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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 560,866
Full Text Papers: 463,405
Authors: 260,382
Papers Received in
  Last 12 months:
64,085

Paper Downloads:
To date: 77,897,907
Last 12 months: 9,680,513
Last 30 days: 648,321

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Papers with
  Resolved
  References:
262,270
Total References: 9,034,735
Papers with Cites: 242,003
Total Citation
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5,983,061
Papers with
  Resolved
  Footnotes:
92,654
Total Footnotes: 9,166,729


SSRN eLibrary Search Results
JEL Code: G13
2,062,069 Total downloads
Showing Papers 2,901 - 2,950 of 5,434
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Incl. Electronic Paper A Tale of Two Option Markets: Pricing Kernels and Volatility Risk
FEDS Working Paper No. 2014-58
Zhaogang Song and Dacheng Xiu
Federal Reserve Board and University of Chicago - Booth School of Business
Date Posted: August 19, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper A Note on Minimum Riskiness Hedge Ratio
Donald D. Lien and Sina Ehsani
University of Texas at San Antonio - College of Business - Department of Economics and University of Texas at San Antonio
Date Posted: August 17, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Impact of Allowance Submissions in European Carbon Emission Markets
Dennis Philip and Yukun Shi
Durham University Business School and Durham Business School
Date Posted: August 17, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper Best-Estimate Claims Reserves in Incomplete Markets
Sebastian Happ , Michael Merz and Mario V. Wuthrich
University of Hamburg , University of Hamburg and RiskLab, ETH Zurich
Date Posted: August 17, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect
Zeno Adams and Thorsten W. Glück
University of Saint Gallen - SoF: School of Finance and European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate
Date Posted: August 14, 2014
Last Revised: August 15, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Risk Premiums in a Multi-Factor Jump-Diffusion Model for the Joint Dynamics of Equity Options and Their Underlying
Robert Huitema and Bas Peeters
University of Zurich - Department of Banking and Finance and VU University Amsterdam - Faculty of Economics and Business Administration
Date Posted: August 13, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Why is Spot Carbon so Cheap and Future Carbon so Dear? The Term Structure of Carbon Prices
Don Bredin and John E. Parsons
University College Dublin and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: August 11, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Business Cycle, Storage, and Energy Prices
Review of Financial Economics, Forthcoming
Oleg Kucher and Alexander Kurov
Frostburg State University - Department of Economics and West Virginia University - College of Business & Economics
Date Posted: August 10, 2014
Accepted Paper Series
9 downloads

Incl. Electronic Paper Options on Leveraged ETFs: A Window on Investor Heterogeneity
Stephen Figlewski and Muhammad Fahd Malik
New York University - Stern School of Business and AllianceBernstein
Date Posted: August 08, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Betting on 'Dumb Volatility' with 'Smart Beta'
Claude B. Erb
TR
Date Posted: August 06, 2014
Last Revised: August 14, 2014
Working Paper Series
681 downloads

Incl. Electronic Paper Option Pricing in a Discrete Time Model for the Limit Order Book
Clarence Simard and Bruno Remillard
University of Montreal - Department of Mathematics and Statistics and HEC Montreal
Date Posted: August 06, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Collateral Management: Processes, Tools and Metrics
Antonio Castagna
Iason Ltd.
Date Posted: August 06, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Generalized Barndorff-Nielsen and Shephard Model and Discretely Monitored Option Pricing
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Date Posted: August 05, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Optimal Portfolio and Consumption in Anticipative Electricity Futures Markets
Markus Hess
Independent
Date Posted: August 05, 2014
Last Revised: August 18, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Teaching Measure Transformation in Option Pricing with a Loaded Die
Nico van der Wijst
Norwegian University of Science and Technology
Date Posted: August 05, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper A Unified Approximation Formula for Zero-Coupon Bond Prices
Takaya Fukui
Mizuho Securities Co. Ltd
Date Posted: August 03, 2014
Working Paper Series
22 downloads

Variance Swaps in a Market with Jumps and Stochastic Volatility: An Investigation of Model Risk
Guillaume Coqueret , Bertrand Tavin and Arthur Villard-Sichel
EDHEC Business School , EMLYON Business School and Independent
Date Posted: August 02, 2014
Working Paper Series

Incl. Electronic Paper Does Buy-and-Hold Pay Off in Structured Products? An Analysis of Account-Level Transactions
Youngsoo Choi , Woojin Kim and Eunji Kwon
Hankuk University of Foreign Studies , Seoul National University - Business School and Hankuk University of Foreign Studies
Date Posted: August 01, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper The Informational Relevance of Forward-Looking Measures of Returns and Volatility in Forecasting Defaults
Hong Miao , Sanjay Ramchander , Patricia A Ryan and Tianyang Wang
Colorado State University - Department of Finance & Real Estate , Colorado State University - Department of Finance & Real Estate , Colorado State University - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Date Posted: July 30, 2014
Working Paper Series
39 downloads

Incl. Electronic Paper QE Auctions of Treasury Bonds
FEDS Working Paper No. 2014-48
Zhaogang Song and Haoxiang Zhu
Federal Reserve Board and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: July 30, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Strategies Based on Momentum and Term Structure in Financialized Commodity Markets
Adam Zaremba
Poznań University of Economics
Date Posted: July 23, 2014
Working Paper Series
73 downloads

Incl. Electronic Paper Investor Sentiments, Rational Beliefs and Option Prices
Panayiotis C. Andreou , Anastasios Kagkadis and Dennis Philip
Cyprus University of Technology , Durham Business School and Durham University Business School
Date Posted: July 23, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Why Does the Option to Stock Volume Ratio Predict Stock Returns?
Li Ge , Tse-Chun Lin and Neil D. Pearson
University of Hong Kong - Faculty of Business and Economics , University of Hong Kong - Faculty of Business and Economics and University of Illinois at Urbana-Champaign - Department of Finance
Date Posted: July 22, 2014
Last Revised: July 30, 2014
Working Paper Series
75 downloads

Incl. Electronic Paper Belief Uncertainty, Volatility Risk Premium, and Speculative Trading
Ming Guo and Hao Zhou
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and PBC School of Finance, Tsinghua University
Date Posted: July 21, 2014
Working Paper Series
45 downloads

The Fusion of Insurance and Financial Structured Products – A Monte Carlo Valuation
Insurance Markets and Companies: Analyses and Actuarial Computations, 2013, Volume 4, Issue 1, pp. 30-38
Zvika Afik and Rami Yosef
Ben Gurion University and Ben-Gurion University of the Negev
Date Posted: July 20, 2014
Accepted Paper Series

Practical Valuation of Options on Durable Goods
Journal of Derivatives, Forthcoming
Zvika Afik
Ben Gurion University
Date Posted: July 20, 2014
Accepted Paper Series

Incl. Electronic Paper Pricing Volatility Options Under Stochastic Skew with Application to the VIX Index
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Date Posted: July 17, 2014
Working Paper Series
33 downloads

Incl. Electronic Paper Analogy Making and the Structure of Implied Volatility Skew
Hammad Siddiqi
University of Queensland
Date Posted: July 14, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper Risk-Return Analysis of Dynamic Investment Strategies
Benjamin Bruder and Nicolas Gaussel
Lyxor Asset Management and Lyxor Asset Management
Date Posted: July 14, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Noise Momentum Around the World
Charlie X. Cai , Robert W. Faff and Yongcheol Shin
Leeds University Business School , University of Queensland and University of York (UK) - Department of Economics and Related Studies
Date Posted: July 13, 2014
Working Paper Series
97 downloads

Incl. Electronic Paper CVA Under Partial Risk Warehousing and Tax Implications
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Lloyds Banking Group
Date Posted: July 12, 2014
Last Revised: July 14, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Exact and Approximated Option Pricing in a Stochastic Volatility Jump-Diffusion Model
M. Corazza et al. (eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance 2010, pp 133-142
Fernanda D'Ippoliti , Enrico Moretto , Sara Pasquali and Barbara Trivellato
Independent , University of Insubria - Department of Economics , CNR-IMATI and Polytechnic University of Turin - Dipartimento di Matematica
Date Posted: July 11, 2014
Accepted Paper Series
12 downloads

Incl. Electronic Paper Pricing and Hedging of Derivatives in Contagious Markets
Thomas Kokholm
School of Business and Social Sciences, Aarhus University
Date Posted: July 10, 2014
Working Paper Series
15 downloads

Affine-Structure Models and the Pricing of Energy Commodity Derivatives
Ioannis Kyriakou , Nikos K. Nomikos , Panos K. Pouliasis and Nikos C. Papapostolou
City University London - Sir John Cass Business School , Cass Business School, City University London , Sir John Cass Business School and Cass Business School, City University London
Date Posted: July 09, 2014
Working Paper Series

Incl. Electronic Paper Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew
Hammad Siddiqi
University of Queensland
Date Posted: July 08, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Stochastic Volatility Models as Means of Expressing a Smile
Dean Diavatopoulos and Oleg Sokolinskiy
Villanova University - Department of Finance and Rutgers Business School - Newark and New Brunswick
Date Posted: July 07, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper Accounting for Earnings Announcements in the Pricing of Equity Options
Tim Leung and Marco Santoli
Columbia University and Columbia University
Date Posted: July 05, 2014
Last Revised: July 28, 2014
Working Paper Series
57 downloads

Incl. Electronic Paper Risk-Adjusted Option-Implied Moments
Felix Brinkmann and Olaf Korn
University of Goettingen (Gottingen) and Georg-August-Universität Göttingen
Date Posted: July 03, 2014
Working Paper Series
34 downloads

Incl. Electronic Paper Jump and Variance Risk Premia in the S&P 500
Maximilian Neumann , Marcel Prokopczuk and Chardin Wese Simen
Technische Universität München (TUM) , Zeppelin University and University of Liverpool
Date Posted: July 02, 2014
Working Paper Series
47 downloads

Incl. Electronic Paper Novel No-Arbitrage Conditions for Options Written on Defaultable Assets
Greg Orosi
American University of Sharjah
Date Posted: June 29, 2014
Working Paper Series
18 downloads

Incl. Electronic Paper General Economic Equilibrium with Financial Markets and Retainability
Alejandro Jofre , R. Tyrrell Rockafellar and Roger J-B Wets
University of Chile, CMM & DIM , University of Washington - Department of Mathmatics and University of California, Davis
Date Posted: June 29, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions
Bertram Düring and Christof Heuer
University of Sussex - School of Mathematical and Physical Sciences and University of Sussex - School of Mathematical and Physical Sciences
Date Posted: June 28, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Model-Free Option Prices
Kuo-Ping Chang
National Tsing Hua University - Department of Quantitative Finance
Date Posted: June 28, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper A Bond Consistent Derivative Fair Value
Johan Gunnesson and Alberto Fernández Muñoz de Morales
BBVA - Risk Methodologies and BBVA - Risk Methodologies
Date Posted: June 24, 2014
Working Paper Series
47 downloads

Incl. Electronic Paper Testing the Transparency Implications of Mandatory IFRS Adoption: The Spread/Maturity Relation of Credit Default Swaps
Gauri Bhat , Jeffrey L. Callen and Dan Segal
Southern Methodist University (SMU) , University of Toronto - Rotman School of Management and Interdisciplinary Center (IDC) Herzliyah
Date Posted: June 24, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Implications of CVA for Financial Stability in Over-the-Counter Derivatives Markets: A Simulation Analysis
Yuji Sakurai
University of California, Los Angeles (UCLA) - Anderson School of Management
Date Posted: June 23, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Modelo binomial para la valoración de empresas y los efectos de la deuda: escudo fiscal y liquidación de la firma (Binomial Model for Firm Valuation and the Effects of the Debt: Tax Shield and Firm Dilution)
Journal of Economics, Finance & Administrative Science, Vol. 19, No. 36, 2014
Gastón Silverio Milanesi
National University of the South
Date Posted: June 22, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper Direct and Indirect Competition Among Structured Financial Products: The Case of Discount Certificates in Germany
Andrea Schertler
Leuphana Universität Lüneburg
Date Posted: June 19, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper A General HJM Framework for Multiple Yield Curve Modeling
Christa Cuchiero , Claudio Fontana and Alessandro Gnoatto
Independent , Université d'Evry - Laboratoire de Mathématiques et Modélisation and Ludwig-Maximilians-Universität München
Date Posted: June 17, 2014
Working Paper Series
106 downloads

Incl. Electronic Paper Interdependence and Dynamics in Currency Futures Markets: A Multivariate Cointegration Analysis of Intra-Day Data
Journal of Banking and Finance, 25 (2001), 1161-1186, Fox School of Business Research Paper
Elyas Elyasiani and Ahmet E. Kocagil
Temple University - Department of Finance and Fitch Ratings Inc.
Date Posted: June 16, 2014
Accepted Paper Series
3 downloads


 

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