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1,852,305 Total downloads
Showing Papers 1,261 - 1,310 of 4,932
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'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, 20101100 downloads
Fast Greeks for Markov-Functional Models Using Adjoint Pde Methods
Nick Denson
and
Mark S. Joshi
Date Posted: June 01, 2010487 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
Fast and Accurate Long Stepping Simulation of the Heston Stochastic Volatility Model
Jiun Hong Chan and
Mark S. Joshi
Date Posted: May 29, 2010Last Revised: September 16, 2010931 downloads
A Short Note on LME's Forward Contracts and Options
Giulio Sartorelli
Date Posted: May 26, 201095 downloads
Edgeworth Expansion for the Computation of Plain Vanilla Prices in the Heston Model
Giulio Sartorelli
Date Posted: May 25, 201097 downloads
Investors with Too Many Options? ECB Working Paper No. 1197
Daniel Dorn
Date Posted: May 25, 201035 downloads
Testing the Asset Pricing Model of Exchange Rates with Survey Data ECB Working Paper No. 1200
Anna Naszodi
Date Posted: May 25, 201049 downloads
A Closed-Form Approximation to the Stochastic-Volatility Jump-Diffusion Option Pricing Model
Zhan Chen
Date Posted: May 24, 2010Last Revised: October 16, 2010131 downloads
Complex Logarithms and the Piecewise Constant Extension of the Heston Model Wilmott Journal, Forthcoming
Shamim Afshani
Date Posted: May 24, 2010Last Revised: June 30, 2010108 downloads
The Optimal Alternative to the Delta Hedge in the Black and Scholes' (1973) World
Katarzyna Romaniuk
Date Posted: May 23, 2010Last Revised: May 27, 2010108 downloads
Collateral Free Lending with Risk-Contingent Credit for Agricultural Development
Calum G. Turvey and
Apurba Shee
Date Posted: May 21, 201062 downloads
Liquidity Risk of Corporate Bond Returns: A Conditional Approach Journal of Financial Economics (JFE), Forthcoming, AFA 2012 Chicago Meetings Paper
Viral V. Acharya ,
Yakov Amihud and
Sreedhar T. Bharath
Date Posted: May 20, 2010Last Revised: October 26, 2012507 downloads
Multivariate Option Pricing with Time Varying Volatility and Correlations CIRANO - Scientific Publications 2010s-23
J. V. K. Rombouts and
Lars Stentoft
Date Posted: May 20, 201056 downloads
On Asymmetric Funding of Swaps and Derivatives - A Funding Cost Explanation of Negative Swap Spreads
Wu Jiang Lou
Date Posted: May 19, 2010289 downloads
Pricing Timer Options Journal of Computational Finance, Vol. 15, No. 1, 2011
Carole Bernard
and
Zhenyu Cui
Date Posted: May 19, 2010Last Revised: January 24, 2012585 downloads
Business Conditions, Market Volatility and Option Prices
Christian Dorion
Date Posted: May 17, 2010Last Revised: March 18, 2012152 downloads
Discounting Revisited: Valuation Under Funding, Counterparty Risk and Collateralization
Christian P. Fries
Date Posted: May 17, 2010Last Revised: March 14, 20112330 downloads
Term Structure and Roll Yield: Not Your Father’s Backwardation
Michael Mack Frankfurter
and
Davide Accomazzo
Date Posted: May 17, 2010Last Revised: June 15, 2010455 downloads
Types of Liquidity and Limits to Arbitrage - The Case of Credit Default Swaps
Liang Guo
and
Karan Bhanot
affiliation not provided to SSRN
and
University of Texas at San Antonio - Department of Finance
Date Posted: May 17, 2010Last Revised: January 30, 2011105 downloads
Structural Properties of Commodity Futures Term Structures and Their Implications for Basic Trading Strategies
Rolf Dürr
and
Matthias Voegeli
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: May 16, 20101055 downloads
Calibrating Exotic Models to Vanilla Models
Christian Ekstrand
Date Posted: May 14, 201098 downloads
CMS Spread Options and Similar Options in Multi-Factor HJM Framework
Pierre Hanton
and
Marc P. A. Henrard
Date Posted: May 14, 2010392 downloads
Life Insurance and the Agency Conflict: An Analysis of Prudential Regulation to Guard Policyholders from Excessive Risk Taking
Christian Wiehenkamp
Date Posted: May 14, 2010Last Revised: May 24, 2010129 downloads
Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs
Christoph Burgard
and
Mats Kjaer
Date Posted: May 13, 2010Last Revised: July 19, 20121278 downloads
Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management
Masaaki Fujii
,
Yasufumi Shimada
and
Akihiko Takahashi
Date Posted: May 12, 2010938 downloads
Liquidity Commonality in Commodities 23rd Australasian Finance and Banking Conference 2010 Paper
Ben R. Marshall
and
Nhut H. Nguyen
Date Posted: May 12, 2010Last Revised: July 27, 2011259 downloads
Multivariate Option Pricing with Time Varying Volatility and Correlations CREATES Research Paper No. 2010-19
J. V. K. Rombouts and
Lars Stentoft
Date Posted: May 12, 201061 downloads
Measuring Portfolio Credit Risk: Modeling Versus Calibration Errors BIS Quarterly Review, March 2007
Nikola A. Tarashev
and
Haibin Zhu
Date Posted: May 11, 201079 downloads
A Jump-Diffusion Yield-Factor Model of Interest Rates
Renato G. Flores and
Ricardo D. Brito
Date Posted: May 10, 201041 downloads
Defaultable Bonds and Credit Derivatives: Valuation and Risk Management
Daniel L. Chertok
Date Posted: May 08, 2010Last Revised: May 16, 201098 downloads
Economic Derivatives BIS Quarterly Review, March 2007
Blaise Gadanecz
,
Richhild Moessner
and
Christian Upper
Date Posted: May 07, 2010111 downloads
Counterparty Credit Risk and American Options
Peter Klein and
Jun Yang
Date Posted: May 06, 201080 downloads
Selling Citigroup: A Simulation of the U.S. Treasury’s $37 Billion TARP Share Sale Review of Business, Vol. 31, No. 2, pp. 3-14, 2011
Linus Wilson
Date Posted: May 06, 2010Last Revised: March 29, 2012279 downloads
Volatility Components: The Term Structure Dynamics of VIX Futures Journal of Futures Markets, Vol. 30, No. 3, pp. 230 - 256, April 2009
Zhongjin Lu
and
Yingzi Zhu
Date Posted: May 04, 2010329 downloads
Adaptive and High-Order Methods for Valuing American Options Journal of Computational Finance, Forthcoming
Christina Christara
and
Duy Minh Dang
Date Posted: May 02, 2010257 downloads
Options on Multiple Assets in a Mean-Reverting Model
Masahiko Egami
and
Tadao Oryu
Date Posted: May 02, 201046 downloads
Asymmetric Volatility in Oil Futures
Richard Paul Gregory
Date Posted: April 28, 2010146 downloads
The Asymmetric Volatility of Platinum and Palladium Futures
Richard Paul Gregory
Date Posted: April 28, 2010136 downloads
The Asymmetric Volatility of Pound Sterling Cross-Rate Futures
Richard Paul Gregory
Date Posted: April 28, 201081 downloads
The Asymmetric Volatility of Yen Currency Futures: International Cross Rates
Richard Paul Gregory
Date Posted: April 28, 201088 downloads
Asymmetric Volatility in Swiss Franc Cross-Rate Futures
Richard Paul Gregory
Date Posted: April 27, 201084 downloads
The Asymmetric Volatility of Euro Cross Futures
Richard Paul Gregory
Date Posted: April 27, 2010Last Revised: April 28, 201087 downloads
Multivariate Downside Risk: Normal Versus Variance Gamma
Martin Wallmeier and
Martin Diethelm
Date Posted: April 22, 2010120 downloads
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