date Posted: September 04, 2010Last Revised: November 29, 201085 downloads
Modeling the Evolution of Implied CDO Correlations Financial Markets and Portfolio Management, Vol. 24, No. 3, 2010
Marius Hofert
,
Matthias A. Scherer
and
Rudi Zagst
Date Posted: September 03, 2010
Risky Funding: A Unified Framework for Counterparty and Liquidity Charges
Massimo Morini and
Andrea Prampolini
Date Posted: September 02, 2010844 downloads
An Analysis of the Determinants of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil Bank of Italy Temi di Discussione (Working Paper) No. 749
Antonio Di Cesare and
Giovanni Guazzarotti
Date Posted: September 01, 2010390 downloads
Why Does Higher Variability of Trading Activity Predict Lower Expected Returns?
Alexander Barinov
Date Posted: September 01, 2010Last Revised: September 24, 201271 downloads
Market Efficiency Test in the VIX Futures Market CAMA Working Paper No. 08/2010
Zhang Jian
,
Lee W. Sanning
and
Sherrill Shaffer
affiliation not provided to SSRN
,
Whitman College
and
University of Wyoming
Date Posted: August 31, 2010101 downloads
When Index Dissemination Goes Wrong: How Fast Can Traders Add and Multiply? Indian Institute of Management Working Paper No. 2010-08-04
Jayanth Rama Varma
Date Posted: August 31, 201054 downloads
Why did the Crisis of 2008 Happen?
Nassim Nicholas Taleb
Date Posted: August 29, 2010Last Revised: November 16, 20129607 downloads
Fair Demographic Risk Sharing in Defined Contribution Pension Systems
Daniel Gabay and
Martino Grasselli
Date Posted: August 29, 2010Last Revised: March 24, 201145 downloads
Tax saving's valuation under its appropiate risk profile: A Contingent Claim Approach
Gonzalo Diaz-Hoyos Sr.
and
Ignacio Velez-Pareja
Date Posted: August 29, 2010Last Revised: March 07, 201176 downloads
Default Risk in Stochastic Volatility Models CER-ETH (Center of Economic Research at ETH Zurich) Working Paper No. 10/131
Hans Gersbach and
Nicolae Surulescu
affiliation not provided to SSRN
Date Posted: August 28, 201090 downloads
Multivariate Option Pricing with Time Varying Volatility and Correlations
J. V. K. Rombouts and
Lars Stentoft
Date Posted: August 26, 201046 downloads
Matching the Sensitivities to Discrete Dividends: A New Approach for Pricing Vanillas
Fouad Sahel
and
Arnaud Gocsei
affiliation not provided to SSRN
Date Posted: August 25, 2010Last Revised: October 23, 2010115 downloads
Pinning in the S&P 500 Futures Journal of Financial Economics (JFE), 106, December 2012, 566-585
Benjamin Golez and
Jens Carsten Jackwerth
Date Posted: August 25, 2010Last Revised: February 13, 2013179 downloads
Trading Activity and Realized Volatility: Evidence with Decomposed Trading Volume and Order Imbalance 23rd Australasian Finance and Banking Conference 2010 Paper
Sze Shih Ting ,
Don (Tissa) U. A. Galagedera ,
Sirimon Treepongkaruna
and
Robert Darren Brooks
Date Posted: August 25, 2010Last Revised: November 24, 201097 downloads
From Spot Volatilities to Implied Volatilities
Julien Guyon and
Pierre Henry-Labordere
Date Posted: August 24, 2010455 downloads
Riding on the Smiles
José Da Fonseca and
Martino Grasselli
Date Posted: August 24, 2010Last Revised: February 09, 2011379 downloads
A Markov-Modulated Stochastic Control Problem with Optimal Stopping with Application to Finance Proceedings of the 49th IEEE Conference on Decision and Control, 2010
Tim Leung
Date Posted: August 23, 2010Last Revised: July 25, 2011
Optimal Timing to Purchase Options SIAM Journal on Financial Mathematics, Vol. 2, No. 1, pp. 768-793, 2011
Tim Leung and
Mike Ludkovski
Date Posted: August 23, 2010Last Revised: January 12, 2012231 downloads
Path-Dependent Options Pricing: A Quasi Monte Carlo Simulation Approach with MATLAB
Jay Au Yeung
Date Posted: August 15, 2010Last Revised: October 18, 2010451 downloads
Valuation Differences between Credit Default Swap and Corporate Bond Markets Journal of Credit Risk, Forthcoming
Oliver Entrop
,
Richard Schiemert
and
Marco Wilkens
Date Posted: August 14, 2010Last Revised: May 13, 2013495 downloads
Dividend Increases and Initiations and Default Risk in Equity Returns Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Andreas Charitou ,
Neophytos Lambertides
and
Giorgos Theodoulou
affiliation not provided to SSRN
Date Posted: August 14, 2010
Innovative Credit Default Management in the Banks Through Credit Default Swaps: An Analysis of Credit Derivatives
Deepak Tandon
and
Saurabh Agarwal
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: August 12, 2010Last Revised: August 23, 2010238 downloads
Systemic Risk Analysis Using Forward-Looking Distance-to-Default Series FRB of Cleveland Working Paper No. 2010-05
Date Posted: August 11, 2010Last Revised: September 09, 2012101 downloads
A Proposition on the Martingale Representation Theorem and on the Approximate Hedging of Financial Contingent Claims Centre Emile Bernheim WP-CEB No. 06/004
Andre Farber
,
Nguyen Van Huu
and
Quan Hoang Vuong
Date Posted: August 10, 201060 downloads
Discrete Time Models (Mo Hinh Roi Rac) (In Vietnamese) Nguyen Van Huu, Vuong Quan Hoang, MATHEMATICAL METHODS IN FINANCE (Cac Phuong Phap Toan Hoc Trong Tai Chinh), Chapter 1, pp. 15-34, Vietnam National University Press, Hanoi, March 2007
Nguyen Van Huu
and
Quan Hoang Vuong
Date Posted: August 10, 201020 downloads
Alchemy in the 21st Century: Hedging with Gold Futures
Caihong Xu
,
Lars L. Norden and
Björn Hagströmer
Date Posted: August 06, 2010Last Revised: August 17, 20101034 downloads
Contingent Capital: An In-Depth Discussion
Stan Maes and
Wim Schoutens
Date Posted: August 06, 2010Last Revised: August 28, 2010416 downloads
A Note on Utility-Based Pricing
Mark Davis
and
Daisuke Yoshikawa
Date Posted: August 05, 201064 downloads
Modelling the Evolution of Credit Spreads using the Cox Process within the HJM Framework: A CDS Option Pricing Model Quantitative Finance Research Centre Research Paper No. 232
Carl Chiarella
,
Viviana Fanelli and
Silvana Musti
affiliation not provided to SSRN
and
University of Foggia
Date Posted: August 03, 2010Last Revised: October 22, 2010185 downloads
ISDA Valuation Cases
Rupert Macey-Dare
Date Posted: August 01, 2010Last Revised: January 26, 2011448 downloads
Price Dynamics in the European Carbon Market
Adrian John Ladaniwskyj
Date Posted: July 31, 2010220 downloads
Explicit Representation of Cost-Efficient Strategies
Carole Bernard
,
Phelim P. Boyle and
Steven Vanduffel
Date Posted: July 30, 2010Last Revised: April 18, 2013307 downloads
Closed Formulas for the Price and Sensitivities of a Vanilla European Option Under a Jump Diffusion Model
Yves Rakotondratsimba
Date Posted: July 27, 2010Last Revised: July 28, 2010108 downloads
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