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1,852,252 Total downloads
Showing Papers 1,361 - 1,410 of 4,932
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Market Regimes, Sectorial Investments, and Time-Varying Risk Premiums
Kuan Xu ,
Payton LIu
and
Yonggan Zhao
Date Posted: March 18, 201075 downloads
The Impact of the Federal Reserve's Interest Rate Target Announcement on Stock Prices: A Closer Look at how the Market Impounds New Information
Justin Birru
and
Stephen Figlewski
Date Posted: March 18, 2010Last Revised: April 02, 2010180 downloads
Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008
Justin Birru
and
Stephen Figlewski
Date Posted: March 17, 2010116 downloads
Rollover Risk and Corporate Bond Spreads
Patricio Valenzuela
Date Posted: March 17, 2010138 downloads
Testing for Spurious Long Memory: A Monte Carlo Comparison with an Application to Credit Default Swaps
Arturo Leccadito
,
Omar Rachedi
and
Giovanni Urga
Date Posted: March 17, 201077 downloads
The Impact of Liquidity on Option Prices
Robin K. Chou ,
Yu-Jen Hsiao
,
Yaw-Huei Wang and
San-Lin Chung
Date Posted: March 17, 2010109 downloads
Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison Review of Derivatives Research, Vol. 13, No. 1, pp. 75-99, 2010
Minqiang Li
Date Posted: March 15, 2010
Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market
Eric C. Chang ,
Lei Shi
and
Jin E. Zhang
Date Posted: March 15, 2010172 downloads
Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency University of Heidelberg, Department of Economics, Discussion Paper No. 497
Christian Conrad
,
Daniel Rittler
and
Waldemar Rotfuss
Date Posted: March 15, 201054 downloads
Options on Realized Variance in Log-OU models Applied Mathematical Finance, 19(5), 477-494, (2012)
Gabriel G. Drimus
Date Posted: March 15, 2010Last Revised: November 07, 2012240 downloads
Samuelson Hypothesis and Carry Arbitrage Journal of Derivatives, Vol. 20, No. 2, 2012
Robert Brooks
Date Posted: March 15, 2010Last Revised: November 03, 2012
The Equity-Smile and Credit-Spread Puzzles: Are They One and the Same?
Gordon Gemmill and
Yiran Yang
Date Posted: March 12, 2010102 downloads
An Empirical Model Comparison for Valuing Crack Spread Options
Steffen Mahringer
and
Marcel Prokopczuk
Date Posted: March 11, 2010Last Revised: July 26, 2011231 downloads
An Equilibrium Approach to Indifference Pricing
Mark Davis
and
Daisuke Yoshikawa
Date Posted: March 11, 2010Last Revised: March 30, 201289 downloads
Credit Default Swap Spreads and Variance Risk Premia AFA 2011 Denver Meetings Paper
Hao Wang ,
Hao Zhou and
Yi Zhou
Date Posted: March 11, 2010Last Revised: September 05, 2010270 downloads
Dynamic Hedging Strategies: An Application to the Crude Oil Market
Delphine Lautier
and
Alain G. Galli
affiliation not provided to SSRN
and
Cerna Mines-Paristech
Date Posted: March 11, 2010362 downloads
Tail Return Analysis of Bear Stearns Credit Default Swaps
Liuling Li
and
Bruce Mizrach
Date Posted: March 11, 2010Last Revised: March 16, 2010179 downloads
The Relation Between Physical and Risk-Neutral Cumulants
Eric C. Chang ,
Jin E. Zhang and
Huimin Zhao
Date Posted: March 10, 2010Last Revised: March 16, 2010106 downloads
Pairing Market Risk and Credit Risk
Isabel Figuerola-Ferretti and
Ioannis Paraskevopoulos
Date Posted: March 09, 2010Last Revised: October 08, 2012447 downloads
Truncation and Acceleration of the Tian Tree for the Pricing of American Put Options
Ting Chen
and
Mark S. Joshi
Date Posted: March 09, 2010502 downloads
Calibrating Option Pricing Models with Heuristics NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Anthony Brabazon, Michael O'Neill, Dietmar Maringer, eds., Vol. 4, Springer, 2011
Manfred Gilli and
Enrico Schumann
Date Posted: March 08, 2010Last Revised: March 15, 2013801 downloads
A Primer on Convexity Adjustments for Libor in Arrears and Constant Maturity Swaps - Part 1
Ram Srinivasan
Date Posted: March 06, 2010309 downloads
Comment on 'Option Pricing Under the Merton Model of the Short Rate'
Don McLeish
and
Zhenyu Cui
affiliation not provided to SSRN
and
University of Waterloo
Date Posted: March 05, 2010106 downloads
Credit Default Swaps Liquidity Modeling: A Survey
Damiano Brigo ,
Mirela Predescu
and
Agostino Capponi
Date Posted: March 05, 2010Last Revised: September 12, 2011364 downloads
LIBOR Market Models with Stochastic Basis Bloomberg Education and Quantitative Research Paper No. 2010-05-FRONTIERS
Fabio Mercurio
Date Posted: March 05, 2010Last Revised: June 08, 20101539 downloads
Efficient Construction of Robust Hedging Strategies Under Jump Models
Matt Davison
and
Vladimir Surkov
affiliation not provided to SSRN
Date Posted: March 04, 2010268 downloads
Valuing Early Exercise Interest Rate Options with Multi-Factor Affine Models
Sebastian Jaimungal
and
Vladimir Surkov
affiliation not provided to SSRN
Date Posted: March 04, 2010Last Revised: November 05, 2012412 downloads
Improving Portfolio Selection Using Option-Implied Volatility and Skewness CEPR Discussion Paper No. DP7686
Victor DeMiguel ,
Yuliya Plyakha
,
Raman Uppal and
Grigory Vilkov
Date Posted: March 01, 201013 downloads
Information Spillovers in the Spot and ETF Indices in Taiwan Global Journal of Business Research, Vol. 3, No. 1, pp. 117-131, 2009
Chien-Cheng Wang
,
Yung-Shi Liau
and
Jack J.W. Yang
Date Posted: February 27, 201080 downloads
Short-Rate Pricing After the Liquidity and Credit Shocks: Including the Basis
Chris Kenyon
Date Posted: February 24, 2010Last Revised: August 20, 2010741 downloads
On the Term Structure of Interest Rates with Basis Spreads, Collateral and Multiple Currencies
Masaaki Fujii
,
Yasufumi Shimada
and
Akihiko Takahashi
Date Posted: February 21, 2010Last Revised: March 23, 20101077 downloads
A Life Cycle View of Enterprise Risk Management: The Case of Southwest Airlines Jet Fuel Hedging Journal of Financial Education, Vol. 38, No. 3/4, 2012.
Robert Brooks
Date Posted: February 20, 2010Last Revised: November 03, 2012370 downloads
Is the Diversification Discount Caused by the Book Value Bias of Debt? Journal of Banking and Finance, Forthcoming
Markus Glaser
and
Sebastian Müller
Date Posted: February 20, 2010321 downloads
Convergence of Heston to SVI Quantitative Finance, Vol. 11, No. 8, pp. 1129-1132, 2011
Jim Gatheral
and
Antoine Jacquier
Date Posted: February 19, 2010Last Revised: July 31, 2011781 downloads
The Effects of Congressional Elections on Future Equity Market Returns Global Journal of Business Research, Vol. 2, No. 1, pp.1-15, 2008
Vincent Louis Ovlia
,
David Enke
and
Michael C. Davis
Date Posted: February 18, 201039 downloads
Anchoring Bias in TARP Warrant Negotiations Journal of Economics and Business, Vol. 8, No. 1, pp. 32-42, 2012
Linus Wilson
Date Posted: February 17, 2010Last Revised: March 29, 2012113 downloads
American Option Pricing and Exercising with Transaction Costs Norwegian School of Economics and Business Administration Discussion Paper No. 15/2003
Valeriy Zakamulin
Date Posted: February 15, 2010158 downloads
Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions Journal of Economic Theory, Vol 146, 2011
An Chen
,
Antoon Pelsser and
Michel Vellekoop
Date Posted: February 15, 2010Last Revised: September 08, 201181 downloads
Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities Asia-Pacific Financial Markets, Vol 20(2): 131–146, (2013),
C. H. Hui ,
T. K. Chung and
C.F. Lo
Date Posted: February 15, 2010Last Revised: May 03, 2013240 downloads
First-Passage Probability, Jump Models and Intra-Horizon Risk Journal of Financial Economics, Vol. 95, No. 1, 2010
Gurdip Bakshi and
George Panayotov
Date Posted: February 14, 201074 downloads
A Short Note on Market-Consistent Calibration of Static Recovery Rates
Chris Kenyon
and
Ralf Werner
Date Posted: February 12, 2010Last Revised: March 03, 201098 downloads
Time-Consistent and Market-Consistent Actuarial Valuations
Antoon Pelsser
Date Posted: February 12, 201089 downloads
Performance Maximization of Actively Managed Funds CEPR Discussion Paper No. DP7676
Paolo Guasoni ,
Gur Huberman and
Zhenyu Wang
Date Posted: February 10, 20103 downloads
Strategic Pricing of Financial Options Dresden Discussion Paper in Economics No. 16/09
Volker Bieta
,
Udo Broll ,
Hellmuth Milde
and
Wilfried Siebe
affiliation not provided to SSRN
,
Dresden University of Technology - Faculty of Economics and Business Management
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: February 09, 201061 downloads
VIX Option Pricing and CBOE VIX Term Structure: A New Methodology for Volatility Derivatives Valuation 17th Conference on the Theories and Practices of Securities and Financial Markets, 2009
Yueh-Neng Lin
Date Posted: February 09, 2010441 downloads
GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model
Duy Minh Dang ,
Christina Christara
and
Kenneth R. Jackson
Date Posted: February 08, 2010Last Revised: February 26, 2011595 downloads
Optimal Arbitrage Strategies on Stock Index Futures Under Position Limits
Min Dai
and
Yue Kuen Kwok
Date Posted: February 08, 2010Last Revised: May 07, 2010335 downloads
Actuarial Transform Pricing
Oleg A. Ruban
,
Luiz Vitiello
and
Ser-Huang Poon
Date Posted: February 07, 201070 downloads
Interest Rate Risk Hedging Demand Under a Gaussian Framework
Sami Attaoui
and
Pierre Six
Date Posted: February 06, 2010116 downloads
A Damped Diffusion Framework for Financial Modeling and Closed-Form Maximum Likelihood Estimation Journal of Economic Dynamics and Control, Vol. 34, No. 2, 2010
Minqiang Li
Date Posted: February 05, 2010
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