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1,850,857 Total downloads
Showing Papers 2,751 - 2,800 of 4,933
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Risky Debt Dynamic, Jumps and Optimal Financial Policy
Jean Claude Gabillon
and
Laurent Germain
Date Posted: October 17, 2006131 downloads
Implied Mortgage Refinancing Thresholds FRB of New York Staff Report No. 49
Paul G. Bennett ,
Richard W. Peach
and
Stavros Peristiani
Date Posted: October 15, 200670 downloads
A New Look at Hedging with Derivatives: Will Firms Reduce Market Risk Exposure?
Turan G. Bali ,
Susan Hume
and
Terrence F. Martell
Date Posted: October 11, 20061184 downloads
Recovering Risk Neutral Densities from Option Prices: A New Approach Journal of Financial and Quantitative Analysis (JFQA), Vol. 43, pp. 1037-1054, 2008
Leonidas Rompolis
and
Elias Tzavalis
Date Posted: October 11, 2006Last Revised: May 31, 2009
Pricing and Hedging of Multi Type Contracts Under Multidimensional Risks in Incomplete Markets Modeled By General Itô Sde Systems Asia-Pacific Financial Markets, Vol. 13, No. 4, 2006
Srdjan D. Stojanovic
Date Posted: October 10, 2006134 downloads
Tell Me What You Want, What You Really, Really Want! An Exercise in Tailor-Made Synthetic Fund Creation Alternative Investment Research Centre Working Paper No. 36, Cass Business School Research Paper
Date Posted: October 10, 20063682 downloads
Analytical Approximations to the Valuation of American Options: A Boundary-Optimality Approach Thessaloniki 2006 HFAA Conference Paper
Andreas Andrikopoulos
Date Posted: October 09, 2006194 downloads
Better than its Reputation: An Empirical Hedging Analysis of the Local Volatility Model for Barrier Options Journal of Risk, Vol. 12, No. 1, pp. 53-77, 2009
Bernd Engelmann
,
Matthias R. Fengler
and
Peter Schwendner
Date Posted: October 09, 2006Last Revised: March 10, 2011
Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process Birbeck Working Paper No. 0508
Álvaro Cartea
Date Posted: October 05, 2006610 downloads
UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts Energy Economics, Volume 30, Issue 3, pages 829-846, May 2008
Álvaro Cartea
Date Posted: October 04, 2006Last Revised: March 11, 20131078 downloads
Fractional Diffusion Models of Option Prices in Markets With Jumps Physica A, 374, pages 749–763, 2007,
Álvaro Cartea
Date Posted: October 04, 2006Last Revised: March 11, 2013464 downloads
Generalised Geske Johnson Interpolation of Option Prices Journal of Business Finance and Accounting, Forthcoming
San-Lin Chung and
Mark B. Shackleton
Date Posted: October 04, 2006123 downloads
Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality Applied Mathematical Finance, Vol. 12, No. 4, December 2005
Álvaro Cartea and
Marcelo G. Figueroa
Date Posted: October 04, 20062351 downloads
The Finite Sample Properties of the GARCH Option Pricing Model Journal of Future Markets, Forthcoming
George Dotsis
and
Raphael N. Markellos
Date Posted: October 04, 2006
Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks
Christian P. Fries and
Mark S. Joshi
Date Posted: October 03, 20061311 downloads
Pricing Cac 40 Index Options Under Asymmetry of Information
Sofiane Aboura
Date Posted: October 03, 2006Last Revised: April 02, 200967 downloads
The Behavior of the International Implied Volatility Indexes
Sofiane Aboura
Date Posted: October 03, 2006339 downloads
The Price of Immediacy HBS Finance Working Paper No. 07-017
George Chacko ,
Jakub W. Jurek and
Erik Stafford
Date Posted: October 03, 2006620 downloads
Implied Expected Tranched Loss Surface from CDO Data
Roberto Torresetti
,
Damiano Brigo and
Andrea Pallavicini
Date Posted: September 28, 2006447 downloads
Procyclicality, Collateral Values and Financial Stability Bank of England Working Paper No. 304
Prasanna Gai ,
Peter Kondor
and
Nicholas Vause
Date Posted: September 28, 2006175 downloads
Swap Credit Risk: An Empirical Investigation on Transaction Data Journal of Banking and Finance, Vol. 21, No. 10, October 1997
Didier Cossin and
Hugues Pirotte
Date Posted: September 25, 2006
Expected Stock Returns and Variance Risk Premia AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Tim Bollerslev ,
George Tauchen and
Hao Zhou
Date Posted: September 21, 2006Last Revised: December 14, 20082360 downloads
Underpricing of New Convertible Debt Issues of U.S. Firms: 1980-2003 - Empirical Analysis Journal of Financial Management and Analysis, Vol. 19, No.1, Spring 2006
Camelia S. Rotaru
Date Posted: September 21, 2006
Integrating Commodity Markets in the Optimal Procurement Policies of a Stochastic Inventory System
Ankur Goel
and
Genaro Gutierrez
Date Posted: September 17, 2006Last Revised: May 07, 2012374 downloads
Achieving Smooth Asymptotics for the Prices of European Options in Binomial Trees
Mark S. Joshi
Date Posted: September 05, 2006Last Revised: February 14, 2008586 downloads
Do Price Limits Limit Price Discovery in the Presence of Options?
David Reiffen
,
Bahattin Buyuksahin
and
Michael S. Haigh
Date Posted: September 05, 2006275 downloads
Modelling the Structure of Long-Term Electricity Forward Prices at Nord Pool HANDBOOK OF POWER SYSTEMS II, pp. 189-212, S. Rebennack, P. M. Pardalos, M. V. Pereira and N. A. Iliadis, eds., Springer, 2010
Martin Povh
,
Robert Golob
and
Stein-Erik Fleten
Date Posted: August 29, 2006Last Revised: January 27, 2012786 downloads
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Jasmina Hasanhodzic
and
Andrew W. Lo
Date Posted: August 27, 20068159 downloads
A Comparison of Single Factor Markov-Functional and Multi Factor Market Models
ERIM Report Series Reference No. ERS-2005-008-F&A
R. Pietersz and
Antoon Pelsser
affiliation not provided to SSRN
and
Maastricht University
Date Posted: August 26, 2006297 downloads
Duration and Convexity Formulas for Odd First Period Bonds Journal of Applied Finance, Vol. 16, No. 1, Spring/Summer 2006
David R. Kuipers
Date Posted: August 24, 200620 downloads
Higher-Order Volatility: Dynamics and Sensitivities
Alexander Carey
Date Posted: August 24, 2006115 downloads
Measuring Historical Volatility Journal of Applied Finance, Vol. 16, No. 1, Spring/Summer 2006
Louis H. Ederington and
Wei Guan
Date Posted: August 24, 200622 downloads
Ratio Spreads
Louis H. Ederington and
J. Scott Chaput
Date Posted: August 24, 2006184 downloads
The Pricing of Portfolio Credit Risk BIS Working Paper No. 214
Nikola A. Tarashev
and
Haibin Zhu
Date Posted: August 24, 2006502 downloads
Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default
Damiano Brigo and
Andrea Pallavicini
Date Posted: August 23, 2006Last Revised: March 31, 20081340 downloads
Equity Returns at the Turn of the Month: Trading Strategies and Implications for Investors and Managers 2006 Institute for Quantitative Research in Finance Meetings (Q-Group)
John J. McConnell
Date Posted: August 23, 2006820 downloads
Price Discovery Among the Punters: Using New Financial Betting Markets to Predict Intraday Volatility
Eric Zitzewitz
Date Posted: August 22, 2006236 downloads
A Semi-Analytical Parametric Model for Dependent Defaults
B.S. Balakrishna
Date Posted: August 20, 2006142 downloads
Expected Default Probabilities in Structural Models: Empirical Evidence Journal of Real Estate Finance and Economics, Vol. 34, No. 1, 2007
Kanak Patel and
Ricardo Pereira
Date Posted: August 18, 2006
A General Equilibrium and Preference Free Model for Pricing Options Under Transformed Gamma Distribution Manchester Business School Working Paper
Luiz Vitiello
and
Ser-Huang Poon
Date Posted: August 17, 2006151 downloads
The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns CEPR Discussion Paper No. 5726
Harjoat Singh Bhamra and
Raman Uppal
Date Posted: August 16, 200614 downloads
General Equilibrium and Risk Neutral Valuation Framework for Option Pricing with Mixture of Distributions Manchester Business School Working Paper
Luiz Vitiello
and
Ser-Huang Poon
Date Posted: August 14, 2006242 downloads
On the Quadratic Approximation to the Value of American Options: An Alternative Finance Letters, Forthcoming
Andreas Andrikopoulos
Date Posted: August 14, 2006Last Revised: October 13, 200780 downloads
Taxation without Replication
Don M. Chance
Date Posted: August 13, 2006118 downloads
The Hidden Martingale Restriction in Gram-Charlier Option Prices Journal of Futures Markets, Forthcoming
Charles J. Corrado
Date Posted: August 11, 2006
Option Exchange Design: Liquidity and Trading Activity at the Swedish Index Options Market Review of Futures Markets, Vol. 14, 2006
Lars L. Norden
Date Posted: August 09, 2006
The Value of Fighting Irreversible Demise by Softening the Irreversible Cost International Journal of Theoretical and Applied Finance, Vol. 9, No. 4, pp. 503-516, 2006
Alessandro Sbuelz and
Paul Magis
affiliation not provided to SSRN
Date Posted: August 09, 200616 downloads
Multiscale Intensity Models for Single Name Credit Derivatives
Evan Papageorgiou
and
Ronnie Sircar
Date Posted: August 08, 2006156 downloads
Perspectives - Revenue Recognition Certificates: A New Security Financial Analysts Journal, Vol. 62, No. 4, pp. 20-30, July/August 2006
Raymond A. LeClair
and
Evan Schulman
Date Posted: August 08, 2006
Price Discovery in the Foreign Currency Futures and Spot Market FRB of New York Staff Report No. 262
Joshua V. Rosenberg and
Leah Goldman Traub
Date Posted: August 08, 2006460 downloads
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