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SSRN eLibrary Search Results
JEL Code: C63
348,077 Total downloads
Showing Papers 281 - 330 of 1,758
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Incl. Electronic Paper An Improved Method for Pricing and Hedging American Options
Tommaso Paletta , Silvia Stanescu and Radu Tunaru
University of Kent, Canterbury - Kent Business School , University of Kent, Canterbury - Kent Business School and University of Kent, Canterbury - Kent Business SchoolCeQuFin, University of Kent
Date Posted: October 25, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper A Regression-Based Numerical Method for Forward-Backward Stochastic Differential Equations
Deng Ding and Yiqi Liu
University of Macau and University of Macau
Date Posted: October 24, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Portfolio Execution with a Dark Pool Under Stochastic Volatility and Liquidity
Patrick Cheridito and Tardu Sepin
Princeton University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Date Posted: October 22, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods
Max Planck Institute for Social Law and Social Policy Discussion Paper No. 274-13
Alexander Ludwig and Matthias Schoen
Goethe University Frankfurt - Research Center SAFE and University of Cologne
Date Posted: October 21, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data
Entropy, Vol. 16 Nr. 5, May 2014, pp. 2642-2668
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Date Posted: October 21, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper A Family of Maximum Entropy Densities Matching Call Option Prices
Applied Mathematical Finance, Vol. 20, No. 6, 2013
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Date Posted: October 21, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
Finance Stochastics, Vol. 16, No. 2, 2012
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Date Posted: October 21, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper Determinants of Spatio-Temporal Patterns of Energy Technology Adoption: An Agent-Based Modeling Approach
Scott A. Robinson and Varun Rai
University of Texas at Austin - Lyndon B. Johnson School of Public Affairs and University of Texas at Austin - LBJ School of Public Affairs
Date Posted: October 20, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper Agent-Based Modeling of Energy Technology Adoption: Empirical Integration of Social, Behavioral, Economic, and Environmental Factors
Varun Rai and Scott A. Robinson
University of Texas at Austin - LBJ School of Public Affairs and University of Texas at Austin - Lyndon B. Johnson School of Public Affairs
Date Posted: October 20, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper An Efficient Transform Method for Asian Option Pricing
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: October 17, 2014
Working Paper Series
30 downloads

Incl. Electronic Paper Probability Density of the CIR Model
Andras Vanyolos , Maxx Cho and Scott Alan Glasgow
Independent , University of Maryland and Brigham Young University
Date Posted: October 13, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Q-Learning-Based Financial Trading Systems with Applications
University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 15/WP/2014
Marco Corazza and Francesco Bertoluzzo
Ca Foscari University of Venice - Department of Economics and Ca Foscari University of Venice
Date Posted: October 11, 2014
Working Paper Series
41 downloads

Incl. Electronic Paper Regional Water Balance Based on Remotely Sensed Evapotranspiration and Irrigation: An Assessment of the Haihe Plain, China
Remote Sensing, 6(3):2514-2533, 2014, DOI: 10.3390/rs6032514
Yanmin Yang , Yonghui Yang , De Li Liu , Thomas L. Nordblom , Bingfang Wu and Nana Yan
Key Laboratory of Agricultural Water Resources , Key Laboratory of Agricultural Water Resources , NSW DPI, Wagga Wagga , NSW Trade & Investment , Institute of Remote Sensing and Digital Earth and Key Lab. of Digital Earth Sciences
Date Posted: October 10, 2014
Accepted Paper Series
2 downloads

Incl. Electronic Paper A Portable and Fast Stochastic Volatility Model Calibration Using Multi and Many-Core Processors
Matthew Francis Dixon , Jorg Lotze and Mohammed Zubair
University of San Francisco - School of Management , Xcelerit and Old Dominion University
Date Posted: October 06, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper XML Based Layout Managers
Radošević, D., Bračun, D., Mrvac, N.:"XML Based Layout Managers", 15. međunarodna konferencija tiskarstva, dizajna i grafičkih komunikacija Blaz Baromić, Senj, 21-24. 9. 2011.,
Danijel Radošević , Denis Bračun and Nikola Mrvac
University of Zagreb - Faculty of Organization and Informatics , University of Zagreb - Faculty of Organization and Informatics and Faculty of Graphic Arts
Date Posted: October 06, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper Filling in the Blanks: Network Structure and Interbank Contagion
FRB of Cleveland Working Paper No. 14-16
Kartik Anand , Ben R. Craig and Goetz von Peter
Government of Canada - Bank of Canada , Federal Reserve Bank of Cleveland and Bank for International Settlements - Research and Policy Analysis
Date Posted: October 05, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper The Time-Dependent FX-SABR Model: Efficient Calibration Based on Effective Parameters
Anthonie Willem van der Stoep , Lech A. Grzelak and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI) , Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Date Posted: October 04, 2014
Last Revised: October 14, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Systemic Risk Spillovers in the European Banking and Sovereign Network
CFS Working Paper, No. 467
Frank Betz , Nikolaus Hautsch , Tuomas A. Peltonen and Melanie Schienle
European Union - European Investment Bank , University of Vienna - Department of Statistics and Operations Research , European Central Bank (ECB) and Leibniz University Hannover
Date Posted: October 04, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper The Weekend Effect: A Trading Robot and Fractional Integration Analysis
DIW Berlin Discussion Paper No. 1386
Guglielmo Maria Caporale , Luis A. Gil-Alana , Alex Plastun and Inna Makarenko
Brunel University - Centre for Empirical Finance , University of Navarra - Department of Economics , National Bank of Ukraine - Ukrainian Academy of Banking and National Bank of Ukraine - Ukrainian Academy of Banking
Date Posted: October 03, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Applied Stochastic Control in High Frequency and Algorithmic Trading
Jason Ricci
University of Toronto, Department of Statistics
Date Posted: October 03, 2014
Working Paper Series
62 downloads

Incl. Electronic Paper Systemic Risk Spillovers in the European Banking and Sovereign Network
Franz Betz , Nikolaus Hautsch , Tuomas A. Peltonen and Melanie Schienle
European Union - European Investment Bank , University of Vienna - Department of Statistics and Operations Research , European Central Bank (ECB) and Leibniz University Hannover
Date Posted: October 01, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Learning by Doing Business: Study Case on the Students’ Perception Regarding TOPSIM Applications
Romanian Journal of Business Simulations, ISSN:2344 –116X 12/2013, (1), pp.95-105.,
Monica Roxana Tudurache , Daniel Homocianu and Livia Baciu
Alexandru Ioan Cuza University , Alexandru Ioan Cuza University - Faculty of Economics and Business Administration and Alexandru Ioan Cuza University
Date Posted: September 30, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Date Posted: September 27, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Reweight: A Stata Module to Reweight Survey Data to External Totals
Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 5
Daniele Pacifico
Italian Department of the Treasury
Date Posted: September 27, 2014
Accepted Paper Series
2 downloads

Incl. Electronic Paper Structural Models for Coupled Electricity Markets
Michael Martin Kustermann and Ruediger Kiesel
Universität Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Date Posted: September 26, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Feynman Kac for Functional Jump Diffusions with an Application to Credit Value Adjustment
Eduard Kromer , Ludger Overbeck and Jasmin A.L. Röder
University of California, Berkeley , University of Giessen and University of Giessen
Date Posted: September 26, 2014
Last Revised: October 06, 2014
Working Paper Series
11 downloads

Incl. Fee Electronic Paper Information Aggregation in a DSGE Model
CEPR Discussion Paper No. DP10020
Tarek A. Hassan and Thomas M. Mertens
University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Date Posted: September 25, 2014
Working Paper Series

Incl. Electronic Paper Income Inequality and Macroeconomic Instability: A Stock-Flow Consistent Approach with Heterogeneous Agents
CAMA Working Paper No. 60/2014
Laura Carvalho and Corrado Di Guilmi
Sao Paulo School of Economics - FGV and University of Technology Sydney (UTS) - School of Finance and Economics
Date Posted: September 23, 2014
Last Revised: September 24, 2014
Working Paper Series
22 downloads

Incl. Electronic Paper The Benefits and Liabilities of Interacting for Innovation: a Quantitative Model
Levine, S. S., Gorman, T., & Prietula, M. J. (2014). The Benefits and Liabilities of Interacting for Innovation: a Quantitative Model. In K. Pugh (Ed.), Smarter Innovation: using interactive processes to drive better business results (pp. 111-119). London: Ark Group.
Sheen S. Levine , Trish Gorman and Michael Prietula
Columbia University , Independent and Emory University - Goizueta Business School
Date Posted: September 22, 2014
Accepted Paper Series
9 downloads

Incl. Electronic Paper Risk Profiles for Re-Profiling the Sovereign Debt of Crisis Countries
The Wharton School Financial Institutions Centre Research Paper No. 14-14
Andrea Consiglio and Stavros A. Zenios
University of Palermo and University of Cyprus
Date Posted: September 17, 2014
Last Revised: September 19, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Global Warming and a Potential Tipping Point in the Atlantic Thermohaline Circulation: The Role of Risk Aversion
CESifo Working Paper Series No. 4930
Mariia Belaia , Michael Funke and Nicole Glanemann
University of Hamburg - Faculty of Economics and Business Administration , Hamburg University, Department of Economics and University of Hamburg - Faculty of Economics and Business Administration
Date Posted: September 16, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model
Qian Feng and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI) and Center for Mathematics and Computer Science (CWI)
Date Posted: September 16, 2014
Last Revised: October 07, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: September 16, 2014
Last Revised: October 15, 2014
Working Paper Series
143 downloads

Incl. Electronic Paper Straightforward Approximate Stochastic Equilibria for Nonlinear Rational Expectations Models
CAMA Working Paper No. 59/2014
Michael K. Johnston , Robert G. King and Denny Lie
Government of the Republic of South Africa - South African Reserve Bank , Boston University - Department of Economics and University of Sydney - School of Economics
Date Posted: September 16, 2014
Last Revised: September 24, 2014
Working Paper Series
6 downloads

Garbage Can Model Excel Reconstruction
CoMSES Computational Model Library, August 2014
Ivan Smarzhevskiy
Peoples’ Friendship University of Russia
Date Posted: September 15, 2014
Last Revised: September 22, 2014
Accepted Paper Series

Incl. Electronic Paper Filling in the Blanks: Network Structure and Interbank Contagion
BIS Working Paper No. 455
Kartik Anand , Ben R. Craig and Goetz von Peter
Government of Canada - Bank of Canada , Federal Reserve Bank of Cleveland and Bank for International Settlements - Research and Policy Analysis
Date Posted: September 12, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper Evaluating Linear Approximations in a Two-Country Model with Occasionally Binding Borrowing Constraints
Alexis Anagnostopoulos and Xin Tang
Stony Brook and Stony Brook University
Date Posted: September 08, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Garbage Can Model: Reconstruction and Logical Analysis
Ivan Smarzhevskiy
Peoples’ Friendship University of Russia
Date Posted: September 08, 2014
Last Revised: October 19, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Model01: Quantifying the Risk of Incremental Model Changes
Damian Abasto and Mark P. Kust
Independent and Independent
Date Posted: September 07, 2014
Last Revised: October 06, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Probabilistic Transitivity in Sports
Institute of Mathematical Economics Working Paper No. 520
Johannes Tiwisina and Philipp Külpmann
Bielefeld University - Center for Mathematical Economics and Bielefeld University - Center for Mathematical Economics
Date Posted: September 03, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Optimal Trade Execution with a Dark Pool and Adverse Selection
Patrick Cheridito and Tardu Sepin
Princeton University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Date Posted: September 02, 2014
Working Paper Series
56 downloads

Incl. Electronic Paper Pca2: Implementing a Strategy to Reduce the Instrument Count in Panel GMM
Quaderni - Working Paper DSE N° 960,
Maria Elena Bontempi and Irene Mammi
University of Bologna - Department of Economics and University of Bologna - School of Economics, Management, and Statistics
Date Posted: September 02, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper The Asymptotics of Price and Strategy in the Buyer's Bid Double Auction
Mark Satterthwaite , Steven R. Williams and Konstantinos E. Zachariadis
Northwestern University - Kellogg School of Management , University of Illinois at Urbana-Champaign - Department of Economics and London School of Economics
Date Posted: August 31, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Solving Models with Disappointment Aversion
Swedish House of Finance Research Paper No. 14-14
Patrick Augustin and Roméo Tédongap
McGill University, Desautels Faculty of Management and Swedish House of Finance
Date Posted: August 29, 2014
Last Revised: September 19, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Inefficiencies in a Model of Spatial Networks Formation with Positive Externalities
Journal of Economic Behavior and Organization, Vol. 11, 2008
Nicolas Carayol , Pascale Roux and Murat Yildizoglu
BETA, CNRS and Université Louis Pasteur (Strasbourg I) , French National Center for Scientific Research (CNRS) - Bureau of Economic Theory and Application (BETA) and French National Center for Scientific Research (CNRS) - Groupe de Recherche en Économie Théorique et Appliquée (GREThA)
Date Posted: August 28, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Modelling Social Learning in an Agent–Based Baseline Macro Model
Isabelle Salle , Marc-Alexandre Senegas , Murat Yildizoglu and Martin Zumpe
French National Center for Scientific Research (CNRS) - Groupe de Recherche en Économie Théorique et Appliquée (GREThA) , University of Bordeaux , French National Center for Scientific Research (CNRS) - Groupe de Recherche en Économie Théorique et Appliquée (GREThA) and French National Center for Scientific Research (CNRS) - Groupe de Recherche en Économie Théorique et Appliquée (GREThA)
Date Posted: August 28, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Efficient Sampling and Meta-Modeling for Computational Economic Models
Computational Economics, November 2013
Isabelle Salle and Murat Yildizoglu
French National Center for Scientific Research (CNRS) - Groupe de Recherche en Économie Théorique et Appliquée (GREThA) and French National Center for Scientific Research (CNRS) - Groupe de Recherche en Économie Théorique et Appliquée (GREThA)
Date Posted: August 28, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Inflation Targeting in a Learning Economy: An ABM Perspective
Economic Modelling, Vol. 34, August 2013
Isabelle Salle , Murat Yildizoglu and Marc-Alexandre Senegas
French National Center for Scientific Research (CNRS) - Groupe de Recherche en Économie Théorique et Appliquée (GREThA) , French National Center for Scientific Research (CNRS) - Groupe de Recherche en Économie Théorique et Appliquée (GREThA) and University of Bordeaux
Date Posted: August 28, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Can They Beat the Cournot Equilibrium? Learning with Memory and Convergence to Equilibria in a Cournot Oligopoly
Computational Economics, April 2013, Volume 41, Issue 4, pp 493-516
Thomas Vallée and Murat Yildizoglu
Univesity of Nantes and French National Center for Scientific Research (CNRS) - Groupe de Recherche en Économie Théorique et Appliquée (GREThA)
Date Posted: August 28, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper Modeling Firm Heterogeneity in International Trade: Do Structural Effects Matter?
Bocconi IEFE - Centre for Research on Energy and Environmental Economics and Policy Working Paper n. 70
Roberto Roson and Kazuhiko Oyamada
Ca Foscari University of Venice - Department of Economics and Institute of Developing Economies, Japan External Trade Organization (IDE-JETRO)
Date Posted: August 27, 2014
Working Paper Series
4 downloads


 

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