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JEL Code: G13
1,852,254 Total downloads
Showing Papers 1,801 - 1,850 of 4,932
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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
Testing Hedges under the Standard Tranched Credit Model RiskMetrics Journal, Vol. 9, No. 1, pp 3-30, 2009
Christopher C. Finger
Date Posted: March 10, 2009150 downloads
High Dimensional Transformation Algorithms
Peter den Iseger and
Emöke Oldenkamp
Date Posted: March 09, 2009135 downloads
Laplace Transform Inversion on the Entire Line
Peter den Iseger
Date Posted: March 09, 2009Last Revised: March 11, 2009235 downloads
Limits to Arbitrage and Hedging: Evidence from Commodity Markets Journal of Financial Economics (JFE), Forthcoming
Viral V. Acharya ,
Lars A. Lochstoer
and
Tarun Ramadorai
Date Posted: March 09, 2009Last Revised: January 08, 2013313 downloads
On Forward-Looking Exchange Rates and Commodity Prices
Erkko Etula
affiliation not provided to SSRN
Date Posted: March 09, 2009Last Revised: March 19, 2009162 downloads
Optimal CEO Compensation with Search: Theory and Empirical Evidence Journal of Finance, Forthcoming
Melanie Cao and
Rong Wang
Date Posted: March 09, 2009Last Revised: December 04, 2012125 downloads
Buffett's Miscalculation on his Long-Dated Put Deals
Qiang Liu
Date Posted: March 07, 2009Last Revised: March 23, 2009216 downloads
The Performance of Simple Dynamic Commodity Strategies
Devraj Basu and
Joelle Miffre
Date Posted: March 04, 2009Last Revised: April 01, 2009807 downloads
Exchange Options under Jump-Diffusion Dynamics Quantitative Finance Research Centre Research Paper No. 235
Gerald H. L. Cheang and
Carl Chiarella
Date Posted: March 03, 2009140 downloads
From Actual to Risk-Neutral Default Probabilities: Merton and Beyond
Tobias Berg
Date Posted: March 03, 2009744 downloads
House Prices, Development Costs, and the Value of Waiting
Graeme Guthrie
Date Posted: March 02, 2009Last Revised: February 18, 2010111 downloads
Risk Propensity Surface
Gewei Ye
Date Posted: March 01, 200952 downloads
Investing in Commodity Futures Markets: Can Pricing Models Help? European Journal of Finance, Vol. 18, No. 1-2, 2012
Raphael Paschke
and
Marcel Prokopczuk
Date Posted: February 27, 2009Last Revised: April 24, 2012553 downloads
Threshold Levels, Strike Price Grid and Other Market Microstructure Issues
Associated with Exchange Traded Equity Options: A Note The Journal of Futures Markets, Forthcoming
Edwin D. Maberly ,
Raylene M. Pierce and
Patrick Catania
Date Posted: February 27, 2009
Dynamic Hedging of Portfolio Credit Derivatives
Rama Cont and
Yu Hang (Gabriel) Kan
Date Posted: February 26, 2009Last Revised: December 07, 20091031 downloads
Modeling the Dynamics of Implied Volatility Surfaces
Ihsan Badshah
Date Posted: February 26, 2009Last Revised: April 04, 2010459 downloads
Portfolio Credit Derivatives Based on Rating Migration
Nicolas Gisiger
affiliation not provided to SSRN
Date Posted: February 25, 2009Last Revised: March 10, 2009155 downloads
The Irony in the Derivatives Discounting Wilmott Magazine, pp. 92-98, July 2007
Marc P. A. Henrard
Date Posted: February 25, 2009
Imperfect Markets and Financial Collapse of 2007-2009
Igor Pustylnick
Date Posted: February 22, 2009284 downloads
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
Tim Bollerslev ,
Natalia Sizova
and
George Tauchen
Date Posted: February 22, 2009161 downloads
Equilibrium Pricing of Contingent Claims in Tradable Permit Markets Journal of Futures Markets, Vol.30, No.6, 559-589, June 2010
Masaaki Kijima ,
Akira Maeda and
Katsumasa Nishide
Date Posted: February 21, 2009Last Revised: April 13, 2010
New Methodologies in the Valuation of Interest Rate Options
Ako Doffou
Date Posted: February 20, 200930 downloads
Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models
Yalin Gunduz
and
Marliese Uhrig-Homburg
Date Posted: February 19, 2009Last Revised: January 23, 2011101 downloads
Downside Risk Control of Derivative Portfolios with Mean-Reverting Underlyings
Patrick L. Leoni
Date Posted: February 19, 200980 downloads
Environmental Economics and Modeling Marketable Permits: A Survey Asian Pacific Financial Markets, Vol. 17, No. 4, 2010
Luca Taschini
Date Posted: February 19, 2009Last Revised: December 05, 20101328 downloads
Equity-Linked Pension Schemes with Guarantees
J. Aase Nielsen ,
Klaus Sandmann and
Erik Schlogl
Date Posted: February 19, 200997 downloads
Hedging and Vertical Integration in Electricity Markets EFA 2009 Bergen Meetings Paper
René Aïd ,
Gilles Chemla ,
Arnaud Porchet
and
Nizar Touzi
Date Posted: February 19, 2009Last Revised: February 02, 2011353 downloads
Monotonicity of the Stochastic Discount Factor and Expected Option Returns
Ranadeb Chaudhuri
and
Mark D. Schroder
Date Posted: February 19, 2009142 downloads
On Modified Mellin Transforms, Gauss-Laguerre Quadrature and the Valuation of American Call Options Journal of Computational and Applied Mathematics
Robert Frontczak
and
Rainer Schoebel
Date Posted: February 19, 2009Last Revised: September 16, 201037 downloads
The Clearinghouse Cure Regulation, Vol. 31, No. 4, Winter 2008-2009
Craig Pirrong
Date Posted: February 19, 2009385 downloads
Idiosyncratic Risk of New Ventures: An Option-Based Theory and Evidence
Xi Dong
and
Shu Feng
Date Posted: February 17, 2009Last Revised: April 26, 201357 downloads
An Anatomy of Commodity Futures Risk Premia Journal of Finance, Forthcoming, AFA 2010 Atlanta Meetings Paper
Marta Szymanowska ,
Frans de Roon ,
Theo Nijman and
Rob van den Goorbergh
Date Posted: February 17, 2009Last Revised: January 30, 20131008 downloads
Do Transaction Costs Affect the Optimal Exercise Strategy for American Put Options?
Norman Seeger
Date Posted: February 17, 2009Last Revised: May 28, 200939 downloads
Dynamic Pricing of Synthetic Collateralized Debt Obligations
William Perraudin ,
Robert Lamb
and
Astrid Van Landschoot
affiliation not provided to SSRN
and
European Commission - Chief Economist Team (DG Competition)
Date Posted: February 17, 2009118 downloads
Extension of Stochastic Volatility Equity Models with Hull-White Interest Rate Process
Lech A. Grzelak ,
Cornelis W. Oosterlee and
Sacha van Weeren
affiliation not provided to SSRN
Date Posted: February 17, 2009Last Revised: September 29, 2009620 downloads
Fed Funds Futures and the Federal Reserve
Jean-Sebastien Fontaine
Date Posted: February 17, 2009Last Revised: February 14, 201180 downloads
Generalized Transform Analysis of Affine Processes and Applications in Finance
Hui Chen
and
Scott Joslin
Date Posted: February 17, 2009Last Revised: September 22, 2011350 downloads
Asymmetric Return-Volatility Relation, Volatility Transmission and Implied Volatility Indexes
Ihsan Badshah
Date Posted: February 16, 2009Last Revised: January 27, 2010324 downloads
Flexing the Default Barrier
Gregor Dorfleitner ,
Paul Schneider and
Tanja Veza
Date Posted: February 16, 2009107 downloads
How Important is the Term Structure in Implied Volatility Surface Modeling? Evidence from Foreign Exchange Options Journal of International Money and Finance, Vol. 30, No. 4, pp. 623-640
George Chalamandaris
and
Andrianos E. Tsekrekos
Date Posted: February 16, 2009Last Revised: January 22, 2013141 downloads
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