Social Science Research Network
QuickSearch SSRN eLibrary

Search Within Results




Feedback to SSRN

SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 577,241
Full Text Papers: 478,375
Authors: 267,244
Papers Received in
  Last 12 months:
63,434

Paper Downloads:
To date: 80,677,295
Last 12 months: 10,235,655
Last 30 days: 967,883

CiteReader:  What's this?
Papers with
  Resolved
  References:
275,883
Total References: 9,075,334
Papers with Cites: 245,696
Total Citation
  Links:
6,012,646
Papers with
  Resolved
  Footnotes:
94,592
Total Footnotes: 9,191,436


SSRN eLibrary Search Results
JEL Code: G13
2,111,939 Total downloads
Showing Papers 1,641 - 1,690 of 5,526
Sort By
1 2 3 4 ... 111 | Next >
   


Incl. Electronic Paper Addressing the Bias in Monte Carlo Pricing of Multi-Asset Options with Multiple Barriers Through Discrete Sampling
The Journal of Computational Finance 6(3), pp.1-20, 2003.
Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Date Posted: November 23, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper Price Discovery in Gold Markets: China and the U.S.
Dong Zhang
Stockholm University - School of Business
Date Posted: November 23, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Kalle Rinne , Matti Suominen and Lauri Vaittinen
Luxembourg School of Finance , Aalto University, Department of Finance and Independent
Date Posted: November 22, 2014
Working Paper Series
482 downloads

Incl. Electronic Paper An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration Using Matlab
CNMV Working Paper n. 58
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Date Posted: November 20, 2014
Accepted Paper Series
13 downloads

Incl. Electronic Paper When No News is Good News – The Decrease in Investor Fear after the FOMC Announcement
Adrian Fernandez-Perez , Bart Frijns and Alireza Tourani-Rad
Auckland University of Technology , Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Date Posted: November 17, 2014
Last Revised: November 18, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper The Sovereign Nature of Systemic Risk
Gerardo Manzo and Antonio Picca
The University of Chicago Booth School of Business and University of Chicago - Booth School of Business
Date Posted: November 17, 2014
Working Paper Series
18 downloads

Incl. Electronic Paper Basic of Pricing 2
Ilya I. Gikhman
Independent
Date Posted: November 17, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Behavioral Influences in Non-Ferrous Metals Prices
Mark Cummins , Michael M. Dowling and Brian M. Lucey
Dublin City University Business School , Dublin City University Business School and Trinity College, Dublin - School of Business
Date Posted: November 16, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Price Discovery of German Index Derivatives During Financial Turmoil
Anja Frommherz
University of Basel - Department of Finance
Date Posted: November 15, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Simulated Conditional Probabilities: A Better Approximation for the m Out of n Day Provision
Qiang Liu
Southwestern University of Finance and Economics - School of Finance
Date Posted: November 14, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper The 4/2 Stochastic Volatility Model
Martino Grasselli
University of Padova - Department of Mathematics
Date Posted: November 14, 2014
Working Paper Series
35 downloads

Incl. Electronic Paper Does Optimal Cross Hedge Exist for General Basis Risk?
Yiyong Yuan
Southwestern University of Finance and Economics (SWUFE)
Date Posted: November 13, 2014
Last Revised: November 23, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Modeling Behavioral Risk
Matteo Bissiri and Riccardo Cogo
Cassa Depositi e Prestiti S.p.A. and Cassa Depositi e Prestiti S.p.A.
Date Posted: November 13, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper Long Term Risk: A Martingale Approach
Likuan Qin and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Date Posted: November 12, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper Dynamic Futures Hedging with a Vector Error Correction Markov Switching Multifractal Model
Waleem Alausa
University of Alberta, Department of Economics
Date Posted: November 12, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Affine Approximation for Moment Generating Function of Log-Normal Stochastic Volatility Model
Artur Sepp
Merrill Lynch & Co.
Date Posted: November 11, 2014
Last Revised: November 18, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper Time-Independent Pricing of Options in Range Bound Markets
Ovidiu Sorin Racorean
Academy of Economic Studies
Date Posted: November 11, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper American Options Under Stochastic Volatility: Control Variates, Maturity Randomization & Multiscale Asymptotics
Ankush Agarwal , Sandeep Juneja and Ronnie Sircar
Tata Institute of Fundamental Research (TIFR) , Tata Institute of Fundamental Research (TIFR) and Princeton University - Department of Operations Research and Financial Engineering
Date Posted: November 09, 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: November 08, 2014
Working Paper Series
47 downloads

Incl. Electronic Paper Hidden Illiquidity with Multiple Central Counterparties
Paul Glasserman , Ciamac C. Moallemi and kai yuan
Columbia Business School , Columbia Business School - Decision Risk and Operations and Columbia University - Columbia Business School
Date Posted: November 07, 2014
Working Paper Series
22 downloads

Incl. Electronic Paper Portfolio KVA: I Theory
Andrew David Green and Chris Kenyon
Lloyds Banking Group and Lloyds Banking Group
Date Posted: November 06, 2014
Working Paper Series
46 downloads

Incl. Electronic Paper Asset Pricing Implications of Volatility Term Structure Risk
Chen Xie
Columbia University - Columbia Business School
Date Posted: November 06, 2014
Working Paper Series
68 downloads

Incl. Electronic Paper Efficient Pricing of Energy Derivatives
This chapter was prepared for Marcel Prokopczuk, ed.: Energy Pricing Models: Recent Advances, Methods, and Tools, Palgrave Macmillan, Forthcoming
Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne
Date Posted: November 06, 2014
Accepted Paper Series
16 downloads

Incl. Electronic Paper Discretely Monitored First Passage Problems and Barrier Options: An Eigenfunction Expansion Approach
Finance and Stochastics, Forthcoming
Lingfei Li and Vadim Linetsky
The Chinese University of Hong Kong and Northwestern University - Department of Industrial Engineering and Management Sciences
Date Posted: November 05, 2014
Accepted Paper Series
12 downloads

Incl. Electronic Paper Cumulative Prospect Theory and the Variance Premium
Lieven Baele , Joost Driessen , Juan M. Londono and Oliver G. Spalt
Tilburg University - Department of Finance , Tilburg University - Department of Finance , Federal Reserve Board of Governors and Tilburg University - Department of Finance
Date Posted: November 02, 2014
Working Paper Series
8 downloads

Information Arrival, Jumps and Cojumps in European Financial Markets: Evidence Using Tick by Tick Data
Forthcoming in Multinational Finance Journal
Syed Mujahid Hussain and Frederic Deleze
Hanken school of Economics and Deleze Consulting Ltd.
Date Posted: November 02, 2014
Accepted Paper Series

Incl. Electronic Paper Liability Concentration and Losses in Financial Networks: Comparisons via Majorization
Agostino Capponi , Peng-Chu Chen and David D. Yao
Columbia University , Purdue University and Columbia University
Date Posted: November 02, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper The Variance Risk Premium Around the World
Juan M. Londono
Federal Reserve Board of Governors
Date Posted: November 01, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Pricing and Hedging GMWB Riders in a Binomial Framework
Cody Blaine Hyndman and Menachem Wenger
Concordia University, Quebec - Department of Mathematics and Statistics and Concordia University, Quebec - Department of Mathematics & Statistics
Date Posted: October 31, 2014
Working Paper Series
12 downloads

Sentiment-Prone Investors and Volatility Dynamics between Spot and Futures Markets
International Review of Economics & Finance, Vol. 35, pp. 180-196 (2015 Forthcoming)
Pilar Corredor , Elena Ferrer and Rafael Santamaria
Public University of Navarre , Universidad Pública de Navarra and Public University of Navarre
Date Posted: October 31, 2014
Accepted Paper Series

Incl. Electronic Paper Does Economic Policy Uncertainty Drive CDS Spreads?
Tomasz Piotr Wisniewski and Brendan John Lambe
University of Leicester and University of Leicester
Date Posted: October 29, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Pricing of Forwards and Other Derivatives in Cointegrated Commodity Markets
Fred Espen Benth and Steen Koekebakker
University of Oslo and School of Business and Law at the University of Agder
Date Posted: October 28, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Utility-Efficient Payoffs
Stefan Kassberger and Thomas Liebmann
Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management gemeinnützige GmbH
Date Posted: October 28, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Analyzing the Swiss National Bank's Euro Exchange Rate Policy: A Latent Likelihood Approach
Michael Hanke , Rolf Poulsen and Alex Weissensteiner
University of Liechtenstein , University of Copenhagen - Department of Statistics and Operations Research and Free University of Bolzano/Bozen
Date Posted: October 27, 2014
Last Revised: October 31, 2014
Working Paper Series
20 downloads

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
41 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
Last Revised: November 16, 2014
Working Paper Series
54 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
7 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
Last Revised: November 03, 2014
Working Paper Series
24 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
10 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
7 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
6 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: November 12, 2014
Working Paper Series
30 downloads

Incl. Electronic Paper Accounting Quality, Information Risk and Implied Volatility around Earnings Announcements
Journal of International Financial Markets, Institutions and Money, Forthcoming
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
Last Revised: November 12, 2014
Accepted Paper Series
75 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
62 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
71 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
59 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
16 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
10 downloads

Incl. Electronic Paper The Effect of Options on Information Acquisition and Asset Pricing
Shiyang Huang
London School of Economics & Political Science (LSE) - Department of Finance
Date Posted: October 08, 2014
Last Revised: November 07, 2014
Working Paper Series
42 downloads


 

1 2 3 4 ... 111 | Next >
   


 

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 7.641 seconds