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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 672,756
Full Text Papers: 563,442
Authors: 310,111
Papers Received in
  Last 12 months:
66,766

Paper Downloads:
To date: 99,409,701
Last 12 months: 12,850,386
Last 30 days: 1,075,024

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  References:
303,887
Total References: 8,936,823
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Total Citation
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5,711,831
Papers with
  Resolved
  Footnotes:
91,673
Total Footnotes: 8,995,613


SSRN eLibrary Search Results
JEL Code: G13
2,401,562 Total downloads
Showing Papers 1,351 - 1,400 of 6,171
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1 2 3 4 ... 124 | Next >
   


Incl. Electronic Paper Option Pricing Model: Comparing Louis Bachelier with Black-Scholes Merton
Ian A Thomson
Independent
Date Posted: May 22, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper The Jacobi Stochastic Volatility Model
Swiss Finance Institute Research Paper No. 16-35
Damien Ackerer , Damir Filipović and Sergio Pulido
Ecole Polytechnique Fédérale de Lausanne , Ecole Polytechnique Fédérale de Lausanne and Carnegie Mellon University
Date Posted: May 21, 2016
Working Paper Series
39 downloads

Incl. Electronic Paper Linear Credit Risk Models
Swiss Finance Institute Research Paper No. 16-34
Damien Ackerer and Damir Filipović
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: May 21, 2016
Working Paper Series
31 downloads

Incl. Electronic Paper Valuing Barrier Options
Rossano Giandomenico
Independent
Date Posted: May 19, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Stochastic Volatility
Rossano Giandomenico
Independent
Date Posted: May 19, 2016
Working Paper Series
40 downloads

Incl. Electronic Paper Explicit Finite Difference Methods
Rossano Giandomenico
Independent
Date Posted: May 19, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Asian Options
Rossano Giandomenico
Independent
Date Posted: May 19, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Local Volatility Under Stochastic Interest Rates Using Mixture Models
Mark S. Joshi and Navin Ranasinghe
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: May 17, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper Cobertura de Carteras Índice de Renta Variable con Futuros sobre el Ibex 35 (Hedging Equity Stock Index Portfolios with Stock Index Futures on the Ibex 35)
Javier Sánchez-Verdasco
Independent
Date Posted: May 15, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Electricity Forward Curves with Thin Granularity
Ruggero Caldana , Gianluca Fusai and Andrea Roncoroni
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and ESSEC Business School
Date Posted: May 12, 2016
Working Paper Series
35 downloads

Incl. Electronic Paper Securitization of a Portfolio of Rainfall Insurances Using Rainfall Bonds and European Call Options
Anand Shah
Tata Consultancy Services
Date Posted: May 12, 2016
Last Revised: May 20, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Pricing of Rainfall Insurance Using Gaussian and t Copulas
Anand Shah
Tata Consultancy Services
Date Posted: May 11, 2016
Last Revised: May 20, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Pricing and Risk Mitigation Analysis of a Cyber Liability Insurance using Gaussian, t and Gumbel Copulas – A Case for Cyber Risk Index
Anand Shah
Tata Consultancy Services
Date Posted: May 11, 2016
Last Revised: May 18, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Differential Awareness and the Pricing Kernel Puzzle
Hammad Siddiqi and John Quiggin
University of Queensland and University of Queensland - Business School
Date Posted: May 11, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Credit Risk Spillover between Financials and Sovereigns in the Euro Area During 2007-2015
ECB Working Paper No. 1898
Olivier Vergote
European Central Bank (ECB)
Date Posted: May 11, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Exchange Rate Dynamics and US Dollar-Denominated Sovereign Bond Prices in Emerging Markets
HKIMR Working Paper No.07/2016
C. H. Hui , Chi-Fai Lo and Po-Hon Chau
Hong Kong Monetary Authority - Research Department , The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Date Posted: May 11, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Unbiased Monte Carlo Simulation of Diffusion Processes
Louis Paulot
Misys
Date Posted: May 08, 2016
Working Paper Series
32 downloads

Incl. Electronic Paper Ambiguity, Volatility, and Credit Risk
Patrick Augustin and Yehuda (Yud) Izhakian
McGill University, Desautels Faculty of Management and New York University (NYU) - Leonard N. Stern School of Business
Date Posted: May 07, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper The Carry Trade and Implied Moment Risk
Michael Broll
University of Duisburg-Essen - Department of Economics and Business Administration
Date Posted: May 06, 2016
Working Paper Series
48 downloads

Incl. Electronic Paper State Price Densities Implied from Weather Derivatives
SFB 649 Discussion Paper 2013-026
Wolfgang K. Härdle , Brenda López Cabrera and Huei-Wen Teng
Humboldt University of Berlin - Institute for Statistics and Econometrics , Humboldt University of Berlin and National Central University at Taiwan
Date Posted: May 06, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Implied Basket Correlation Dynamics
Statistics & Risk Modelling, 2014, SFB 649 Discussion Paper 2012-066
Wolfgang K. Härdle and Elena Silyakova
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Date Posted: May 06, 2016
Accepted Paper Series
30 downloads

Incl. Electronic Paper Risk Premia and Seasonality in Commodity Futures
Bank of England Working Paper No. 591
Constantino Hevia , Ivan Petrella and Martín Sola
Universidad Torcuato Di Tella - Departamento de Economia , Bank of England and Universidad Torcuato Di Tella
Date Posted: May 06, 2016
Working Paper Series
49 downloads

Incl. Electronic Paper Leverage and Optimal Debt Maturity Structure
Hui Xu
Department of Economics, University of Illinois
Date Posted: May 05, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Risk Aversion, Fanning Preference, and Volatility Smirk on S&P500 Index Options
Applied Economics, Forthcoming
Jian Chen and Chenghu Ma
Xiamen University - School of Economics and Fudan University - School of Management
Date Posted: May 04, 2016
Accepted Paper Series
11 downloads

Incl. Electronic Paper Calibrating a Market Model to Commodity and Interest Rate Risk
Patrik Karlsson , Kay F. Pilz and Erik Schlogl
ING Bank , RIVACON and University of Technology Sydney (UTS) - School of Finance and Economics
Date Posted: May 04, 2016
Working Paper Series
35 downloads

Incl. Electronic Paper The Joint Cross-Sectional Variation of Equities and Volatilities
Ana Gonzalez-Urteaga and Gonzalo Rubio
Public University of Navarre and Universidad CEU Cardenal Herrera
Date Posted: May 03, 2016
Working Paper Series
28 downloads

Incl. Electronic Paper Pricing Contingent Claims under Jump Uncertainty
Christoph Belak and Olaf Menkens
University of Trier and Dublin City University - School of Mathematical Sciences
Date Posted: May 03, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper Jump Activity Analysis for Affine Jump-Diffusion Models: Evidences from the Commodity Market
José Da Fonseca and Katja Ignatieva
Auckland University of Technology - Faculty of Business & Law and University of New South Wales - Australian School of Business
Date Posted: May 01, 2016
Working Paper Series
28 downloads

Incl. Electronic Paper Forward Premia in Electricity Markets with Fixed and Flexible Retail Rates: Replication and Extension
Robert Schuman Centre for Advanced Studies Research Paper No. RSCAS 2016/24
Silvester Van Koten
University of Economics, Prague - Department of Institutional Economics
Date Posted: April 29, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Pricing Bermudan Options Under Local Lévy Models with Default
Anastasia Borovykh , Andrea Pascucci and Cornelis W. Oosterlee
University of Bologna - Department of Mathematics , University of Bologna - Department of Mathematics and Center for Mathematics and Computer Science (CWI)
Date Posted: April 29, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper What is the Expected Return on a Stock?
Ian Martin and Christian Wagner
London School of Economics & Political Science (LSE) - Department of Finance and Copenhagen Business School
Date Posted: April 28, 2016
Working Paper Series
165 downloads

Incl. Electronic Paper Forward Premia in Electricity Markets with Fixed and Flexible Retail Rates: Replication and Extension
Robert Schuman Centre for Advanced Studies Research Paper No. RSCAS 2016/24
Silvester Van Koten
University of Economics, Prague - Department of Institutional Economics
Date Posted: April 27, 2016
Working Paper Series
5 downloads

Bank Portfolio Risk and Interest Rate Spread of Risky Loans: Methodological Analysis
Journal of Financial Management and Analysis, Vol. 28(2), 2015
Hua Yu
University of Quebec at Trois Rivieres
Date Posted: April 26, 2016
Accepted Paper Series

Incl. Electronic Paper The Information Hidden in Derivatives Markets
Peregrine Securities, 2016
Emlyn James Flint , Anthony J. Seymour and Florence Chikurunhe
Peregrine Securities , University of Cape Town (UCT) and Peregrine Securities
Date Posted: April 25, 2016
Last Revised: May 10, 2016
Working Paper Series
94 downloads

Incl. Electronic Paper Nonparametric Tail Risk, Stock Returns and the Macroeconomy
Caio Almeida , Kym Marcel Martins Ardison , René Garcia and Jose Vicente
Getulio Vargas Foundation , Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças , EDHEC Business School and Government of the Federative Republic of Brazil - Central Bank of Brazil
Date Posted: April 25, 2016
Last Revised: April 30, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper In Search of the Perfect Hedge Underlying
Peregrine Securities, 2015
Emlyn James Flint , Anthony J. Seymour and Florence Chikurunhe
Peregrine Securities , University of Cape Town (UCT) and Peregrine Securities
Date Posted: April 23, 2016
Last Revised: May 17, 2016
Working Paper Series
33 downloads

Incl. Electronic Paper Currency Hedge Design: Accounting for Uncertain Correlation and Volatility
Peregrine Securities, 2015
Anthony J. Seymour , Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT) , Peregrine Securities and Peregrine Securities
Date Posted: April 23, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper Multi-Curve Discounting
Bert-Jan Nauta
RBS
Date Posted: April 22, 2016
Working Paper Series
48 downloads

Incl. Electronic Paper Currency Management for Offshore Investing
Peregrine Securities, 2015
Anthony J. Seymour , Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT) , Peregrine Securities and Peregrine Securities
Date Posted: April 22, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper A Guide to South African Volatility: Understanding, Modelling, Investing & Hedging
Peregrine Securities, 2014
Emlyn James Flint , Florence Chikurunhe and Anthony J. Seymour
Peregrine Securities , Peregrine Securities and University of Cape Town (UCT)
Date Posted: April 22, 2016
Last Revised: April 28, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Adapting to Market Regimes with Timed Hedging
Peregrine Securities, 2014
Emlyn James Flint , Anthony J. Seymour and Florence Chikurunhe
Peregrine Securities , University of Cape Town (UCT) and Peregrine Securities
Date Posted: April 22, 2016
Last Revised: April 28, 2016
Working Paper Series
29 downloads

Incl. Electronic Paper Single Stock and Custom Basket Options in Fund Management
Peregrine Securities, 2014
Anthony J. Seymour , Emlyn James Flint and Florence Chikurunhe
University of Cape Town (UCT) , Peregrine Securities and Peregrine Securities
Date Posted: April 22, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Currency Options for Fund Managers
Peregrine Securities, 2016
Anthony J. Seymour , Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT) , Peregrine Securities and Peregrine Securities
Date Posted: April 22, 2016
Working Paper Series
25 downloads

Incl. Electronic Paper Historical Analysis of Exotic Options: A General Framework
Peregrine Securities, 2013
Anthony J. Seymour , Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT) , Peregrine Securities and Peregrine Securities
Date Posted: April 22, 2016
Last Revised: April 28, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality
Katja Ignatieva , Andrew Song and Jonathan Ziveyi
University of New South Wales - Australian School of Business , UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Date Posted: April 21, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Hedge Design: A Systematic Approach
Pelegrine Securities, 2012
Anthony J. Seymour , Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT) , Peregrine Securities and Peregrine Securities
Date Posted: April 21, 2016
Working Paper Series
49 downloads

Incl. Electronic Paper (Un)Modelling the Volatility Surface: Valuing South African Volatility Surfaces Via Risk-Neutral Historic Return Distributions
Peregrine Securities, 2012
Emlyn James Flint , Florence Chikurunhe and Anthony J. Seymour
Peregrine Securities , Peregrine Securities and University of Cape Town (UCT)
Date Posted: April 21, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper A Universal Pairwise Local Correlation Model
Frank Koster and Daniel Oeltz
DGZ-DekaBank and Independent
Date Posted: April 19, 2016
Last Revised: May 14, 2016
Working Paper Series
28 downloads

Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
CEPR Discussion Paper No. DP10947
Mikhail Chernov , Brett R. Dunn and Francis A. Longstaff
UCLA Anderson , University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Finance Area
Date Posted: April 18, 2016
Working Paper Series

Incl. Fee Electronic Paper Term Structures of Asset Prices and Returns
CEPR Discussion Paper No. DP11227
David K. Backus , Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business , Federal Reserve Bank of New York and UCLA Anderson
Date Posted: April 18, 2016
Working Paper Series


 

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