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JEL Code: G13
1,850,358 Total downloads
Showing Papers 301 - 350 of 4,934
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Mr. Crab's Bootstrap
Roberto Baviera and
Alessandro Cassaro
Date Posted: October 07, 2012100 downloads
CDS Spreads Explained with Credit Spread Volatility and Jump Risk of Individual Firms
Arben Kita
Date Posted: October 06, 2012Last Revised: October 12, 2012100 downloads
CVA and FVA with funding aware close outs
Christoph Burgard
and
Mats Kjaer
Date Posted: October 06, 2012157 downloads
The FVA Debate: In Theory and Practice
Christoph Burgard
and
Mats Kjaer
Date Posted: October 06, 2012265 downloads
CEO Compensation and Credit Default Swaps: Evidence from the U.S. And Germany 25th Australasian Finance and Banking Conference 2012
Hsin-Hui Chiu
and
Eva Maria Wagner
Date Posted: October 05, 201246 downloads
Empirical Properties of Straddle Returns Journal of Derivatives, Vol. 17, No. 1, 2009
Wan Ni Lai
Date Posted: October 05, 2012
Investors Expectations and Preferences During the Financial Crisis and the Bursting Internet Bubble: Evidence from the Options Markets Bankers, Markets & Investors Nº 120 September-October 2012,
Wan Ni Lai
Date Posted: October 05, 2012
Combining Market and Accounting-Based Models for Credit Scoring Using a Classification Scheme Based on Support Vector Machines Technical University of Crete, Financial Engineering Laboratory, Working Paper 2012.07
Dimitrios Niklis
,
Michael Doumpos and
C. Zopounidis
affiliation not provided to SSRN
,
Technical University of Crete (TUC) - Department of Production Engineering and Management
and
Technical University of Crete (TUC) - Department of Production Engineering and Management
Date Posted: October 04, 201237 downloads
Comparison of Methods to Estimate Option Implied Risk Neutral Densities Quantitative Finance, Forthcoming
Wan Ni Lai
Date Posted: October 04, 2012
Pricing Electricity Derivatives under Future Information
Markus Hess
Date Posted: October 03, 2012Last Revised: May 03, 2013107 downloads
A Remark on Lin and Chang's Paper ‘Consistent Modeling of S&P 500 and Vix Derivatives’ Journal of Economic Dynamics and Control, Vol. 36, No. 5, 2012
Jun Cheng
,
Meriton Ibraimi
,
Markus Leippold and
Jin E. Zhang
Date Posted: October 03, 2012
Variance Risk Premium and VIX Pricing: A Simple GARCH Approach
Qiang Liu
and
Gaoxiu Qiao
Date Posted: October 03, 201297 downloads
Collateralized Commodity Obligations: Rating and Risk Assessment
Svetlana Borovkova
,
Hidde Bunk
,
Willem-Jan de Goeij
,
Dimitar Mechev
and
Dirk Veldhuizen
affiliation not provided to SSRN
,
NIBC Bank N.V.
and
affiliation not provided to SSRN
Date Posted: October 02, 201259 downloads
Option Pricing with the Efficient Method of Moments Computational Finance, Edited by Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, and Andreas S. Weigend, 1999, Cambridge, MA: MIT Press
George J. Jiang and
Pieter Jelle van der Sluis
Date Posted: October 02, 201219 downloads
Stochastic Volatility and Jump-Diffusion --- Implications on Option Pricing International Journal of Theoretical and Applied Finance, 1999 (2), No. 4, 409-440
George J. Jiang
Date Posted: October 02, 201225 downloads
The Role of Financial Markets in Determining Physical Oil Prices: A Survey of the Literature
Louis H. Ederington ,
Chitru S. Fernando ,
Thomas K Lee ,
Scott C. Linn and
Anthony D. May
Date Posted: October 01, 201278 downloads
Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees CEPR Discussion Paper No. DP9023
Bryan T. Kelly ,
Hanno N. Lustig and
Stijn Van Nieuwerburgh
Date Posted: September 28, 20122 downloads
The Impact of Credit Rating and Frequent Refinancing on Firm Value Midwest Finance Association 2013 Annual Meeting Paper
Sven Arnold ,
Alexander D.F. Lahmann
and
Bernhard Schwetzler
Date Posted: September 27, 2012Last Revised: January 29, 201391 downloads
One-Factor Based Exercise Strategies for American Options in Multi-Factor Models
Alfredo Ibanez
and
Carlos Velasco
Date Posted: September 24, 2012Last Revised: October 16, 201237 downloads
Consistent Pricing of Options on Leveraged ETFs
Andrew Ahn
,
Martin Haugh and
Ashish Jain
affiliation not provided to SSRN
Date Posted: September 21, 2012Last Revised: October 01, 2012247 downloads
Hedging Dynamics with Gold Futures Pantnagar Journal of Research, Vol. 10, pp. 71-77, 2012
Saurabh Singh and
Swati Saharawat
affiliation not provided to SSRN
Date Posted: September 21, 201267 downloads
Solution of Stochastic Volatility Models Using Variance Transition Probabilities and Path Integrals
Ahsan Amin
Date Posted: September 20, 2012Last Revised: November 13, 2012212 downloads
Valuation of VIX Derivatives Banco de Espana Working Paper No. 1232
Javier Mencia
and
Enrique Sentana
Date Posted: September 20, 2012114 downloads
An Impressionistic View of the 'Real' Price of Gold Around the World
Claude B. Erb and
Campbell R. Harvey
Date Posted: September 19, 2012Last Revised: September 20, 20121680 downloads
The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps 29th International Conference of the French Finance Association (AFFI) 2012
Lamia Bekkour
,
Thorsten Lehnert
and
Maria Chiara Amadori Jr.
Date Posted: September 19, 201256 downloads
Option Pricing and Hedging with Small Transaction Costs Swiss Finance Institute Research Paper No. 12-30
Jan Kallsen
and
Johannes Muhle-Karbe
Date Posted: September 18, 2012Last Revised: December 20, 201294 downloads
Around-the-Clock Price Discovery in Eurodollar Futures
Manjeet S. Dhatt ,
Chan-Wung Kim
and
Timothy T. Perry
Date Posted: September 16, 2012Last Revised: September 18, 201252 downloads
Ironing Out the Kinks in Executive Compensation: Linking Incentive Pay to Average Stock Prices Journal of Banking and Finance, Forthcoming
Yisong S. Tian
Date Posted: September 16, 201256 downloads
Option-Implied Information and Predictability of Extreme Returns
Grigory Vilkov and
Yan Xiao
Date Posted: September 16, 2012Last Revised: September 25, 2012264 downloads
The Interaction between Corporate Bonds Yields, Equity Market and the Macro Economy
Samuel B. Bulmash
and
Nilesh Balaram Sah
Date Posted: September 16, 201240 downloads
The Convenience Yield Implied in the European Natural Gas Markets - The Impact of Macrofactors and Weather
Thomas Kremser
and
Margarethe Rammerstorfer
Date Posted: September 15, 201245 downloads
Merchant Commodity Storage and Term Structure Model Error
Nicola Secomandi
,
Guoming Lai
,
Francois Margot
,
Alan Andrew Scheller-Wolf
and
Duane J. Seppi
Date Posted: September 14, 201240 downloads
The Post Earnings Announcement Drift and Option Traders
Suresh Govindaraj ,
Sangsang Liu
and
Joshua Livnat
Date Posted: September 14, 2012Last Revised: January 16, 2013107 downloads
Valuing Real Options with Estimation Error: DCF Versus No-Arbitrage
Ian A. Cooper
Date Posted: September 13, 201278 downloads
Asset Pricing with Second-Order Esscher Transforms Banque de France Working Paper No. 397
Alain Monfort and
Fulvio Pegoraro
Date Posted: September 12, 201215 downloads
Leveraged Investments and Agency Conflicts When Prices are Mean Reverting
Kristoffer J. Glover
and
Gerhard Hambusch
Date Posted: September 12, 201226 downloads
A Binary Model Versus Discriminant Analysis to Corporate Bankruptcies for Emerging Market
Elena Makeeva
,
Ekaterina Neretina
and
Nikita Pirogov
affiliation not provided to SSRN
Date Posted: September 11, 201282 downloads
Pricing Path-Dependent Options with Discrete Monitoring Under Time-Changed Levy Processes
Yuji Umezawa
and
Akira Yamazaki
Date Posted: September 11, 2012Last Revised: April 08, 201373 downloads
Put Option Exercise and Short Stock Interest Arbitrage Journal of Investment Management, Forthcoming
Kathryn Barraclough
and
Robert E. Whaley
Date Posted: September 10, 2012
A Chaos Expansion Approach Under Hybrid Volatility Models
Date Posted: September 09, 2012Last Revised: September 13, 201255 downloads
European Option Pricing under Jump Diffusion with Proportional Transaction Costs
Haipeng Xing ,
Yang Yu
and
TiongWee Lim
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: September 09, 201245 downloads
Maximal Affine Models for Multiple Commodities: A Note
Jaime Casassus ,
Peng Liu
and
Ke Tang
Date Posted: September 09, 201251 downloads
On Funding Costs and the Valuation of Derivatives
Bert-Jan Nauta
Date Posted: September 09, 2012Last Revised: October 12, 2012132 downloads
What Makes the VIX Tick?
Warren Bailey ,
Lin Zheng
and
Yinggang Zhou
Date Posted: September 09, 2012473 downloads
The True Invariant of an Arbitrage Free Portfolio: Finite Liquidity Effect
Anatoly B. Schmidt
Date Posted: September 08, 201228 downloads
An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia
Álvaro Cartea and
Pablo Villaplana
Date Posted: September 07, 2012105 downloads
Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors 25th Australasian Finance and Banking Conference 2012
Serkan Arslanalp
and
Yin Liao
Date Posted: September 06, 2012Last Revised: October 31, 201280 downloads
Yes, FVA is a Cost for Derivatives Desks - A Note on 'Is FVA a Cost for Derivatives Desks?' by Prof. Hull and Prof. White
Antonio Castagna
Date Posted: September 05, 2012179 downloads
Derivatives Pricing
Ilya I. Gikhman
Date Posted: September 04, 201263 downloads
Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound Reserve Bank of New Zealand Discussion Paper No. 2012/02, Midwest Finance Association 2013 Annual Meeting Paper
Leo Krippner
Date Posted: September 01, 201219 downloads
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