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JEL Code: G13
1,851,783 Total downloads
Showing Papers 2,001 - 2,050 of 4,932
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Credit Migration Risk Modelling Journal of Credit Risk
Andreas Andersson and
Paolo Vanini
Date Posted: September 29, 2008Last Revised: January 05, 2010574 downloads
Optimal Approximations of Nonlinear Payoffs in Static Replication
Qiang Liu
Date Posted: September 29, 2008Last Revised: February 03, 2009283 downloads
Asset Pricing with Matrix Jump Diffusions
Markus Leippold and
Fabio Trojani
Date Posted: September 27, 2008Last Revised: February 02, 2010484 downloads
Expected Returns and Dividend Growth Rates Implied in Derivative Markets
Benjamin Golez
Date Posted: September 23, 2008Last Revised: September 29, 2012529 downloads
User's Guide to Pricing Double Barrier Options. Part I: Kou's Model and Generalizations
Mitya Boyarchenko and
Svetlana Boyarchenko
Date Posted: September 23, 2008488 downloads
Volatility Components: Evidence from VIX Futures Market
Zhongjin Lu
and
Yingzi Zhu
Date Posted: September 23, 2008500 downloads
The Binomial Model and Risk Neutrality: Some Important Details
Sanjay K. Nawalkha and
Donald R. Chambers
Date Posted: September 21, 2008245 downloads
Remarks on Local Volatility
Ilya I. Gikhman
Date Posted: September 19, 2008Last Revised: January 25, 2011513 downloads
Cash Flow-Wise ABCDS Pricing
Julien Penasse
Date Posted: September 18, 2008Last Revised: November 03, 2008254 downloads
Why Forward Sales of Housing Survive? - A Theoretical Model
Chung Yim Edward Yiu
Date Posted: September 17, 200846 downloads
Lead-Lag Relationship between the Real Estate Spot and Forward Contract Markets Journal of Real Estate Portfolio Management, Vol. 11, No. 3, 2005
Chung Yim Edward Yiu and
Siu Kei Wong
Date Posted: September 15, 2008
Lévy Jump Risk: Evidence from Options and Returns EFA 2009 Bergen Meetings
Chayawat Ornthanalai
Date Posted: September 13, 2008Last Revised: December 13, 2011337 downloads
Empirical Performance of Levy Option Pricing Models
Ming Ji
and
Fernando Zapatero
affiliation not provided to SSRN
and
University of Southern California - Marshall School of Business
Date Posted: September 12, 2008Last Revised: September 21, 2008
Risk Management in Electricity Markets: Hedging and Market Incompleteness TILEC Discussion Paper No. 2008-031
Bert Willems
and
Joris Morbee
Date Posted: September 12, 2008Last Revised: February 20, 2010309 downloads
Transaction Volume and Price Dispersion in the Presale and Spot Real Estate Market - Implications for Construction of Repeat Sales Price Indices
Chung Yim Edward Yiu ,
K.W. Chau and
Siu Kei Wong
Date Posted: September 12, 2008115 downloads
A New Taxonomy of the Dynamic Term Structure Models
Sanjay K. Nawalkha ,
Natalia Beliaeva
and
Gloria M. Soto
Date Posted: September 11, 2008Last Revised: September 20, 2010238 downloads
Liquidity and Price Discovery in the European CO2 Futures Market: An Intraday Analysis 21st Australasian Finance and Banking Conference 2008 Paper
Eva A. Benz
and
Jördis Hengelbrock
Date Posted: September 10, 2008354 downloads
Valuation of Companies with Portfolios of Multiple Real Options Operating Under Multiple Uncertainties
Gennady F. Latypov
Date Posted: September 08, 2008Last Revised: April 15, 2009196 downloads
Options and Market Expectations: Implied Probability Density Functions on the Polish Foreign Exchange Market Bank i Kredyt, No. 5/2008, pp. 21-35, 2008
Piotr Banbula
Date Posted: September 06, 2008147 downloads
Pricing and Hedging Gap Risk
Peter Tankov
Date Posted: September 05, 2008Last Revised: October 10, 2008278 downloads
Joint Modelling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic Recovery Rate
Péter Dobránszky
Date Posted: September 02, 2008Last Revised: November 16, 2008215 downloads
Trinomial or Binomial: Accelerating American Put Option Price on Trees
Jiun Hong Chan ,
Mark S. Joshi ,
Robert Tang
and
Chao Yang
Date Posted: September 02, 20081316 downloads
Foreign Exchange Derivative Market Development in Chile Revista de Analisis Economico, Vol. 22, No. 1, 2007
Luis Antonio Ahumada III and
Jorge Selaive
affiliation not provided to SSRN
and
CENTRUM Catolica
Date Posted: September 01, 2008130 downloads
Optimal Hedging Strategy in Stock Index Futures Markets 21st Australasian Finance and Banking Conference 2008 Paper
Weijun Xu
and
Li Yang
affiliation not provided to SSRN
and
University of New South Wales (UNSW) - School of Banking and Finance
Date Posted: September 01, 2008Last Revised: January 11, 2009
Computing Exponential Moments of the Discrete Maximum of a Levy Process and Lookback Options Finance and Stochastics, Forthcoming
Liming Feng
and
Vadim Linetsky
Date Posted: August 29, 2008230 downloads
Islamic Hedging: Gambling or Risk Management? Islamic Law and Law of the Muslim World Paper No. 08-47, 21st Australasian Finance and Banking Conference 2008 Paper
Saadiah Mohamad
and
Ali Tabatabaei
Date Posted: August 29, 2008Last Revised: November 18, 2008984 downloads
Volatility Information Trading in the Option Market Journal of Finance, 2008
Sophie X. Ni ,
Jun Pan and
Allen M. Poteshman
Date Posted: August 28, 2008
A New Simple Square Root Option Pricing Model Journal of Futures Markets, Forthcoming.
Antonio Camara
and
Yaw-Huei Wang
Date Posted: August 27, 2008Last Revised: January 19, 2010212 downloads
Estimating the Implied Risk Neutral Density for the U.S. Market Portfolio VOLATILITY AND TIME SERIES ECONOMETRICS: ESSAYS IN HONOR OF ROBERT F. ENGLE, Tim Bollerslev, Jeffrey R. Russell and Mark Watson, eds., Oxford, UK: Oxford University Press, 2008
Stephen Figlewski
Date Posted: August 27, 2008Last Revised: September 07, 2008416 downloads
The Black-Scholes Option Pricing Model COMPANION TO FINANCIAL DERIVATIVES, Robert Kolb, James Overdahl, eds., Palgrave, Forthcoming
A. G. (Tassos) Malliaris
Date Posted: August 27, 2008845 downloads
A Note on Monte Carlo Greeks for Jump Diffusion and Other Levy Processes
Joerg Kienitz
Date Posted: August 26, 2008Last Revised: September 03, 2008542 downloads
On the Theoretical Foundation of Technical Analysis: Market Action Discounts Everything
Min Deng
Date Posted: August 26, 2008386 downloads
Pricing Strongly Path-Dependent Options in Libor Market Models without Simulation
Chris Kenyon
Date Posted: August 26, 2008351 downloads
Desgning Robust Stock Option Plans 21st Australasian Finance and Banking Conference 2008 Paper
Olaf Korn ,
Clemens Paschke and
Marliese Uhrig-Homburg
affiliation not provided to SSRN
and
Karlsruhe Institute of Technology (KIT)
Date Posted: August 25, 200865 downloads
Index Arbitrage and the Pricing Relationship between Australian Stock Index Futures and Their Underlying Shares
James Richard Cummings
and
Alex Frino
Date Posted: August 25, 2008Last Revised: November 24, 2011481 downloads
Optimal Dynamic Hedging in Commodity Futures Markets with a Stochastic Convenience Yield 21st Australasian Finance and Banking Conference 2008 Paper
Constantin Mellios
and
Pierre Six
Date Posted: August 25, 2008Last Revised: May 12, 2010
Price Formation and Liquidity Surrounding Large Trades in Interest Rate and Equity Index Futures
James Richard Cummings
and
Alex Frino
Date Posted: August 25, 2008Last Revised: November 24, 2011110 downloads
The Intertemporal Relation between Risk and Returns in Australia 21st Australasian Finance and Banking Conference 2008 Paper
Bin Li
Date Posted: August 25, 200866 downloads
The Pricing of Path-Dependent Structured Financial Retail Products: The Case of Bonus Certificates Journal of Derivatives, Vol. 18, No. 4, 2011
Rainer Baule and
Christian Tallau
Date Posted: August 25, 2008Last Revised: August 18, 2011555 downloads
Are VIX Futures Prices Predictable? An Empirical Investigation International Journal of Forecasting, Vol. 27, No. 2, pp. 543-560, 2011
Eirini Konstantinidi
and
George S. Skiadopoulos
Date Posted: August 23, 2008Last Revised: February 02, 2011
Standard & Poor's Depositary Receipts and the Market Quality of S&P 500 Index Futures Applied Econometrics and International Development, Vol. 6, No. 3, 2006
Quentin C Chu
and
Mustafa Mesut Kayali
Date Posted: August 22, 200858 downloads
Market Expectation of Appreciation of the Renminbi 21st Australasian Finance and Banking Conference 2008 Paper
C. H. Hui ,
C.F. Lo and
T. K. Chung
Date Posted: August 20, 2008Last Revised: December 24, 2012170 downloads
The Predictive Power of Value-at-Risk Models in Commodity Futures Markets Journal of Asset Management, Vol. 11, No. 4, pp. 244 - 260, 2010
Roland Füss
and
Zeno Adams
Date Posted: August 20, 2008Last Revised: December 15, 2010
Inflation Derivatives Under Inflation Target Regimes
Mordecai Avriel ,
Jens Hilscher and
Alon Raviv
Date Posted: August 19, 2008Last Revised: April 27, 2012284 downloads
A Top-Down Approach for MBS, ABS and CDO of ABS: A Consistent Way to Manage Prepayment, Default and Interest Rate Risks
Jean-David Fermanian
Date Posted: August 18, 2008Last Revised: September 27, 2010564 downloads
The Pricing of Structured Products in Germany The Journal of Derivatives, Vol. 11, pp. 55-69, Fall 2003
Sascha Wilkens
,
Carsten Erner
and
Klaus Röder
Date Posted: August 18, 2008Last Revised: August 25, 2008
Valuation of Continuously Monitored Double Barrier Options and Related Securities
Mitya Boyarchenko and
Sergei Levendorskii
Date Posted: August 17, 2008Last Revised: July 28, 2009275 downloads
Multi-Factor Cross Currency Libor Market Models: Implementation, Calibration and Examples
Ahsan Amin
Date Posted: August 10, 2008596 downloads
Asset Pricing under Information with Stochastic Volatility
Bertram Düring
Date Posted: August 08, 200866 downloads
Economic Uncertainty, Disagreement, and Credit Markets
Andrea Buraschi ,
Fabio Trojani
and
Andrea Vedolin
Date Posted: August 07, 2008Last Revised: April 04, 2013432 downloads
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