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Economic Uncertainty, Disagreement, and Credit Markets
Andrea Buraschi ,
Fabio Trojani
and
Andrea Vedolin
Date Posted: August 07, 2008Last Revised: April 04, 2013434 downloads
Modelling Time-Varying Downside Risk The Icfai University Journal of Financial Economics, Vol. 7, No. 1, March 2009, 21st Australian Finance and Banking Conference 2008
Don (Tissa) U. A. Galagedera and
Asmah M. Mohd Jaapar
Date Posted: August 07, 2008Last Revised: June 14, 2009142 downloads
Juggling Snowballs
Christopher Beveridge
and
Mark S. Joshi
Date Posted: August 06, 2008Last Revised: September 17, 2008815 downloads
Boundary Conditions for Computing Densities in Hybrid Models via PDE Methods
Vladimir Lucic
Date Posted: August 05, 2008729 downloads
Stop-Loss Strategies and Derivatives Portfolios
Patrick L. Leoni
Date Posted: August 05, 2008267 downloads
Arbitrage-Free Loss Surface Closest to Base Correlations
Andrei Greenberg
Date Posted: August 04, 2008160 downloads
Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps Studies in Nonlinear Dynamics and Econometrics, Vol. 12, No. 2, 2008
Wing H. Chan
Date Posted: August 03, 2008
ESOP Debt and Post-Transaction Value
Date Posted: July 31, 2008245 downloads
Generic Levy One-Factor Models for the Joint Modelling of Prepayment and Default: Modelling LCDX
Péter Dobránszky
and
Wim Schoutens
Date Posted: July 31, 2008164 downloads
Volatility Jumps Economic Research Initiatives at Duke (ERID) Working Paper No. 3
Viktor Todorov
and
George Tauchen
Date Posted: July 31, 2008279 downloads
Pricing Inflation Indexed Derivatives: A Reinterpretation of the Jarrow-Yildirim model
Paul Canty
and
Alessandro Paolo Luigi Cipollini
Date Posted: July 30, 2008Last Revised: September 01, 2009
Dividend Risk
Stefan Kruchen
and
Paolo Vanini
Date Posted: July 29, 2008332 downloads
Extreme News Events, Long-Memory Volatility, and Time Varying Risk Premia in Stock Market Returns
Wing H. Chan and
LiLing Feng
Date Posted: July 29, 2008Last Revised: August 18, 2008166 downloads
Default Characteristics of Corporate Bonds
Ilya I. Gikhman
Date Posted: July 23, 2008121 downloads
A Semiparametric Factor Model for Electricity Forward Curve Dynamics Journal of Energy Markets, Vol. 1, No. 3, pp. 3-16
Szymon Borak
and
Rafal Weron
Date Posted: July 22, 2008Last Revised: February 20, 2010
Aggregate Damages from Traded Options in Securities Litigation
Date Posted: July 22, 200853 downloads
Originate-to-Distribute Model and the Subprime Mortgage Crisis AFA 2010 Atlanta Meetings Paper
Amiyatosh K. Purnanandam
Date Posted: July 22, 2008Last Revised: May 20, 20103582 downloads
Valuation of Swaps and Options on Constant Maturity CDS Spreads
Anlong Li
Date Posted: July 22, 2008620 downloads
Comment on 'Pricing Double Barrier Options Using Laplace Transforms' by Antoon Pelsser Finance Stochastics, Vol. 4, pp. 105-107, 2000
C. H. Hui ,
C.F. Lo and
P. H. Yuen
affiliation not provided to SSRN
Date Posted: July 21, 2008Last Revised: March 29, 2011112 downloads
From Implied to Spot Volatilities
Valdo Durrleman
Date Posted: July 21, 2008Last Revised: December 23, 2008293 downloads
Pricing CDX Credit Default Swaps Using the Hull-White Model
Bastian Hofberger
and
Niklas Wagner
affiliation not provided to SSRN
and
Passau University
Date Posted: July 21, 2008996 downloads
Copula Based Martingale Processes and Financial Prices Dynamics
Umberto Cherubini
,
Sabrina Mulinacci and
Silvia Romagnoli
Date Posted: July 17, 2008205 downloads
Do Derivatives Disclosures Impede Sound Risk Management? Chicago GSB Research Paper No. 08-04
Haresh Sapra
and
Hyun Song Shin
Date Posted: July 17, 2008341 downloads
Options and Bubbles The Review of Financial Studies, Vol. 20, Issue 2, pp. 359-390, 2007
Steven L. Heston ,
Mark Loewenstein
and
Gregory A. Willard
Date Posted: July 17, 2008
Equity Options and the Underlying Stocks' Pricing Efficiency: Evidence from the TSE Review of Futures Markets, Vol. 16, No. 2, pp. 197-213, 2007
Shinhua Liu
Date Posted: July 16, 2008Last Revised: January 13, 2012
Variance Risk Premia in Energy Commodities
Anders B. Trolle and
Eduardo S. Schwartz
Date Posted: July 15, 2008Last Revised: March 16, 2010465 downloads
Delivery Options and Convexity in Treasury Bond and Note Futures
Robin Grieves ,
Alan J. Marcus and
Adrian Woodhams
Date Posted: July 14, 2008518 downloads
Determinant of Financial Instruments Disclosure Quality Among Listed Firms in Malaysia
Mohamat Sabri Hassan
,
Norman Mohd-Saleh and
Mara Ridhuan Che Abdul Rahman
affiliation not provided to SSRN
Date Posted: July 10, 2008656 downloads
Impact of the Behavior of the Underlying Assets on the Value of a Petroleum Project Under the Theory of Real Options: Case of GBM and MR Process
Ben Said Hatem Sr.
Date Posted: July 10, 2008103 downloads
Modeling of CDO Options with Multi-Period Spread Dynamics
Jochen Dorn and
Yacine Sadouni
Date Posted: July 10, 2008108 downloads
Modeling of CFXOs: Selling Protection on Forex Trigger Swaps
Jochen Dorn
Date Posted: July 10, 2008132 downloads
Assessing the Performance of Symmetric and Asymmetric Implied Volatility Functions
Panayiotis C. Andreou
,
Christakis Charalambous and
Spiros Martzoukos
Date Posted: July 09, 2008Last Revised: January 16, 2011
Evaluation of an Option to Defer: Case of a Tunisian Oil Reserve
Ben Said Hatem Sr.
Date Posted: July 09, 2008262 downloads
Nature of Interaction of Real Options: Validation Empirique on the Context Tunisien
Ben Said Hatem Sr.
Date Posted: July 09, 2008130 downloads
What You Should Know to Trade in CO2 Markets Energies, Vol. 1, pp. 120-153, 2008
Maria Mansanet Bataller
and
Ángel Pardo Tornero
Date Posted: July 08, 2008Last Revised: December 23, 2008583 downloads
Another Look at Portfolio Optimization under Tracking-Error Constraints GREQAM Discussion Paper
Philippe Bertrand
Date Posted: July 07, 2008Last Revised: August 28, 2008407 downloads
A Note on Multivariate Asset Models Using Levy Processes
Laura Ballotta
Date Posted: July 06, 2008Last Revised: January 17, 2010474 downloads
Prices and Sensitivities of Barrier and First-Touch Digital Options in Levy-Driven Models
Mitya Boyarchenko and
Sergei Levendorskii
Date Posted: July 05, 2008382 downloads
On Recovery and Intensity's Correlation - A New Class of Credit Risk Models Journal of Credit Risk, Vol. 4, No. 2, pp. 1-33
Raquel M. Gaspar and
Irina Slinko
Date Posted: July 04, 2008Last Revised: April 15, 2010143 downloads
On the Pricing of CDOs CREDIT DERIVATIVES HANDBOOK, Chapter 11, P.U. Ali and G.N. Gregoriou, eds., pp. 229-258, McGraw-Hill
Raquel M. Gaspar and
Thorsten Schmidt
Date Posted: July 04, 2008
Term Structure Models with Shot-Noise Effects ISEG Advance Working Paper No. 3/2007
Raquel M. Gaspar and
Thorsten Schmidt
Date Posted: July 04, 2008Last Revised: December 15, 201087 downloads
Test of the Put-Call Parity Relation Using Options on Futures on the S&P 500 Index Derivatives Use, Trading and Regulation, Vol. 9, No. 3, 2002
Urbi Garay ,
Maria Ordoñez
and
Maximiliano González
affiliation not provided to SSRN
and
Instituto de Estudios Superiores de Administración (IESA)
Date Posted: July 02, 2008
The Relationship between Options Moneyness and Liquidity: Evidence from Options on Futures on S&P 500 Index Derivatives Use, Trading and Regulation, Vol. 8, No. 4, 2003
Urbi Garay ,
Roxana Justiniano
and
Michele Lopez
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: July 02, 2008
A Simple and Exact Simulation Approach to Heston Model
Jianwei Zhu
Date Posted: July 01, 20081809 downloads
How has CDO Market Pricing Changed During the Turmoil? Evidence from CDS Index Tranches ECB Working Paper No. 910
Martin Scheicher
Date Posted: July 01, 2008Last Revised: September 15, 2008273 downloads
Assessing Least Squares Monte Carlo for the Kulatilaka Trigeorgis General Real Options Pricing Model Istituto per le Applicazioni del Calcolo "Mauro Picone" IAC Report Series n.147 6/2008
Giuseppe Alesii II
Date Posted: June 30, 2008230 downloads
Entry and Exit Decision Problem with Implementation Delay Journal of Applied Probability, Vol. 45, No. 4, 2008
Marius Costeniuc
,
Michaela Schnetzer
and
Luca Taschini
affiliation not provided to SSRN
and
London School of Economics - Grantham Research Institute
Date Posted: June 30, 2008Last Revised: May 18, 2009168 downloads
Swap Rate Variance Swaps
Nicolas Merener
Date Posted: June 30, 2008Last Revised: June 14, 2010
Valuation of Credit Contingent Options with Applications to Quanto CDS
Anlong Li
Date Posted: June 30, 2008Last Revised: August 28, 20081392 downloads
Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence The Review of Financial Studies, Vol. 21, Issue 1, pp. 181-231, 2008
Fousseni Chabi-Yo
Date Posted: June 26, 2008
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