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1,850,191 Total downloads
Showing Papers 3,151 - 3,200 of 4,934
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On the Structure of General Mean-Variance Hedging Strategies Cass Business School Research Paper
Ales Cerny and
Jan Kallsen
Date Posted: May 03, 2005704 downloads
Estimation of the Risk Premiums in Energy Markets
James S. Doran
Date Posted: May 02, 2005535 downloads
Partially Overlapping Time Series: A New Model for Volatility Dynamics in Commodity Futures UC Davis Agricultural and Resource Economics Working Paper No. 04-013
Aaron Smith
Date Posted: May 02, 2005267 downloads
The Effect of Mis-Estimating Correlation on Value-at-Risk Journal of Alternative Investments, Vol. 7, No. 4, pp. 66-82, 2005
Vasiliki D. Skintzi
,
George S. Skiadopoulos and
Apostolos N. Refenes
Date Posted: May 02, 2005
Valuing Pilot Projects in a Learning by Investing Framework: An Approximate Dynamic Programming Approach Computers and Operations Research, Forthcoming
Eymen Errais
and
Jeffrey R. Sadowsky
Date Posted: May 02, 200588 downloads
Bond Market Model
Roberto Baviera
Date Posted: April 29, 2005440 downloads
Monetary Policy and Financial Stability: What Role for the Futures Market? Universita di Ferrara Economia Istituzioni Territorio Working Paper No. 15/2005
John Driffill ,
Paolo Savona ,
Zeno Rotondi
and
Cristiano Zazzara Sr.
Date Posted: April 28, 2005347 downloads
Too Much of a Good Incentive? The Case of Executive Stock Options Journal of Banking and Finance, Vol. 28, pp. 1225-1245, June 2004
Yisong S. Tian
Date Posted: April 27, 2005210 downloads
Variance Term Structure and VIX Futures Pricing
Yingzi Zhu and
Jin E. Zhang
Date Posted: April 25, 20051680 downloads
Proxy Simulation Schemes for Generic Robust Monte-Carlo Sensitivities, Process Oriented Importance Sampling and High Accuracy Drift Approximation (With Applications to the LIBOR Market Model)
Christian P. Fries and
Joerg Kampen
Date Posted: April 21, 2005440 downloads
Asset Pricing and Investor Risk in Subordinated Asset Securitisation
Andreas A. Jobst
Date Posted: April 20, 2005885 downloads
Momentum Strategies in Commodity Futures Markets Cass Business School Research Paper
Joelle Miffre and
Georgios Rallis
Date Posted: April 20, 20053952 downloads
Information Flow and Price Comovements: Empirical Evidence from Indian Spot and Futures Market
Dr. Kedar Nath Mukherjee
Date Posted: April 17, 2005181 downloads
Co-Movements of Index Options and Futures Quotes Dice Center Working Paper Series No. 2005-10, Journal of Empirical Finance, Forthcoming
Rüdiger Fahlenbrach and
Patrik Sandas
Date Posted: April 15, 2005Last Revised: August 08, 2008230 downloads
Conditional Probability as a Measure of Volatility Clustering in Financial Time Series
Kan Chen
,
Ciriyam Jayaprakash
and
Baosheng Yuan
Date Posted: April 15, 2005194 downloads
The Co-Initial Swap Market Model
Stefano Galluccio
and
Christopher Hunter
Date Posted: April 15, 2005470 downloads
A General Asymptotic Implied Volatility for Stochastic Volatility Models
Pierre Henry-Labordere
Date Posted: April 14, 20052865 downloads
Bayesian Option Pricing using Asymmetric GARCH Models Journal of Empirical Finance, Vol. 9, No. 3, pp. 321-342
Luc Bauwens and
Michel Lubrano
Date Posted: April 14, 2005
The Impact of US GAAP Reconciliation Requirements on Choice of Foreign Stock Exchange for Firms from Common Law and Code Law Countries European Accounting Review, Forthcoming
Robert B. Durand and
Ann Tarca
Date Posted: April 14, 2005
Managerial Economics and Operating Beta Managerial and Decision Economics, April 2011, 175-191
Thomas J. O'Brien
Date Posted: April 10, 2005Last Revised: October 29, 2012386 downloads
Liquidity Risk Premia in Corporate Bond Markets
Frank de Jong and
Joost Driessen
Date Posted: April 08, 2005Last Revised: May 07, 20091722 downloads
Do Different Futures Contracts in one Stock Exchange have the Same Discovery Capability? Empirical Study of Taiwan Futures Exchange Journal of Financial Management and Analysis, Vol. 17, No. 1, pp. 34-44, 2004
Ching-Chung Lin
,
Shih-Ju Chan
and
Hsinan Hsu
Date Posted: April 07, 2005
Noise Information and Default Risk Valuation
Zhihong Jian
and
Hui-ling Xu
Date Posted: April 07, 2005106 downloads
On the Concavity of Jump Equity Premia Finance Letters, Vol. 3, No. 1, pp. 133-139, February 2005
Vassilis Polimenis
Date Posted: April 07, 2005122 downloads
Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
Damiano Brigo and
Marco Tarenghi
Date Posted: April 06, 2005356 downloads
Inside Information and the Exercise of Employee Stock Options: New Evidence
Joel S. Sternberg
and
Hugh Douglas Witte
Date Posted: April 06, 2005
The Impact of Serial Correlation on Option Prices in a Non-Frictionless Environment: An Alternative Explanation for Volatility Skew
Joel S. Sternberg
Date Posted: April 06, 2005
Impact of Open Interest and Trading Volume in Option Market on Underlying Cash Market: Empirical Evidence from Indian Equity option Market
Dr. Kedar Nath Mukherjee
and
R. K. Mishra
Date Posted: April 05, 2005416 downloads
The Cross-Section of Volatility and Expected Returns Journal of Finance, Forthcoming
Andrew Ang ,
Robert J. Hodrick ,
Yuhang Xing and
Xiaoyan Zhang
Date Posted: April 05, 20051205 downloads
Weather Derivative Pricing and the Impact of El Nino on US Temperature: Empirical Tests of an Optimal Categorical Forecasting Scheme
Stephen Jewson
and
Shree P. Khare
Date Posted: April 05, 2005188 downloads
How Much Should Investors Pay For Leverage?
Vineer Bhansali and
Mark B. Wise
Date Posted: April 04, 2005213 downloads
Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
Didier Cossin and
Gero Jung
Date Posted: April 03, 2005290 downloads
Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model
Marc P. A. Henrard
Date Posted: April 03, 20051465 downloads
Are European Corporate Bond and Default Swap Markets Segmented?
Didier Cossin and
Hongze Abraham Lu
Date Posted: April 01, 2005185 downloads
Cash-Flow Shortage as an Endogenous Bankruptcy Reason Journal of Banking and Finance, Forthcoming
Marliese Uhrig-Homburg
Date Posted: April 01, 2005
Employee Stock Options, Equity Valuation, and the Valuation of Option Grants Using a Warrant-Pricing Model Journal of Accounting Research, Vol. 43, No. 1, pp. 97-131, March 2005
M.H. Franco Wong and
Feng Li
Date Posted: March 31, 2005
Futures and Forward Prices - Theory and Hungarian Experience Acta Oeconomica, Vol. 54. No. 2, pp. 159-174, 2004
Márton Radnai
Date Posted: March 30, 2005148 downloads
GSE Funding Advantages and Mortgagor Benefits: Answers from Asset Pricing
Date Posted: March 30, 2005114 downloads
Convertible Bond Underpricing: Renegotiable Covenants, Seasoning and Convergence
Alex Chan and
Nai-fu Chen
Date Posted: March 28, 2005376 downloads
Gauging the Investor Fear Gauge: Implementation Problems of the Cboe's New Volatility Index
George J. Jiang and
Yisong S. Tian
Date Posted: March 26, 2005Last Revised: February 21, 201312 downloads
Option Strategies: Good Deals and Margin Calls EFA 2006 Zurich Meetings
Alessio Saretto
and
Pedro Santa-Clara
Date Posted: March 25, 2005952 downloads
Partially Exact and Bounded Approximations for Arithmetic Asian Options
Roger Lord
Date Posted: March 25, 2005884 downloads
Stochastic Volatility and Jumps in Interest Rates: An International Analysis
Ren-Raw Chen and
Louis Scott
Date Posted: March 25, 2005277 downloads
Macroeconomic Conditions, Firm Characteristics, and Credit Spreads
Dragon Yongjun Tang
and
Hong Yan
Date Posted: March 23, 2005446 downloads
Decomposing Swap Spreads EFA 2006 Zurich Meetings
Peter Feldhütter
and
David Lando
Date Posted: March 22, 20051114 downloads
The Convenience Yield and Risk Premia of Storage
Cantekin Dincerler
,
Zeigham Khoker and
Timothy T. Simin
Date Posted: March 22, 2005
A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure FEDS Discussion Paper No. 2005-59, Management Science, Forthcoming
Liuren Wu and
Frank Xiaoling Zhang
Date Posted: March 21, 2005Last Revised: June 15, 2008703 downloads
The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model
John C. Hull ,
Mirela Predescu
and
Alan White
Date Posted: March 21, 2005961 downloads
Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies
Jaime Casassus ,
Pierre Collin-Dufresne and
Bryan Routledge
Date Posted: March 20, 2005Last Revised: July 01, 2011403 downloads
The Impact of Net Buying Pressure on Implied Volatility: The Learning Hypothesis versus the Limits of Arbitrage Hypothesis
Hyoung-jin Park
and
Jangkoo Kang
Date Posted: March 20, 2005258 downloads
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