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SSRN eLibrary Statistics:

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Abstracts: 679,698
Full Text Papers: 569,907
Authors: 313,207
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  Last 12 months:
68,153

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To date: 100,524,023
Last 12 months: 12,887,787
Last 30 days: 934,117

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306,272
Total References: 8,961,663
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5,758,643
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  Footnotes:
91,674
Total Footnotes: 8,995,413


SSRN eLibrary Search Results
JEL Code: G13
2,420,677 Total downloads
Showing Papers 2,451 - 2,500 of 6,219
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1 2 3 4 ... 125 | Next >
   

Incl. Electronic Paper Price Discovery and Information Transmission in Stock Index Futures and Spot Markets: Evidence from China based on a VAR-GARCH Model with SSAEPD Margins
Wentao Zhou and Liuling Li
Nankai University - School of Finance, Nankai University and Nankai University
Date Posted: June 28, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Credit Value Adjustment with Market-Implied Recovery
Pascal Francois and Weiyu Jiang
HEC Montreal - Department of Finance and affiliation not provided to SSRN
Date Posted: June 28, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Expectations, Fundamentals, and Asset Returns: Evidence from the Commodity Markets
Alessandro Beber and Jacopo Piana
Cass Business School and Cass Business School
Date Posted: June 25, 2016
Working Paper Series
11 downloads

Arbitrage Theory: Quantitative Methods
Rossano Giandomenico
Independent
Date Posted: June 24, 2016
Working Paper Series

The Economics of Commercial Real Estate Preleasing
Journal of Real Estate Finance and Economics, Vol. 53, No. 2, 2016
Robert H. Edelstein and Peng Liu
University of California, Berkeley - Fisher Center for Real Estate and Urban Economics and Cornell University
Date Posted: June 23, 2016
Accepted Paper Series

Endogenous Trading in Credit Default Swaps
Marc Chesney , Delia Coculescu and Selim Gökay
University of Zurich - Swiss Banking Institute (ISB) , University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)
Date Posted: June 23, 2016
Working Paper Series

Incl. Electronic Paper Decentralized Transaction Clearing Beyond Blockchains
Fabio Massacci , Chan-Nam Ngo and Julian M. Williams
DISI - University of Trento , Università degli Studi di Trento and Durham Business School
Date Posted: June 21, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper A Strange Disposition? Option Trading Based on Reference Prices
Kelley Bergsma , Andy Fodor and Emily Tedford
Ohio University and 84.51˚
Date Posted: June 21, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper Inflation, Deflation, and Uncertainty: What Drives Euro Area Option-Implied Inflation Expectations and are They Still Anchored in the Sovereign Debt Crisis?
Bundesbank Discussion Paper No. 24/2014
Michael Scharnagl and Jelena Stapf
Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series

Incl. Electronic Paper Option Pricing with Stochastic Volatility
Journal of Applied Mathematics and Physics, Scientific Research, December, 2015
Rossano Giandomenico
Independent
Date Posted: June 21, 2016
Accepted Paper Series
27 downloads

Incl. Electronic Paper Understanding Oil Investing
Ludwig B. Chincarini , John Love and Robert Nguyen
University of San Francisco School of Management , USCF Investments and USCF Investments
Date Posted: June 20, 2016
Working Paper Series
56 downloads

Incl. Electronic Paper Pricing Corporate Bonds with Interest Rates Following Double Square-Root Process
HKIMR Working Paper No.11/2016
Chi-Fai Lo and C. H. Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Date Posted: June 20, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Endogenous Second Moments: A Unified Approach to Fluctuations in Risk, Dispersion, and Uncertainty
Ludwig Straub and Robert Ulbricht
Massachusetts Institute of Technology (MIT) - Department of Economics and Toulouse School of Economics
Date Posted: June 20, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper Adapted Hedging
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: June 18, 2016
Working Paper Series
36 downloads

Incl. Electronic Paper Macro-Disagreement Beta
George Gao , Xiaomeng Lu , Zhaogang Song and Hongjun Yan
Cornell University - Samuel Curtis Johnson Graduate School of Management , Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) , Johns Hopkins University - Carey Business School (JHU) and Rutgers, The State University of New Jersey - Rutgers Business School
Date Posted: June 17, 2016
Working Paper Series
75 downloads

Incl. Electronic Paper Relaxing Constraints on Risk Management: Evidence from a Natural Experiment
Sabrina T. Howell
New York University (NYU) - Leonard N. Stern School of Business
Date Posted: June 16, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Time-Varying Price Discovery, Skewed Returns, and Market Dynamics
Yang Hou and Gilbert Nartea
Department of Finance, Waikato Management School, University of Waikato and Department of Finance, Waikato Management School, University of Waikato
Date Posted: June 16, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Prudent Valuation Guidelines and Sound Practices
Marco Bianchetti and Umberto Cherubini
Intesa Sanpaolo - Financial and Market Risk Management and
Date Posted: June 16, 2016
Last Revised: June 19, 2016
Working Paper Series
70 downloads

Incl. Electronic Paper An Estimation of the Deposit Insurance Premium from Bank CDS Spreads: An Application of the Structural Approach with a Normal Firm Value Diffusion Process
James Chen
Research137 LLC
Date Posted: June 16, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Time-Series and Cross-Sectional Momentum in the Saudi Arabia Stock Market Returns
Shah Saeed Hassan Chowdhury
Prince Mohammad Bin Fahd University
Date Posted: June 15, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Pricing VIX Options with Multifactor Stochastic Volatility
Pascal Marco Caversaccio
University of Zurich - Department of Banking and Finance
Date Posted: June 15, 2016
Working Paper Series
36 downloads

Incl. Electronic Paper A Review of CMS Swap Pricing Approaches
Marin Decaudaveine
Paris Dauphine University, Students
Date Posted: June 15, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Does Speculation Impact What Factors Determine Oil Futures Prices?
Economics Letters, Vol. 144, 2016
Fabian Gogolin and Fearghal Kearney
Queen's Management School and Queen's Management School
Date Posted: June 14, 2016
Accepted Paper Series
22 downloads

Incl. Electronic Paper Fractional Black-Scholes Option Pricing, Volatility Calibration and Implied Hurst Exponents
Emlyn James Flint and Eben Mare
Peregrine Securities and Independent
Date Posted: June 13, 2016
Working Paper Series
36 downloads

Incl. Electronic Paper KVA, Mind Your P's and Q's!
Shashi Jain , Patrik Karlsson and Drona Kandhai
ING Bank - Netherlands Office , ING Bank and University of Amsterdam
Date Posted: June 11, 2016
Last Revised: June 17, 2016
Working Paper Series
58 downloads

Incl. Electronic Paper The Skewness Implied in the Heston Model and its Application
Journal of Futures Markets, (Forthcoming)
Jin E. Zhang , Fang Zhen , Xiaoxia Sun and Huimin ZHAO
University of Otago, Otago Business School, Department of Accountancy and Finance , University of Otago , Dongbei University of Finance and Economics and Zhongshan University
Date Posted: June 11, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Valuation, Hedging, and Sports Futures Wagers
Thomas J. O'Brien and Reinhold P. Lamb
University of Connecticut - Department of Finance and University of North Florida
Date Posted: June 09, 2016
Working Paper Series
36 downloads

Incl. Electronic Paper Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models
Bundesbank Series 2 Discussion Paper No. 2011,05
Yalin Gunduz and Marliese Uhrig-Homburg
Deutsche Bundesbank and Karlsruhe Institute of Technology (KIT) - Financial Engineering and Derivatives Department
Date Posted: June 08, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper A Value at Risk Analysis of Credit Default Swaps
Bundesbank Series 2 Discussion Paper No. 2008,12
Burkhard Raunig and Martin Scheicher
Austrian National Bank - Economic Studies Division and European Central Bank (ECB)
Date Posted: June 08, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market
Bundesbank Series 2 Discussion Paper No. 2008,09
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Date Posted: June 08, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Market Conditions, Default Risk and Credit Spreads
Bundesbank Series 2 Discussion Paper No. 2008,08
Dragon Yongjun Tang and Hong Yan
The University of Hong Kong - School of Economics and Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Date Posted: June 08, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper Forecasting the Price of Crude Oil Via Convenience Yield Predictions
Bundesbank Series 1 Discussion Paper No. 2006,12
Thomas Knetsch
Deutsche Bundesbank - Economics Department
Date Posted: June 08, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Time Series Properties of a Rating System Based on Financial Ratios
Bundesbank Series 2 Discussion Paper No. 2005,14
Ulrich Krüger , Martin Stötzel and Stefan Trück
Deutsche Bundesbank , University of Karlsruhe and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Date Posted: June 08, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper The Forecasting Performance of German Stock Option Densities
Bundesbank Series 1 Discussion Paper No. 2003,17
Ben R. Craig , Ernst Glatzer , Joachim Keller and Martin Scheicher
Federal Reserve Bank of Cleveland , Austrian National Bank - Economic Studies Division , Deutsche Bundesbank - Economic Research Centre and European Central Bank (ECB)
Date Posted: June 08, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper An Equilibrium Model for Spot and Forward Prices of Commodities
Michail Anthropelos , Michael Kupper and Antonis Papapantoleon
University of Piraeus - Department of Banking and Financial Management , Humboldt University of Berlin - Department of Mathematics and Technische Universität Berlin (TU Berlin)
Date Posted: June 07, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper The Pricing Kernel Puzzle: Survey and Outlook
Horatio Cuesdeanu and Jens Carsten Jackwerth
University of Konstanz - Department of Economics
Date Posted: June 06, 2016
Working Paper Series
60 downloads

Incl. Electronic Paper The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets
Myeong Hyeon Kim , Changki Kim and Injun Hwang
Korea Housing & Urban Guarantee Corporation , Korea University Business School (KUBS) and Korea University Business School
Date Posted: June 06, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Liability Concentration and Systemic Losses in Financial Networks
Operations Research, Forthcoming
Agostino Capponi , Peng-Chu Chen and David D. Yao
Columbia University , Purdue University and Columbia University
Date Posted: June 05, 2016
Accepted Paper Series
221 downloads

Incl. Electronic Paper Optimal Surrender of Guaranteed Minimum Maturity Benefits Under Stochastic Volatility and Interest Rates
Boda Kang and Jonathan Ziveyi
University of York - Department of Mathematics and UNSW Australia Business School, School of Risk & Actuarial Studies
Date Posted: June 05, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Estimating the Value of Information
Ohad Kadan and Asaf Manela
Washington University in Saint Louis - John M. Olin Business School and Washington University in Saint Louis - John M. Olin Business School
Date Posted: June 04, 2016
Last Revised: June 21, 2016
Working Paper Series
28 downloads

Incl. Electronic Paper The Market Price of Skewness
Paola Pederzoli
University of Geneva
Date Posted: June 04, 2016
Working Paper Series
42 downloads

Incl. Electronic Paper Rational Mispricing with Imprecisely Known Wealth Distribution
Majid Hasan
EDHEC Business School (EDHEC), Students
Date Posted: June 03, 2016
Last Revised: June 21, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Lower-Upper Bound Approach for Pricing American Strangles
Jingtang Ma , Wenyuan Li and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security , Southwestern University of Finance and Economics (SWUFE) - School of Economic Mathematics and Stevens Institute of Technology
Date Posted: June 02, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options
Jean-François Bégin , Christian Dorion and Geneviève Gauthier
HEC Montréal, Students , HEC Montreal and HEC Montreal - Department of Management Sciences
Date Posted: June 02, 2016
Working Paper Series
37 downloads

Time Series Momentum and Volatility Scaling
Journal of Financial Markets, Forthcoming
Abby Kim , Yiuman Tse and John K. Wald
Securities and Exchange Commission , University of Missouri at Saint Louis and University of Texas at San Antonio
Date Posted: June 02, 2016
Accepted Paper Series

Incl. Electronic Paper Oil Market Modelling: A Comparative Analysis of Fundamental and Latent Factor Approaches
International Review of Financial Analysis, Forthcoming
Mark Cummins , Michael M. Dowling and Fearghal Kearney
Dublin City University Business School , ESC Rennes School of Business and Queen's Management School
Date Posted: May 31, 2016
Accepted Paper Series
89 downloads

Incl. Electronic Paper Modeling Positive Electricity Prices with Arithmetic Jump-Diffusions
Markus Hess
Université Libre de Bruxelles (ULB)
Date Posted: May 30, 2016
Last Revised: June 15, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Strict Local Martingale Deflators and Valuing American Call-Type Options
Finance Stochastics, Vol. 16, No. 2, 2012
Erhan Bayraktar , Constantinos Kardaras and Hao Xing
University of Michigan at Ann Arbor - Department of Mathematics , London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE)
Date Posted: May 28, 2016
Accepted Paper Series
9 downloads

Incl. Electronic Paper Being Two-Faced Over Counterparty Credit Risk
Risk, March 2009
Jon Gregory
Independent
Date Posted: May 28, 2016
Accepted Paper Series
15 downloads

Incl. Electronic Paper A Trick of the Credit Tail
Risk, March 2008
Jon Gregory
Independent
Date Posted: May 28, 2016
Accepted Paper Series
14 downloads


 

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