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JEL Code: C60
93,488 Total downloads
Showing Papers 151 - 200 of 427
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An Examination of the Continuous-Time Dynamics of International Volatility Indices Amid the Recent Market Turmoil
Minqiang Li
Date Posted: April 27, 201311 downloads
Smart Beta Strategies: The Social Responsibility of Investment Universes Does Matter
Philippe Bertrand and
Vincent Lapointe
Date Posted: April 21, 2013Last Revised: May 03, 201335 downloads
Integrated Stress Testing: Impact on Liquidity and Solvency
Sanjay Basu
Date Posted: April 15, 2013Last Revised: April 28, 201321 downloads
The Case of Gold and Silver: A New Algorithm for Pairs Trading
Jay Desai ,
Arti Trivedi and
Nisarg A. Joshi
Date Posted: April 10, 2013570 downloads
Asset Price Trend Theory: Reframing Portfolio Theory from the Ground Up
Robert Dubois
Date Posted: March 31, 2013Last Revised: May 22, 2013703 downloads
Is There A Real Estate Bubble in Switzerland? (Diagnostic as of 2012-Q4) Swiss Finance Institute Research Paper No. 13-07
Diego Ardila
,
Peter Cauwels
,
Dorsa Sanadgol
and
Didier Sornette
Date Posted: March 22, 201369 downloads
Using Trees to Grow Money Risk, Vol 16, No 11, November 2003, S11-S12
Maria-Augusta Miceli and
Gabriele Susinno
Date Posted: March 20, 2013Last Revised: May 05, 20139 downloads
The Small-Maturity Heston Forward Smile
Antoine Jacquier
and
Patrick Roome
Date Posted: March 19, 2013Last Revised: April 16, 201318 downloads
Risk Adjustments of Option Prices under Time-Changed Dynamics
Elisa Nicolato
and
David Sloth
Date Posted: March 11, 2013Last Revised: May 11, 201340 downloads
Integer-Valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes
Ole E. Barndorff-Nielsen ,
Asger Lunde ,
Neil Shephard and
Almut Veraart
Date Posted: February 26, 201335 downloads
A PDE Approach to Option Pricing Under Liquidity Risk
Matthias Fahrenwaldt
and
Alexandre F. Roch
Date Posted: February 23, 201352 downloads
A Spatial Competitive Analysis: The Carbon Leakage Effect on the Cement Industry Under the European Emissions Trading Scheme Bank of Italy Temi di Discussione (Working Paper) No. 899
Elisabetta Allevi
,
Giorgia Oggioni
,
Rossana Riccardi
and
Marco Rocco
Date Posted: February 21, 201315 downloads
On the (Non-) Equivalence of IRR and NPV
Thomas A. Weber
Date Posted: February 20, 201347 downloads
The Sum of Two Correlated Lognormal Random Variables — WKB Approximation
C.F. Lo
Date Posted: February 19, 201316 downloads
Comparing Quadratic and Non-Quadratic Local Risk Minimization for the Hedging of Contingent Claims
Frederic Abergel
Date Posted: January 30, 201329 downloads
Generalized Risk-Based Investing
Emmanuel Jurczenko
,
Thierry Michel
and
Jerome Teiletche
Date Posted: January 24, 2013Last Revised: April 20, 2013836 downloads
DVA for Assets Risk, February 2013
Chris Kenyon
and
Richard David Kenyon
Date Posted: January 23, 201360 downloads
Markov's Moment Problem and the Range of Option Prices
Jose Luis Farah
Date Posted: January 04, 201324 downloads
Análisis del Modelo de Expectativas Parametrizadas: evidencia empírica (Analysis of Parameterized Expectations Model: Empirical Evidence) Econografos Escuela de Economía N° 27 - Facultad de Ciencias Económicas de la Universidad Nacional de Colombia
,
José A Ordóñez
Date Posted: December 30, 20124 downloads
A Unified Approach to Pricing and Risk Management of Equity and Credit Risk Journal of Computational and Applied Mathematics, Forthcoming
Claudio Fontana
and
Juan Miguel Montes
Date Posted: December 22, 2012Last Revised: May 19, 201364 downloads
Decomposing Random Mechanisms
Marek Pycia
and
M. Utku Ünver
Date Posted: December 14, 2012Last Revised: January 22, 201342 downloads
f(Newton)
Fred Viole
and
David N. Nawrocki
Date Posted: December 08, 2012Last Revised: December 14, 2012
Asymptotics of Forward Implied Volatility
Antoine Jacquier
and
Patrick Roome
Date Posted: December 05, 2012Last Revised: December 18, 201243 downloads
A Robust Turnpike Deduced by Economic Maturity
Darong Dai
Date Posted: December 04, 2012295 downloads
Beta Calculation in Emerging Markets in the Cross-Border Context – Selected Problems
Marcin Pęksyk
,
Mariusz Chmielewski
,
Marek Panfil
and
Karol Śledzik
affiliation not provided to SSRN
,
University of Gdańsk
,
Warsaw School of Economics (SGH)
and
University of Gdańsk - Faculty of Management
Date Posted: December 02, 201249 downloads
Libor Timing Adjustments
Peter Caspers
Date Posted: November 04, 2012Last Revised: December 12, 201233 downloads
Online Local Volatility Calibration by Convex Regularization with Morozov's Principle and Convergence Rates
Vinicius Viana Luiz Albani
and
Jorge P. Zubelli
Date Posted: November 03, 2012Last Revised: November 12, 201230 downloads
Multivariate Monotone Bayesian Updating
Ricard Torres
Date Posted: October 28, 20129 downloads
Impacts of Natural Disasters on a Dynamic Economy
Andreas Groth
,
Patrice Dumas ,
Michael Ghil
and
Stephane Hallegatte
Date Posted: October 26, 201212 downloads
Helix and Primes: Sieve of Eratosthenes and Variations, a Study upon Prime Numbers
Fabio Marinelli
Date Posted: October 25, 201241 downloads
Trading Volume in General Equilibrium with Complete Markets
Eric M. Aldrich
Date Posted: October 23, 201214 downloads
Consumption and Hedging in Oil‐Importing Developing Countries European Financial Management, Vol. 18, Issue 5, pp. 896-928, 2012
Felipe Aldunate and
Jaime Casassus
affiliation not provided to SSRN
and
Pontificia Universidad Catolica de Chile
Date Posted: October 20, 2012
A Critique on the Consistency Ratios of Some Selected Articles Regarding Fuzzy AHP and Sustainability 3rd International Symposium on Sustainable Development (ISSD'12), Sarajevo, May 31-June 01 2012
Bülent Başaran
Date Posted: October 18, 201223 downloads
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios Research Paper Number: 304, Quantitative Finance Research Centre, University of Technology, Sydney
Carl Chiarella
,
C.F. Lo and
Ming Xi Huang
Date Posted: October 17, 201232 downloads
Bounded Experimentation in a Calibrated Model of Advertising
Francisco Alvarez
and
Alfredo García-Hiernaux
Date Posted: October 07, 201211 downloads
A Model-Independent Replicating Approach for Variance Swaps
Ludovic Dubrana
Date Posted: October 04, 2012113 downloads
Risk Parity Portfolios with Risk Factors
Thierry Roncalli
and
Guillaume Weisang
Date Posted: October 03, 2012Last Revised: October 06, 2012914 downloads
A Continuous Time Structural Model for Insolvency, Recovery, and Rollover Risks
Gechun Liang
,
Eva Lütkebohmert
and
Wei Wei
affiliation not provided to SSRN
Date Posted: September 16, 2012Last Revised: November 11, 201245 downloads
Market Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Levy Processes
Ernst Eberlein ,
Zorana Grbac
and
Thorsten Schmidt
affiliation not provided to SSRN
and
Chemnitz University of Technology
Date Posted: August 30, 201221 downloads
A Model for Hedging Load and Price Risk in the Texas Electricity Market
Michael C. Coulon
,
Warren B. Powell
and
Ronnie Sircar
Date Posted: August 29, 201279 downloads
Pricing of Derivatives on Commodity Indices
Johannes Rauch ,
Mikhail Krayzler
,
Bernhard Brunner and
Rudi Zagst
Date Posted: August 28, 2012
Taxation Structural Considerations: Applied to Financial Transaction Taxes
Seán K. Yoder
Date Posted: August 25, 201222 downloads
An Alternative Way to Deconstruct Value: A Dual Expression for NPV and Its Applications
Michael Osborne
Date Posted: August 08, 201249 downloads
A Real Accurate Formula for the Yield Elasticity of Bond Price
Michael Osborne
Date Posted: August 06, 2012Last Revised: September 03, 201231 downloads
Concept and Mathematics of Islamic Financial Engineering 8th International Conference on Islamic Economics and Finance,
20 December 2011, Doha, Qatar
Nadi Serhan Aydin
and
Martin Rainer
Date Posted: August 06, 2012Last Revised: August 08, 2012162 downloads
A Golden Formula in Neoclassical-Growth Models with Brownian-Motion Shocks
Darong Dai
Date Posted: August 04, 2012Last Revised: April 29, 2013316 downloads
On Sharing the Benefits of Communication FEEM Working Paper No. 41.2012
Efthymios Athanasiou
,
Santanu Dey
and
Giacomo Valletta
Date Posted: July 31, 201216 downloads
Managing a Non-Cooperative Supply Chain with Limited Capacity Operations Research, Vol. 59, No. 4 (2011) 866-881
Rodney P. Parker
and
Roman Kapuscinski
Date Posted: July 27, 201216 downloads
A Method for Implementing Counterfactual Experiments in Models with Multiple Equilibria Economics Letters, Vol. 114, No. 2, 2012
Victor Aguirregabiria
Date Posted: July 25, 20126 downloads
Earned Value (EV) Management Model for Small Software Development Projects Proceedings for the 2001 Software Technology Conference (STC). Salt Lake City, UT. April 17, 2001
Jeffrey Scott Ray
and
Sandra A. Sanderson
Date Posted: July 16, 2012Last Revised: September 15, 201227 downloads
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