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Abstracts: 572,321
Full Text Papers: 473,995
Authors: 265,182
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  Last 12 months:
63,480

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Last 12 months: 10,191,482
Last 30 days: 1,352,007

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94,649
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SSRN eLibrary Search Results
JEL Code: G13
2,094,374 Total downloads
Showing Papers 151 - 200 of 5,492
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1 2 3 4 ... 110 | Next >
   


Incl. Electronic Paper Dividend Derivatives
Radu Tunaru
University of Kent, Canterbury - Kent Business SchoolCeQuFin, University of Kent
Date Posted: October 25, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper An Improved Method for Pricing and Hedging American Options
Tommaso Paletta , Silvia Stanescu and Radu Tunaru
University of Kent, Canterbury - Kent Business School , University of Kent, Canterbury - Kent Business School and University of Kent, Canterbury - Kent Business SchoolCeQuFin, University of Kent
Date Posted: October 25, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Do Financial Investors Affect the Price of Wheat?
PSL Quarterly Review, Vol. 65 No. 260, pp. 79-109, 2012
Daniele Girardi
Independent
Date Posted: October 23, 2014
Accepted Paper Series
2 downloads

Incl. Electronic Paper Pricing Turbo Warrants under Mixed-Exponential Jump Diffusion Model
Jianfeng Yu , Weidong Xu and Chongfeng Wu
Zhejiang University - School of Management , Zhejiang University - School of Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Date Posted: October 22, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper A Calibration of Corn Spot Prices: Revisiting Kalman Filter and Two-Factor Commodity Pricing Model
Tianpeng Zhou
Department of Finance, Michigan State University
Date Posted: October 22, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data
Entropy, Vol. 16 Nr. 5, May 2014, pp. 2642-2668
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Date Posted: October 21, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper A Family of Maximum Entropy Densities Matching Call Option Prices
Applied Mathematical Finance, Vol. 20, No. 6, 2013
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Date Posted: October 21, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
Finance Stochastics, Vol. 16, No. 2, 2012
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Date Posted: October 21, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper Non-Linear Forecasting of Energy Futures: Oil, Coal and Natural Gas
Howe School Research Paper No. 2014-42
Germán G. Creamer
Stevens Institute of Technology - Wesley J. Howe School of Technology Management
Date Posted: October 20, 2014
Last Revised: October 24, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper An Efficient Transform Method for Asian Option Pricing
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: October 17, 2014
Working Paper Series
30 downloads

Incl. Electronic Paper Accounting Quality, Information Risk and Implied Volatility Around Earnings Announcements
Seraina C. Anagnostopoulou and Andrianos E. Tsekrekos
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Date Posted: October 15, 2014
Working Paper Series
28 downloads

Incl. Electronic Paper An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives
Rui Chen , Ke Du and Xiaoneng Zhu
Central University of Finance and Economics (CUFE) , Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE) and Central University of Finance and Economics
Date Posted: October 14, 2014
Working Paper Series
52 downloads

Incl. Electronic Paper Simple Heuristics for Pricing VIX Options
Juliusz Jablecki , Ryszard Kokoszczynski , Pawel Sakowski , Robert Slepaczuk and Piotr Wojcik
University of Warsaw - Faculty of Economic Sciences , Warsaw University - Dept. of Economics , University of Warsaw , University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Date Posted: October 12, 2014
Working Paper Series
29 downloads

Incl. Electronic Paper The Financial Crisis and the Behavior of S&P 500 Index Option Prices
Mo Chaudhury
McGill University - Desautels Faculty of Management
Date Posted: October 12, 2014
Working Paper Series
18 downloads

Incl. Electronic Paper Recovery with Unbounded Diffusion Processes
Johan Walden
University of California, Berkeley - Finance Group
Date Posted: October 12, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Explicit Solutions of Quadratic FBSDEs Arising from Quadratic Term Structure Models
Cody Blaine Hyndman and Xinghua Zhou
Concordia University, Quebec - Department of Mathematics and Statistics and Western University
Date Posted: October 09, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper A Further Investigation of the Lead-Lag Relationship in Returns and Volatility between the Spot Market and Stock Index Futures: Early Evidence from Greece
Sotirios Karagiannis
University of Peloponnese
Date Posted: October 08, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper An Investigation of the Lead-Lag Relationship between the VIX Index and VIX Futures on the S&P500
Sotirios Karagiannis
University of Peloponnese
Date Posted: October 08, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Poisson Q Term Risk Model of Yields: Measuring Systematic Dynamic Risk Over the EU Debt Crisis
John A Thorp and Raul C Rosales
Regent's University London and Regent's University London
Date Posted: October 08, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Financial Sector Tail Risk and Real Economic Activity: Evidence from the Option Market
Michael Neumann
Queen Mary, University of London - School of Economics and Finance
Date Posted: October 07, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper A Portable and Fast Stochastic Volatility Model Calibration Using Multi and Many-Core Processors
Matthew Francis Dixon , Jorg Lotze and Mohammed Zubair
University of San Francisco - School of Management , Xcelerit and Old Dominion University
Date Posted: October 06, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper The Impact of Future Market on Money Demand in Iran
Indian Journal of Fundamental and Applied Life Sciences, Vol. 4, No. 3, 2014
Hossein Parsian , Amir Shams Koloukhi Sr. , Mahdi Keikha and Mahdi Darini
Islamic Azad University - Young Researchers and Elites Club , Islamic Azad University - Young Researchers and Elites Club , Allameh Tabatabai University - Economics and Islamic Azad University (IAU) - Torbate-Jam Branch
Date Posted: October 05, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper The Time-Dependent FX-SABR Model: Efficient Calibration Based on Effective Parameters
Anthonie Willem van der Stoep , Lech A. Grzelak and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI) , Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Date Posted: October 04, 2014
Last Revised: October 14, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Employee Stock Option-Implied Risk Attitude Under Rank-Dependent Expected Utility
Hamza Bahaji and Jean-Francois Casta
University of Paris 9 Dauphine, DRM-Finance and University Paris-Dauphine - DRM Finance
Date Posted: October 04, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Monetary Stabilization Policy Can Be Improved by CPI Futures Markets
Robert Scott Cavender
George Mason University - Mercatus Center
Date Posted: October 02, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Small Is Beautiful: 'Bond King' Expected Alpha and Assets Under Management
Claude B. Erb
TR
Date Posted: October 01, 2014
Last Revised: October 05, 2014
Working Paper Series
266 downloads

Incl. Electronic Paper Crossing Paths: A Perspective on Mathematics and Finance
Sebastien Lleo and Jessica Li
NEOMA Business School and Neoma Business School
Date Posted: October 01, 2014
Working Paper Series
158 downloads

Incl. Electronic Paper How Does the Market Variance Risk Premium Vary Over Time? Evidence from S&P 500 Variance Swap Investment Returns
Eirini Konstantinidi and George S. Skiadopoulos
University of Manchester - Manchester Business School and University of Piraeus
Date Posted: September 30, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper The Multi-Curve Potential Model
The Anh Nguyen and Frank Thomas Seifried
University of Kaiserslautern and University of Kaiserslautern
Date Posted: September 28, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Date Posted: September 27, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Using Option Implied Volatilities to Predict Absolute Stock Returns - Evidence from Earnings Announcements and Annual Shareholders’ Meetings
Suresh Govindaraj , Wen Jin , Joshua Livnat and Chen Zhao
Rutgers University - Rutgers Business School - Newark and New Brunswick , Quantitative Management Associates (QMA) LLC , New York University and Rutgers Business School - Newark and New Brunswick
Date Posted: September 27, 2014
Working Paper Series
48 downloads

Incl. Electronic Paper Feynman Kac for Functional Jump Diffusions with an Application to Credit Value Adjustment
Eduard Kromer , Ludger Overbeck and Jasmin A.L. Röder
University of California, Berkeley , University of Giessen and University of Giessen
Date Posted: September 26, 2014
Last Revised: October 06, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper ETD vs. OTCD: Counterparty Risk and Capital Requirements for Exchange Traded Derivatives
Marco Bianchetti , Mattia Carlicchi , Federico Cozzi , Leonardo Recchia and Andrea Spuntarelli
Intesa Sanpaolo - Market Risk Management , Intesa Sanpaolo - Market Risk Management , Intesa SanPaolo SpA , Intesa SanPaolo SpA and Intesa Sanpaolo - Internal Validation
Date Posted: September 25, 2014
Last Revised: October 08, 2014
Working Paper Series
45 downloads

Incl. Electronic Paper Option Pricing with the Logistic Return Distribution
Moshe Levy and Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Date Posted: September 24, 2014
Working Paper Series
28 downloads

Incl. Electronic Paper Heston-Type Stochastic Volatility with a Markov Switching Regime
Robert J. Elliott , Katsumasa Nishide and Carlton Osakwe
University of Calgary - Haskayne School of Business , Department of Economics, Yokohama National University and Mount Royal University - Bissett School of Business
Date Posted: September 24, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper International Stochastic Discount Factors and Stochastic Correlation
Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Nicole Branger , Michael Herold and Matthias Muck
University of Muenster - Finance Center Muenster , University of Bamberg, Chair of Banking and Financial Control and University of Bamberg
Date Posted: September 23, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Commodity 'CAPE Ratios'
Claude B. Erb
TR
Date Posted: September 22, 2014
Working Paper Series
95 downloads

Incl. Electronic Paper Funding Value Adjustment and Incomplete Markets
Lorenzo Cornalba
Mediobanca SPA
Date Posted: September 22, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Capital Structure and Financial Flexibility: Expectations of Future Shocks
Costas Lambrinoudakis , Michael Neumann and George S. Skiadopoulos
University of Piraeus - Department of Banking and Financial Management , Queen Mary, University of London - School of Economics and Finance and University of Piraeus
Date Posted: September 21, 2014
Last Revised: October 03, 2014
Working Paper Series
41 downloads

Incl. Electronic Paper Forecasting Volatility in the Presence of Limits to Arbitrage
Forthcoming in the Journal of Futures Markets
Lu Hong , Tom Nohel and Steven K. Todd
Loyola University of Chicago , Loyola University of Chicago and Loyola University of Chicago
Date Posted: September 20, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Volatility-of-Volatility Risk
Darien Huang and Ivan Shaliastovich
University of Pennsylvania - The Wharton School and University of Pennsylvania - Finance Department
Date Posted: September 19, 2014
Working Paper Series
199 downloads

Incl. Electronic Paper The α-Hypergeometric Stochastic Volatility Model
José Da Fonseca and Claude Martini
Auckland University of Technology - Faculty of Business & Law and Zeliade Systems
Date Posted: September 19, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Capital Structure Effects on the Prices of Individual Equity Call Options
Robert L. Geske , Avanidhar Subrahmanyam and Yi Zhou
University of California, Los Angeles (UCLA) - Finance Area , University of California, Los Angeles (UCLA) - Finance Area and Florida State University - College of Business
Date Posted: September 18, 2014
Working Paper Series
40 downloads

Incl. Electronic Paper Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: September 16, 2014
Last Revised: October 15, 2014
Working Paper Series
143 downloads

Incl. Electronic Paper The Impact of Financialization on the Benefits of Incorporating Commodity Futures in Actively Managed Portfolios
Ramesh K Adhikari , Kyle J Putnam and Neal Maroney
University of New Orleans - College of Business Administration , University of New Orleans - College of Business Administration - Department of Economics and Finance and University of New Orleans - College of Business Administration
Date Posted: September 16, 2014
Working Paper Series
39 downloads

Incl. Electronic Paper 著作權法與消費者保護法涉及之大專教科書議題 (Analyzing the Quality of College Textbooks from the Perspective of the Copyright Act and the Consumer Protection Law)
Jen-Chang Liu and Mark Yeats
Takming University of Science and Technology - Department of Banking and Finance and Takming University of Science and Technology - Department of Applied Foreign Languages
Date Posted: September 16, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Factor Structure in Commodity Futures Return and Volatility
Rotman School of Management Working Paper No. 2495779
Peter Christoffersen , Asger Lunde and Kasper Vinther Olesen
University of Toronto - Rotman School of Management , University of Aarhus - School of Economics and Management and CREATES
Date Posted: September 14, 2014
Working Paper Series
103 downloads

Incl. Electronic Paper The Expected Return of Fear
Ing-Haw Cheng
Dartmouth College - Tuck School of Business
Date Posted: September 13, 2014
Last Revised: October 16, 2014
Working Paper Series
199 downloads

Incl. Electronic Paper Does Aggregate Uncertainty Explain Size and Value Anomalies?
Sofiane Aboura and Yakup Eser Arisoy
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) and Université Paris-Dauphine - DRM-CEREG
Date Posted: September 13, 2014
Working Paper Series
55 downloads

Incl. Electronic Paper Options in Structured Notes: Fix the Price or Fix the Spread?
Fordham University Schools of Business Research Paper No. 2493490
John D. Finnerty and Douglas R. Emery
Finnerty Economic Consulting LLC and University of Miami - Department of Finance
Date Posted: September 10, 2014
Working Paper Series
16 downloads


 

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