Social Science Research Network
QuickSearch SSRN eLibrary

Search Within Results


Feedback to SSRN (Beta)

SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 484,509
Full Text Papers: 393,865
Authors: 226,776
Papers Received in
  Last 12 months: 		68,968

Paper Downloads:
To date: 65,966,954
Last 12 months: 11,189,330
Last 30 days: 1,059,940

CiteReader:  What's this?
Papers with
  Resolved
  References: 		238,981
Total References: 8,480,523
Papers with Cites: 230,038
Total Citation
  Links: 		5,722,240
Papers with
  Resolved
  Footnotes: 		77,812
Total Footnotes: 8,534,471


SSRN eLibrary Search Results
JEL Code: G13
1,853,424 Total downloads
Showing Papers 1,381 - 1,430 of 4,934
Sort By
1 2 3 4 ... Last | Next >


Incl. Electronic Paper Pairing Market Risk and Credit Risk
Isabel Figuerola-Ferretti and Ioannis Paraskevopoulos
Universidad Carlos III de Madrid - Department of Business Administration and Bankia
Date Posted: March 09, 2010
Last Revised: October 08, 2012
Working Paper Series
447 downloads

Incl. Electronic Paper Truncation and Acceleration of the Tian Tree for the Pricing of American Put Options
 Ting Chen and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: March 09, 2010
Working Paper Series
504 downloads

Incl. Electronic Paper 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
University of Geneva - Department of Economics and VIP Value Investment Professionals AG
Date Posted: March 08, 2010
Last Revised: March 15, 2013
Accepted Paper Series
802 downloads

Incl. Electronic Paper A Primer on Convexity Adjustments for Libor in Arrears and Constant Maturity Swaps - Part 1
 Ram Srinivasan
Barclays - Barclays Capital - New York
Date Posted: March 06, 2010
Working Paper Series
311 downloads

Incl. Electronic Paper 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, 2010
Working Paper Series
106 downloads

Incl. Electronic Paper Credit Default Swaps Liquidity Modeling: A Survey
 Damiano Brigo , Mirela Predescu and Agostino Capponi
Department of Mathematics, Imperial College, London , BNP Paribas, London and Purdue University - School of Industrial Engineering
Date Posted: March 05, 2010
Last Revised: September 12, 2011
Working Paper Series
364 downloads

Incl. Electronic Paper LIBOR Market Models with Stochastic Basis
Bloomberg Education and Quantitative Research Paper No. 2010-05-FRONTIERS
Fabio Mercurio
Bloomberg L.P.
Date Posted: March 05, 2010
Last Revised: June 08, 2010
Working Paper Series
1540 downloads

Incl. Electronic Paper Efficient Construction of Robust Hedging Strategies Under Jump Models
 Matt Davison and Vladimir Surkov
University of Western Ontario and affiliation not provided to SSRN
Date Posted: March 04, 2010
Working Paper Series
269 downloads

Incl. Electronic Paper Valuing Early Exercise Interest Rate Options with Multi-Factor Affine Models
 Sebastian Jaimungal and Vladimir Surkov
University of Toronto - Department of Statistics and affiliation not provided to SSRN
Date Posted: March 04, 2010
Last Revised: November 05, 2012
Working Paper Series
413 downloads

Incl. Fee Electronic Paper Improving Portfolio Selection Using Option-Implied Volatility and Skewness
CEPR Discussion Paper No. DP7686
 Victor DeMiguel , Yuliya Plyakha , Raman Uppal and Grigory Vilkov
London Business School , Goethe University Frankfurt am Main , EDHEC Business School and Goethe University Frankfurt - Department of Finance
Date Posted: March 01, 2010
Working Paper Series
13 downloads

Incl. Electronic Paper 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
National Yunlin University of Science and Technology , Nanhua University and National Yunlin University of Science and Technology
Date Posted: February 27, 2010
Accepted Paper Series
80 downloads

Incl. Electronic Paper Short-Rate Pricing After the Liquidity and Credit Shocks: Including the Basis
 Chris Kenyon
Lloyds Banking Group - Wholesale Banking & Markets
Date Posted: February 24, 2010
Last Revised: August 20, 2010
Working Paper Series
743 downloads

Incl. Electronic Paper On the Term Structure of Interest Rates with Basis Spreads, Collateral and Multiple Currencies
 Masaaki Fujii , Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics , Shinsei Bank, Ltd and University of Tokyo - Graduate School of Economics
Date Posted: February 21, 2010
Last Revised: March 23, 2010
Working Paper Series
1077 downloads

Incl. Electronic Paper 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
University of Alabama - Department of Economics, Finance and Legal Studies
Date Posted: February 20, 2010
Last Revised: November 03, 2012
Accepted Paper Series
372 downloads

Incl. Electronic Paper Is the Diversification Discount Caused by the Book Value Bias of Debt?
Journal of Banking and Finance, Forthcoming
 Markus Glaser and Sebastian Müller
Ludwig Maximilians University of Munich - Faculty of Business Administration (Munich School of Management) and University of Mannheim - Department of Business Administration and Finance, Especially Banking
Date Posted: February 20, 2010
Working Paper Series
321 downloads

Incl. Electronic Paper Convergence of Heston to SVI
Quantitative Finance, Vol. 11, No. 8, pp. 1129-1132, 2011
 Jim Gatheral and Antoine Jacquier
Baruch College, CUNY and Imperial College London - Department of Mathematics
Date Posted: February 19, 2010
Last Revised: July 31, 2011
Accepted Paper Series
782 downloads

Incl. Electronic Paper 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
Independent , University of Tulsa and Missouri University of Science and Technology - Department of Economics
Date Posted: February 18, 2010
Accepted Paper Series
39 downloads

Incl. Electronic Paper Anchoring Bias in TARP Warrant Negotiations
Journal of Economics and Business, Vol. 8, No. 1, pp. 32-42, 2012
 Linus Wilson
University of Louisiana at Lafayette - College of Business Administration
Date Posted: February 17, 2010
Last Revised: March 29, 2012
Working Paper Series
113 downloads

Incl. Electronic Paper American Option Pricing and Exercising with Transaction Costs
Norwegian School of Economics and Business Administration Discussion Paper No. 15/2003
 Valeriy Zakamulin
University of Agder - Faculty of Economics
Date Posted: February 15, 2010
Working Paper Series
158 downloads

Incl. Electronic Paper Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions
Journal of Economic Theory, Vol 146, 2011
 An Chen , Antoon Pelsser and Michel Vellekoop
University of Ulm - Department of Mathematics and Economics , Maastricht University and University of Twente - Department of Applied Mathematics
Date Posted: February 15, 2010
Last Revised: September 08, 2011
Accepted Paper Series
81 downloads

Incl. Electronic Paper 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
Hong Kong Monetary Authority - Research Department , Hong Kong Monetary Authority - Research Department and Chinese University of Hong Kong (CUHK)
Date Posted: February 15, 2010
Last Revised: May 03, 2013
Accepted Paper Series
240 downloads

Incl. Electronic Paper First-Passage Probability, Jump Models and Intra-Horizon Risk
Journal of Financial Economics, Vol. 95, No. 1, 2010
 Gurdip Bakshi and George Panayotov
University of Maryland - Robert H. Smith School of Business and Georgetown University - Robert Emmett McDonough School of Business
Date Posted: February 14, 2010
Accepted Paper Series
74 downloads

Incl. Electronic Paper A Short Note on Market-Consistent Calibration of Static Recovery Rates
 Chris Kenyon and Ralf Werner
Lloyds Banking Group - Wholesale Banking & Markets and Hochschule München
Date Posted: February 12, 2010
Last Revised: March 03, 2010
Working Paper Series
98 downloads

Incl. Electronic Paper Time-Consistent and Market-Consistent Actuarial Valuations
 Antoon Pelsser
Maastricht University
Date Posted: February 12, 2010
Working Paper Series
89 downloads

Incl. Fee Electronic Paper Performance Maximization of Actively Managed Funds
CEPR Discussion Paper No. DP7676
 Paolo Guasoni , Gur Huberman and Zhenyu Wang
Boston University - Department of Mathematics and Statistics , Columbia Business School - Finance and Economics and Kelley School of Business, Indiana University
Date Posted: February 10, 2010
Working Paper Series
3 downloads

Incl. Electronic Paper 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, 2010
Working Paper Series
61 downloads

Incl. Electronic Paper 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
National Chung Hsing University
Date Posted: February 09, 2010
Working Paper Series
443 downloads

Incl. Electronic Paper 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
University of Waterloo, David R. Cheriton School of Computer Science , University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Date Posted: February 08, 2010
Last Revised: February 26, 2011
Working Paper Series
595 downloads

Incl. Electronic Paper Optimal Arbitrage Strategies on Stock Index Futures Under Position Limits
 Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Date Posted: February 08, 2010
Last Revised: May 07, 2010
Working Paper Series
335 downloads

Incl. Electronic Paper Actuarial Transform Pricing
 Oleg A. Ruban , Luiz Vitiello and Ser-Huang Poon
MSCI Inc. , University of Essex - Essex Business School and University of Manchester - Business School
Date Posted: February 07, 2010
Working Paper Series
70 downloads

Incl. Electronic Paper Interest Rate Risk Hedging Demand Under a Gaussian Framework
 Sami Attaoui and Pierre Six
Rouen Business School and Rouen Business School
Date Posted: February 06, 2010
Working Paper Series
116 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
Bloomberg LP
Date Posted: February 05, 2010
Accepted Paper Series

Incl. Electronic Paper Efficient Analytic Approximation of the Optimal Hedging Strategy for a European Call Option with Transaction Costs
 Valeriy Zakamulin
University of Agder - Faculty of Economics
Date Posted: February 04, 2010
Last Revised: February 09, 2010
Working Paper Series
188 downloads

Incl. Electronic Paper European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs
Norwegian School of Economics and Business Administration Discussion Paper No. 19 2002
 Valeriy Zakamulin
University of Agder - Faculty of Economics
Date Posted: February 04, 2010
Working Paper Series
139 downloads

Incl. Electronic Paper An Analysis of Extreme Price Shocks and Illiquidity Among Systematic Trend Followers
 Bernard Lee , Shih-Fen Cheng and Annie Koh
HedgeSPA (Hedge Funds and Sophisticated Products Advisors) , Singapore Management University - School of Information Systems and Singapore Management University - Business Development and External Relations
Date Posted: February 03, 2010
Last Revised: June 20, 2010
Working Paper Series
219 downloads

Incl. Electronic Paper Realizing Smiles: Options Pricing with Realized Volatility
Swiss Finance Institute Research Paper No. 10-05
 Nicola Fusari and Davide La Vecchia
Northwestern University - Kellogg School of Management and University of Saint Gallen - Swiss Institute of Banking and Finance
Date Posted: February 03, 2010
Last Revised: November 22, 2011
Working Paper Series
375 downloads

Incl. Electronic Paper Affine Versus Non-Affine Stochastic Volatility and the Impact on Asset Allocation
 Alexandra Hansis
Goethe University Frankfurt - House of Finance
Date Posted: February 01, 2010
Last Revised: March 18, 2010
Working Paper Series
118 downloads

Incl. Electronic Paper Super Replication and Uncertain Volatility: European, American and Passport Options
 Matthieu Leblanc
Independent
Date Posted: February 01, 2010
Working Paper Series
94 downloads

Incl. Electronic Paper 1992 ISDA Master Agreement: Analyzing Market Quotation, Set-Off and Loss
 Rupert Macey-Dare
St. Cross College, Oxford
Date Posted: January 31, 2010
Last Revised: January 26, 2011
Working Paper Series
700 downloads

Incl. Electronic Paper An Equity-Interest Rate Hybrid Model with Stochastic Volatility and the Interest Rate Smile
Delft Univ. of Technology Technical Report No. 10-01
 Lech A. Grzelak and Cornelis W. Oosterlee
Centrum Wiskunde en Informatica and Center for Mathematics and Computer Science (CWI)
Date Posted: January 31, 2010
Working Paper Series
484 downloads

Incl. Electronic Paper Unbounded Volatility in the Uncertain Volatililty Model
 Matthieu Leblanc and Claude Martini
Independent and Institut National de Recherche en Informatique et Automatique (INRIA)
Date Posted: January 30, 2010
Working Paper Series
33 downloads

Incl. Electronic Paper A Tale of Two Volatilities
 Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 13, 2010
Working Paper Series
132 downloads

Incl. Electronic Paper Accounting to Acceptability: With Applications to the Pricing of Ones Own Credit Risk
Robert H. Smith School Research Paper No. RHS 06-113
 Ernst Eberlein , Thomas Gehrig and Dilip B. Madan
University of Freiburg , University of Vienna - Faculty of Business, Economics, and Statistics and University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 03, 2010
Working Paper Series
223 downloads

Incl. Electronic Paper Capital Requirements, Acceptable Risks and Profits
 Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 14, 2011
Working Paper Series
78 downloads

Incl. Electronic Paper Local Volatility Enhanced by a Jump to Default
Robert H. Smith School Research Paper No. RHS 06-119
 Peter Carr and Dilip B. Madan
New York University (NYU) - Courant Institute of Mathematical Sciences and University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 13, 2010
Working Paper Series
224 downloads

Incl. Electronic Paper Non Gaussian Models of Dependence in Returns
Robert H. Smith School Research Paper No. RHS 06-112
 Ajay Khanna and Dilip B. Madan
affiliation not provided to SSRN and University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 14, 2010
Working Paper Series
174 downloads

Incl. Electronic Paper On Correlating Lévy Processes
Robert H. Smith School Research Paper No. RHS 06-118
 Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 13, 2010
Working Paper Series
212 downloads

Incl. Electronic Paper On Pricing Risky Loans and Collateralized Fund Obligations
Robert H. Smith School Research Paper No. RHS 06-145
 Ernst Eberlein , Hélyette Geman and Dilip B. Madan
University of Freiburg , University of London, Birkbeck College - School of Economics, Mathematics and Statistics and University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: January 30, 2011
Working Paper Series
77 downloads

Incl. Electronic Paper Options on Realized Variance and Convex Orders
 Peter Carr , Hélyette Geman , Marc Yor and Dilip B. Madan
New York University (NYU) - Courant Institute of Mathematical Sciences , University of London, Birkbeck College - School of Economics, Mathematics and Statistics , Universite Paris and University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Working Paper Series
222 downloads

Incl. Electronic Paper Pricing and Hedging Basket Options to Prespecified Levels of Acceptability
Robert H. Smith School Research Paper No. RHS 06-147
 Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: January 30, 2011
Working Paper Series
139 downloads


 

1 2 3 4 ... Last | Next >


 

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo4 in 0.672 seconds