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JEL Code: G13
1,851,954 Total downloads
Showing Papers 2,151 - 2,200 of 4,932
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Volatility Forecasting and Liquidity: Evidence from Individual Stocks
Peter A. Brous
,
Ufuk Ince
and
Ivilina Popova
Date Posted: May 24, 2008209 downloads
A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
Erhan Bayraktar
Date Posted: May 23, 200875 downloads
Pricing Distressed CDOs with Base Correlation and Stochastic Recovery
Martin Krekel
Date Posted: May 22, 2008Last Revised: August 06, 2008694 downloads
Continuous Monitoring: Look Before You Leap NHH Dept. of Finance & Management Science Discussion Paper No. 2008/8
Snorre Lindset
and
Svein-Arne Persson
Date Posted: May 21, 200843 downloads
Efficient Pricing of Ratchet Equity Indexed Annuities in a VG Economy
Laura Ballotta
Date Posted: May 21, 2008Last Revised: August 31, 2009171 downloads
Securitization of Motor Insurance Loss Rate Risks
Changki Kim
Date Posted: May 21, 2008210 downloads
Understanding Index Option Returns CEPR Discussion Paper No. DP6239
Mark Broadie ,
Mikhail Chernov and
Michael S. Johannes
Date Posted: May 21, 20081 downloads
Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation
Damiano Brigo and
Kyriakos Chourdakis
Date Posted: May 19, 2008Last Revised: October 05, 20081054 downloads
Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations
Valeriy Zakamulin
Date Posted: May 16, 2008443 downloads
Risk Management and Optimal Pricing in Online Storage Grids
Sanjukta Das ,
Anna Ye Du
,
Ram D. Gopal
and
Ram Ramesh
Date Posted: May 15, 2008Last Revised: December 15, 2009110 downloads
Valuation of Convexity Related Derivatives IES Working Paper No. 4/2008
Jiri Witzany
Date Posted: May 14, 2008Last Revised: February 12, 2009249 downloads
A Methodological Approach for the Valuation of Callable Bonds in Emerging Markets: The TGI Example
Edgardo Cayon Fallon
and
Julio Sarmiento-Sabogal
Date Posted: May 13, 2008144 downloads
Hedge Portfolios in Markets with Price Discontinuities University of Technology Sydney Research Paper No. 218
Gerald H. L. Cheang and
Carl Chiarella
Date Posted: May 12, 200876 downloads
Locational Price Spreads and the Pricing of Contracts for Difference: Evidence from the Nordic Market Energy Economics, Vol. 31, No. 2, 2009
Jan Marckhoff
and
Jens Wimschulte
Date Posted: May 09, 2008Last Revised: May 15, 2009
Constructing the Optimal Exercise Boundary for American Options by Least-Squares Monte Carlo
Qiang Liu
Date Posted: May 07, 2008Last Revised: January 05, 2009462 downloads
The Puzzle of Warrants Trading Below Their Intrinsic Values in China's A-Share Market
Qiang Liu
,
Song-Ping Zhu
and
Wei Fan
Date Posted: May 07, 2008236 downloads
Extended Affine Term Structure Models
Marco Realdon
affiliation not provided to SSRN
Date Posted: May 06, 2008
Conditional Analytic Monte-Carlo Pricing Scheme of Auto-Callable Products
Christian P. Fries and
Mark S. Joshi
Date Posted: May 05, 2008Last Revised: April 07, 20101358 downloads
Volatility Components, Affine Restrictions and Non-Normal Innovations
Peter Christoffersen ,
Christian Dorion
,
Kris Jacobs and
Yintian Wang
Date Posted: May 05, 2008Last Revised: November 21, 2008319 downloads
Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals
Ana-Maria Fuertes ,
Joelle Miffre and
Georgios Rallis
Date Posted: April 30, 2008Last Revised: July 26, 20103845 downloads
Can the Dynamics of the Term Structure of Petroleum Futures be Forecasted? Evidence from Major Markets Chantziara, T., and Skiadopoulos, G. (2008): ¿Can the Dynamics of the Term Structure of Petroleum Futures be forecasted? Evidence from Major Markets¿, Energy Economics, 30:3, pp. 962-985., Energy Economics, Vol. 30, No. 3, 2008,
Thalia Chantziara
and
George S. Skiadopoulos
Date Posted: April 29, 2008Last Revised: October 24, 2008
On the Internal Inconsistency of the Black-Scholes Option Pricing Model
Jeremy Berkowitz
Date Posted: April 29, 2008113 downloads
The Complete Picture of Credit Default Swap Spreads - A Quantile Regression Approach
Pedro Pires ,
João Pedro Pereira and
Luis F. Martins
Date Posted: April 29, 2008Last Revised: January 31, 20101556 downloads
Forward Equations for Portfolio Credit Derivatives Columbia University Center for Financial Engineering, Financial Engineering Report No. 2008-05
Rama Cont and
Ioana A. Savescu
Date Posted: April 25, 2008631 downloads
A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility
Elisa Alos
,
Jorge A. Leon
,
Monique Pontier
and
Josep Vives
Date Posted: April 24, 2008186 downloads
Arbitrages and Arrow-Debreu Prices
Gaia Barone
Date Posted: April 23, 2008355 downloads
CDO Loss Term-Structure Expansions in a Fatal-Shock Framework
Laurent Veilex
Date Posted: April 23, 2008160 downloads
Executive Stock Options
Luca Barone
Date Posted: April 23, 2008276 downloads
Inflation is Normal
Chris Kenyon
Date Posted: April 23, 2008Last Revised: May 06, 2008517 downloads
Properties of High Frequency DAX Returns: Intraday Patterns, Jumps and their Impact on Subsequent Volatility
Philippe Masset
Date Posted: April 23, 2008292 downloads
A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing
Junye Li
,
Carlo A. Favero and
Fulvio Ortu
Date Posted: April 22, 2008Last Revised: December 13, 2010173 downloads
Fair Valuation of Italian Participating Life Insurance Policies
Alberto Floreani
Date Posted: April 21, 2008165 downloads
Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models Journal of Business and Economic Statistics, Forthcoming
Junye Li
Date Posted: April 21, 2008Last Revised: December 15, 2010147 downloads
Simulation for Option Valuation CIIF Working Paper No. 309
Pablo Fernandez
Date Posted: April 18, 20081122 downloads
Valuation of Bonds with Options (in Spanish)
Pablo Fernandez
Date Posted: April 18, 20081100 downloads
Spanned Stochastic Volatility in Bond Markets: A Reexamination of the Relative Pricing between Bonds and Bond Options BIS Working Paper No. 239
Don H. Kim
Date Posted: April 15, 200878 downloads
Option Pricing with Quadratic Volatility: A Revisit
Leif B. G. Andersen
Date Posted: April 10, 2008Last Revised: August 14, 20081194 downloads
Safer Margins for Option Trading: How Accuracy Promotes Efficiency
Rafael Eldor ,
Shmuel Hauser and
Uzi Yaari
Date Posted: April 09, 2008Last Revised: July 14, 2009152 downloads
Business Value and Risk in the Presence of Price Controls: An Option-Based Analysis of Margin Squeeze Rules in the Telecommunications Industry Annals of Operation Research, Vol. 176, No. 1, pp. 311-332, April 2010
Philipp N. Baecker ,
Gunnar Grass
and
Ulrich Hommel
Date Posted: April 07, 2008Last Revised: April 13, 2010
Fundamentals of Corporate Currency Exposure Journal of International Financial Markets, Institutions, and Money, Vol. 20, No. 3, pp. 310-321, July 2010
Thomas J. O'Brien
Date Posted: April 06, 2008Last Revised: March 04, 2012247 downloads
Higher Order Large Deviation Approximations Applied to Cdo Pricing
Laurent Veilex
Date Posted: April 06, 2008138 downloads
Returns to Speculators in Commodity Futures Markets: A Comprehensive Revisit
Christof Sigl-Grüb
and
Dirk Schiereck
Date Posted: April 03, 2008Last Revised: April 16, 2008706 downloads
Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets?
Juan Cabrera
,
Tao Wang and
Jian Yang
Date Posted: April 02, 2008193 downloads
Art-Backed Lending: Implied Spreads and Art Risk Management
Rachel A.J. Pownall and
Christian Wiehenkamp
Date Posted: April 01, 2008Last Revised: March 23, 2009436 downloads
Financial Innovation, Macroeconomic Stability and Systemic Crises Bank of England Working Paper No. 340
Prasanna Gai ,
Sujit Kapadia
,
Stephen Millard and
Ander Perez
Date Posted: March 31, 2008314 downloads
Summary Statistics of Option-Implied Probability Density Functions and Their Properties Bank of England Working Paper No. 345
Damien P.G. Lynch
and
Nikolaos Panigirtzoglou
Date Posted: March 31, 2008231 downloads
The Sensitivity of American Options to Suboptimal Exercise Strategies
Alfredo Ibanez
and
Ioannis Paraskevopoulos
Date Posted: March 29, 2008Last Revised: January 24, 2009193 downloads
Valuing Time-Dependent CEV Barrier Options Journal of Applied Mathematics and Decision Sciences, pp. 1-17, 2009
C.F. Lo ,
Hoi-Man Tang
,
K. C. Ku
and
C. H. Hui
Date Posted: March 29, 2008Last Revised: August 10, 2009148 downloads
Derivatives Markets for Home Prices Cowles Foundation Discussion Paper No. 1648, Yale Economics Department Working Paper No. 46
Robert J. Shiller
Date Posted: March 28, 2008Last Revised: April 29, 2008728 downloads
Expected Commodity Futures Returns
Saqib A. Khan
,
Zeigham Khoker and
Timothy T. Simin
affiliation not provided to SSRN
,
University of Western Ontario - Finance-Economics Area Group
and
Pennsylvania State University
Date Posted: March 28, 2008515 downloads
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