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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 484,422
Full Text Papers: 393,787
Authors: 226,737
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  Last 12 months: 		68,988

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To date: 65,953,402
Last 12 months: 11,186,475
Last 30 days: 1,057,634

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  References: 		238,981
Total References: 8,480,523
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Papers with
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  Footnotes: 		77,812
Total Footnotes: 8,534,471


SSRN eLibrary Search Results
JEL Code: G13
1,852,491 Total downloads
Showing Papers 1,701 - 1,750 of 4,932
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Incl. Electronic Paper Flaming Logs
Nick Denson and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: May 28, 2009
Working Paper Series
277 downloads

Incl. Electronic Paper A Model of Deferred Callability in Defaultable Debt
NHH Dept. of Finance & Management Science Discussion Paper No. 2009/4
 Aksel Mjøs and Svein-Arne Persson
Norwegian School of Economics (NHH) and Norwegian School of Economics (NHH)
Date Posted: May 27, 2009
Working Paper Series
52 downloads

Incl. Electronic Paper Basket Options on Heterogeneous Underlying Assets
 Georges Dionne , Genevieve Gauthier and Nadia Ouertani
HEC Montreal - Department of Finance , HEC Montreal and IESEG School of Management
Date Posted: May 26, 2009
Working Paper Series
133 downloads

Incl. Electronic Paper The Pricing of Subprime Mortgage Risk in Good Times and Bad: Evidence from the ABX.HE Indices
ECB Working Paper No. 1056, BIS Working Paper No. 279
 Ingo Fender and Martin Scheicher
Bank for International Settlements (BIS) and European Central Bank (ECB)
Date Posted: May 26, 2009
Working Paper Series
243 downloads

Pricing Insurance Contracts Following the Cost of Capital Approach: Some Conceptual Issues
CAREFIN Research Paper No. 9/09
 Alberto Floreani
Catholic University of the Sacred Heart of Milan - Department of Economics and Business Administration
Date Posted: May 25, 2009
Working Paper Series

Incl. Electronic Paper The Pricing of Derivatives When Underlying Paths are Truncated: The Case of Express Certificates in Germany
 Stefan Wilhelm
financial.com AG
Date Posted: May 25, 2009
Working Paper Series
156 downloads

Incl. Electronic Paper Investing in Mad Money: Price and Style Effects
Financial Services Review, Forthcoming, Northeastern U. College of Business Administration Research Working Paper 001-09
 Paul J. Bolster and Emery A. Trahan
Northeastern University - Finance and Insurance Area and Northeastern University - Finance and Insurance Area
Date Posted: May 23, 2009
Accepted Paper Series
227 downloads

Incl. Electronic Paper Closed-Form Solutions of Convexity and M-Square
 Sanjay K. Nawalkha , Nelson Lacey and Thomas Schneeweis
University of Massachusetts at Amherst - Isenberg School of Management , University of Massachusetts at Amherst and University of Massachusetts at Amherst - Isenberg School of Management
Date Posted: May 23, 2009
Working Paper Series
111 downloads

Incl. Electronic Paper Arbitraging Mispriced Assets with Separation Portfolios to Lessen Total Risk
Serie Documentos de Trabajo, Documento Nro. 203
 Rodolfo Apreda
University of CEMA
Date Posted: May 22, 2009
Working Paper Series
15 downloads

Incl. Electronic Paper The Term Structure of Risk Premia: Evidence from CDS Spreads
 Tobias Berg
Humboldt Universität zu Berlin
Date Posted: May 22, 2009
Last Revised: January 07, 2013
Working Paper Series
295 downloads

Incl. Electronic Paper Credit Default Swap Auctions
FRB of New York Staff Report No. 372
 Jean Helwege , Samuel Maurer , Asani Sarkar and Yuan Wang
University of South Carolina , affiliation not provided to SSRN , Federal Reserve Bank of New York and John Molson School of Business, Concordia University
Date Posted: May 21, 2009
Working Paper Series
387 downloads

Incl. Electronic Paper Modeling and Pricing of Swaps for Stochastic Volatilities with Delay and Jumps
 Anatoliy V. Swishchuk
University of Calgary
Date Posted: May 21, 2009
Working Paper Series
107 downloads

Incl. Electronic Paper Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities
 Anatoliy V. Swishchuk
University of Calgary
Date Posted: May 21, 2009
Working Paper Series
172 downloads

Incl. Electronic Paper Minimal Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks
 Jiun Hong Chan and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: May 18, 2009
Last Revised: October 11, 2011
Working Paper Series
335 downloads

Incl. Electronic Paper VIX Futures and Options - A Case Study of Portfolio Diversification during the 2008 Financial Crisis
 Edward Szado
University of Massachusetts at Amherst - Isenberg School of Management
Date Posted: May 18, 2009
Last Revised: September 10, 2009
Working Paper Series
1105 downloads

Incl. Electronic Paper How Asymmetric is U.S. Stock Market Volatility?
 Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Date Posted: May 17, 2009
Working Paper Series
217 downloads

Does Futures Exhibit Maturity Effect? New Evidence from an Extensive Set of Us and Foreign Futures Contracts
Review of Financial Economics, Vol. 15, No. 2, 2006
 Elton Daal , Joseph Farhat and Peihwang Wei
University of New Orleans - College of Business Administration - Department of Economics and Finance , Central Connecticut State University - Department of Finance and University of New Orleans - College of Business Administration - Department of Economics and Finance
Date Posted: May 16, 2009
Accepted Paper Series

Incl. Electronic Paper Empirical Tests of Canonical Nonparametric American Option Pricing Methods
 Jamie Alcock and Diana Auerswald
University of Cambridge - Department of Land Economy and Goethe University Frankfurt - Department of Finance
Date Posted: May 16, 2009
Working Paper Series
85 downloads

Incl. Electronic Paper Pricing Covered Bonds
 Chris Kenyon
Lloyds Banking Group - Wholesale Banking & Markets
Date Posted: May 16, 2009
Last Revised: September 09, 2009
Working Paper Series
539 downloads

Incl. Electronic Paper Review of Early 2009 SEC Approved Rule Changes Impacting Exchange Traded Equity Options and Possible Implications
 Edwin D. Maberly and Raylene M. Pierce
Monash University and Deakin University
Date Posted: May 16, 2009
Working Paper Series
51 downloads

Incl. Electronic Paper A Modified Structural Model for Credit Risk: Utility Indifference Valuation
 Gechun Liang and Lishang Jiang
University of Oxford - Oxford-Man Institute of Quantitative Finance and Tongji University - Institute of Mathematics
Date Posted: May 14, 2009
Working Paper Series
95 downloads

Incl. Electronic Paper Closed-Form Solutions of Higher Order Duration Measures
 Sanjay K. Nawalkha and Nelson Lacey
University of Massachusetts at Amherst - Isenberg School of Management and University of Massachusetts at Amherst
Date Posted: May 14, 2009
Working Paper Series
126 downloads

Incl. Electronic Paper Valuing the First Negotiated Repurchase of the TARP Warrants
 Linus Wilson
University of Louisiana at Lafayette - College of Business Administration
Date Posted: May 14, 2009
Last Revised: October 21, 2009
Working Paper Series
636 downloads

Incl. Electronic Paper The Long-run Risks Model: What Differences Can an Extra Volatility Factor Make?
 Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - Olin School of Business and Tsinghua University - School of Economics & Management
Date Posted: May 13, 2009
Last Revised: March 10, 2013
Working Paper Series
554 downloads

Incl. Electronic Paper The Valuation of Long-Term Exchange Options in the German Electricity Market
 Jan Marckhoff
University of Bamberg
Date Posted: May 13, 2009
Working Paper Series
60 downloads

Incl. Electronic Paper Static Hedging of Defaultable Contingent Claims: A Simple Hedging Scheme Across Equity and Credit Markets
International Journal of Theoretical and Applied Finance, Vol. 14, No. 2, 2011
 Shuichi Ohsaki and Akira Yamazaki
Merrill Lynch & Co. and Hosei University - Graduate School of Business Administration
Date Posted: May 12, 2009
Last Revised: April 20, 2011
Accepted Paper Series
288 downloads

Incl. Electronic Paper Constant Proportion Debt Obligations (CPDO): Modeling and Risk Analysis
 Rama Cont and Cathrine Jessen
Imperial College London and Copenhagen Business School - Department of Finance
Date Posted: May 08, 2009
Last Revised: November 14, 2010
Working Paper Series
710 downloads

Incl. Electronic Paper Fast Delta Computations in the Swap-Rate Market Model
 Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: May 08, 2009
Last Revised: November 12, 2010
Working Paper Series
783 downloads

Incl. Electronic Paper The Goldman Sachs Warrants
Review of Business, Vol. 30, No. 1, 2009
 Linus Wilson
University of Louisiana at Lafayette - College of Business Administration
Date Posted: May 08, 2009
Last Revised: January 06, 2010
Working Paper Series
755 downloads

Incl. Electronic Paper Vega Control
 Nick Denson and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: May 08, 2009
Working Paper Series
572 downloads

Incl. Electronic Paper R-Minimizing Hedging in an Incomplete Market: Malliavin Calculus Approach
 Yajun Xiao
University of Freiburg - Department of Economics
Date Posted: May 07, 2009
Working Paper Series
119 downloads

Incl. Electronic Paper Real R&D Options in Paradise and Purgatory
 Wilson Koh and Dean Paxson
Deutsche Bank AG and University of Manchester - Manchester Business School
Date Posted: May 07, 2009
Working Paper Series
44 downloads

Incl. Electronic Paper Risk Premia in the German Electricity Futures Market
CEFS Working Paper No. 2009-7
Matthäus Pietz
Technische Universität München - Center for Entrepreneurial and Financial Studies
Date Posted: May 07, 2009
Last Revised: September 30, 2009
Working Paper Series
212 downloads

Incl. Electronic Paper Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty
 Hao Zhou
PBC School of Finance, Tsinghua University
Date Posted: May 07, 2009
Last Revised: August 24, 2012
Working Paper Series
1333 downloads

Incl. Electronic Paper Too Big to Fail, Hidden Risks, and the Fallacy of Large Institutions
 Charles S. Tapiero and Nassim Nicholas Taleb
NYU Poly - Department of Finance and Risk Engineering and NYU-Poly
Date Posted: May 05, 2009
Working Paper Series
4870 downloads

Incl. Electronic Paper Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008
 Justin Birru and Stephen Figlewski
New York University - Stern School of Business and New York University - Stern School of Business
Date Posted: May 05, 2009
Last Revised: September 16, 2009
Working Paper Series
67 downloads

Incl. Electronic Paper Recovering Risk-Neutral Densities from Brazilian Interest Rate Options
Brazilian Finance Review, Vol. 9, No. 1, pp. 9-26, 2011
Jose Renato Haas Ornelas and Marcelo Yoshio Takami
Central Bank of Brazil and Government of the Federative Republic of Brazil - Central Bank of Brazil
Date Posted: May 01, 2009
Last Revised: June 20, 2011
Accepted Paper Series
129 downloads

Incl. Electronic Paper Real Extreme R&D Discovery Options
Banque and Marches, No. 86, Jan-Feb 2007
 Wilson Koh and Dean Paxson
Deutsche Bank AG and University of Manchester - Manchester Business School
Date Posted: April 30, 2009
Accepted Paper Series
61 downloads

Incl. Electronic Paper The Valuation of N-Phased Investment Projects under Jump-Diffusion Processes
 Rainer Andergassen and Luigi Sereno
University of Bologna - Department of Economics and University of Pisa - Facolta' di Economia
Date Posted: April 30, 2009
Last Revised: March 01, 2010
Working Paper Series
72 downloads

Incl. Electronic Paper Modified Delta-Gamma Approximation
 Yves Rakotondratsimba
ECE Paris- Graduate School of Engineering
Date Posted: April 29, 2009
Working Paper Series
353 downloads

Incl. Electronic Paper The LIBOR Market Model: A Critical Review
 Sanjay K. Nawalkha
University of Massachusetts at Amherst - Isenberg School of Management
Date Posted: April 29, 2009
Working Paper Series
253 downloads

Incl. Electronic Paper Effect of the Asset Change on the Portfolio Return in Presence of Transaction Costs
 Yves Rakotondratsimba
ECE Paris- Graduate School of Engineering
Date Posted: April 27, 2009
Working Paper Series
67 downloads

Incl. Electronic Paper Risk-Neutral Probabilities Explained
 Nicolas Gisiger
affiliation not provided to SSRN
Date Posted: April 27, 2009
Last Revised: October 20, 2010
Working Paper Series
7242 downloads

Incl. Electronic Paper Shareholder Opportunism in a World of Risky Debt
Harvard Law Review, Vol. 123, 2010
 Richard Squire
Fordham University School of Law
Date Posted: April 27, 2009
Last Revised: February 17, 2010
Accepted Paper Series
769 downloads

Incl. Electronic Paper Managing Interest Rate Risk: The Next Challenge?
 Sanjay K. Nawalkha and Gloria M. Soto
University of Massachusetts at Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics
Date Posted: April 26, 2009
Last Revised: August 18, 2012
Working Paper Series
1010 downloads

Incl. Electronic Paper Face Value Convergence for Stochastic Bond Price Processes: A Note on Merton's Partial Equilibrium Option Pricing Model
 Sanjay K. Nawalkha
University of Massachusetts at Amherst - Isenberg School of Management
Date Posted: April 25, 2009
Working Paper Series
94 downloads

Incl. Electronic Paper From Rationality to Hyperreality: Paradigm Poker
International Review of Financial Analysis, Vol. 12, No. 4, 2003, Queen's School of Business Research Paper No. 04-09
 Norman B. Macintosh
Queen's University
Date Posted: April 24, 2009
Last Revised: May 17, 2009
Accepted Paper Series
161 downloads

Incl. Electronic Paper Accuracy of Premium Calculation Models for CAT Bonds - An Empirical Analysis
 Marcello Galeotti , Marc Gürtler and Christine Winkelvos
University of Florence - Department of Mathematics for Decisions , University of Braunschweig - Institute of Technology, Department of Finance and University of Braunschweig - Institute of Technology, Department of Finance
Date Posted: April 23, 2009
Last Revised: December 06, 2011
Working Paper Series
311 downloads

Incl. Electronic Paper Arbitrage-Free Interval and Dynamic Hedging in an Illiquid Market
 Zhaojun Yang and Jinqiang Yang
Hunan University - School of Finance and Statistics and affiliation not provided to SSRN
Date Posted: April 22, 2009
Last Revised: December 17, 2009
Working Paper Series
139 downloads

Incl. Electronic Paper Stable Monte-Carlo Sensitivities of Bermudan Callable Products
 Christian P. Fries
DZ Bank AG
Date Posted: April 17, 2009
Last Revised: April 22, 2009
Working Paper Series
398 downloads


 

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