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SSRN eLibrary Statistics:

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Abstracts: 694,139
Full Text Papers: 583,394
Authors: 319,988
Papers Received in
  Last 12 months:
67,427

Paper Downloads:
To date: 103,365,754
Last 12 months: 13,120,383
Last 30 days: 1,026,300

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  Resolved
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307,802
Total References: 9,007,996
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5,804,245
Papers with
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  Footnotes:
91,653
Total Footnotes: 8,994,130


SSRN eLibrary Search Results
JEL Code: G13
2,470,986 Total downloads
Showing Papers 21 - 70 of 6,321
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1 2 3 4 ... 127 | Next >
   

Incl. Electronic Paper The Financialization of the Term Structure of Risk Premia in Commodity Markets
Edouard Jaeck
Université Paris Dauphine - Department of Finance
Date Posted: September 26, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Volatility Risk
Christian P. Fries
LMU Munich, Department of Mathematics
Date Posted: September 26, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper More than Prices: Brent-WTI Cointegration in Option-Implied Moments
Marie-Hélène Gagnon and Gabriel J. Power
Laval University- Département de Finance, Assurance et Immobilier and Laval University - Département de Finance et Assurance
Date Posted: September 21, 2016
Working Paper Series
30 downloads

Incl. Electronic Paper Static vs Adapted Optimal Execution Strategies in Two Benchmark Trading Models
Damiano Brigo and Clément Piat
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Date Posted: September 21, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Which Risk Factors Drive Oil Futures Price Curves? Speculation and Hedging in the Short and Long-Term
Matthew Ames, Guillaume Bagnarosa, Gareth William Peters, Pavel V. Shevchenko and Tomoko Matsui
University College London - Department of Statistical Science, ESC Rennes, University College London - Department of Statistical Science, CSIRO Australia and Independent
Date Posted: September 20, 2016
Working Paper Series
29 downloads

Incl. Electronic Paper Local and Stochastic Volatility Under Stochastic Interest Rates Using Mixture Models and the Multidimensional Fractional FFT
Mark S. Joshi and Navin Ranasinghe
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: September 20, 2016
Working Paper Series
97 downloads

Incl. Electronic Paper Hedging Futures Options with Stochastic Interest Rates
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Date Posted: September 20, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Empirical Hedging Performance on Long-Dated Crude Oil Derivatives
FIRN Research Paper
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Date Posted: September 20, 2016
Working Paper Series
28 downloads

Incl. Electronic Paper Algorithmic Differentiation for Callable Exotics
Alexandre Antonov
Numerix
Date Posted: September 19, 2016
Working Paper Series
45 downloads

Incl. Electronic Paper Do Rare Events Explain CDX Tranche Spreads?
Sang Byung Seo and Jessica A. Wachter
University of Houston - C.T. Bauer College of Business and University of Pennsylvania - Finance Department
Date Posted: September 19, 2016
Working Paper Series
23 downloads

Strategy for Lenders by Modelling Competitions: Mortgage Default vs. Restructuring and Prepayment vs. Defeasance
Lok Man Tong
Independent
Date Posted: September 16, 2016
Working Paper Series

Incl. Electronic Paper Volatility Leadership Among Index Options
Stephen Figlewski and Anja Frommherz
New York University - Stern School of Business and University of Basel - Department of Finance
Date Posted: September 13, 2016
Working Paper Series
31 downloads

Incl. Electronic Paper Application of Machine Learning to Systematic Allocation Strategies
Kevin Noel
Tokyo
Date Posted: September 12, 2016
Working Paper Series
202 downloads

Incl. Electronic Paper Volatility Can Be Detrimental to Option Values!
Hamed Ghoddusi and Arash Fahim
Stevens Institute of Technology - School of Business and Florida State University - Department of Mathematics
Date Posted: September 12, 2016
Working Paper Series
56 downloads

Incl. Electronic Paper Model Independent Bounds for Accreting and Amortising Bermudan Swaptions
Thomas Roos
Quantitative Financial Consulting
Date Posted: September 12, 2016
Working Paper Series
30 downloads

Efficient and Exact Simulation of the Gaussian Affine Interest Rate Models
International Journal of Financial Engineering, Volume 03, Issue 02, June 2016
Vladimir Ostrovski
Talanx AG
Date Posted: September 12, 2016
Accepted Paper Series

Incl. Electronic Paper Lie Symmetry Methods for Local Volatility Models
Mark Craddock and Martino Grasselli
University of Technology Sydney (UTS) and University of Padova - Department of Mathematics
Date Posted: September 10, 2016
Working Paper Series
19 downloads

A Gaussian Affine Term Structure Model of Interest Rates and Credit Spreads
Zhiping Zhou
Wuhan University
Date Posted: September 08, 2016
Working Paper Series

Incl. Electronic Paper Functional Principal Component Analysis for Derivatives of Multivariate Curves
SFB 649 Discussion Paper 2016-033
Maria Grith, Wolfgang K. Härdle, Alois Kneip and Heiko Wagner
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Bonn and University of Bonn
Date Posted: September 08, 2016
Working Paper Series
20 downloads

Incl. Electronic Paper The Joint Cross-Sectional Variation of Equity Returns and Volatilities
Ana Gonzalez-Urteaga and Gonzalo Rubio
Public University of Navarre and Universidad CEU Cardenal Herrera
Date Posted: September 07, 2016
Working Paper Series
35 downloads

Incl. Electronic Paper Volatility and Expected Option Returns: A Note
Mo Chaudhury
McGill University - Desautels Faculty of Management
Date Posted: September 03, 2016
Working Paper Series
83 downloads

Canadian Pacific's Bid for Norfolk Southern
HBS Case Study No. 216-057
Benjamin Esty and Scott E. Mayfield
Harvard Business School - Finance Unit and Harvard Business School
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Electronic Paper Can Exposure to Aggregate Tail Risk Explain Size, Book-to-Market, and Idiosyncratic Volatility Anomalies?
Sofiane Aboura and Yakup Eser Arisoy
Université Paris XIII Sorbonne Paris Cité and Université Paris Dauphine - DRM Finance
Date Posted: September 02, 2016
Last Revised: September 17, 2016
Working Paper Series
270 downloads

Incl. Electronic Paper Momentum and Mean-Reversion in Commodity Spot and Futures Markets
Denis B. Chaves and Vivek Viswanathan
The Vanguard Group, Inc. and Rayliant Global Advisors
Date Posted: September 02, 2016
Working Paper Series
222 downloads

Incl. Electronic Paper Simulation in the Real World
Russell Colm Barker, Andrew Samuel Dickinson and Alex Lipton
Independent, Bank of America and Bank of America Merrill Lynch
Date Posted: August 31, 2016
Working Paper Series
65 downloads

Incl. Electronic Paper Local and Terminal Volatility of Equity in a Hybrid Model with Hull White Interest Rates
Joachim Paulusch
R+V Lebensversicherung AG
Date Posted: August 29, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Option Pricing Methods in the Late 19th Century
George Dotsis
University of Athens - Faculty of Economics
Date Posted: August 29, 2016
Last Revised: August 31, 2016
Working Paper Series
667 downloads

Incl. Electronic Paper Option Pricing Models
MPRA University of Munich (2016)
Rossano Giandomenico
Independent
Date Posted: August 29, 2016
Last Revised: September 18, 2016
Accepted Paper Series
42 downloads

Incl. Electronic Paper An Equilibrium Pricing Model for Wind Power Futures
Gerke Gersema and David Wozabal
Technische Universität München (TUM) - Center for Energy Markets (CEM) and Technische Universität München (TUM) - TUM School of Management
Date Posted: August 28, 2016
Last Revised: September 20, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper The Randomised Heston Model
Antoine Jacquier and Fangwei Shi
Imperial College London and Imperial College London
Date Posted: August 27, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Robust Sensitivities for VAR Calculations
Claudio Albanese, Simone Caenazzo, Oliver Frankel and Mark Syrkin
Global Valuation, Global Valuation Ltd, Bilateral Consulting and Federal Reserve Banks - Federal Reserve Bank of New York
Date Posted: August 27, 2016
Last Revised: September 23, 2016
Working Paper Series
30 downloads

Incl. Electronic Paper Crude Inventory Accounting and Speculation in the Physical Oil Market
USAEE Working Paper No. 16-274
Ivan Diaz-Rainey, Helen Roberts and David H. Lont
University of Otago - School of Business, University of Otago and University of Otago - Department of Accountancy and Finance
Date Posted: August 26, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper Securities Lending Strategies, Valuation of Term Loans using Option Theory
Ravi Kashyap
Gain Knowledge Group
Date Posted: August 25, 2016
Last Revised: September 19, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Volatility Derivatives and Downside Risk
Yueh-Neng Lin
National Chung Hsing University
Date Posted: August 25, 2016
Working Paper Series
69 downloads

Incl. Electronic Paper What Goes into Risk Neutral Volatility? Empirical Estimates of Risk and Subjective Risk Preferences
Stephen Figlewski
New York University - Stern School of Business
Date Posted: August 23, 2016
Working Paper Series
49 downloads

Incl. Electronic Paper Derivatives Valuation Based on Arbitrage: The Trade Is Crucial
Proceedings of China Derivatives Markets Conference 2016
Stephen Figlewski
New York University - Stern School of Business
Date Posted: August 23, 2016
Working Paper Series
56 downloads

Incl. Electronic Paper Integral Representation of Vega for American Put Options
Yanchu Liu, Zhenyu Cui and Ning Zhang
Lingnan (University) College, Sun Yat-sen University, Guangzhou, China., Stevens Institute of Technology and Jiangxi University of Finance and Economics
Date Posted: August 23, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper Pricing of Catastrophe Risk and the Implied Volatility Smile
University of St.Gallen, School of Finance Research Paper No. 2016/17
Semir Ben Ammar
University of St. Gallen
Date Posted: August 23, 2016
Working Paper Series
54 downloads

Incl. Electronic Paper The Role of Collateral in Supporting Liquidity
Bank of England Working Paper No. 609
Zijun Liu, Joseph Noss and Yuliya Baranova
Bank of England, Bank of England and Bank of England
Date Posted: August 23, 2016
Working Paper Series
30 downloads

Incl. Electronic Paper Evidence About Bubble Mechanisms: Precipitating Event, Feedback Trading, and Social Contagion
Neil D. Pearson, Zhishu Yang and Qi Zhang
University of Illinois at Urbana-Champaign - Department of Finance, Tsinghua University - School of Economics & Management and Durham University
Date Posted: August 23, 2016
Working Paper Series
34 downloads

Incl. Electronic Paper Pairs Trading with Commodity Futures: Evidence from the Chinese Market
Yurun Yang, Ahmet Goncu and Athanasios A. Pantelous
Xi'an Jiaotong-Liverpool University, Xi'an Jiaotong-Liverpool University and University of Liverpool, Department of Mathematical Sciences and Institute for Risk and Uncertainty
Date Posted: August 22, 2016
Working Paper Series
116 downloads

Incl. Electronic Paper The Beta Heuristic from a Time/Frequency Perspective: A Wavelet Analysis of the Market Risk of the 10 S&P Sectors
Bruce Mcnevin and Joan Nix
Midway Group and Queens College
Date Posted: August 19, 2016
Working Paper Series
49 downloads

Incl. Electronic Paper A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
Alessandro Gnoatto, Martino Grasselli and Eckhard Platen
Independent, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: August 18, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Financial Fairness and Conditional Indexation
Torsten Kleinow and J. M. Schumacher
Humboldt University of Berlin and University of Amsterdam - Department of Quantitative Economics (KE)
Date Posted: August 17, 2016
Last Revised: September 01, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Testing the Information-Based Trading Hypothesis in the Option Market: Evidence from Share Repurchases
Ihsan Badshah, Hardjo Koerniadi and James W. Kolari
Auckland University of Technology, Auckland University of Technology and Texas A&M University, Department of Finance
Date Posted: August 17, 2016
Last Revised: August 24, 2016
Working Paper Series
54 downloads

Incl. Electronic Paper Robust American Option Pricing Based on Gradient Strategies
Ye Du and Shan Xue
Southwestern University of Finance and Economics (SWUFE) - School of Finance and Southwest University of Finance and Economics
Date Posted: August 16, 2016
Last Revised: September 13, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Non-Marketability Discount of Thin-Traded Securities
Menachem (Meni) Abudy, Hadar Binsky and Alon Raviv
Bar-Ilan University - Graduate School of Business Administration, Tel-Aviv University and Bar-Ilan University - Graduate School of Business Administration
Date Posted: August 16, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper Global Variance Term Premia and Intermediary Risk Appetite
FRB of NY Staff Report No. 789
Peter Van Tassel and Erik Vogt
Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: August 15, 2016
Working Paper Series
20 downloads

Incl. Electronic Paper A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases
Claudia Yeap, Simon Kwok and Boris Choy
University of Sydney Business School, University of Sydney and University of Sydney Business School
Date Posted: August 14, 2016
Working Paper Series
32 downloads

Incl. Electronic Paper Arbitrage-Free XVA
Forthcoming in Mathematical Finance
Maxim Bichuch, Agostino Capponi and Stephan Sturm
Johns Hopkins University, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Date Posted: August 12, 2016
Accepted Paper Series
19 downloads


 

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