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1,852,339 Total downloads
Showing Papers 1,481 - 1,530 of 4,932
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A Comparison of Reduced-Form Permit Price Models and Their Empirical Performances MIT CEEPR Working Paper Series, WP-2009-018
Georg Gruell
and
Luca Taschini
Date Posted: December 23, 2009Last Revised: December 05, 2010114 downloads
Bermudan Option Pricing with Monte-Carlo Methods
Raphael Douady
Date Posted: December 23, 2009194 downloads
Pricing CO2 Permits Using Approximation Approaches
Georg Gruell
and
Ruediger Kiesel
Date Posted: December 23, 2009233 downloads
Yield Curve Smoothing and Residual Variance of Fixed Income Positions
Raphael Douady
Date Posted: December 23, 200981 downloads
Valuing the Treasury’s Capital Assistance Program FRB of New York Staff Report No. 413
Paul Glasserman and
Zhenyu Wang
Date Posted: December 22, 2009287 downloads
General Equilibrium Pricing of Options with Habit Formation and Event Risks Journal of Financial Economics, Forthcoming
Du Du
Date Posted: December 21, 200982 downloads
Valuing Options Under Nonlognormality Using Relaxed Lattices
Dasheng Ji
and
B. Wade Brorsen
affiliation not provided to SSRN
and
Oklahoma State University - Stillwater - Department of Agricultural Economics
Date Posted: December 21, 200942 downloads
Valuation of Vix Derivatives
Javier Mencia
and
Enrique Sentana
Date Posted: December 20, 2009Last Revised: September 11, 2012441 downloads
American Put Index Options Early Exercise Premium Estimation Journal of International Finance and Economics, Vol. 10, No. 1, June 2010
Ako Doffou
Date Posted: December 19, 200974 downloads
Endogenizing Exogenous Default Barrier Models: The MM Algorithm Journal of Banking and Finance, Vol. 36, Issue 6, 1639-1652
Santiago Forte
and
Lidija Lovreta
Date Posted: December 19, 2009Last Revised: April 14, 2012
How Well Does the Vasicek-Basel Airb Model Fit the Data? Evidence from a Long Time Series of Corporate Credit Rating
Data FDIC Working Paper Series
Paul H. Kupiec
Date Posted: December 17, 2009202 downloads
The Efficacy of Conditional Cost of Carry Models in Pricing Oil Futures Review of Futures Markets, Vol. 18, No. 3, 2009-2010
Eric Girard
,
Amit K. Sinha
and
Rita Biswas
Date Posted: December 17, 2009106 downloads
A Lattice Method for Lookback Options with Regime-Switching Volatility
Ji Hee Yoon
,
U. Jin Choi ,
Byung Hwa Lim
and
Bong-Gyu Jang
Date Posted: December 15, 2009Last Revised: January 15, 2012149 downloads
Risk Models after the Credit Crisis
Rob van den Goorbergh
,
Onno W. Steenbeek
,
R. Molenaar and
Peter Vlaar
Date Posted: December 15, 2009Last Revised: June 13, 2011378 downloads
The Impact of New Financial Technologies on Stock Prices Journal of Academy of Business and Economics, Vol. 6, No. 1, 2006
James F. Refalo and
Manoj Dalvi
Date Posted: December 15, 2009229 downloads
Accurate and Fast Integration Over the Market Factor in One-Factor Gaussian Copula CDO Model
Roman Werpachowski
Date Posted: December 14, 2009Last Revised: January 11, 2010225 downloads
Smile Dynamics IV
Lorenzo Bergomi
Date Posted: December 13, 20091577 downloads
'The Biggest Warrant Auction in U.S. History' Research in Business and Economics Journal, Vol. 3, pp. 1-12, 2010
Linus Wilson
Date Posted: December 12, 2009Last Revised: March 29, 2012258 downloads
Fast and Accurate Pricing and Hedging of Long-Dated CMS Spread Options
Mark S. Joshi and
Chao Yang
Date Posted: December 11, 2009987 downloads
Modelling and Forecasting Wind Speed Intensity for Weather Risk Management
Massimiliano Caporin and
Juliusz Pres
Date Posted: December 09, 2009Last Revised: December 17, 2009111 downloads
Staged Venture Capital Contracting with Ratchets and Liquidation Rights
Dietmar Leisen
Date Posted: December 09, 2009Last Revised: August 01, 2011115 downloads
The Pricing of Temperature Futures at the Chicago Mercantile Exchange Journal of Banking and Finance, Vol. 34, No.6, pp. 1360-1370, 2010
Gregor Dorfleitner and
Maximilian Wimmer
Date Posted: December 09, 2009Last Revised: March 31, 2011112 downloads
Why is Portfolio Insurance Attractive to Investors?
Dennis Vrecko
and
Nicole Branger
Date Posted: December 09, 2009Last Revised: December 17, 2009229 downloads
Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices The Review of Financial Studies, Vol. 22, Issue 11, pp. 4335-4376, 2009
Haitao Li and
Feng Zhao
Date Posted: December 08, 2009
Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives The Review of Financial Studies, Vol. 22, Issue 11, pp. 4423-4461, 2009
Anders B. Trolle and
Eduardo S. Schwartz
Date Posted: December 08, 2009
A Hybrid Commodity and Interest Rate Market Model
Kay F. Pilz and
Erik Schlogl
affiliation not provided to SSRN
and
University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: December 08, 2009124 downloads
Hedonic Pricing with Redevelopment Options: A New Approach to Estimating Depreciation Effects Journal of Urban Economics, Vol. 67, 2010
John M. Clapp and
Katsiaryna Salavei Bardos
Date Posted: December 08, 2009Last Revised: November 01, 2011
Understanding Index Option Returns The Review of Financial Studies, Vol. 22, Issue 11, pp. 4493-4529, 2009
Mark Broadie and
Mikhail Chernov
Date Posted: December 08, 2009
CDS Index Tranches and the Pricing of Credit Risk Correlations BIS Quarterly Review, March 2005
Jeffery D. Amato and
Jacob Gyntelberg
Date Posted: December 07, 2009340 downloads
Modeling the Dynamics of Temperature with a View to Weather Derivatives
Gkaren Papazian
and
George S. Skiadopoulos
Date Posted: December 06, 2009Last Revised: January 22, 2010181 downloads
Credit Derivatives and Structured Credit: The Nascent Markets of Asia and the Pacific BIS Quarterly Review, June 2008
Eli M. Remolona and
Ilhyock Shim
Date Posted: December 05, 200988 downloads
The ABX: How Do the Markets Price Subprime Mortgage Risk? BIS Quarterly Review, September 2008
Ingo Fender and
Martin Scheicher
Date Posted: December 05, 2009146 downloads
Modeling of CPDOs-Identifying Implied and Optimal Leverage Journal of Banking and Finance, Vol. 34, No 6, 2010
Jochen Dorn
Date Posted: December 04, 2009Last Revised: June 24, 2010
Endless Leverage Certificates Journal of Banking and Finance, Vol. 33, No. 8, 2009
Jos van Bommel and
Silvia Rossetto
Date Posted: November 30, 2009
Price Discovery and Volatility Spillovers in the European Union Emissions Trading Scheme: A High-Frequency Analysis University of Heidelberg, Department of Economics Discussion Paper No. 492
Daniel Rittler
Date Posted: November 30, 2009Last Revised: July 14, 2011112 downloads
Seasonality and the Valuation of Commodity Options Journal of Banking and Finance, Vol. 37, No. 2, 2013
Janis Back
,
Marcel Prokopczuk
and
Markus Rudolf
Date Posted: November 29, 2009Last Revised: January 02, 2013444 downloads
Calculating Delta Greeks of Callable Exotics in the LMM: A New Approach
Ahsan Amin
Date Posted: November 28, 2009Last Revised: February 24, 2010395 downloads
Small-Time Asymptotics for Implied Volatility Under a General Local-Stochastic Volatility Model Applied Mathematical Finance, Vol. 18, No. 6, 2011
Martin Forde
and
Antoine Jacquier
Date Posted: November 27, 2009Last Revised: June 04, 2012
The Large Maturity Smile for the Heston Model
Martin Forde
and
Antoine Jacquier
Date Posted: November 27, 2009Last Revised: June 04, 2012
Volatility Spreads and Earnings Announcement Returns
Yigit Atilgan
Date Posted: November 25, 2009Last Revised: March 19, 2013384 downloads
Options on Realized Variance by Transform Methods: A Non-Affine Stochastic Volatility Model Quantitative Finance, 12(11), 1679-1694, (2012)
Gabriel G. Drimus
Date Posted: November 21, 2009Last Revised: November 07, 2012459 downloads
Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
Deniz Anginer
and
Celim Yildizhan
Date Posted: November 19, 2009Last Revised: May 14, 2013821 downloads
Credit Gap Risk in a First Passage Time Model with Jumps Centre for Practical Quantitative Finance Working Paper No. 22
Natalie Packham
,
Lutz Schloegl
and
Wolfgang M. Schmidt
affiliation not provided to SSRN
and
Frankfurt School of Finance & Management Gemeinnützige GmbH
Date Posted: November 19, 2009101 downloads
The Use of Derivatives in Nordic Firms
Tor Brunzell
,
Mats Hansson
and
Eva Liljeblom
Date Posted: November 19, 2009Last Revised: December 13, 2009157 downloads
The Optimal Method for Pricing Bermudan Options by Simulation
Alfredo Ibanez
and
Carlos Velasco
Date Posted: November 18, 2009Last Revised: February 05, 2012188 downloads
Macro-Hedging for Commodity Exporters CEPR Discussion Paper No. DP7513
Eduardo Borensztein ,
Olivier Jeanne and
Damiano Sandri
Date Posted: November 17, 20094 downloads
Indeterminacy of Competitive Equilibrium with Risk of Default CEPR Discussion Paper No. DP7477
Gaetano Bloise
,
Pietro Reichlin and
Mario Tirelli
Date Posted: November 17, 20092 downloads
Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations
Damiano Brigo ,
Andrea Pallavicini
and
Vasileios Papatheodorou
Date Posted: November 17, 2009Last Revised: February 04, 2010414 downloads
Asymptotic Formulae for Implied Volatility in the Heston Model Proceedings of the Royal Society A
Martin Forde
,
Antoine Jacquier
and
Aleksandar Mijatovic
Date Posted: November 16, 2009Last Revised: March 23, 2012
Broker-Dealer Risk Appetite and Commodity Returns FRB of New York Staff Report No. 406
Erkko Etula
affiliation not provided to SSRN
Date Posted: November 16, 2009Last Revised: March 29, 2010427 downloads
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