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1,853,424 Total downloads
Showing Papers 3,051 - 3,100 of 4,934
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The Pricing of Double Barrier Options and Their Variations Advances in Futures and Options Research, Vol. 10, 1998
Anlong Li
Date Posted: November 07, 20051216 downloads
The Underlying Dynamics of Credit Correlations Journal of Credit Risk, Vol. 3, No. 2, p. 27
Arthur M. Berd
,
Robert F. Engle and
Artem B. Voronov
Date Posted: November 06, 2005Last Revised: January 16, 2012399 downloads
Examining the Price-Earnings Relation in a Real Options Framework with Investor Learning
Philip Joos
and
Alexei Zhdanov
Date Posted: November 04, 2005266 downloads
Commodity Futures: A Japanese Perspective Yale ICF Working Paper No. 05-27
Gary B. Gorton ,
Fumio Hayashi and
K. Geert Rouwenhorst
Date Posted: November 03, 2005615 downloads
The Informational Content of Implied Volatility Around Stock Splits
Brandon Julio
and
Qian Deng
Date Posted: November 03, 2005393 downloads
Implied Calibration and Moments Asymptotics in Stochastic Volatility Jump Diffusion Models
Stefano Galluccio
and
Yann Lecam
Date Posted: November 02, 2005Last Revised: November 18, 2008398 downloads
Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds Journal of Financial Economics, Forthcoming
Hendrik Bessembinder ,
William F. Maxwell and
Kumar Venkataraman
Date Posted: November 02, 2005
A Levy Process-based Framework for the Fair Valuation of Participating Life Insurance Contracts Insurance: Mathematics and Economics, Vol. 37, No. 2, pp. 173-196, 2005, Cass Business School Research Paper
Laura Ballotta
Date Posted: November 01, 2005
The Suboptimality of Early Exercise of Futures-Style Options: A Model-Free Result, Robust to Market Imperfections and Performance Bond Requirements
Rodolfo Oviedo
Date Posted: October 26, 2005301 downloads
Conditional Correlation and Volatility in Commodity Futures and Traditional Asset Markets Journal of Alternative Investments, Forthcoming, EDHEC Business School
James Chong
and
Joelle Miffre
Date Posted: October 20, 2005Last Revised: April 26, 20091185 downloads
Cross-Dynamics of Volatility Term Structures Implied by Foreign Exchange Options ECB Working Paper No. 530
Elizaveta Krylova
,
Jussi Nikkinen
and
Sami Vähämaa
Date Posted: October 19, 2005268 downloads
Put-Call Parity and the Early Exercise Premium for Currency Options
Chris Veld ,
Geoffrey Poitras and
Yuriy Zabolotnyuk
Date Posted: October 19, 2005397 downloads
Improving the Design of Treasury-Bond Futures Contracts Journal of Business, Vol. 79, No. 3, May 2006
Rodolfo Oviedo
Date Posted: October 14, 2005290 downloads
Basis Options Delta Hedging
Robert Brooks and
Brandon N. Cline
Date Posted: October 06, 2005526 downloads
Competitive Equilibrium With Debt
Alexei Zhdanov
Date Posted: October 06, 2005240 downloads
Volatility Information Trading in the Option Market
Sophie X. Ni ,
Jun Pan and
Allen M. Poteshman
Date Posted: October 06, 2005558 downloads
Faster Implied Volatilities via the Implicit Function Theorem Financial Review, Forthcoming
Michael A. Kelly
Date Posted: October 02, 2005175 downloads
Measuring the Degree of Financial Market Efficiency: An Essay
Cornelis A. Los
Date Posted: October 02, 20051539 downloads
Remarks on Options Valuation
Ilya I. Gikhman
Date Posted: September 28, 20051099 downloads
Physical and Financial Virtual Power Plants
Bert Willems
Date Posted: September 27, 2005264 downloads
A Conditional Valuation Approach for Path-Dependent Instruments
Steven H. Zhu
and
Dante Lomibao
Date Posted: September 26, 2005933 downloads
A New Approach to Modeling the Dynamics of Implied Distributions: Theory and Evidence from the S&P 500 Options Journal of Banking and Finance, Vol. 28, Vol. 7, pp. 1499-1520, 2004
Nikolaos Panigirtzoglou and
George S. Skiadopoulos
Date Posted: September 12, 2005
A Test of the Cost of Carry Relationship Using the Lead Contract Traded on the London Metals Exchange Journal of Futures Markets, Vol. 18, No. 2, pp. 1-25, 1998
Richard A. Heaney
Date Posted: September 12, 2005
A Test of the Effect of Carrying Costs on Predictive Ability of Futures Prices Using the LME Lead Contract International Journal of Forecasting, Vol. 18, No. 1, pp. 45-65, 2002
Richard A. Heaney
Date Posted: September 12, 2005
American Options with Stopping Time Constraints
Daniel Egloff
,
Markus Leippold and
Walter Farkas
Date Posted: September 12, 2005564 downloads
An Approximation for Convenience Yield in Commodity Futures Pricing Journal of Futures Markets, Vol. 22, No. 10, pp. 1005-1017, 2002
Richard A. Heaney
Date Posted: September 12, 2005
An Improved Binomial Lattice Method for Multi-Dimensional Options Applied Mathematical Finance, Forthcoming
Andrea Gamba and
Lenos Trigeorgis
Date Posted: September 12, 2005517 downloads
Importance Sampling and MM-Algorithms with Applications to Options Pricing
Thorsten Sauder
Date Posted: September 12, 200591 downloads
The Trend is Your Friend: Absence of Pin Risk in Trend Options and Time Diversification
Markus Leippold and
Juerg M. Syz
Date Posted: September 09, 2005234 downloads
Predicting Bankruptcy: A New Structural Implementation
Hui Hao
Date Posted: August 31, 2005409 downloads
Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects
Jae H. Kim
and
Chris (Hristos) Doucouliagos
Date Posted: August 31, 2005294 downloads
Bond Option Valuation for Non-Markovian Interest Rate Processes Financial Review, Vol. 40, No. 4, November 2005
Joel R. Barber
Date Posted: August 30, 2005
The Main Risks of an FX Options Portfolio, Some Untimely Considerations of an Option Trader
Antonio Castagna
Date Posted: August 29, 2005606 downloads
VIX Futures Journal of Futures Markets, Vol. 26, No. 6, pp. 521-531
Jin E. Zhang and
Yingzi Zhu
Date Posted: August 29, 2005
Insider Trading in Credit Derivatives CEPR Discussion Paper No. 5180
Viral V. Acharya and
Timothy C. Johnson
Date Posted: August 25, 200522 downloads
Persistence Characteristics of the Chinese Stock Markets
Cornelis A. Los and
Bing Yu
Date Posted: August 24, 2005288 downloads
Role of Commodity Futures Market in Spot Price Stabilization, Production and Inventory Decisions with Reference to India Indian Economic Review, Vol. 39, No. 2, 2004
Basab Dasgupta
Date Posted: August 23, 2005
A Model of Corporate Liquidity CEPR Discussion Paper No. 4994
Ronald W. Anderson and
Andrew P. Carverhill
Date Posted: August 22, 200523 downloads
Can Macroeconomic Variables Account for the Term Structure of Sovereign Spreads? Studying the Brazilian Case IPEA Discussion Paper No. 1106
Marco S. Matsumura and
Ajax R. Moreira
Date Posted: August 22, 2005120 downloads
Financial Innovations and Market Efficiency: The Case for Single Stock Futures Journal of Applied Finance, Vol. 15, No. 1, Spring/Summer 2005
James S. Ang and
Yingmei Cheng
Date Posted: August 20, 200513 downloads
Trend Derivatives: Pricing, Hedging, and Application to Executive Stock Options
Markus Leippold and
Juerg M. Syz
Date Posted: August 18, 2005408 downloads
Conditional Time-Varying Interest Rate Risk Premium: Evidence from the Treasury Bill Futures Market Journal of Money, Credit, and Banking, Forthcoming
Alan C. Hess and
Avraham Kamara
Date Posted: August 16, 2005
Dynamic Interactions Between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads
Ren-Raw Chen ,
Xiaolin Cheng
and
Liuren Wu
Date Posted: August 16, 20051436 downloads
Financial Market Analysis Can Go Mad (in the Search for Irrational Behaviour During the South Sea Bubble) Centre for Dynamic Macroeconomic Analysis Working Paper No. 0508
Gary S. Shea
Date Posted: August 16, 2005Last Revised: October 13, 2007247 downloads
The Non-Monotonicity of Value-at-Risk and the Validity of Risk Measures over Different Horizons
Jonathan Treussard
Date Posted: August 16, 2005248 downloads
Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index Bank of England Working Paper No. 334
Matthew Hurd
,
Mark Salmon and
Christoph Schleicher
Date Posted: August 12, 2005234 downloads
A Clinical Study of the Probability of Default for Global Financial Firms Affected by the Subprime Mortgage Crisis
Antonio Camara
,
Ivilina Popova
and
Betty J. Simkins
Date Posted: August 11, 2005Last Revised: October 02, 2009668 downloads
Can Standard Preferences Explain the Prices of Out-of-the-Money S&P 500 Put Options?
Luca Benzoni ,
Pierre Collin-Dufresne and
Robert S. Goldstein
Date Posted: August 11, 2005555 downloads
Option Pricing for the Transformed Binomial Class Journal of Futures Markets, Vol. 29, pp. 537-557, 2006
Antonio Camara
and
San-Lin Chung
Date Posted: August 10, 2005Last Revised: September 03, 2008206 downloads
Super Cats as Alternative Investments: an Overview
Joseph Calandro Jr.
Date Posted: August 10, 2005520 downloads
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