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JEL Code: G13
1,851,561 Total downloads
Showing Papers 3,151 - 3,200 of 4,932
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Fast Greeks for Markov-Functional Models Using Adjoint Pde Methods
Nick Denson
and
Mark S. Joshi
Date Posted: June 01, 2010487 downloads
Fast Gamma Computations for CDO Tranches
Mark S. Joshi and
Chao Yang
Date Posted: October 09, 2010432 downloads
Fast Fourier Transform for Discrete Asian Options EFMA 2001 Lugano Meetings
Eric Benhamou
Date Posted: May 10, 20011134 downloads
Fast Drift Approximated Pricing in the Bgm Model Journal of Computational Finance, Vol. 8, No. 1, 2004
Raoul Pietersz
,
Antoon Pelsser and
Marcel Van Regenmortel
Date Posted: March 26, 2004Last Revised: May 09, 2011759 downloads
Fast Delta Computations in the Swap-Rate Market Model
Mark S. Joshi and
Chao Yang
Date Posted: May 08, 2009Last Revised: November 12, 2010783 downloads
Fast Computation of Vanilla Prices in Time-Changed Models and Implied Volatilities Using Rational Approximations
Martijn Pistorius and
Johannes Stolte
Date Posted: October 25, 2011Last Revised: November 04, 201179 downloads
Fast and Robust Monte Carlo CDO Sensitivities and their Efficient Object Oriented Implementation
Marius G. Rott
and
Christian P. Fries
Date Posted: June 01, 2005393 downloads
Fast and Realistic European ARCH Option Pricing and Hedging
Gilles O. Zumbach and
Luis Fernandez
affiliation not provided to SSRN
and
J.P. Morgan
Date Posted: September 20, 201146 downloads
Fast and Accurate Pricing and Hedging of Long-Dated CMS Spread Options
Mark S. Joshi and
Chao Yang
Date Posted: December 11, 2009987 downloads
Fast and Accurate Long Stepping Simulation of the Heston Stochastic Volatility Model
Jiun Hong Chan and
Mark S. Joshi
Date Posted: May 29, 2010Last Revised: September 16, 2010931 downloads
Fast and Accurate Greeks for the Libor Market Model
Nick Denson
and
Mark S. Joshi
Date Posted: August 13, 2009659 downloads
Fast Accurate Valuation of American Options
Dmitri Faguet and
Peter Carr
Date Posted: December 20, 1998
Fast Accurate Binomial Pricing Finance and Stochastics, Vol. 2 No. 1, 1998
L. C. G. Rogers and
E. J. Stapleton
Date Posted: September 25, 1997
Fair Valuation of Participating Life Insurance Contracts with Jump Risk Geneva Risk and Insurance Review, Vol 33, No. 2, p.106-136, 2008
Olivier Le Courtois and
Francois Quittard-Pinon
Date Posted: April 05, 2007Last Revised: December 26, 2010299 downloads
Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies Insurance: Mathematics and Economics, Vol. 26, No. 1, 2000
Anders Grosen and
Peter Løchte Jørgensen
Date Posted: January 03, 2013
Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies
Anders Grosen and
Peter Løchte Jørgensen
Date Posted: April 07, 1999772 downloads
Fair Valuation of Italian Participating Life Insurance Policies
Alberto Floreani
Date Posted: April 21, 2008165 downloads
Fair Demographic Risk Sharing in Defined Contribution Pension Systems
Daniel Gabay and
Martino Grasselli
Date Posted: August 29, 2010Last Revised: March 24, 201145 downloads
Failure to Exercise Call Options: An Anomaly and a Trading Game
Veronika Krepely Pool
,
Hans R. Stoll and
Robert E. Whaley
Date Posted: March 20, 2007662 downloads
Factors Explaining Movements in the Implied Volatility Surface Journal of Futures Markets, Vol. 22, No. 10, pp. 915-937, 2002
Scott Mixon
Date Posted: March 29, 2011119 downloads
Factors Determining Where Informed Traders Trade
Arnat Leemakdej
Date Posted: December 14, 2005131 downloads
Factor Models and the Shape of the Term Structure
Erik Schlogl and
Daniel Sommer
Date Posted: February 01, 19971513 downloads
Factor Dependence of Bermudan Swaption Prices: Fact or Fiction?
Leif B. G. Andersen and
Jesper Andreasen
Date Posted: May 09, 20001965 downloads
Face Value Convergence for Stochastic Bond Price Processes: A Note on Merton's Partial Equilibrium Option Pricing Model
Sanjay K. Nawalkha
Date Posted: April 25, 200994 downloads
Extreme News Events, Long-Memory Volatility, and Time Varying Risk Premia in Stock Market Returns
Wing H. Chan and
LiLing Feng
Date Posted: July 29, 2008Last Revised: August 18, 2008166 downloads
Extracting Risk-Neutral Density and its Moments from American Option Prices Journal of Derivatives, Vol. 18, No. 3, 2011
Yisong S. Tian
Date Posted: August 05, 2011211 downloads
Extracting Model-Free Volatility from Option Prices: An Examination of the Vix Index Journal of Derivatives, Vol. 14, No. 3, 2007
George J. Jiang and
Yisong S. Tian
Date Posted: February 08, 2006Last Revised: April 13, 20081781 downloads
Extracting Market Expectations from Option Prices: An Application to Over-the-counter New Zealand Dollar Options Reserve Bank of New Zealand Discussion Paper No. DP2002/04
Aron Gereben
Date Posted: October 26, 2002139 downloads
Extracting Information on Implied Volatilities and Discrete Dividends from American Option Prices University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 25
Martina Nardon and
Paolo Pianca
Date Posted: November 06, 201228 downloads
Extracting Information from the Market to Price the Weather Derivatives
Helene Hamisultane
Date Posted: June 12, 2006Last Revised: October 20, 2007305 downloads
Extracting Expectations about 1992 UK Monetary Policy from Option Prices CEPR Discussion Paper Series Number 1823
Paul Söderlind
Date Posted: July 15, 1998
Extracting Correlations from the Market: New Correlation Parameterizations and the Calibration of a Stochastic Volatility LMM to CMS Spread Options
Matthias Lutz
Date Posted: June 05, 2010Last Revised: June 16, 2010497 downloads
External Extendible Options with Modifiable Underlying Assets Bankers, Markets and Investors, Forthcoming
Jian Wu
Date Posted: January 07, 2011Last Revised: August 02, 2012
Extension of Stochastic Volatility Equity Models with Hull-White Interest Rate Process
Lech A. Grzelak ,
Cornelis W. Oosterlee and
Sacha van Weeren
affiliation not provided to SSRN
Date Posted: February 17, 2009Last Revised: September 29, 2009618 downloads
Extending Options by Changing Their Underlying Assets 21st Australasian Finance and Banking Conference 2008 Paper
Jian Wu
Date Posted: June 05, 200891 downloads
Extended-Gaussian Term Structure Models and Credit Risk Applications
Marco Realdon
affiliation not provided to SSRN
Date Posted: May 07, 2007
Extended Value at Risk (EVaR) Measure for Market Risk
Mo Chaudhury
Date Posted: April 16, 2011Last Revised: September 18, 2011160 downloads
Extended Nonparametric American Option Pricing
Jamie Alcock and
Diana Auerswald
Date Posted: February 29, 2008155 downloads
Extended Libor Market Models with Stochastic Volatility
Leif B. G. Andersen and
Rupert Brotherton-Ratcliffe
Date Posted: December 31, 20013378 downloads
Extended LIBOR Market Models with Affine and Quadratic Volatility
Christian Zühlsdorff
Date Posted: August 12, 2000371 downloads
Extended Affine Term Structure Models
Marco Realdon
affiliation not provided to SSRN
Date Posted: May 06, 2008
Exponential Levy Models Extended by a Jump to Default Applied Mathematical Finance, Forthcoming
Akira Yamazaki
Date Posted: December 05, 2010Last Revised: March 14, 2012147 downloads
Exponential Hedging with Optimal Stopping and Application to ESO Valuation SIAM Journal on Control and Optimization, Vol. 48, p. 1422, 2009
Tim Leung and
Ronnie Sircar
Date Posted: March 26, 2008Last Revised: March 12, 2010154 downloads
Exploring the Relationship Between Credit Spreads and Default Probabilities Bank of England Working Paper No. 225
Mark J. Manning
Date Posted: December 29, 2004424 downloads
Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk? FAME Research Paper No. 65
Daniel Aunon-Nerin
,
Didier Cossin ,
Tomas Hricko and
Zhijiang Huang
affiliation not provided to SSRN
Date Posted: April 05, 20031646 downloads
Exploding Hedging Errors for Digital Options Finance and Stochastics, Vol. 3, Issue 2, 1999
Christoph Gallus
Date Posted: February 16, 1999
Explicit versus Implicit Contracts: The Case of DIFF and CROSS Futures Financial Review, February, 1999
Ahmet Karagozoglu
Date Posted: December 22, 1998
Explicit Solutions to Optimal Risk-Averse Trading of Defaultable Bonds Under Heterogeneous Beliefs
Tim Leung
Date Posted: October 23, 2010Last Revised: September 05, 2011137 downloads
Explicit Representation of Cost-Efficient Strategies
Carole Bernard
,
Phelim P. Boyle and
Steven Vanduffel
Date Posted: July 30, 2010Last Revised: April 18, 2013307 downloads
Explicit European Swaption Formula in a Separable One-Factor Libor Market Model; Extension to Bond Futures and 2-Bermudan Swaptions
Marc P. A. Henrard
Date Posted: February 04, 2008197 downloads
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