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JEL Code: G13
1,868,543 Total downloads
Showing Papers 2,071 - 2,120 of 4,954
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On the Propensity to Surrender a Variable Annuity Contract - An Empirical Analysis of Dynamic Policyholder Behaviour Munich Risk and Insurance Center Working Paper No. 7
Christian Knoller
,
Gunther Kraut
and
Pascal Schoenmaekers
Date Posted: December 24, 2011Last Revised: March 11, 2012161 downloads
On the Profit and Loss Distribution of Dynamic Hedging Strategies International Journal of Theoretical and Applied Finance, Vol. 2, 1999, pp. 131-153
Sergei Esipov and
Igor Vaysburd
Date Posted: February 02, 1999
On the Profit and Loss Distribution of Dynamic Hedging Strategies Discussion Paper Series No. 9899-03
Sergei Esipov and
Igor Vaysburd
Date Posted: February 02, 19992404 downloads
On the Pricing of Step-Up Bonds in the European Telecom Sector EFMA 2004 Basel Meetings Paper
David Lando and
Allan Mortensen
Date Posted: May 14, 2004294 downloads
On the Pricing of Salmon Futures and Options at Fish Pool
Christian-Oliver Ewald
,
Roy Nawar
and
Tak-Kuen Siu
Date Posted: August 28, 201285 downloads
On the Pricing of Perpetual American Compound Options
Pavel V. Gapeev
and
Neofytos Rodosthenous
Date Posted: October 30, 2010178 downloads
On the Pricing of Performance Sensitive Debt NHH Dept. of Finance & Management Science Discussion Paper No. 2011/5
Aksel Mjøs
,
Tor Age Myklebust
and
Svein-Arne Persson
Date Posted: April 12, 2011Last Revised: June 05, 201355 downloads
On the Pricing of Options in Incomplete Markets
Bas J. M. Werker and
Bertrand Melenberg
Date Posted: March 20, 1997
On the Pricing of Inflation-Indexed Caps
Susanne Kruse
Date Posted: November 30, 2006Last Revised: April 23, 2009696 downloads
On the Pricing of Contingent Capital Notes
Dilip B. Madan
Date Posted: December 13, 201194 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
On the Pricing and Hedging of Options on Commodity Forward and Futures Contracts - A Note
Valeriy Zakamulin
Date Posted: November 22, 2006772 downloads
On the Predictability of the Stock Market Volatility: Does History Matter? European Financial Management
Kpate Adjaoute ,
Martin Bruand and
Rajna Gibson
Date Posted: February 11, 1998
On the Performance of Asymptotic Locally Risk Minimizing Hedges in the Heston Stochastic Volatility Model
Sai Hung Marten Ting
and
Christian-Oliver Ewald
Date Posted: September 23, 2010Last Revised: September 28, 201162 downloads
On the Optimal Type and Level of Guarantees for Prospect Theory Investors
Sebastian Ebert
,
Birgit Koos
and
Judith C. Schneider
Date Posted: July 27, 2012Last Revised: December 17, 201292 downloads
On the Optimal Mix of Corporate Hedging Instruments: Linear versus Non-linear Derivatives
Gerald D. Gay ,
Jouahn Nam and
Marian Turac
Date Posted: October 12, 2002361 downloads
On the Opportunity Cost of Nontradable Stock Options FEEM Working Paper No. 96.2001
Michele Moretto and
Gianpaolo Rossini
Date Posted: December 12, 2001259 downloads
On the Negative Market Volatility Risk-Premium: Bridging the Gap Between Option Returns and the Pricing of Options
Alfredo Ibanez
Date Posted: June 19, 2007223 downloads
On the Mean-Variance Tradeoff in Option Replication with Transactions Costs J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, June 1996
Klaus Bjerre Toft
Date Posted: December 23, 1999
On the Martingale Representation Theorem and Approximate Hedging a Contingent Claim in the Minimum Mean Square Deviation Criterion VNU Journal of Science, Mathematics & Physics , Vol. 23, pp. 143-154, 2007
Nguyen Van Huu
and
Quan Hoang Vuong
Date Posted: August 02, 2009295 downloads
On the Joint Pricing of Stocks and Bonds: Theory and Evidence Yale ICF Working Paper No. 00-68
Harry Mamaysky
Date Posted: January 09, 2002588 downloads
On the Irrelevance of Expected Stock Returns in the Pricing of Options in the Binomial Model: A Pedagogical Note
Valeriy Zakamulin
Date Posted: November 14, 2005393 downloads
On the Investor Behavior and Stock Price Behavior Journal of Banking and Finance 30th Anniversary Conference, 2006
Min Deng
Date Posted: November 16, 2006866 downloads
On the Internal Inconsistency of the Black-Scholes Option Pricing Model
Jeremy Berkowitz
Date Posted: April 29, 2008113 downloads
On the Information in the Interest Rate Term Structure and Option Prices Review of Derivatives Research, Vol. 7, No. 2, 2004
Frank de Jong ,
Joost Driessen and
Antoon Pelsser
Date Posted: February 28, 2002Last Revised: May 08, 2011483 downloads
On the Impact of Forward Contract Obligations in Multi-Unit Auctions CEPR Discussion Paper No. DP6756
Maria Angeles de Frutos
and
Natalia Fabra
Date Posted: June 10, 20082 downloads
On the Forward-Futures Spread and Default Risk
Carsten Murawski
Date Posted: May 25, 2003297 downloads
On the Financial Risk Factor in Fair Valuation of the Mathematical Provision
Rosa Cocozza
,
Donato De Feo
,
Emilia Di Lorenzo
and
Marilena Sibillo
affiliation not provided to SSRN
,
University of Naples Federico II - Faculty of Economics
and
Università degli Studi di Salerno
Date Posted: June 29, 2007135 downloads
On the Expected Payoff and True Probability of Exercise of European Options Applied Economics Letters, Vol. 8, No. 4, 2001
Mark B. Shackleton and
Rafal M. Wojakowski
Date Posted: March 06, 2008
On the Economic Value of Modeling Fat Tails: Measuring the Impact on Equilibrium Risk Premiums
Prasad V. Bidarkota
Date Posted: November 28, 200369 downloads
On the Dynamic Replication of the DVA: Do Banks Hedge Their Debit Value Adjustment or Their Destroying Value Adjustment?
Antonio Castagna
Date Posted: January 22, 2012Last Revised: May 31, 201296 downloads
On the Distinctions between the Professional Valuation and the Investment-Financial Valuation: Possible Explanations Considering the Present Revisiting the Concepts Drive - The Professional Valuation on its Way to Establishing its Niche in the General Spectrum of Valuations
Andrey Igorevich Artemenkov
,
Georgiy Ivanovich Mikerin
and
Igor Lvovich Artemenkov
Date Posted: January 16, 2008136 downloads
On The Design and Pareto-Optimality of Participating Mortgages REAL ESTATE ECONOMICS, Vol. 24 No. 3
Muhammed Shahid Ebrahim
Date Posted: October 11, 1996
On the Dangers of a Simplistic American Option Simulation Valuation Method
Nelson Areal and
Artur Rodrigues
Date Posted: January 01, 2008149 downloads
On the Continuous Limit of GARCH ICMA Centre Discussion Paper No. DP2005-13
Carol Alexander and
Emese Lazar
Date Posted: July 27, 2004364 downloads
On the Concavity of Jump Equity Premia Finance Letters, Vol. 3, No. 1, pp. 133-139, February 2005
Vassilis Polimenis
Date Posted: April 07, 2005122 downloads
On the Bounds of Option Prices and Embedded Risk-Premium Parameters
Serguey Khovansky
Date Posted: March 20, 200899 downloads
On the Approximation of the SABR Model: A Probabilistic Approach Applied Mathematical Finance, Forthcoming
Joanne Kennedy ,
Subhankar Mitra
and
Duy Pham
affiliation not provided to SSRN
and
University of Warwick - Department of Statistics
Date Posted: April 22, 2012241 downloads
On Some Remarks on Derivatives Valuations
Ilya I. Gikhman
Date Posted: July 26, 2006Last Revised: November 13, 2007278 downloads
On Singularities in the Heston Model
Vladimir Lucic
Date Posted: November 25, 2007Last Revised: December 17, 2007304 downloads
On Short Rate Processes and Their Implications for Term Structure Movements
Erik Schlogl and
Daniel Sommer
Date Posted: September 08, 1999
On Risk Charges and Shadow Account Options in Pension Funds
Peter Løchte Jørgensen and
Nadine Gatzert
Date Posted: October 27, 201282 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 Pricing Risky Loans and Collateralized Fund Obligations Robert H. Smith School Research Paper No. RHS 06-145
Ernst Eberlein ,
Hélyette Geman and
Dilip B. Madan
Date Posted: January 28, 2010Last Revised: January 30, 201177 downloads
On Pricing Kernels and Finite State Variable Heath Jarrow Morton Models REVIEW OF DERIVATIVES RESEARCH, Vol. 1 No. 1
George Pennacchi ,
Peter H. Ritchken
and
L. Sankarasubramanian
affiliation not provided to SSRN
Date Posted: May 12, 2000
On Pricing and Hedging in the Swaption Market: How Many Factors, Really?
Rong Fan ,
Anurag Gupta and
Peter H. Ritchken
Date Posted: October 03, 2001789 downloads
On Multi-Particle Brownian Survivals and the Spherical Laplacian
B.S. Balakrishna
Date Posted: January 05, 2013Last Revised: February 20, 201318 downloads
On Moment-Matching Approximations for Asian Options
Min-Teh Yu
Date Posted: November 11, 2011Last Revised: January 02, 201389 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
On Modelling Long Term Stock Returns with Ergodic Diffusion Processes: Arbitrage and Arbitrage-Free Specifications UNSW Australian School of Business Research Paper No. 2008ACTL17
Bernard Wong
Date Posted: November 19, 200856 downloads
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