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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 566,481
Full Text Papers: 468,584
Authors: 262,643
Papers Received in
  Last 12 months:
63,649

Paper Downloads:
To date: 78,762,566
Last 12 months: 9,714,180
Last 30 days: 785,471

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Papers with
  Resolved
  References:
264,260
Total References: 9,074,523
Papers with Cites: 243,216
Total Citation
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6,006,425
Papers with
  Resolved
  Footnotes:
93,431
Total Footnotes: 9,189,712


SSRN eLibrary Search Results
JEL Code: G13
2,077,696 Total downloads
Showing Papers 2,901 - 2,950 of 5,458
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Incl. Electronic Paper Capital Structure and Financial Flexibility: Expectations of Future Shocks
Costas Lambrinoudakis , Michael Neumann and George S. Skiadopoulos
University of Piraeus - Department of Banking and Financial Management , Queen Mary, University of London - School of Economics and Finance and University of Piraeus
Date Posted: September 21, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Forecasting Volatility in the Presence of Limits to Arbitrage
Forthcoming in the Journal of Futures Markets
Lu Hong , Tom Nohel and Steven K. Todd
Loyola University of Chicago , Loyola University of Chicago and Loyola University of Chicago
Date Posted: September 20, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Volatility-of-Volatility Risk
Darien Huang and Ivan Shaliastovich
University of Pennsylvania - The Wharton School and University of Pennsylvania - Finance Department
Date Posted: September 19, 2014
Working Paper Series
54 downloads

Incl. Electronic Paper The α-Hypergeometric Stochastic Volatility Model
José Da Fonseca and Claude Martini
Auckland University of Technology - Faculty of Business & Law and Zeliade Systems
Date Posted: September 19, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Capital Structure Effects on the Prices of Individual Equity Call Options
Robert L. Geske , Avanidhar Subrahmanyam and Yi Zhou
University of California, Los Angeles (UCLA) - Finance Area , University of California, Los Angeles (UCLA) - Finance Area and Florida State University - College of Business
Date Posted: September 18, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper The Impact of Financialization on the Benefits of Incorporating Commodity Futures in Actively Managed Portfolios
Ramesh K Adhikari , Kyle J Putnam and Neal Maroney
University of New Orleans - College of Business Administration , University of New Orleans - College of Business Administration - Department of Economics and Finance and University of New Orleans - College of Business Administration
Date Posted: September 16, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper 著作權法與消費者保護法涉及之大專教科書議題 (Analyzing the Quality of College Textbooks from the Perspective of the Copyright Act and the Consumer Protection Law)
Jen-Chang Liu and Mark Yeats
Takming University of Science and Technology - Department of Banking and Finance and Takming University of Science and Technology - Department of Applied Foreign Languages
Date Posted: September 16, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Factor Structure in Commodity Futures Return and Volatility
Peter Christoffersen , Asger Lunde and Kasper Vinther Olesen
University of Toronto - Rotman School of Management , University of Aarhus - School of Economics and Management and CREATES
Date Posted: September 14, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper The Expected Return of Fear
Ing-Haw Cheng
Dartmouth College - Tuck School of Business
Date Posted: September 13, 2014
Last Revised: September 16, 2014
Working Paper Series
37 downloads

Incl. Electronic Paper Does Aggregate Uncertainty Explain Size and Value Anomalies?
Sofiane Aboura and Yakup Eser Arisoy
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) and Université Paris-Dauphine - DRM-CEREG
Date Posted: September 13, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Options in Structured Notes: Fix the Price or Fix the Spread?
Fordham University Schools of Business Research Paper No. 2493490
John D. Finnerty and Douglas R. Emery
Finnerty Economic Consulting LLC and University of Miami - Department of Finance
Date Posted: September 10, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Individual Investors and Suboptimal Early Exercises in the Fixed-Income Market
Mathias Eickholt , Oliver Entrop and Marco Wilkens
University of Passau , University of Passau and University of Augsburg
Date Posted: September 10, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Commodity Risk Factors and the Cross-Section of Equity Returns
Chris Brooks , Adrián Fernández-Pérez , Joelle Miffre and Ogonna Nneji
University of Reading - ICMA Centre , Auckland University of Technology , EDHEC Business School and University of Reading - ICMA Centre
Date Posted: September 02, 2014
Working Paper Series
78 downloads

Incl. Electronic Paper A Futures Market Reduces Bubbles But Allows Greater Profit for More Sophisticated Traders
CentER Discussion Paper Series No. 2014-051
Charles N. Noussair , Steven James Tucker and YiLong Xu
Tilburg University , University of Waikato Management School - Economics and Tilburg University
Date Posted: September 02, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Rebalancing Risk
Nicolas M Granger , Douglas Greenig , Campbell R. Harvey , Sandy Rattray and David Zou
Man Group , Independent , Duke University - Fuqua School of Business , AHL / Man Systematic Strategies and Man Group plc - AHL Man Systematic Strategies
Date Posted: August 30, 2014
Working Paper Series
731 downloads

Incl. Electronic Paper Modified Munich Chain-Ladder Method
Michael Merz and Mario V. Wuthrich
University of Hamburg and RiskLab, ETH Zurich
Date Posted: August 30, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Stochastic Volatility of Financial Assets and Default Risk
Yuri A. Katz
S&P Capital IQ
Date Posted: August 29, 2014
Working Paper Series
22 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
7 downloads

Incl. Electronic Paper A Closed-Form Solution for Outperformance Options with Stochastic Correlation and Stochastic Volatility
Journal of Industrial and Management Optimization. Forthcoming
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Date Posted: August 26, 2014
Accepted Paper Series
15 downloads

Incl. Electronic Paper An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options
J. C. Arismendi and Marcel Prokopczuk
University of Reading - ICMA Centre and Zeppelin University
Date Posted: August 25, 2014
Working Paper Series
18 downloads

Incl. Electronic Paper A Practical Approach to CVA, DVA and FVA
Chia Chiang Tan
Independent
Date Posted: August 24, 2014
Working Paper Series
38 downloads

Incl. Electronic Paper Exploiting Commodity Momentum Along the Futures Curves
Journal of Banking and Finance, Forthcoming
Wilma de Groot , Dennis Karstanje and Weili Zhou
Robeco Asset Management , Erasmus University Rotterdam and Robeco Asset Management
Date Posted: August 23, 2014
Accepted Paper Series
108 downloads

Incl. Electronic Paper Quantile Hedging in a Semi-Static Market with Model Uncertainty
Erhan Bayraktar and Gu Wang
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Date Posted: August 21, 2014
Working Paper Series
16 downloads

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
Board of Governors of the Federal Reserve System (FRB) and University of Chicago - Booth School of Business
Date Posted: August 19, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper In Pursuit of Liquidity: Informed Traders’ Choice Between The CDS and Option Markets
Jason Park , Janice C. Y. How and Peter Verhoeven
Curtin University of Technology - Department of Finance and Banking , Queensland University of Technology and Queensland University of Technology - Faculty of Business
Date Posted: August 19, 2014
Working Paper Series
5 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
22 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
14 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
Last Revised: August 29, 2014
Working Paper Series
40 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
12 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
25 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
17 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
16 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
44 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
1018 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
18 downloads

Incl. Electronic Paper Collateral Management: Processes, Tools and Metrics
Antonio Castagna
Iason Ltd.
Date Posted: August 06, 2014
Working Paper Series
54 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
Last Revised: September 18, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Optimal Portfolio and Consumption in Anticipative Electricity Futures Markets
Markus Hess
Independent
Date Posted: August 05, 2014
Last Revised: September 07, 2014
Working Paper Series
23 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
14 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
29 downloads

An Investigation of Model Risk in a Market with Jumps and Stochastic Volatility
Guillaume Coqueret , Bertrand Tavin and Arthur Villard-Sichel
EDHEC Business School , EMLYON Business School and Independent
Date Posted: August 02, 2014
Last Revised: September 11, 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
14 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
46 downloads

Incl. Electronic Paper QE Auctions of Treasury Bonds
FEDS Working Paper No. 2014-48
Zhaogang Song and Haoxiang Zhu
Board of Governors of the Federal Reserve System (FRB) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: July 30, 2014
Working Paper Series
22 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
Last Revised: September 14, 2014
Working Paper Series
91 downloads

Incl. Electronic Paper Investor Sentiments, Rational Beliefs and Option Prices
Panayiotis C. Andreou , Anastasios Kagkadis and Dennis Philip
Cyprus University of Technology , Lancaster University - Department of Accounting and Finance and Durham University Business School
Date Posted: July 23, 2014
Working Paper Series
19 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
113 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
52 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


 

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