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SSRN eLibrary Statistics:

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Abstracts: 484,056
Full Text Papers: 393,459
Authors: 226,593
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  Last 12 months: 		68,998

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To date: 65,863,139
Last 12 months: 11,179,664
Last 30 days: 1,087,336

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SSRN eLibrary Search Results
JEL Code: G13
1,850,455 Total downloads
Showing Papers 1,421 - 1,470 of 4,933
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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
221 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
221 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
211 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
76 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
221 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
138 downloads

Incl. Electronic Paper Short Positions, Rally Fears and Option Markets
Robert H. Smith School Research Paper No. RHS 06-120
 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
70 downloads

Incl. Electronic Paper The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX
Robert H. Smith School Research Paper No. RHS 06-117
 Dilip B. Madan and Marc Yor
University of Maryland - Robert H. Smith School of Business and Universite Paris
Date Posted: January 28, 2010
Last Revised: May 13, 2010
Working Paper Series
277 downloads

Incl. Electronic Paper Unlimited Liabilities, Reserve Capital Requirements and the Taxpayer Put Option
 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 10, 2010
Working Paper Series
151 downloads

Incl. Electronic Paper Variance Swap Portfolio Theory
Robert H. Smith School Research Paper No. RHS 06-114
 Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 03, 2010
Working Paper Series
294 downloads

Incl. Electronic Paper Countercyclical Macro Prudential Policies in a Supporting Role to Monetary Policy
International Monetary Fund Working Paper No. 09/257
 Papa N'Diaye
International Monetary Fund (IMF) - Asia and Pacific Department
Date Posted: January 27, 2010
Working Paper Series
114 downloads

Incl. Electronic Paper Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash
 Luca Benzoni , Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department , Columbia Business School - Finance and Economics and University of Minnesota - Twin Cities - Carlson School of Management
Date Posted: January 27, 2010
Last Revised: July 01, 2011
Working Paper Series
241 downloads

Incl. Electronic Paper Integration of the Global Carbon Markets
 Bruce Mizrach
Rutgers University, Department of Economics
Date Posted: January 27, 2010
Last Revised: December 19, 2010
Working Paper Series
261 downloads

Incl. Electronic Paper Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs
 Pierre Collin-Dufresne , Robert S. Goldstein and Jean Helwege
Columbia Business School - Finance and Economics , University of Minnesota - Twin Cities and University of South Carolina
Date Posted: January 27, 2010
Last Revised: July 01, 2011
Working Paper Series
145 downloads

Incl. Electronic Paper On the Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranches
 Pierre Collin-Dufresne , Robert S. Goldstein and Fan Yang
Columbia Business School - Finance and Economics , University of Minnesota - Twin Cities and The University of Hong Kong
Date Posted: January 27, 2010
Working Paper Series
251 downloads

Quantile Regression Analysis of the Asymmetric Return-Volatility Relation
Forthcoming in the Journal of Futures Markets
 Ihsan Badshah
Auckland University of Technology
Date Posted: January 27, 2010
Last Revised: April 09, 2012
Accepted Paper Series

Incl. Electronic Paper Approximate Basket Options Valuation for a Jump-Diffusion Model
Insurance: Mathematics and Economics, Vol. 45, No. 2, pp. 188-194, 2009
 Guoping Xu and Harry Zheng
Citi and Imperial College London - Mathematical Finance
Date Posted: January 26, 2010
Accepted Paper Series
96 downloads

Incl. Electronic Paper First Passage and Excursion Time Models for Valuing Defaultable Bonds: A Review with Some Insights
Frontiers in Finance and Economics, Vol. 5, No. 2, pp. 1-25, 2008
 Martina Nardon
Ca Foscari University of Venice - Department of Economics
Date Posted: January 26, 2010
Accepted Paper Series
46 downloads

Are Credit Spreads Too Low or Too High - A Hybrid Barrier Option Approach for Financial Distress
Journal of Futures Markets, Vol. 29, No. 12, pp. 1161-1189, 2009
 William T. LIn and David S. Sun
Tamkang University - Banking & Finance and Kai Nan University
Date Posted: January 25, 2010
Accepted Paper Series

Incl. Electronic Paper Liquidity and Trading Activity on a New Futures Market: The Thailand Futures Exchange (TFEX)
 Lars L. Norden
Stockholm University - School of Business
Date Posted: January 25, 2010
Last Revised: August 26, 2010
Working Paper Series
72 downloads

Incl. Electronic Paper An Approximate Moving Boundary Method for American Options
McCombs Research Paper Series No. IROM-02-10
 Arun Chockalingam and Kumar Muthuraman
Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences and University of Texas at Austin - McCombs School of Business
Date Posted: January 24, 2010
Last Revised: May 27, 2010
Working Paper Series
140 downloads

Incl. Electronic Paper Is the Price Kernel Monotone?
Swiss Finance Institute Research Paper No. 10-03
 Giovanni Barone-Adesi and Hakim Dall'O
Swiss Finance Institute at the University of Lugano and Swiss Finance Institute at the University of Lugano
Date Posted: January 24, 2010
Last Revised: May 07, 2010
Working Paper Series
228 downloads

Incl. Electronic Paper Diversification with Idiosyncratic Credit Spreads: A Pooled Estimation on Heterogeneous Panels
Taiwan Banking and Finance Quarterly, Vol. 8, No. 2, 2007
 William T. LIn and David S. Sun
Tamkang University - Banking & Finance and Kai Nan University
Date Posted: January 23, 2010
Accepted Paper Series
42 downloads

Long Run Credit Risk Diversification: Empirical Decomposition of Corporate Bond
Review of Securities and Futures Markets, Vol. 20, No. 2, 2008
 David S. Sun , William T. LIn and Chien Chung Nieh
Kai Nan University , Tamkang University - Banking & Finance and Tamkang University
Date Posted: January 23, 2010
Last Revised: January 27, 2010
Accepted Paper Series

Incl. Electronic Paper Is the Price Kernel Monotone?
 Giovanni Barone-Adesi and Hakim Dall'O
Swiss Finance Institute at the University of Lugano and Swiss Finance Institute at the University of Lugano
Date Posted: January 21, 2010
Working Paper Series
58 downloads

Incl. Electronic Paper Option-Implied Volatility Factors and the Cross-Section of Market Risk Premia
 Junye Li
ESSEC Business School
Date Posted: January 21, 2010
Last Revised: May 14, 2011
Working Paper Series
310 downloads

Incl. Electronic Paper Performance Maximization of Actively Managed Funds
FRB of New York Staff Report No. 427
 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: January 21, 2010
Working Paper Series
133 downloads

Incl. Electronic Paper Econometric Modeling for Transaction Cost-Adjusted Put-Call Parity: Evidence from the Currency Options Market
 Ariful Hoque
University of Southern Queensland
Date Posted: January 19, 2010
Working Paper Series
73 downloads

Incl. Electronic Paper Measuring Tail Dependence for Aggregate Collateral Losses Using Bivariate Compound Cox Process with Shot Noise Intensity
 Jiwook Jang and Genyuan Fu
Macquarie University and PricewaterhouseCoopers
Date Posted: January 19, 2010
Working Paper Series
74 downloads

Incl. Electronic Paper The Cogarch: A Review, with News on Option Pricing and Statistical Inference
 C. Klüppelberg , Ross Maller and Alexander Szimayer
Technische Universität München (TUM) , Australian National University (ANU) - School of Finance and Applied Statistics and University of Hamburg - Faculty of Economics and Business Administration
Date Posted: January 19, 2010
Working Paper Series
121 downloads

Incl. Fee Electronic Paper Valuation of Vix Derivatives
CEPR Discussion Paper No. DP7619
 Javier Mencia and Enrique Sentana
Bank of Spain and Centro de Estudios Monetarios y Financieros (CEMFI)
Date Posted: January 18, 2010
Working Paper Series
5 downloads

Incl. Electronic Paper Embedded Option in Pension Funds
 Rosa Cocozza , Angela Gallo and Giuseppe Xella
University of Naples Federico II - Faculty of Economics , Università di Salerno - Faculty of Economics and University of Naples Federico II
Date Posted: January 18, 2010
Last Revised: January 10, 2011
Working Paper Series
83 downloads

Incl. Electronic Paper Option Value Created and Destroyed by the Big Bang in the Berlin Housing Market, 1978-2007
 John M. Clapp and Thies Lindenthal
University of Connecticut - Department of Finance and Massachusetts Institute of Technology (MIT) - Center for Real Estate
Date Posted: January 18, 2010
Working Paper Series
38 downloads

Incl. Electronic Paper The Bond-Stock Mix: A New Insight
 Sami Attaoui and Pierre Six
Rouen Business School and Rouen Business School
Date Posted: January 18, 2010
Last Revised: October 09, 2010
Working Paper Series
190 downloads

Incl. Electronic Paper The Effect of Structural Breaks and Long Memory on Currency Hedging
Journal of Futures Markets, Forthcoming
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and University of New South Wales (UNSW) - School of Banking and Finance
Date Posted: January 18, 2010
Accepted Paper Series
84 downloads

Incl. Electronic Paper Trading Halts and Information Asymmetry
 Woo-Baik Lee , Jong Won Park and Steven J. Jordan
Korea Open University , University of Seoul and affiliation not provided to SSRN
Date Posted: January 18, 2010
Working Paper Series
120 downloads

Incl. Electronic Paper Weather, Inventory and Common Jump Dynamics in Natural Gas Futures and Spot Markets
 Wing H. Chan , George H. K. Wang and Li Yang
Wilfrid Laurier University - Department of Economics , George Mason University - Finance Area and University of New South Wales (UNSW) - School of Banking and Finance
Date Posted: January 18, 2010
Working Paper Series
77 downloads

Incl. Electronic Paper Approximative Valuation of Commodity Swaptions
 Karl Larsson
Lund University - Department of Economics
Date Posted: January 17, 2010
Last Revised: August 04, 2011
Working Paper Series
296 downloads

Incl. Electronic Paper Dynamic Extensions and Probabilistic Expansions of the SABR Model
 Karl Larsson
Lund University - Department of Economics
Date Posted: January 17, 2010
Working Paper Series
253 downloads

Incl. Electronic Paper Jumps and Stochastic Volatility in Oil Prices: Time Series Evidence
 Karl Larsson and Marcus Nossman
Lund University - Department of Economics and Lund University
Date Posted: January 16, 2010
Working Paper Series
284 downloads

Incl. Electronic Paper Risk-Neutral Valuation of Real Estate Derivatives
ORTEC Technical Paper No. 2009-02
 David van Bragt , Marc Francke , Bert Kramer and Antoon Pelsser
Ortec Finance , University of Amsterdam - Faculty of Economics and Business (FEB) , University of Amsterdam and Maastricht University
Date Posted: January 16, 2010
Last Revised: October 26, 2010
Working Paper Series
169 downloads

Incl. Electronic Paper Determinants of Trading Profits of Individual Traders: Risk Premia or Information?
 Michael Dewally , Louis H. Ederington and Chitru S. Fernando
Towson University - Department of Finance , University of Oklahoma - Division of Finance and University of Oklahoma - Michael F. Price College of Business
Date Posted: January 14, 2010
Last Revised: January 29, 2013
Working Paper Series
394 downloads

Incl. Electronic Paper Alpha-Root Processes for Derivatives Pricing
 B.S. Balakrishna
Independent
Date Posted: January 13, 2010
Last Revised: February 16, 2010
Working Paper Series
55 downloads

Incl. Electronic Paper Detecting Informed Trading Activities in the Options Markets
Swiss Finance Institute Research Paper No. 11-42
 Marc Chesney , Remo Crameri and Loriano Mancini
University of Zurich - Swiss Banking Institute (ISB) , University of Zurich - Swiss Banking Institute (ISB) and Ecole Polytechnique Fédérale de Lausanne
Date Posted: January 13, 2010
Last Revised: July 04, 2012
Working Paper Series
637 downloads

Incl. Electronic Paper Higher-Order Volatility: Time Series
 Alexander Carey
Independent
Date Posted: January 13, 2010
Working Paper Series
67 downloads

Incl. Electronic Paper Monte Carlo Market Greeks in the Displaced Diffusion LIBOR Market Model
 Mark S. Joshi and Oh Kang Kwon
University of Melbourne - Centre for Actuarial Studies and ANZ Bank
Date Posted: January 12, 2010
Working Paper Series
542 downloads

Incl. Electronic Paper Efficient Options Pricing Using the Fast Fourier Transform
 Kwai Sun Leung , Hoi Ying Wong and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) , Chinese University of Hong Kong (CUHK) - Department of Statistics and Hong Kong University of Science & Technology - Department of Mathematics
Date Posted: January 11, 2010
Working Paper Series
419 downloads


 

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