Feedback to SSRN (Beta)
SSRN eLibrary Statistics:
Papers & Authors:
Abstracts:
484,272
Full Text Papers:
393,643
Authors:
226,678
Papers Received in Last 12 months:
68,942
Paper Downloads:
To date:
65,917,226
Last 12 months:
11,175,672
Last 30 days:
1,053,329
CiteReader: What's this?
Papers with
238,981
Total References:
8,480,523
Papers with Cites:
230,038
Total Citation
5,722,240
Papers with
77,812
Total Footnotes:
8,534,471
SSRN eLibrary Search Results
JEL Code: G13
1,851,958 Total downloads
Showing Papers 1,761 - 1,810 of 4,932
Sort By
Abstract Title, A-Z
Abstract Title, Z-A
Downloads, Ascending
Downloads, Descending
Date Posted, Ascending
Date Posted, Descending
Closed Form Convexity and Cross-Convexity Adjustments for Heston Prices Quantitative Finance, Vol. 11, No. 8, 2011
Gabriel G. Drimus
Date Posted: April 04, 2009Last Revised: July 30, 2011476 downloads
Early Unwinding of Futures Arbitrage
Gilles B. Desvilles
Date Posted: April 04, 2009Last Revised: April 13, 2009112 downloads
The Cost of Accuracy in the Least Squares Monte Carlo Approach Bankers, Markets and Investors, November 2011
Gilles B. Desvilles
Date Posted: April 04, 2009Last Revised: January 18, 2011126 downloads
Bootstrapping the Illiquidity: Multiple Yield Curves Construction for Market Coherent Forward Rates Estimation MODELING INTEREST RATES, Fabio Mercurio, ed., Risk Books, Incisive Media, May 2009
Ferdinando Ametrano
and
Marco Bianchetti
Date Posted: April 02, 2009Last Revised: May 15, 2010
Corporate Investment and Financing Under Asymmetric Information Swiss Finance Institute Research Paper No. 09-09
Erwan Morellec and
Norman Schürhoff
Date Posted: April 02, 2009Last Revised: April 02, 2010349 downloads
Option Pricing with Fourier Series
Baye M. Dia
affiliation not provided to SSRN
Date Posted: April 02, 2009161 downloads
A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks
T. C. Wong and
C. H. Hui
Date Posted: April 01, 2009Last Revised: May 05, 2009523 downloads
Valuation of Linear Financial Derivatives
Tasneem Chherawala
affiliation not provided to SSRN
Date Posted: March 31, 2009289 downloads
Model-Free Representation of Pricing Rules as Conditional Expectations
Sara Biagini
and
Rama Cont
Date Posted: March 30, 2009166 downloads
Valuation of Mortgage-Backed Securities: A Portfolio Credit Derivatives Approach
Wu Jiang Lou
Date Posted: March 29, 2009790 downloads
Impact of Stochastic Interest Rates and Stochastic Volatility on Variable Annuities
Eric Benhamou
and
Pierre Gauthier
Date Posted: March 28, 2009Last Revised: December 07, 2009248 downloads
An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities Opertations Research Letters, Vol. 39, Issue 3, 2011
Bong-Gyu Jang
,
Kum-Hwan Roh
and
Ji Hee Yoon
Date Posted: March 25, 2009Last Revised: August 22, 2011
Pricing Vulnerable Options Under Stochastic Assets and Liabilities
Yu-Chung Liu
and
Shu-Ing Liu
affiliation not provided to SSRN
and
Shih Hsin University - Department of Finance
Date Posted: March 25, 200994 downloads
A Historical Perspective on the International Evidence for Long-Term Reversals
Steven J. Jordan
affiliation not provided to SSRN
Date Posted: March 23, 200919 downloads
Characterizing Yield Spreads in Bonds with Embedded Options
Surya Modali
Date Posted: March 23, 2009103 downloads
Effect of Futures Trading on Spot Market Volatility: Evidence from Indian Commodity Derivatives Markets
Brajesh Kumar
Date Posted: March 23, 2009200 downloads
Real Options Signaling Games with Applications to Corporate Finance Review of Financial Studies, Vol. 24, No. 12, pp. 3993-4036, Rock Center for Corporate Governance at Stanford University Working Paper No. 57
Steven R. Grenadier
and
Andrey Malenko
Date Posted: March 23, 2009Last Revised: February 04, 2013444 downloads
Resurrecting the Conditional CAPM with Dynamic Conditional Correlations
Turan G. Bali and
Robert F. Engle
Date Posted: March 23, 2009Last Revised: February 27, 2012215 downloads
A Random Walk Down the Options Market Journal of Futures Markets, 2012, 32(6), 505-535.
George J. Jiang and
Yisong S. Tian
Date Posted: March 22, 2009Last Revised: October 03, 201229 downloads
Can the Black-Scholes-Merton Model Survive under Transaction Costs? An Affirmative Answer
Stylianos Perrakis
Date Posted: March 22, 200985 downloads
The Weekend Effect in Equity Option Returns AFA 2010 Atlanta Meetings Paper, Marshall School of Business Working Paper No. FBE 03-10
Christopher S. Jones and
Joshua Shemesh
Date Posted: March 22, 2009Last Revised: September 17, 2012515 downloads
Using Structural Models for Default Prediction
Gunnar Grass
Date Posted: March 22, 2009154 downloads
What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices? Journal of Financial Economics (JFE), Vol. 105, No. 3, 2012, AFA 2010 Atlanta Meetings Paper
Harrison G. Hong and
Motohiro Yogo
Date Posted: March 22, 2009Last Revised: June 24, 20122291 downloads
Pricing Vulnerable Options by Binomial Trees
Shu-Ing Liu
and
Yu-Chung Liu
affiliation not provided to SSRN
Date Posted: March 21, 2009106 downloads
Monitoring Daily Hedge Fund Performance When Only Monthly Data is Available
Daniel Li
,
Michael Markov
and
Russ Wermers
Date Posted: March 20, 2009Last Revised: January 09, 20131512 downloads
Option Pricing and the Probability of Success of Cash Mergers AFA 2010 Atlanta Meetings Paper
Alan Bester
,
Victor Hugo Martinez and
Ioanid Rosu
Date Posted: March 20, 2009Last Revised: March 13, 2013313 downloads
Another Option for Determining the Value of Corporate Votes
Oguzhan Karakas
Date Posted: March 20, 2009Last Revised: October 14, 2009102 downloads
Cash Holdings and Competition
Erwan Morellec and
Boris Nikolov
Date Posted: March 20, 2009Last Revised: October 11, 2009847 downloads
An Alternative Threshold GARCH Option Pricing Model: A Bayesian Approach
Shu-Ing Liu
Date Posted: March 19, 2009101 downloads
Calendar Based Mean Reversion Risk and Digital Signal Processing
C. Kenneth Jones
Date Posted: March 19, 2009Last Revised: March 10, 201156 downloads
Do Not Forget the Cancellation - Marking-to-Market and Hedging LCDX Tranches
Péter Dobránszky
and
Wim Schoutens
Date Posted: March 19, 200982 downloads
Do Transaction Costs Affect the Optimal Exercise Strategy for American Put Options?
Norman Seeger
Date Posted: March 19, 2009Last Revised: March 26, 201264 downloads
The Pricing of Dividend Futures in the European Market: A First Empirical Analysis Journal of Derivatives & Hedge Funds, Vol. 16, pp. 136-143, 2010
Sascha Wilkens
and
Jens Wimschulte
Date Posted: March 19, 2009Last Revised: January 22, 2011
A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options
Chatayan Wiphatthanananthakul
and
Michael McAleer
Date Posted: March 18, 2009259 downloads
Default Risk, Idiosyncratic Coskewness and Equity Returns Charles A. Dice Center Working Paper No. 2009-18 , Fisher College of Business Working Paper No. 2009-03-018
Fousseni Chabi-Yo
and
Jun Yang
Date Posted: March 18, 2009Last Revised: September 27, 2010172 downloads
Expected Option Returns and the Structure of Jump Risk Premia AFA 2010 Atlanta Meetings Paper
Nicole Branger
,
Alexandra Hansis
and
Christian Schlag
Date Posted: March 18, 200980 downloads
Hedging Interest Rate Margins on Demand Deposits
Alexandre Adam
and
Jean Paul Laurent
affiliation not provided to SSRN
and
University of Lyon 1
Date Posted: March 18, 2009233 downloads
Pricing and Hedging Synthetic CDO Tranche Spread Risks UNSW Australian School of Business Research Paper No. 2009ACTL04
Michael Sherris
and
Jie Ding
Date Posted: March 18, 2009Last Revised: April 01, 2009593 downloads
The Impact of Corporate Diversification on the Option Value of Equity
Gunnar Grass
Date Posted: March 18, 200980 downloads
Asset Liquidity, Business Risk, and Beta
Antonio Camara
and
Ali Nejadmalayeri
Date Posted: March 17, 2009Last Revised: August 21, 2009310 downloads
Credit Risk in the Pricing and Hedging of Derivatives Proceedings of the 1st international Forum on Risk Management, Paris, March 2008
Frederic Abergel
Date Posted: March 17, 2009297 downloads
Longer-Term Time Series Volatility Forecasts Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Louis H. Ederington and
Wei Guan
Date Posted: March 17, 2009336 downloads
Pricing, Hedging and Optimally Designing Derivatives via Minimization of Risk Measures VOLUME ON INDIFFERENCE PRICING, Rene Carmona, ed., Princeton University Press
Pauline M. Barrieu
and
Nicole El Karoui
Date Posted: March 17, 2009271 downloads
Procyclical Leverage and Endogenous Risk
Jon Danielsson ,
Hyun Song Shin and
Jean-Pierre Zigrand
Date Posted: March 17, 2009Last Revised: October 05, 2012605 downloads
The Bias in Time-Series Volatility Forecasts
Louis H. Ederington and
Wei Guan
Date Posted: March 17, 2009103 downloads
Remarks on Basics of Financial Modeling
Ilya I. Gikhman
Date Posted: March 14, 2009Last Revised: January 31, 2010221 downloads
The Slope of the Smile, and the Comovement of Volatility and Returns
Anthony Neuberger
Date Posted: March 14, 2009259 downloads
Optimal Dynamic Hedging of Multi-Asset Options
Andrea Petrelli ,
Ram Balachandran
,
Jun Zhang
,
Olivia Siu
,
Rupak Chatterjee
and
Vivek Kapoor
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: March 13, 2009466 downloads
Locked Up by a Lockup: Valuing Liquidity as a Real Option
Andrew Ang and
Nicolas P. B. Bollen
Date Posted: March 11, 2009135 downloads
Why We Have Always Used the Black-Scholes-Merton Option Pricing Formula
Charles J. Corrado
Date Posted: March 11, 2009Last Revised: April 06, 2009705 downloads
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
3.594 seconds
