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JEL Code: G13
1,851,383 Total downloads
Showing Papers 201 - 250 of 4,932
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Hedging Dependence Risk with Spread Options via the Power Frank and Power Student t Copulas
Bertrand Tavin
Date Posted: December 22, 2012Last Revised: May 10, 20131 downloads
No Good Deals — No Bad Models FRB of New York Staff Report No. 589
Nina Boyarchenko
,
Mario Cerrato
,
John Crosby and
Stewart D. Hodges
Date Posted: December 22, 2012Last Revised: March 31, 2013230 downloads
Prospect Theory: An Application to European Option Pricing University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 34/WP/2012
Martina Nardon and
Paolo Pianca
Date Posted: December 22, 201271 downloads
Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk
Stefan Ankirchner ,
Judith C. Schneider and
Nikolaus Schweizer
Date Posted: December 21, 2012Last Revised: March 27, 201363 downloads
Profit Index - Pertinent Risk of Financial Investment
Amitay Kauffmann
,
Haim Shalit and
Gal Zahavi
Date Posted: December 21, 201253 downloads
Pricing and Hedging Contingent Claims Using Variance and Higher-Order Moment Futures
Leonidas Rompolis
and
Elias Tzavalis
Date Posted: December 19, 2012Last Revised: April 13, 201345 downloads
Optimal Hedge Ratio Estimation During the Credit Crisis: An Application of Higher Moments Frontiers in Finance and Economics, Vol. 9, No. 2, 64-84
Nicholas Apergis
and
Alexandros Gabrielsen
Date Posted: December 19, 201242 downloads
Black-Scholes Representation for Asian Options Mathematical Finance, Forthcoming
Jan Vecer
Date Posted: December 18, 201266 downloads
Minimum Return Guarantees - Information Asymmetries and Optimal Product Design
Antje Brigitte Mahayni and
Judith C. Schneider
Date Posted: December 18, 201252 downloads
Causes and Implications of Shifts in Financial Participation in Commodity Markets
Bassam Fattouh
and
Lavan Mahadeva
Date Posted: December 17, 2012Last Revised: March 25, 201341 downloads
Price Discovery in European Natural Gas Markets
Emma Schultz
and
John Swieringa
Date Posted: December 17, 201235 downloads
Assessing the Effectiveness of the Paulson 'Teaser Freezer' Plan: Evidence from the ABX Index FRB Richmond Working Paper No. 10-06
Eliana Balla
,
Robert E. Carpenter and
Breck L. Robinson
Date Posted: December 16, 20122 downloads
Probability Weighting Functions Implied in Options Prices
Valery Polkovnichenko and
Feng Zhao
Date Posted: December 15, 201236 downloads
Option Bounds for Short Variance Swaps and the Variance Risk Premium Adjusting for Skewness
Steven J. Jordan
and
Shirley J. Huang
affiliation not provided to SSRN
and
University of Auckland - Department of Mathematics
Date Posted: December 12, 201233 downloads
Investors' Heterogeneity and Implied Volatility Smiles
Tao Li
Date Posted: December 10, 201271 downloads
Return Smoothing Mechanisms in Life and Pension Insurance: Path-Dependent Contingent Claims Insurance: Mathematics and Economics, Vol. 38, No. 2, 2006
Montserrat Guillén ,
Peter Løchte Jørgensen and
Jens Perch Nielsen
Date Posted: December 09, 2012Last Revised: January 02, 2013
Pricing Corporate Bonds with Interest Rates Under Double Square-Root Process
C.F. Lo and
C. H. Hui
Date Posted: December 07, 2012Last Revised: April 22, 201342 downloads
Credit-IR-FX Hybrid Derivatives without Stochastic Hazard Rates
Roman Werpachowski and
Jerome Connor
Date Posted: December 06, 2012Last Revised: December 12, 201266 downloads
The Valuation of Callable Bonds with Floored CMS-Spread Coupons Wilmott Magazine, pp. 106-125, November 2007
Peter Løchte Jørgensen and
David Skovmand
Date Posted: December 06, 2012
Asymptotics of Forward Implied Volatility
Antoine Jacquier
and
Patrick Roome
Date Posted: December 05, 2012Last Revised: December 18, 201243 downloads
Optimal CEO Compensation with Search: Theory and Empirical Evidence
Melanie Cao and
Rong Wang
Date Posted: December 05, 201233 downloads
A Separating Equilibrium for Stock Repurchase Programs via PUT Options:
Transforming a Mathematical Proof into Visual Form
Stanley B. Gyoshev and
Michael Gombola
Date Posted: December 04, 201229 downloads
Why Do Financial Intermediaries Buy Put Options from Companies?
Stanley B. Gyoshev ,
Todd R. Kaplan ,
Samuel H. Szewczyk and
George P. Tsetsekos
Date Posted: December 04, 2012Last Revised: January 06, 201339 downloads
Implications of Predictability Across Horizons for Asset Pricing Models
Carlo A. Favero ,
Fulvio Ortu ,
Andrea Tamoni
and
Haoxi Yang
Date Posted: December 04, 201248 downloads
What is Risk Neutral Volatility?
Stephen Figlewski
Date Posted: December 02, 2012188 downloads
CDS Pricing Under Basel III: Capital Relief and Default Protection
Chris Kenyon
and
Andrew David Green
Date Posted: November 27, 2012137 downloads
A Quasi-Bounded Target Zone Model – Theory and Application to Hong Kong Dollar HKIMR Working Paper No.28/2012
C.F. Lo ,
C. H. Hui ,
S.W. Chu
and
Tom Fong
Date Posted: November 27, 20127 downloads
The Modified Dividend-Price Ratio
Ioannis Neokosmidis
and
Vassilis Polimenis
affiliation not provided to SSRN
and
Aristotle University of Thessaloniki
Date Posted: November 26, 2012Last Revised: December 13, 201261 downloads
An FBSDE Approach to American Option Pricing with an Interacting Particle Method
Masaaki Fujii
,
Seisho Sato
and
Akihiko Takahashi
Date Posted: November 26, 201221 downloads
Information Content in Sneer Asymmetry: An Application to OOS Implied Volatility Forecasting
Youngsoo Choi
,
Steven J. Jordan
and
Wonchang Lee
affiliation not provided to SSRN
and
Hi Investment & Securities Co., Ltd.
Date Posted: November 25, 201229 downloads
Can There Be an Explicit Formula for Implied Volatility?
Stefan Gerhold
Date Posted: November 24, 201247 downloads
Implied Probabilities of Default from Colombian Money Market Spreads: The Merton Model under Equity Market Informational Constraints Borradores de Economia, Num. 743, 2012
Carlos León
Date Posted: November 24, 201211 downloads
Catalysts for Price Discovery in the European Union Emissions Trading System
Emma Schultz
and
John Swieringa
Date Posted: November 22, 201210 downloads
Combining Latin Hypercube Sampling with Other Variance Reduction Techniques
Natalie Packham
Date Posted: November 22, 201234 downloads
Getting Real Forecasts, State Price Densities and Risk Premium from Euribor Options
Vesela Ivanova
and
Josep Maria Puigvert Gutierrez
Date Posted: November 22, 2012Last Revised: April 27, 2013
Derivatives Mismarking Cases
Rupert Macey-Dare
Date Posted: November 21, 2012Last Revised: November 28, 2012
SABR Volatility Model in the LIBOR Market Model Framework
Christian Crispoldi
affiliation not provided to SSRN
Date Posted: November 21, 2012Last Revised: November 23, 201289 downloads
How Much Did Investor Flows Affect the Oil Price?
zhuo li and
Háng Sūn
Date Posted: November 19, 2012Last Revised: March 06, 201327 downloads
Pricing Vulnerable Claims in a Lévy Driven Model
Agostino Capponi ,
Stefano Pagliarani
and
Tiziano Vargiolu
Date Posted: November 18, 201221 downloads
The Conditional CAPM Explains the Value Premium Georgetown McDonough School of Business Research Paper
Turan G. Bali and
Robert F. Engle
Date Posted: November 18, 2012Last Revised: April 19, 2013180 downloads
Macroeconomic Uncertainty and the Cross-Section of Option Returns
Sirio Aramonte
Date Posted: November 18, 2012Last Revised: November 21, 201243 downloads
Stock Return and Cash Flow Predictability: The Role of Volatility Risk
Tim Bollerslev ,
Lai Xu
and
Hao Zhou
Date Posted: November 18, 2012Last Revised: November 20, 2012305 downloads
Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives Springer-Verlag, Series Lecture Notes in Statistics, 2013, Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow, 10-11 July 2012, Jaworski, Piotr; Durante, Fabrizio; Härdle, Wolfgang Karl (Eds.).,
Bertrand Tavin
Date Posted: November 16, 2012
Convertible Bonds and Bank Risk-Taking
Natalya Martynova and
Enrico C. Perotti
Date Posted: November 16, 201253 downloads
The Impact of Central Clearing on Counterparty Risk, Liquidity, and Trading: Evidence from the Credit Default Swap Market
Yee Cheng Loon
and
Zhaodong Zhong
Date Posted: November 15, 201289 downloads
Alternative Defaultable Term Structure Models Quantitative Finance Research Centre Research Paper No. 242
Nicola Bruti-Liberati
,
Christina Nikitipoulos Sklibosios ,
Eckhard Platen and
Erik Schlogl
affiliation not provided to SSRN
,
University of Technology, Sydney - Faculty of Business
,
University of Technology, Sydney (UTS) - School of Finance and Economics
and
University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: November 13, 201213 downloads
Relaxing Competition Through Speculation: Committing to a Negative Supply Slope TILEC Discussion Paper No. 2012-039, CentER Discussion Paper Series No. 2012-088
Par Holmberg
and
Bert Willems
Date Posted: November 13, 201215 downloads
Dynamic Leverage as a Generalization of Traditional Value-at-Risk Measures and its Use in Portfolio Construction
Mikhail Smirnov
Date Posted: November 11, 2012Last Revised: November 18, 2012180 downloads
Super-Replication of Financial Derivatives Via Convex Programming
Nabil Kahalé
Date Posted: November 11, 201282 downloads
State Variable Hedging and Individual Stocks: New Evidence for the ICAPM
Martijn Boons
Date Posted: November 10, 201275 downloads
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