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SSRN eLibrary Search Results
JEL Code: G13
2,336,380 Total downloads
Showing Papers 161 - 210 of 6,056
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Incl. Electronic Paper Hedging Interest Rate Risk Using a Structural Model of Credit Risk
Fisher College of Business Working Paper No. 2016-03-04, Charles A. Dice Center Working Paper No. 2016-4
Jing-Zhi Huang and Zhan Shi
Pennsylvania State University - University Park - Department of Finance and Ohio State University (OSU) - Department of Finance
Date Posted: February 12, 2016
Working Paper Series
8 downloads

Funding Liquidity Shocks in a Natural Experiment: Evidence from the CDS Big Bang
Xingjie Wang , Yangru Wu , Hongjun Yan and Zhaodong Zhong
Rutgers, The State University of New Jersey - Rutgers Business School , Rutgers University, Newark - School of Business - Department of Finance & Economics , Rutgers, The State University of New Jersey - Rutgers Business School and Rutgers University
Date Posted: February 12, 2016
Working Paper Series

Incl. Electronic Paper Investor Heterogeneity, Sentiment, and Skewness Preference in Options Market
Aristogenis Lazos , Jerry Coakley and Xiaoquan Liu
University of Essex , University of Essex - Essex Business School and University of Nottingham Ningbo
Date Posted: February 12, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper A New Approach to Valuing Risk-Neutral Moments from Option Prices
Aristogenis Lazos , Jerry Coakley and Xiaoquan Liu
University of Essex , University of Essex - Essex Business School and University of Nottingham Ningbo
Date Posted: February 12, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Pricing American Options Under Regime Switching Using Method of Lines
Carl Chiarella , Christina Nikitopoulos Sklibosios , Erik Schlogl and Hongang Yang
University of Technology, Sydney - UTS Business School, Finance Discipline Group , University of Technology, Sydney - Faculty of Business , University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology, Sydney - UTS Business School
Date Posted: February 11, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper A Little Knowledge Is a Dangerous Thing: Model Specification, Data History, and CDO (Mis)Pricing
Dan Luo , Dragon Yongjun Tang and Sarah Qian Wang
School of Finance , The University of Hong Kong - School of Economics and Finance and University of Warwick - Warwick Business School
Date Posted: February 11, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Risk Neutral Valuation: Convenience or Consensus?
David H. Goldenberg
Independent Researcher
Date Posted: February 08, 2016
Last Revised: February 10, 2016
Working Paper Series
20 downloads

Incl. Electronic Paper Hedging Strategy Comparisons of Volatility Index Options Using Diffusion Models
The International Journal of Business and Finance Research, v. 9 (3) p. 59-69
Jun-Biao Lin
National Kaohsiung First University of Science & Technology (NKFUST) - Department of Finance and Banking
Date Posted: February 08, 2016
Accepted Paper Series
25 downloads

Incl. Electronic Paper Risk-Adjusted Expectations of Inflation
Bank of Italy Occasional Paper No. 286
Marco Casiraghi and Marcello Miccoli
Bank of Italy and Bank of Italy
Date Posted: February 06, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper An Equilibrium Pricing for OTC Derivatives with Collateralization. Application of Economic Premium Principle
Kazuhiro Takino
Nagoya University of Commerce and Business Administration
Date Posted: February 06, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Determinants of Silver Futures Price Volatility: Evidence from the Thailand Futures Exchange
The International Journal of Business and Finance Research, v. 9 (4) p. 81-87, 2015
Woradee Jongadsayakul
Kasetsart University
Date Posted: February 06, 2016
Accepted Paper Series
4 downloads

Incl. Electronic Paper Should Employers Pay Their Employees Better?
Sébastien Valeyre , Denis Grebenkov , Qian Liu , Sofiane Aboura and Francois Bonnin
John Locke Investments , CNRS , John Locke Investments , Université Paris XIII Sorbonne Paris Cité and John Locke Investments
Date Posted: February 03, 2016
Working Paper Series
34 downloads

Incl. Electronic Paper Connectedness of Stress in EMU Bank and Sovereign CDS: The Role Policy Measures 2008-2014
Victor Echevarria-Icaza and Simón Sosvilla Rivero
Universidad Complutense de Madrid (UCM) and Complutense University of Madrid
Date Posted: February 02, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Necessary and Sufficient No-Arbitrage Conditions for the SSVI/S3 Volatility Curve
Timothy Klassen
PFT Analytics
Date Posted: February 01, 2016
Working Paper Series
83 downloads

Incl. Electronic Paper Empirical Patterns of Time Value Decay in Options
Ryan McKeon
University of San Diego
Date Posted: February 01, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper Small vs Large Caps. Evidencia De Mercados Accionarios Desarrollados Y Emergentes En Periodos Con vs Sin Crisis Financiera (Small vs Large Caps. Evidence from Developed and Emerging Stock Markets During Periods with and Without Financial Crisis)
Revista Internacional Administración & Finanzas, v. 8 (3) p. 27-44, 2015,
Eduardo Sandoval
University of Concepción
Date Posted: January 31, 2016
Accepted Paper Series
2 downloads

Incl. Electronic Paper Mercado Integrado Latinoamericano: Un Análisis De Cointegración (Integrated Markets of Latin American: A Cointegration Analysis)
Revista Internacional Administración & Finanzas, v. 9 (1) p. 1-17, 2016,
Eduardo Sandoval and Macarena Soto
University of Concepción and Universidad de Concepción
Date Posted: January 29, 2016
Accepted Paper Series
3 downloads

Incl. Electronic Paper Systemic Default and Return Predictability in the Stock and Bond Markets
Charles A. Dice Center Working Paper No. 2016-2, Fisher College of Business Working Paper No. 2016-03-02
Jack Bao , Kewei Hou and Shaojun A. Zhang
Board of Governors of the Federal Reserve System , Ohio State University (OSU) - Department of Finance and The University of Hong Kong
Date Posted: January 27, 2016
Working Paper Series
60 downloads

Incl. Electronic Paper Tail Comovement in Option-Implied Inflation Expectations as an Indicator of Anchoring
Bank of Italy Temi di Discussione (Working Paper) No. 1025
Sara Cecchetti , Filippo Natoli and Laura Sigalotti
Bank of Italy , Bank of Italy and Bank of Italy
Date Posted: January 26, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Collateralization, Market Incompleteness and Asset Prices
Swedish House of Finance Research Paper No. 16-05
James Dow and Jungsuk Han
London Business School - Institute of Finance and Accounting and
Date Posted: January 26, 2016
Last Revised: January 29, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper Futures Replication and the Law of One Futures Price
Avi Bick
Simon Fraser University (SFU) - Beedie School of Business
Date Posted: January 26, 2016
Last Revised: January 28, 2016
Working Paper Series
15 downloads

The Relationship between Reciprocal Currency Futures Prices
Finance Research Letters, Vol. 9, 2012
Avi Bick
Simon Fraser University (SFU) - Beedie School of Business
Date Posted: January 26, 2016
Accepted Paper Series

Incl. Electronic Paper Empirical Pricing Performance on Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?
Benjamin Cheng , Christina Nikitopoulos Sklibosios and Erik Schlogl
University of Technology Sydney (UTS) , University of Technology, Sydney - Faculty of Business and University of Technology Sydney (UTS) - School of Finance and Economics
Date Posted: January 25, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models
José Da Fonseca
Auckland University of Technology - Faculty of Business & Law
Date Posted: January 23, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper A Hybrid SLV Model with Multifactor Stochastic Volatility
Gaetano La Bua
Polytechnic University of Milan - Department of Mathematics
Date Posted: January 23, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper The Performance of Popular Stochastic Volatility Option Pricing Models During the Subprime Crisis
Applied Financial Economics, Vol. 21, No. 4, 2011
Thibaut Moyaert and Mikael Petitjean
Louvain School of Management (UCL) and Louvain School of Management (UCL)
Date Posted: January 23, 2016
Accepted Paper Series
19 downloads

Incl. Electronic Paper Does the Pricing Kernel Anomaly Reflect Forward Looking Beliefs?
Swiss Finance Institute Research Paper No. 15-66
Carlo Sala
Swiss Finance Institute at the University of Lugano
Date Posted: January 23, 2016
Last Revised: February 09, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Optimal Stochastic Recovery for Base Correlation
Salah Amraoui and Sebastien G Hitier
BNP Paribas and BNP Paribas
Date Posted: January 23, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper CDO Pricing: Copula Implied by Risk Neutral Dynamics
Sebastien G Hitier and Eric Huber
BNP Paribas and THALES
Date Posted: January 23, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper Rethinking Margin Period of Risk
Leif B. G. Andersen , Michael Pykhtin and Alexander Sokol
Bank of America Merrill Lynch , Board of Governors of the Federal Reserve System and CompatibL
Date Posted: January 22, 2016
Working Paper Series
175 downloads

Incl. Electronic Paper Economically Consistent Valuations and Put-Call Parity
Swiss Finance Institute Research Paper No. 16-02
Martin Herdegen and Martin Schweizer
ETH Zurich and ETH Zürich - Department of Mathematics
Date Posted: January 22, 2016
Working Paper Series
31 downloads

Incl. Electronic Paper Black Scholes Pricing and Dynamic Hedging
Ilya I. Gikhman

Date Posted: January 22, 2016
Working Paper Series
28 downloads

Incl. Electronic Paper How Integrated is the European Carbon Derivatives Market?
Finance Research Letters, Vol. 15, 2015
Mikael Petitjean
Louvain School of Management (UCL)
Date Posted: January 22, 2016
Accepted Paper Series
2 downloads

Incl. Electronic Paper Covered Option Strategies in Nordic Electricity Markets
Journal of Energy Markets, Forthcoming
Antti Klemola and Jukka Sihvonen
University of Vaasa and University of Vaasa
Date Posted: January 20, 2016
Accepted Paper Series
6 downloads

Incl. Electronic Paper Nonparametric State-Price Density Estimation Using High Frequency Data
Jeroen Dalderop
University of Cambridge - Faculty of Economics
Date Posted: January 20, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper Variation of the Implied Volatility Function and Return Predictability
Paul Borochin and Yanhui Zhao
University of Connecticut - School of Business and University of Connecticut
Date Posted: January 20, 2016
Working Paper Series
74 downloads

Incl. Electronic Paper Measuring the Oil Risk Effect on Industry Volatility Shocks
Bernard Ben Sita
Lebanese American University
Date Posted: January 19, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Commodity's Common Factors. What Drives the Raw Material and Energy Markets?
Johannes Luebbers and Peter N. Posch
TU Dortmund University and University of Dortmund - Faculty of Business, Economics and Social Sciences
Date Posted: January 19, 2016
Last Revised: February 06, 2016
Working Paper Series
33 downloads

Incl. Electronic Paper Least Squares Monte Carlo Credit Value Adjustment with Small and Unidirectional Bias
Mark S. Joshi and Oh Kang Kwon
University of Melbourne - Centre for Actuarial Studies and The University of Sydney - Discipline of Finance
Date Posted: January 18, 2016
Working Paper Series
238 downloads

Incl. Electronic Paper Fair Valuation of Cliquet-Style Return Guarantees in a Heterogeneous Life Insurance Portfolio
Peter Hieber , Jan Natolski and Ralf Werner
University of Ulm - Department of Mathematics and Economics , University of Augsburg and Universität Augsburg
Date Posted: January 16, 2016
Working Paper Series
38 downloads

Incl. Electronic Paper Levy Process and Option Pricing
Rossano Giandomenico
Independent
Date Posted: January 15, 2016
Last Revised: February 01, 2016
Working Paper Series
54 downloads

Incl. Electronic Paper Timing Options for a Startup with Early Termination and Competition Risks
Tim Leung and Zongxi Li
Columbia University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Date Posted: January 15, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper Anticipatory Trading in Brent Futures: Evidence from the Unregulated Dated Brent Benchmark
Alex Frino , Gbenga Ibikunle , Vito Mollica and Tom Steffen
Macquarie University , University of Edinburgh , Macquarie Graduate School of Management and University of Edinburgh Business School
Date Posted: January 15, 2016
Working Paper Series
21 downloads

Incl. Fee Electronic Paper Asymmetric Volatility, Skewness, and Downside Risk in Different Asset Classes: Evidence from Futures Markets
Financial Review, Vol. 51, Issue 1, pp. 83-111, 2016
Yiuman Tse
University of Missouri at Saint Louis
Date Posted: January 14, 2016
Accepted Paper Series

Incl. Electronic Paper Mimicking Credit Ratings by a Perpetual-Debt Structural Model
Gaia Barone
LUISS Guido Carli, Department of Business and Management
Date Posted: January 12, 2016
Working Paper Series
8 downloads

Intraday Price Discovery in Indian Stock Index Futures Market: New Evidence from Neural Network Approach
Sarveshwar Kumar Inani and Saurabh Kumar
Indian Institute of Management, Lucknow and Indian Institute of Management (IIM), Lucknow
Date Posted: January 12, 2016
Working Paper Series

Incl. Electronic Paper CDO Tranche Analytic Pricing with Subordinator Levy Marshall-Olkin Correlation
Stefano Giovannitti
UniCredit S.p.A.
Date Posted: January 11, 2016
Last Revised: January 12, 2016
Working Paper Series
30 downloads

Incl. Electronic Paper Stochastic Volatility Modeling: Chapter 2 - Local Volatility
Chapter 2 of Stochastic Volatility Modeling, published by CRC/Chapman & Hall, 2016
Lorenzo Bergomi
Societe Generale
Date Posted: January 11, 2016
Last Revised: January 13, 2016
Working Paper Series
97 downloads

Incl. Electronic Paper Stochastic Volatility Modeling: Chapter 1 - Introduction
Chapter 1 of Stochastic Volatility Modeling, published by CRC/Chapman & Hall, 2016
Lorenzo Bergomi
Societe Generale
Date Posted: January 11, 2016
Working Paper Series
133 downloads

Incl. Electronic Paper Numerical Pricing of European Options with Arbitrary Payoffs
Ricardo Pachon
Credit Suisse Securities
Date Posted: January 09, 2016
Last Revised: January 25, 2016
Working Paper Series
29 downloads


 

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