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Abstracts: 689,639
Full Text Papers: 579,157
Authors: 317,476
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Last 12 months: 13,054,345
Last 30 days: 925,471

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SSRN eLibrary Search Results
JEL Code: G13
2,454,716 Total downloads
Showing Papers 161 - 210 of 6,291
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1 2 3 4 ... 126 | Next >
   

Incl. Electronic Paper Local and Terminal Volatility of Equity in a Hybrid Model with Hull White Interest Rates
Joachim Paulusch
R+V Lebensversicherung AG
Date Posted: August 29, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Option Pricing Methods in the Late 19th Century
George Dotsis
University of Athens - Faculty of Economics
Date Posted: August 29, 2016
Working Paper Series
29 downloads

Incl. Electronic Paper Option Pricing Models
MPRA University of Munich (2016)
Rossano Giandomenico
Independent
Date Posted: August 29, 2016
Accepted Paper Series
14 downloads

Incl. Electronic Paper An Equilibrium Pricing Model for Wind Power Futures
Gerke Gersema
Technische Universität München (TUM) - Center for Energy Markets (CEM)
Date Posted: August 28, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper The Randomised Heston Model
Antoine Jacquier and Fangwei Shi
Imperial College London and Imperial College London
Date Posted: August 27, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Robust Sensitivities for VAR Calculations
Claudio Albanese, Simone Caenazzo, Oliver Frankel and Mark Syrkin
Global Valuation, Global Valuation Ltd, Bilateral Consulting and Federal Reserve Banks - Federal Reserve Bank of New York
Date Posted: August 27, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Crude Inventory Accounting and Speculation in the Physical Oil Market
USAEE Working Paper No. 16-274
Ivan Diaz-Rainey, Helen Roberts and David H. Lont
University of Otago - School of Business, University of Otago and University of Otago - Department of Accountancy and Finance
Date Posted: August 26, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Securities Lending Strategies, Valuation of Term Loans using Option Theory
Ravi Kashyap
Gain Knowledge Group
Date Posted: August 25, 2016
Last Revised: August 29, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper What Goes into Risk Neutral Volatility? Empirical Estimates of Risk and Subjective Risk Preferences
Stephen Figlewski
New York University - Stern School of Business
Date Posted: August 23, 2016
Working Paper Series
30 downloads

Incl. Electronic Paper Derivatives Valuation Based on Arbitrage: The Trade Is Crucial
Proceedings of China Derivatives Markets Conference 2016
Stephen Figlewski
New York University - Stern School of Business
Date Posted: August 23, 2016
Working Paper Series
29 downloads

Incl. Electronic Paper Integral Representation of Vega for American Put Options
Yanchu Liu, Zhenyu Cui and Ning Zhang
Lingnan (University) College, Sun Yat-sen University, Guangzhou, China., Stevens Institute of Technology and Jiangxi University of Finance and Economics
Date Posted: August 23, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Pricing of Catastrophe Risk and the Implied Volatility Smile
University of St.Gallen, School of Finance Research Paper No. 2016/17
Semir Ben Ammar
University of St. Gallen
Date Posted: August 23, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper The Role of Collateral in Supporting Liquidity
Bank of England Working Paper No. 609
Zijun Liu, Joseph Noss and Yuliya Baranova
Bank of England, Bank of England and Bank of England
Date Posted: August 23, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Evidence About Bubble Mechanisms: Precipitating Event, Feedback Trading, and Social Contagion
Neil D. Pearson, Zhishu Yang and Qi Zhang
University of Illinois at Urbana-Champaign - Department of Finance, Tsinghua University - School of Economics & Management and Durham University
Date Posted: August 23, 2016
Working Paper Series
20 downloads

Incl. Electronic Paper Pairs Trading with Commodity Futures: Evidence from the Chinese Market
Yurun Yang, Ahmet Goncu and Athanasios A. Pantelous
Xi'an Jiaotong-Liverpool University, Xi'an Jiaotong-Liverpool University and Department of Mathematical Sciences, University of Liverpool
Date Posted: August 22, 2016
Working Paper Series
62 downloads

Incl. Electronic Paper The Beta Heuristic from a Time/Frequency Perspective: A Wavelet Analysis of the Market Risk of the 10 S&P Sectors
Bruce Mcnevin and Joan Nix
Midway Group and Queens College
Date Posted: August 19, 2016
Working Paper Series
38 downloads

Incl. Electronic Paper A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
Alessandro Gnoatto, Martino Grasselli and Eckhard Platen
Independent, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: August 18, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Financial Fairness and Conditional Indexation
Torsten Kleinow and J. M. Schumacher
Humboldt University of Berlin and University of Amsterdam - Department of Quantitative Economics (KE)
Date Posted: August 17, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Testing the Information-Based Trading Hypothesis in the Option Market: Evidence from Share Repurchases
Ihsan Badshah, Hardjo Koerniadi and James W. Kolari
Auckland University of Technology, Auckland University of Technology and Texas A&M University, Department of Finance
Date Posted: August 17, 2016
Last Revised: August 24, 2016
Working Paper Series
43 downloads

Incl. Electronic Paper Robust American Option Pricing Based on Gradient Strategies
Ye Du and Shan Xue
Southwestern University of Finance and Economics (SWUFE) - School of Finance and Southwest University of Finance and Economics
Date Posted: August 16, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper Non-Marketability Discount of Thin-Traded Securities
Menachem (Meni) Abudy, Hadar Binsky and Alon Raviv
Bar-Ilan University - Graduate School of Business Administration, Tel-Aviv University and Bar-Ilan University - Graduate School of Business Administration
Date Posted: August 16, 2016
Working Paper Series
22 downloads

Incl. Electronic Paper Global Variance Term Premia and Intermediary Risk Appetite
FRB of NY Staff Report No. 789
Peter Van Tassel and Erik Vogt
Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: August 15, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases
Claudia Yeap, Simon Kwok and Boris Choy
University of Sydney Business School, University of Sydney and University of Sydney Business School
Date Posted: August 14, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper Arbitrage-Free XVA
Forthcoming in Mathematical Finance
Maxim Bichuch, Agostino Capponi and Stephan Sturm
Johns Hopkins University, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Date Posted: August 12, 2016
Accepted Paper Series
12 downloads

Incl. Electronic Paper Why Do Option Returns Change Sign from Day to Night?
Dmitriy Muravyev and Xuechuan Ni
Boston College and Boston College - Carroll School of Management
Date Posted: August 12, 2016
Working Paper Series
205 downloads

Incl. Electronic Paper Are Tightened Trading Rules Always Bad? Evidence from the Chinese Index Futures Market
Hai Lin and You Wang
Victoria University of Wellington - School of Economics & Finance and Xiamen University
Date Posted: August 12, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Contingent Convertible Bonds with Floating Coupon Payments: Fixing the Equilibrium Problem
De Nederlandsche Bank Working Paper No. 517
Daniël Vullings
University of Groningen
Date Posted: August 10, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Portfolio Insurance Contracts Linked to Hedge Funds
Chekib Ezzili
ESSEC Business School
Date Posted: August 10, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Option Pricing with Stochastic Volatility
Journal of Applied Mathematics and Physics, Vol. 3, No. 12, pp. 1645-1653, December, 2015
Rossano Giandomenico
Independent
Date Posted: August 10, 2016
Accepted Paper Series
30 downloads

Incl. Electronic Paper Finance, Risk and Economic Space
ACRN Oxford Journal of Finance and Risk Perspectives, 5(1). March 2016, p.209-221.
Victor Olkhov
TVEL Fuel Company
Date Posted: August 09, 2016
Last Revised: August 14, 2016
Accepted Paper Series
15 downloads

Incl. Electronic Paper Rational Mispricing with Unforecastable Demand Shocks
Majid Hasan
EDHEC Business School (EDHEC), Students
Date Posted: August 08, 2016
Working Paper Series
12 downloads

Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities
Insurance: Mathematics and Economics, Vol. 40, No. 2, March 2007, 231-255
An Chen and Michael Suchanecki
University of Ulm and Deutsche Asset Management
Date Posted: August 08, 2016
Accepted Paper Series

Incl. Electronic Paper Economic Information Transmissions between Shipping Markets: New Evidence from Freight Derivatives Markets
George Alexandridis, Satya Sahoo and Ilias Visvikis
ICMA Centre, Henley Business School, ICMA Centre, Henley Business School and World Maritime University
Date Posted: August 07, 2016
Working Paper Series
110 downloads

Incl. Electronic Paper Estimating Option-Implied Distributions in Illiquid Markets and Implementing the Ross Recovery Theorem
Emlyn James Flint and Eben Mare
Peregrine Securities and Independent
Date Posted: August 04, 2016
Working Paper Series
54 downloads

Incl. Electronic Paper On Economic Space Notion
International Review of Financial Analysis, 22 January 2016, DOI-10.1016/j.irfa.2016.01.001
Victor Olkhov
TVEL Fuel Company
Date Posted: August 02, 2016
Accepted Paper Series
22 downloads

Incl. Electronic Paper Implied Volatility Index for the Norwegian Equity Market
Forthcoming, International Review of Financial Analysis
Sebastian A Bugge, Haakon Guttormsen, Peter Molnár and Martin Ringdal
Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), University of Stavanger and Norwegian University of Science and Technology (NTNU)
Date Posted: August 02, 2016
Accepted Paper Series
39 downloads

Incl. Electronic Paper A Gentle Introduction to Default Risk and Counterparty Credit Modelling
Laura Ballotta, Gianluca Fusai and Marina Marena
City University London - Sir John Cass Business School, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Eastern Piedmont
Date Posted: August 01, 2016
Working Paper Series
494 downloads

Incl. Electronic Paper Efficient Pricing of Discrete Arithmetic Asian Options Under Mean Reversion and Jumps Based on Fourier-Cosine Expansions
Forthcoming in Journal of Computational and Applied Mathematics
Chun-Sung Huang, John G O'Hara and Sure Mataramvura
University of Cape Town (UCT) - Department of Finance and Tax, University of Essex - Centre for Computational Finance and Economic Agents and University of Cape Town (UCT)
Date Posted: July 30, 2016
Accepted Paper Series
21 downloads

Incl. Electronic Paper Comments on Option Pricing
Ilya I. Gikhman
Independent
Date Posted: July 30, 2016
Last Revised: August 11, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper International Stock Market Cointegration Under the Risk-Neutral Measure
Marie-Hélène Gagnon, Gabriel J. Power and Dominique Toupin
Laval University- Département de Finance, Assurance et Immobilier, Laval University - Département de Finance et Assurance and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Date Posted: July 29, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Interpreting Price in an Efficient Prediction Market
Jared Williams
University of South Florida
Date Posted: July 29, 2016
Last Revised: August 16, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Comparative Analysis of Mathematical Models in Epidemiology - There Adaptation to Explain Herding in Financial Markets
Saurabh Tomar Sr.
Bhilai Institute of Technology
Date Posted: July 28, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper Accuracy and Speed of Different Fourier Implementations: An Analysis of the Bates and Asymmetric Variance Gamma Models
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Date Posted: July 28, 2016
Last Revised: July 29, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans
Sven Klingler and Suresh M. Sundaresan
Copenhagen Business School and Columbia Business School - Finance and Economics
Date Posted: July 28, 2016
Working Paper Series
77 downloads

Incl. Electronic Paper Crude Inventory Accounting and Speculation in the Physical Oil Market
Ivan Diaz-Rainey, Helen Roberts and David H. Lont
University of Otago - School of Business, University of Otago and University of Otago - Department of Accountancy and Finance
Date Posted: July 28, 2016
Last Revised: August 15, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper XVA at the Exercise Boundary
Andrew David Green and Chris Kenyon
Scotiabank and Lloyds Banking Group
Date Posted: July 27, 2016
Last Revised: August 08, 2016
Working Paper Series
36 downloads

Incl. Electronic Paper Option-Based Pricing of Wrong Way Risk for CVA
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Scotiabank
Date Posted: July 27, 2016
Last Revised: August 25, 2016
Working Paper Series
40 downloads

Incl. Electronic Paper Jumps and Stochastic Volatility in Crude Oil Prices and Advances in Average Option Pricing
Quantitative Finance (Forthcoming)
Ioannis Kyriakou, Panos K. Pouliasis and Nikos C. Papapostolou
City University London - Sir John Cass Business School, Sir John Cass Business School and Cass Business School, City University London
Date Posted: July 24, 2016
Accepted Paper Series
64 downloads

Incl. Electronic Paper Cluster Stability of Error Representation in Option Pricing
Berk Orbay, Refik Güllü and Wolfgang Hörmann
Boğaziçi University - Department of Industrial Engineering, Boğaziçi University - Department of Industrial Engineering and Boğaziçi University - Department of Industrial Engineering
Date Posted: July 23, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Model Calibration with Neural Networks
Andres Hernandez
IBM - IBM Risk Analytics
Date Posted: July 21, 2016
Working Paper Series
82 downloads


 

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