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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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Last 12 months: 11,179,664
Last 30 days: 1,087,336

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SSRN eLibrary Search Results
JEL Code: G13
1,850,688 Total downloads
Showing Papers 151 - 200 of 4,933
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Incl. Electronic Paper Alternative Swap Rate Model
Deimante Rheinlaender
ICAP
Date Posted: January 30, 2013
Working Paper Series
26 downloads

Incl. Electronic Paper Moments, Time-Depending Rebates and the Put-Call Parity for Barrier Options
 Dirk Veestraeten
University of Amsterdam - Amsterdam School of Economics (ASE)
Date Posted: January 30, 2013
Last Revised: February 03, 2013
Working Paper Series
17 downloads

Incl. Electronic Paper Consistent and Realistic Dynamics of the Implied Volatility Surface under Local Volatility Models
 Erik Doeff and Michael Kamal
Chicago Trading Company, LLC and Chicago Trading Company, LLC
Date Posted: January 30, 2013
Working Paper Series
59 downloads

Incl. Electronic Paper Option Portfolio Value at Risk Using Monte Carlo Simulation Under a Risk Neutral Stochastic Implied Volatility Model
Global Journal of Business Research, v. 6 (5) pp. 65-72, 2012
 Peng He
Investment Technology Group
Date Posted: January 29, 2013
Accepted Paper Series
65 downloads

Incl. Electronic Paper Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets
The International Journal of Business and Finance Research, v. 7 (3) p. 57-75
 Sanjay Sehgal , Namita Rajput and Florent Deisting
University of Delhi - Department of Financial Studies , University of Delhi and Groupe ESC Pau
Date Posted: January 29, 2013
Accepted Paper Series
56 downloads

Incl. Electronic Paper Markets Evolution after the Credit Crunch
 Marco Bianchetti and Mattia Carlicchi
Intesa Sanpaolo - Market Risk Management and Intesa Sanpaolo - Market Risk Management
Date Posted: January 28, 2013
Working Paper Series
116 downloads

Incl. Electronic Paper Effectiveness of Weather Derivatives as a Cross-Hedging Instrument Against Climate Change: The Cases of Reservoir Water Allocation Management in Guanajuato, Mexico and Lambayeque, Peru
IDB Working Paper No. IDB-WP-328
 Miriam Juarez-Torres and Leonardo Sanchez-Aragon
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: January 26, 2013
Working Paper Series
11 downloads

Incl. Electronic Paper Libor Market Model with OIS-Discounting: Extension, Clarification and Valuation
 Jianwei Zhu
Deutsche Postbank AG
Date Posted: January 25, 2013
Working Paper Series
115 downloads

Incl. Electronic Paper Close Form Pricing Formulas for CoCa CoCos
 José Manuel Corcuera , José Fajardo , Henrik Jonsson , Wim Schoutens and Arturo Valdivia
University of Barcelona , Getulio Vargas Foundation , European Commission - Joint Research Centre , KU Leuven - Department of Mathematics and University of Barcelona
Date Posted: January 25, 2013
Working Paper Series
43 downloads

Incl. Electronic Paper A Consistent Pricing Framework with Counterparty Risk and Collateral Agreements
 Ahmed El Alaoui
Ecole Polytechnique, Paris
Date Posted: January 23, 2013
Last Revised: January 25, 2013
Working Paper Series
59 downloads

Incl. Electronic Paper Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets
International Journal of Economic Sciences and Applied Research, 5 (3): 65-80, December 2012
 P. Srinivasan and P. Ibrahim
Christ University, Bangalore and Pondicherry University
Date Posted: January 23, 2013
Accepted Paper Series
34 downloads

Incl. Electronic Paper Coherent Foreign Exchange Market Models
 Alessandro Gnoatto
Ludwig-Maximilians-Universität Munich
Date Posted: January 23, 2013
Working Paper Series
53 downloads

Incl. Electronic Paper Consistent Pricing and Hedging Volatility Derivatives with Two Volatility Surfaces
 Ke Chen and Ser-Huang Poon
University of Manchester - Manchester Business School and University of Manchester - Business School
Date Posted: January 23, 2013
Last Revised: February 08, 2013
Working Paper Series
32 downloads

Incl. Electronic Paper DVA for Assets
Risk, February 2013
 Chris Kenyon and Richard David Kenyon
Lloyds Banking Group - Wholesale Banking & Markets and University of Northampton
Date Posted: January 23, 2013
Accepted Paper Series
59 downloads

Incl. Electronic Paper Non-Tradable S&P 500 Index and the Pricing of Its Traded Derivatives
 Christian Gourieroux , Joann Jasiak and Peng Xu
University of Toronto - Department of Economics , York University - Department of Economics and ESSEC Business School
Date Posted: January 23, 2013
Working Paper Series
18 downloads

Incl. Electronic Paper Is the S&P 500 Index Tradable?
 Peng Xu
ESSEC Business School
Date Posted: January 23, 2013
Working Paper Series
43 downloads

Incl. Electronic Paper CDS Option Valuation under Double-Exponential Jump-Diffusion (DEJD)
 Ramaprasad Bhar and Nedim Handzic
University of New South Wales (UNSW) - School of Banking and Finance and University of New South Wales (UNSW)
Date Posted: January 22, 2013
Working Paper Series
27 downloads

Incl. Electronic Paper Anticipating Uncertainty: Straddles Around Earnings Announcements
 Yuhang Xing and Xiaoyan Zhang
Rice University and Purdue University - Krannert School of Management
Date Posted: January 21, 2013
Working Paper Series
314 downloads

Incl. Electronic Paper Turbo-Charged Local Stochastic Volatility Models
 Ghislain Vong
Independent
Date Posted: January 20, 2013
Last Revised: March 11, 2013
Working Paper Series
68 downloads

Incl. Electronic Paper What Drives Pension Indexation in Turbulent Times? An Empirical Examination of Dutch Pension Funds
De Nederlandsche Bank Working Paper No. 368
 Dirk Broeders , Paul Hilbers and David R. Rijsbergen
De Nederlandsche Bank , De Nederlandsche Bank and De Nederlandsche Bank
Date Posted: January 19, 2013
Working Paper Series
8 downloads

Incl. Electronic Paper Hedge Fund Replication: Putting the Pieces Together
 Vincent Weber and Florian Peres
Prime Capital AG and Prime Capital AG
Date Posted: January 18, 2013
Last Revised: March 19, 2013
Working Paper Series
208 downloads

Incl. Electronic Paper Managerial Incentives and Management Forecast Precision
 Qiang Cheng , Ting Luo and Heng Yue
Singapore Management University , Tsinghua University and Peking University - Department of Accounting
Date Posted: January 17, 2013
Working Paper Series
109 downloads

Incl. Electronic Paper Pricing and Hedging CoCos
 Patrick Cheridito and Zhikai Xu
Princeton University and Princeton University
Date Posted: January 17, 2013
Last Revised: April 22, 2013
Working Paper Series
128 downloads

Traffic Light Options
Journal of Banking and Finance, Vol. 31, No. 12, 2007
 Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences
Date Posted: January 15, 2013
Accepted Paper Series

Incl. Electronic Paper Settlement Method of Eurodollar Futures and Expiration Day Effects: An Analysis of Intraday Price Volatility
Journal of Multinational Financial Management, Vol. 5, No. 2/3, 1995
 Tae H. Park and Lorne N. Switzer
Concordia University, Quebec - Department of Finance and Concordia University, Quebec - Department of Finance
Date Posted: January 15, 2013
Accepted Paper Series
20 downloads

Incl. Electronic Paper Endogenous Recovery and Replication of A Segregated Derivatives Economy with Counterparty Credit, Collateral, and Market Funding -- PDE and Valuation Adjustment (FVA, DVA, CVA)
 Wu Jiang Lou
Independent
Date Posted: January 14, 2013
Last Revised: March 25, 2013
Working Paper Series
39 downloads

Incl. Electronic Paper Variance Swap Premium under Stochastic Volatility and Self-Exciting Jumps
 Ke Chen and Ser-Huang Poon
University of Manchester - Manchester Business School and University of Manchester - Business School
Date Posted: January 13, 2013
Working Paper Series
73 downloads

Incl. Electronic Paper Options as a Marketing Tool: Pricing a Promotional Scheme for a Product with a Secondary Market
 Zvika Afik , Oded Lowengart and Rami Yosef
Ben Gurion University , Ben Gurion University and Ben Gurion University
Date Posted: January 12, 2013
Working Paper Series
18 downloads

Incl. Electronic Paper Stochastic Idiosyncratic Operating Risk and Real Options: Implications for Stock Returns
2013 Adam Smith Asset Pricing Conference , 2013 China International Conference in Finance
 Harjoat Singh Bhamra and Kyung Hwan Shim
University of British Columbia (UBC) - Sauder School of Business and University of New South Wales (UNSW)
Date Posted: January 12, 2013
Last Revised: April 01, 2013
Working Paper Series
58 downloads

Incl. Electronic Paper Nonlinearity in Cap-and-Trade Systems: The EUA Price and its Fundamentals
ZEW - Centre for European Economic Research Discussion Paper No. 13-001
 Benjamin Johannes Lutz , Uta Pigorsch and Waldemar Rotfuss
Centre for European Economic Research (ZEW) , University of Mannheim and Centre for European Economic Research (ZEW)
Date Posted: January 12, 2013
Working Paper Series
23 downloads

Incl. Electronic Paper Intraday Forex Trading Based on Sentiment Inflection Points
 Peter Ager Hafez and Junqiang Xie
RavenPack and RavenPack
Date Posted: January 12, 2013
Working Paper Series
211 downloads

Incl. Electronic Paper The New South-African Volatility Index: New SAVI
 Antonie Kotze , Angelo Joseph and Rudolf Oosthuizen
Financial Chaos Theory , University of South Africa - School of Business Leadership and JSE Securities Exchange
Date Posted: January 10, 2013
Working Paper Series
29 downloads

Incl. Electronic Paper Pricing Employee Stock Options under Stochastic Volatility
 Tilman Sayer
Department of Financial Mathematics, Fraunhofer Institute for Industrial Mathematics ITWM
Date Posted: January 10, 2013
Working Paper Series
31 downloads

Incl. Electronic Paper Double Barrier Cash or Nothing Options: A Short Note
 Antonie Kotze and Angelo Joseph
Financial Chaos Theory and University of South Africa - School of Business Leadership
Date Posted: January 09, 2013
Working Paper Series
17 downloads

Incl. Electronic Paper Valuing Asian Options Using Vorst's Approximation
 Antonie Kotze
Financial Chaos Theory
Date Posted: January 09, 2013
Working Paper Series
67 downloads

Incl. Electronic Paper The Best Gain-Loss Ratio is a Poor Performance Measure
 Sara Biagini and Mustafa Pinar
University of Pisa and Bilkent University - Department of Industrial Engineering
Date Posted: January 08, 2013
Working Paper Series
31 downloads

Incl. Electronic Paper Price as a Choice Under Nonstochastic Randomness in Finance
Banque de France Working Paper No. 381
 Yaroslav Ivanenko and Bertrand Munier
Banque de France and IAE Sorbonne's Business School
Date Posted: January 08, 2013
Working Paper Series
13 downloads

Incl. Electronic Paper Liquidity Risk, instead of Funding Costs, Leads to a Valuation Adjustment for Derivatives and other Assets
 Bert-Jan Nauta
Double Effect
Date Posted: January 07, 2013
Last Revised: April 17, 2013
Working Paper Series
152 downloads

Incl. Electronic Paper Modeling Mortgages with Prepayment Penalties
Emerging Markets Finance and Trade, Vol. 48, No. S.3, 2012
 Chih-Hsing Hung , Ming-Chi Chen and Shyh-Weir Tzang
Fortune Institute of Technology , National Sun Yat-Sen University - Department of Finance and Asia University - Department of Finance
Date Posted: January 07, 2013
Accepted Paper Series
15 downloads

Incl. Electronic Paper Equity Release Products Allowing for Individual House Price Risk
11th Emerging Researchers in Ageing Conference, 2012
 Adam Wenqiang Shao , Michael Sherris and Katja Hanewald
University of New South Wales - ARC Centre for Excellence in Population Ageing Research and School of Risk and Actuarial Studies , University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Date Posted: January 06, 2013
Accepted Paper Series
18 downloads

Incl. Electronic Paper On Multi-Particle Brownian Survivals and the Spherical Laplacian
 B.S. Balakrishna
Independent
Date Posted: January 05, 2013
Last Revised: February 20, 2013
Working Paper Series
18 downloads

Incl. Electronic Paper Variance Risk Premia in Commodity Markets
 Marcel Prokopczuk and Chardin Wese Simen
Zeppelin University - Institute of Corporate Management & Economics and University of Reading - Henley Business School - ICMA Centre
Date Posted: January 04, 2013
Working Paper Series
282 downloads

Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies
Insurance: Mathematics and Economics, Vol. 26, No. 1, 2000
 Anders Grosen and Peter Løchte Jørgensen
University of Aarhus - Department of Finance and University of Aarhus - Business and Social Sciences
Date Posted: January 03, 2013
Accepted Paper Series

American-Style Indexed Executive Stock Options
European Finance Review, Vol. 6, No. 3, 2002
 Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences
Date Posted: January 03, 2013
Accepted Paper Series

Incl. Electronic Paper Modelling Higher Moments of Electricity Prices
 Gregorio Serna and Pablo Villaplana
University of Castilla, La Mancha and Comisión Nacional de Energía
Date Posted: January 02, 2013
Working Paper Series
14 downloads

Incl. Electronic Paper Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
 Wendong Zheng and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Date Posted: January 01, 2013
Last Revised: February 20, 2013
Working Paper Series
20 downloads

Incl. Electronic Paper Fourier Transform Algorithms for Pricing and Hedging Discretely Sampled Exotic Variance Products and Volatility Derivatives under Additive Processes
 Wendong Zheng and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Date Posted: January 01, 2013
Working Paper Series
40 downloads

Incl. Electronic Paper Curves and Term Structure Models: Definition, Calibration and Application of Rate Curves and Term Structure Models
 Christian P. Fries
DZ Bank AG
Date Posted: January 01, 2013
Last Revised: April 11, 2013
Working Paper Series
224 downloads

Incl. Electronic Paper Some Economically Meaningful Option Model Calibration Performance Measures
 Craig A. Friedman , Wenbo Cao and Yuchang Huang
Standard & Poor's - Quantitative Analytics , Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Date Posted: December 26, 2012
Working Paper Series
17 downloads

Incl. Electronic Paper Implied Risk-Neutral Filtering Densities on Volatility's Hidden State
 Carlos Fuertes and Andrew Papanicolaou
Princeton University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Date Posted: December 23, 2012
Working Paper Series
45 downloads


 

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