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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 587,607
Full Text Papers: 487,915
Authors: 271,957
Papers Received in
  Last 12 months:
63,214

Paper Downloads:
To date: 82,528,789
Last 12 months: 10,303,223
Last 30 days: 833,594

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279,686
Total References: 9,075,784
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6,008,977
Papers with
  Resolved
  Footnotes:
94,545
Total Footnotes: 9,190,269


SSRN eLibrary Search Results
JEL Code: G13
2,148,096 Total downloads
Showing Papers 1,351 - 1,400 of 5,603
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1 2 3 4 ... 113 | Next >
   


Incl. Electronic Paper Modeling Credit Contagion Via the Updating of Fragile Beliefs -- Online Appendix
Luca Benzoni , Pierre Collin-Dufresne , Robert S. Goldstein and Jean Helwege
Federal Reserve Bank of Chicago - Research Department , Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute , University of Minnesota - Twin Cities - Carlson School of Management and University of South Carolina
Date Posted: January 29, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Now or Never -- End-Game Effects in Time Limited Real R&D Option Investment
Sebastian Rötzer
Vienna University of Technology
Date Posted: January 27, 2015
Working Paper Series
9 downloads

Correlation between the Grains Based Commodity Futures and Stock of the Commodity Producing Companies.
Subhakara Valluri
Institute of Economics of the Polish Academy of Sciences (INE PAN)
Date Posted: January 26, 2015
Working Paper Series

Incl. Electronic Paper A Discrete-Time Two-Factor Model for Pricing Bonds and Interest Rate Derivatives under Random Volatility
FRB Atlanta Working Paper Series No. 99-20
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Date Posted: January 25, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Preference-Free Option Pricing with Path-Dependent Volatility: A Closed-Form Approach
FRB Atlanta Working Paper Series No. 98-20
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Date Posted: January 25, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Volatility Derivatives in Practice: Activity and Impact
Scott Mixon and Esen Onur
Commodity Futures Trading Commission and Commodity Futures Trading Commission (CFTC)
Date Posted: January 25, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Simple, Fast and Flexible Pricing of Asian Options
Final version in: Journal of Computational Finance, 4 (3) 89-124 (2001)
Timothy Klassen
Getco LLC
Date Posted: January 25, 2015
Accepted Paper Series
7 downloads

Incl. Electronic Paper Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
Maxim Bichuch , Agostino Capponi and Stephan Sturm
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences , Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Date Posted: January 24, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Navigating Beyond the Credit Triangle
Yuri A. Katz
S&P Capital IQ
Date Posted: January 24, 2015
Working Paper Series
6 downloads

Incl. Fee Electronic Paper Option-Based Credit Spreads
CEPR Discussion Paper No. DP10318
Christopher L. Culp and Pietro Veronesi
Johns Hopkins University - Institute for Applied Economics, Global Health, and Study of Business Enterprise and University of Chicago - Booth School of Business
Date Posted: January 23, 2015
Working Paper Series

Incl. Electronic Paper Market Instruments for Collateral Management
Antonio Castagna
Iason Ltd.
Date Posted: January 23, 2015
Working Paper Series
14 downloads

Multilevel Dimension Reduction Monte-Carlo Simulation for High-Dimensional Stochastic Models in Finance
Duy-Minh Dang , Qifan Xu and Shangzhe Wu
School of Mathematics and Physics, University of Queensland , School of Mathematics, University of Queensland and School of Mathematics, University of Queensland
Date Posted: January 21, 2015
Working Paper Series

Dimension and Variance Reduction for Monte Carlo Methods for High-Dimensional Models in Finance
Duy-Minh Dang , Kenneth R. Jackson and Mohammadreza Mohammadi
School of Mathematics and Physics, University of Queensland , University of Toronto - Department of Computer Science and University of Toronto - Department of Statistics
Date Posted: January 21, 2015
Working Paper Series

Incl. Electronic Paper 'Paradox' with Expectation Dependence and Alternative Models of Demand for Risks
Yiyong Yuan
Southwestern University of Finance and Economics (SWUFE)
Date Posted: January 20, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Fluctuating Attention and Contagion: Theory and Evidence from the U.S. Equity Market
Rotman School of Management Working Paper
Michael Hasler and Chayawat Ornthanalai
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Date Posted: January 18, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper How Much Can Lack of Marketability Affect Private Equity Fund Values?
Axel Buchner
University of Passau
Date Posted: January 16, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Value-Relevance of Investment Forecasts and Reliability of Forecast Information
Yoshinori Shimada
Iwate University
Date Posted: January 15, 2015
Working Paper Series
17 downloads

Incl. Fee Electronic Paper Estimating Early Exercise Premiums on Gold and Copper Options Using a Multifactor Model and Density Matched Lattices
Financial Review, Vol. 50, Issue 1, pp. 27-56, 2015
Jimmy E. Hilliard and Jitka Hilliard
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Auburn University
Date Posted: January 14, 2015
Accepted Paper Series

Incl. Electronic Paper Self-Financing Trading and the Ito-Doeblin Lemma
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Lloyds Banking Group
Date Posted: January 13, 2015
Working Paper Series
19 downloads

Incl. Electronic Paper Sovereigns and Banks in the Euro Area: A Tale of Two Crises
Marta Gómez-Puig , Simón Sosvilla Rivero and Manish Kumar Singh
Economic Theory Department. University of Barcelona , Complutense University of Madrid and University of Barcelona
Date Posted: January 13, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper First Passage Times of Regime Switching Models
Statistics & Probability Letters, Vol. 92, pp. 148-157, 2014.
Peter Hieber
University of Ulm - Department of Mathematics and Economics
Date Posted: January 12, 2015
Accepted Paper Series
16 downloads

Incl. Electronic Paper Risk Premia and the VIX Term Structure
Travis L. Johnson
The University of Texas at Austin - Department of Finance
Date Posted: January 11, 2015
Working Paper Series
392 downloads

Incl. Electronic Paper High Performance American Option Pricing
Leif B. G. Andersen , Mark Lake and Dimitri Offengenden
Bank of America Merrill Lynch , Bank of America Merrill Lynch and Strategist
Date Posted: January 11, 2015
Working Paper Series
105 downloads

How Do Density Ceiling Controls Affect Housing Prices and Urban Boundaries?
Journal of Real Estate Finance and Economics, Vol. 50, No. 2, 2015
Jyh-Bang Jou and Tan (Charlene) Lee
National Taiwan University and University of Auckland
Date Posted: January 10, 2015
Last Revised: January 14, 2015
Accepted Paper Series

Incl. Electronic Paper Latency and Asset Prices
Andrei A. Kirilenko and Gui Lamacie
Massachusetts Institute of Technology (MIT) Sloan School of Management and BM&F BOVESPA
Date Posted: January 09, 2015
Last Revised: January 18, 2015
Working Paper Series
91 downloads

Incl. Electronic Paper Hedging Under Generalized Good-Deal Bounds and Model Uncertainty
Dirk Becherer and Klebert Kentia
Humboldt University of Berlin - Faculty of Mathematics and Natural Sciences and Humboldt University of Berlin - Department of Mathematics
Date Posted: January 08, 2015
Last Revised: January 11, 2015
Working Paper Series
29 downloads

Incl. Electronic Paper The Determinants of Global Bank Credit-Default-Swap Spreads
Bank of Finland Research Discussion Paper No. 33/2014
Iftekhar Hasan , Liuling Liu and Gaiyan Zhang
Fordham University , Bowling Green State University - College of Business Administration and University of Missouri at St. Louis - College of Business Administration
Date Posted: January 08, 2015
Working Paper Series
33 downloads

Incl. Electronic Paper Empirical Implication of the Efficient Market Model
Robert G. James
California State University, Chico
Date Posted: January 07, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper A Method of Forecasting Wholesale Electricity Market Prices
Joe Maisano , Alex Radchik and Igor Skryabin
University of Technology Sydney (UTS) , University of Technology, Sydney and ANU Energy Change Institute
Date Posted: January 06, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Exercise Boundary Violations in American-Style Options: The Rule, not the Exception
Kelley School of Business Research Paper No. 15-10
Robert H. Battalio , Stephen Figlewski and Robert Neal
University of Notre Dame - Department of Finance , New York University - Stern School of Business and Indiana University - Kelley School of Business
Date Posted: January 05, 2015
Working Paper Series
38 downloads

Incl. Electronic Paper Do We Need Alternative Approach Modelling Demand for Risks?
Yiyong Yuan
Southwestern University of Finance and Economics (SWUFE)
Date Posted: January 02, 2015
Last Revised: January 10, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Analogy Based Valuation of Commodity Options
Hammad Siddiqi
University of Queensland
Date Posted: January 02, 2015
Working Paper Series
24 downloads

Incl. Electronic Paper Efficient Pricing Barrier Options and CDS in Lévy Models with Stochastic Interest Rate
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and University of Leicester - Department of Mathematics
Date Posted: January 02, 2015
Last Revised: January 17, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper A Structural Model with Jump Diffusion Processes
Binh Thanh Dao
Hanoi University - Faculty of Management and Tourism
Date Posted: December 31, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Superhedging Under Ratio Constraint
Yingshan Chen , Min Dai , Jing Xu and Mingyu Xu
National University of Singapore (NUS) - Department of Mathematics , National University of Singapore (NUS) - Department of Mathematics , National University of Singapore (NUS) - Department of Mathematics and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Date Posted: December 31, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Option-Implied Term Structures
FRB of New York Staff Report No. 706
Erik Vogt
Federal Reserve Bank of New York
Date Posted: December 31, 2014
Working Paper Series
33 downloads

Power Exchange Options
Finance Research Letters, Vol. 2, No. 2, 2005
Lloyd P. Blenman and Steven P. Clark
University of North Carolina (UNC) at Charlotte - Department of Finance & Business Law and University of North Carolina (UNC) at Charlotte
Date Posted: December 28, 2014
Accepted Paper Series

Options With Constant Underlying Elasticity in Strikes
Review of Derivatives Research, Vol. 8, No. 2, 2005
Lloyd P. Blenman and Steven P. Clark
University of North Carolina (UNC) at Charlotte - Department of Finance & Business Law and University of North Carolina (UNC) at Charlotte
Date Posted: December 28, 2014
Accepted Paper Series

Incl. Electronic Paper A Note on the Pricing of Multivariate Contingent Claims Under a Transformed-Gamma Distribution
Luiz Vitiello and Ivonia Rebelo
University of Essex - Essex Business School and London Metropolitan Business School
Date Posted: December 28, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Closed-Form Interpolation-Based Formulas for European Call Options Written on Defaultable Assets
Journal of Asset Management, Forthcoming
Greg Orosi
American University of Sharjah
Date Posted: December 26, 2014
Last Revised: January 18, 2015
Accepted Paper Series
21 downloads

Incl. Electronic Paper Is the Information Obtained from European Options on Equally Weighted Baskets Enough to Determine the Prices of Exotic Derivatives Such as Worst of Options?
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Date Posted: December 26, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper A Closed-Form Execution Strategy to Target VWAP
Álvaro Cartea and Sebastian Jaimungal
University College London and University of Toronto - Department of Statistics
Date Posted: December 24, 2014
Last Revised: January 27, 2015
Working Paper Series
62 downloads

Incl. Electronic Paper Robust Barrier Option Pricing by Frame Projection Under Exponential Levy Dynamics
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: December 23, 2014
Working Paper Series
37 downloads

Incl. Electronic Paper The Information Content of Options Prior to Changes to the S&P 500 Index
Yoni Navon
Monash University
Date Posted: December 22, 2014
Last Revised: December 23, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Risk Measuring Under Liquidity Risk
Erindi Allaj
University of Rome II
Date Posted: December 22, 2014
Working Paper Series
46 downloads

Incl. Electronic Paper The Information Content of Options Around Seasoned Equity Offerings
Yoni Navon
Monash University
Date Posted: December 22, 2014
Last Revised: December 23, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper The Joint Cross Section of Options and Bonds
Yoni Navon
Monash University
Date Posted: December 22, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper The Overnight Risk Premium in Electricity Forward Contracts
Stein-Erik Fleten , Liv Aune Hagen , Maria Tandberg Nygård , Ragnhild Smith-Sivertsen and Johan M Sollie
Norwegian University of Science and Technology (NTNU) , Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology , Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology , Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Date Posted: December 20, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper CoCos with Extension Risk: A Structural Approach
José Manuel Corcuera , José Fajardo , Wim Schoutens and Arturo Valdivia
University of Barcelona , Getulio Vargas Foundation , KU Leuven - Department of Mathematics and University of Barcelona
Date Posted: December 20, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Efficient XVA Management: Pricing, Hedging, and Allocation Using Trade-Level Regression and Global Conditioning
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Lloyds Banking Group
Date Posted: December 18, 2014
Last Revised: December 23, 2014
Working Paper Series
46 downloads


 

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