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1,852,987 Total downloads
Showing Papers 1,221 - 1,270 of 4,933
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The Relevance of Coarse Thinking for Investors' Willingness to Pay: An Experimental Study
Hammad Siddiqi
Date Posted: July 11, 201023 downloads
Correlations in Asynchronous Markets
Lorenzo Bergomi
Date Posted: July 09, 2010552 downloads
Discrete-Time, Minimum-Variance Hedging of European Contingent Claims
Sanjay P. Bhat
,
Vijaysekhar Chellaboina
and
Anil Bhatia
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: July 09, 201075 downloads
Hysteresis Effects Under CIR Interest Rates European Journal of Operational Research, Vol. 211, No. 3, 2011
José Carlos Dias
and
Mark B. Shackleton
Date Posted: July 09, 2010Last Revised: May 12, 201139 downloads
Coarse Thinking, Implied Volatility, and the Price of Call and Put Options
Hammad Siddiqi
Date Posted: July 08, 2010Last Revised: September 21, 2012185 downloads
Conic Coconuts: The Pricing of Contingent Capital Notes Using Conic Finance Robert H. Smith School Research Paper No. RHS 06-135
Dilip B. Madan and
Wim Schoutens
Date Posted: July 08, 2010Last Revised: November 23, 2010268 downloads
Market Volatility Risk and Risk Premiums at Earnings Announcements
Mary E. Barth
and
Eric C. So
Date Posted: July 07, 2010Last Revised: January 07, 2013252 downloads
Pricing and Upper Price Bounds of Relax Certificates Review of Managerial Science, Forthcoming
Nicole Branger
,
Antje Brigitte Mahayni and
Judith C. Schneider
Date Posted: July 05, 201032 downloads
The Forward Premium Puzzle and Latent Factors Day by Day DIW Berlin Discussion Paper No. 989
Kerstin Bernoth
,
Jürgen von Hagen
and
Casper G. de Vries
Date Posted: July 04, 201026 downloads
Time-Varying Spot and Futures Oil Price Dynamics DIW Berlin Discussion Paper No. 988
Guglielmo Maria Caporale ,
Davide Ciferri
and
Alessandro Girardi
Date Posted: July 04, 201081 downloads
Is China’s P/E Ratio Too Low? Examining the Role of Earnings Volatility Pacific-Basin Finance Journal, Forthcoming
Tony S. Wirjanto and
Alan Guoming Huang
Date Posted: July 01, 2010Last Revised: August 01, 201156 downloads
Policy Responses to Dislocations in the FX Swap Market: The Experience of Korea BIS Quarterly Review, June 2010
Naohiko Baba
and
Ilhyock Shim
Date Posted: July 01, 201070 downloads
Convexity Correction by a Finite Replication Portfolio
Manuel Wittke
Date Posted: June 30, 2010137 downloads
The BP Oil Disaster: Stock and Option Market Reactions
Andy Fodor
and
John D. Stowe
Date Posted: June 30, 2010Last Revised: December 26, 20101403 downloads
Reduced Form Default in a Pure-Exchange Economy
Michael Hasler
Date Posted: June 29, 2010Last Revised: October 10, 201167 downloads
Risk Premia Across Asset Markets: Information from Option Prices BIS Quarterly Review, March 2006
Nikola A. Tarashev
and
Kostas Tsatsaronis
Date Posted: June 29, 201053 downloads
Crash Risk of the Euro in the Sovereign Debt Crisis of 2009-2010 Journal of Banking and Finance, Vol. 35, pp. 2945–2955, 2011,
C. H. Hui and
T. K. Chung
Date Posted: June 28, 2010Last Revised: July 05, 2012785 downloads
Interest-Rate Modeling with Multiple Yield Curves
Andrea Pallavicini
and
Marco Tarenghi
Date Posted: June 26, 2010882 downloads
Canonical Option Pricing and Greeks with Implications for Market Timing
Date Posted: June 23, 2010Last Revised: January 29, 2011122 downloads
Single Name Credit Default Swaptions Meet Single Sided Jump Models Review of Derivatives Research, Vol. 11, No. 1, 2008
Henrik Jönsson
and
Wim Schoutens
Date Posted: June 22, 201047 downloads
Risk Premiums in the Cross-Section of Commodity Convenience Yields
Axel Herbert Kind
and
Axel H. Kind
affiliation not provided to SSRN
and
University of Basel
Date Posted: June 20, 2010152 downloads
Algorithmic Hessians and the Fast Computation of Cross-Gamma Risk
Mark S. Joshi and
Chao Yang
Date Posted: June 19, 2010Last Revised: December 02, 2010856 downloads
Monetary Policy Shocks and Stock Returns: Evidence from the British Market Financial Markets and Portfolio Management, Vol. 23, No. 4, pp. 401-410, 2009
Andros Gregoriou ,
Alexandros Kontonikas ,
Ronald MacDonald and
Alberto Montagnoli
Date Posted: June 19, 2010
A Note on Exchange Options Under Stochastic Interest Rates
Carole Bernard
and
Zhenyu Cui
Date Posted: June 17, 2010141 downloads
Default Prone Bond Prices, Valuable Growth Options and the Option to Re-Organize
Osman Colak
and
Padmaja Kadiyala
Date Posted: June 16, 201031 downloads
The Optimal Investment Policy for the Pension Benefit Guaranty Corporation
Katarzyna Romaniuk
Date Posted: June 16, 2010Last Revised: March 14, 201157 downloads
Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency Energy Economics, Forthcoming, ZEW - Centre for European Economic Research Discussion Paper No. 10-038
Christian Conrad
,
Daniel Rittler
and
Waldemar Rotfuss
Date Posted: June 15, 2010Last Revised: February 27, 201130 downloads
Derivatives Traders’ Reaction to Mispricing in the Underlying Equity Journal of Banking and Finance, Vol. 36, No. 9, 2438–2454, 2012,
Darren K. Hayunga
,
Richard Holowczak ,
Peter P. Lung
and
Takeshi Nishikawa
Date Posted: June 14, 2010Last Revised: July 26, 201227 downloads
Computational Efficiency and Accuracy In the Valuation of Basket Options Frontiers in Finance and Economics, Vol. 6, No. 1, pp. 1-25, 2009
Pengguo Wang
Date Posted: June 13, 201070 downloads
The Predictive Power of S&P 500 Option Prices and the Stock Market Crash of 2008-2009
James M. Sfiridis
Date Posted: June 13, 2010Last Revised: September 07, 2012163 downloads
The Term Structure of Implied Volatility in Symmetric Models with Applications to Heston
Stefano De Marco
and
Claude Martini
Date Posted: June 13, 2010Last Revised: November 20, 2010220 downloads
Dynamic Investment in Extraction Capacity of Exhaustible Resources Scottish Journal of Political Economy, Forthcoming
Hamed Ghoddusi
Date Posted: June 12, 201019 downloads
A Quasi-Analytical Interpolation Method for Pricing American Options Under General Multi-Dimensional Diffusion Processes Review of Derivatives Research, Vol. 13, No. 2, pp. 177-217, 2010
Minqiang Li
Date Posted: June 09, 2010
Bankruptcy Prediction Models and the Cost of Debt Journal of Fixed Income, Forthcoming
Sattar Mansi ,
William F. Maxwell and
Andrew (Jianzhong) Zhang
Date Posted: June 09, 2010Last Revised: February 28, 2012903 downloads
Do Individual Investors Trade Stocks as Gambling? Evidence from Repeated Natural Experiments
Xiaohui Gao
and
Tse-Chun Lin
Date Posted: June 09, 2010Last Revised: July 09, 2011218 downloads
A Simple Discretization Scheme for Nonnegative Diffusion Processes, with Applications to Option Pricing
Chantal Labbé
,
Bruno Remillard and
Jean-Francois Renaud
Date Posted: June 08, 2010Last Revised: November 16, 201089 downloads
Improving the Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios Robert H. Smith School Research Paper No. RHS 06-137
Gurdip Bakshi ,
George Panayotov
and
Georgios Skoulakis
Date Posted: June 08, 2010Last Revised: February 29, 2012117 downloads
The Market Microstructure of the European Climate Exchange
Bruce Mizrach and
Yoichi Otsubo
Date Posted: June 07, 2010Last Revised: February 09, 2013404 downloads
Real Options Games Analysis of Sleeping Patents
Chi Man Leung
and
Yue Kuen Kwok
Date Posted: June 05, 201046 downloads
Extracting Correlations from the Market: New Correlation Parameterizations and the Calibration of a Stochastic Volatility LMM to CMS Spread Options
Matthias Lutz
Date Posted: June 05, 2010Last Revised: June 16, 2010497 downloads
Patent-Investment Games Under Asymmetric Information
Chi Man Leung
and
Yue Kuen Kwok
Date Posted: June 05, 201047 downloads
'Escaping TARP' Journal of Financial Stability, Vol. 8, No. 1, 2012
Linus Wilson and
Yan Wu
Date Posted: June 04, 2010Last Revised: March 29, 2012381 downloads
Does Model Fit Matter for Hedging? Evidence from FTSE 100 Options Henley University ICMA Centre Discussion Paper in Finance No. DP2010-05
Carol Alexander and
Andreas Kaeck
Date Posted: June 04, 2010149 downloads
Stochastic Volatility III: Volatility Models and Volatility Surfaces
Paolo Vanini
Date Posted: June 04, 2010370 downloads
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates Delft University of Technology Technical Report No. 10-13
Lech A. Grzelak and
Cornelis W. Oosterlee
Date Posted: June 03, 2010278 downloads
Risk-Taking by Banks: What Did We Know and When Did We Know It? AFA 2012 Chicago Meetings Paper
Sugato Bhattacharyya and
Amiyatosh K. Purnanandam
Date Posted: June 03, 2010Last Revised: November 18, 2011764 downloads
What Does Implied Volatility Skew Measure?
Scott Mixon
Date Posted: June 02, 20101101 downloads
Fast Greeks for Markov-Functional Models Using Adjoint Pde Methods
Nick Denson
and
Mark S. Joshi
Date Posted: June 01, 2010488 downloads
The Options Embedded within Pension Plans: Types, Valuation Principles and Effects on Optimal Investment Policies Bankers, Markets & Investors, Forthcoming
Katarzyna Romaniuk
Date Posted: June 01, 2010
New Performance-Vested Stock Option Schemes Applied Financial Economics, Forthcoming
An Chen
,
Markus Pelger and
Klaus Sandmann
Date Posted: May 29, 2010Last Revised: November 12, 2012166 downloads
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