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JEL Code: G13
1,867,659 Total downloads
Showing Papers 1,301 - 1,350 of 4,952
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Collateral Free Lending with Risk-Contingent Credit for Agricultural Development
Calum G. Turvey and
Apurba Shee
Date Posted: May 21, 201064 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, 2012523 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, 2010291 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, 2012591 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, 20112360 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, 2010464 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, 2011106 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, 20101073 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, 2010405 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, 2010131 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, 20121295 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, 2010951 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, 201062 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, 201042 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, 2010113 downloads
Counterparty Credit Risk and American Options
Peter Klein and
Jun Yang
Date Posted: May 06, 201083 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, 2010337 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, 2010258 downloads
Options on Multiple Assets in a Mean-Reverting Model
Masahiko Egami
and
Tadao Oryu
Date Posted: May 02, 201047 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, 2010137 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, 2010121 downloads
Time-Varying Spot and Futures Oil Price Dynamics CESifo Working Paper Series No. 3015
Guglielmo Maria Caporale ,
Davide Ciferri
and
Alessandro Girardi
Date Posted: April 21, 2010296 downloads
Evaluation of the Surrender and the Minimum Guaranteed Rate of Return Options in Life Insurance Products
Pedro Miguel Pimentel and
Ricardo Gomes Pereira
Date Posted: April 20, 201046 downloads
Equity Correlations Implied by Index Options: Estimation and Model Uncertainty Analysis
Rama Cont and
Romain Deguest
Date Posted: April 19, 2010586 downloads
Capturing Credit Correlation Between Counterparty and Underlying Risk, Vol. 24, pp. 70-74, 2011
Kirk B. Buckley
,
Sascha Wilkens
and
Vladimir Chorniy
affiliation not provided to SSRN
,
Independent
and
BNP Paribas, London
Date Posted: April 16, 2010Last Revised: March 27, 2011
Option Pricing and Dynamic Discrete Time Hedging for Regime-Switching Geometric Random Walks Models
Bruno Remillard ,
Alexandre Hocquard
and
Nicolas A. Papageorgiou
Date Posted: April 16, 2010205 downloads
General Approximation Schemes for Option Prices in Stochastic Volatility Models
Karl Larsson
Date Posted: April 14, 2010
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies Economic Research Initiatives at Duke (ERID) Working Paper No. 35
Tim Bollerslev ,
Natalia Sizova
and
George Tauchen
Date Posted: April 14, 2010Last Revised: May 06, 2010180 downloads
Business Cycles and the Bankruptcy Code: A Structural Approach AFA 2012 Chicago Meetings Paper
Redouane Elkamhi
and
Min Jiang
Date Posted: April 13, 2010Last Revised: June 02, 2011224 downloads
Speculation Without Oil Stockpiling as a Signature: A Dynamic Perspective MIT CEEPR Working Paper No. 2010-004
Axel Pierru and
Denis Babusiaux
Date Posted: April 13, 201059 downloads
Good Timing? How One Bank Cut Its Link to a $1.2 Billion Ponzi Scheme Journal of Legal Economics, Vol. 18, No. 1, pp. 1-26, 2011
Lou Davis and
Linus Wilson
Date Posted: April 12, 2010Last Revised: March 29, 2012212 downloads
Structured Investment Vehicle (SIV) Litigation Questions
Rupert Macey-Dare
Date Posted: April 12, 2010Last Revised: January 26, 2011303 downloads
The Forward Premium Puzzle and Latent Factors Day by Day CEPR Discussion Paper No. DP7772
Kerstin Bernoth
,
Casper G. de Vries and
Jürgen von Hagen
Date Posted: April 12, 20105 downloads
Forward Indifference Valuation of American Options Stochastics: An International Journal of Probability and Stochastic Processes, Forthcoming DOI:10.1080/17442508.2012.694438
Tim Leung ,
Ronnie Sircar and
Thaleia Zariphopoulou
Date Posted: April 10, 2010Last Revised: September 07, 2012253 downloads
Interest Rate Volatility and Risk Management: Evidence from CBOE Treasury Options
Raphael N. Markellos and
Dimitris Psychoyios
Date Posted: April 08, 2010Last Revised: September 18, 2012230 downloads
The Term Structure of Risk Premia: New Evidence from the Financial Crisis ECB Working Paper No. 1165
Tobias Berg
Date Posted: April 08, 2010136 downloads
A LIBOR Market Model with Stochastic Basis
Fabio Mercurio
Date Posted: April 05, 2010948 downloads
Admissible Strategies in Semimartingale Portfolio Selection Cass Business School Research
Sara Biagini
and
Ales Cerny
Date Posted: April 05, 2010Last Revised: December 14, 201092 downloads
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