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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 484,422
Full Text Papers: 393,787
Authors: 226,737
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  Last 12 months: 		68,988

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To date: 65,953,402
Last 12 months: 11,186,475
Last 30 days: 1,057,634

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  References: 		238,981
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  Footnotes: 		77,812
Total Footnotes: 8,534,471


SSRN eLibrary Search Results
JEL Code: G13
1,852,574 Total downloads
Showing Papers 3,201 - 3,250 of 4,932
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Incl. Electronic Paper An Economic Motivation for Variance Contracts
AFA 2006 Boston Meetings Paper
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Department of Finance
Date Posted: March 18, 2005
Working Paper Series
372 downloads

Incl. Electronic Paper Do Birds of a Feather Flock Together? Speculator Herding in Derivatives Markets
 Robert J. Weiner
George Washington University - Department of International Business
Date Posted: March 18, 2005
Working Paper Series
297 downloads

Incl. Electronic Paper How do Managers Value Stock Options and Restricted Stock?
 Frank D. Hodge , Shivaram Rajgopal and Terry J. Shevlin
University of Washington - Michael G. Foster School of Business , Emory University - Goizueta Business School and University of California-Irvine
Date Posted: March 18, 2005
Working Paper Series
759 downloads

Incl. Electronic Paper Short-Selling Restriction, Price Squeeze, and Bond Futures Price Manipulation: A Theoretical and Empirical Analysis
 Chao Chen and Zhong-Guo Zhou
Fudan University and California State University, Northridge
Date Posted: March 18, 2005
Working Paper Series
420 downloads

Incl. Electronic Paper Asset Pricing with Incomplete Information under Stable Shocks
 Prasad V. Bidarkota , Brice V. Dupoyet and J. Huston Mcculloch
Florida International University (FIU) - Department of Economics , Florida International University - College of Business Administration - Finance and Ohio State University
Date Posted: March 17, 2005
Working Paper Series
55 downloads

Incl. Electronic Paper Dynamic Hedging of Vanilla and Exotic Options with Transaction Costs
 Peter J Meindl and James Primbs
Stanford University and Stanford University - Management Science & Engineering
Date Posted: March 17, 2005
Working Paper Series
962 downloads

Incl. Electronic Paper A Dynamic Model of Active Portfolio Management and Mutual Fund Performance Evaluation
 Yonggan Zhao
Nanyang Technological University
Date Posted: March 16, 2005
Working Paper Series
1705 downloads

Incl. Electronic Paper Estimating the Intertemporal Capital Asset Pricing Model with Cross-Sectional Consistency
 Turan G. Bali and Liuren Wu
Georgetown University - Robert Emmett McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Date Posted: March 16, 2005
Working Paper Series
654 downloads

Incl. Electronic Paper Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition
 Paul J. Irvine and Jeffrey Pontiff
University of Georgia - Department of Banking and Finance and Boston College - Department of Finance
Date Posted: March 16, 2005
Working Paper Series
723 downloads

Incl. Electronic Paper Expected Default Probabilities in Structural Models: Empirical Evidence

 Kanak Patel and Ricardo Pereira
University of Cambridge - Department of Land Economy and University of Cambridge - Magdalene College
Date Posted: March 15, 2005
Working Paper Series
224 downloads

Incl. Electronic Paper The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach
 Laurent Deville and Fabrice Riva
Université de Nice Sophia Antipolis - Groupe de Recherche en Droit, Economie et Gestion (GREDEG) and French National Center for Scientific Research (CNRS) - Lille - Economics & Management (LEM) - Centre National de la Recherche Scientifique (UMR CNRS 8179)
Date Posted: March 15, 2005
Working Paper Series
184 downloads

Incl. Electronic Paper Variance Dynamics: Joint Evidence from Options and High-Frequency Returns
 Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business
Date Posted: March 15, 2005
Working Paper Series
694 downloads

Incl. Electronic Paper Scope for Credit Risk Diversification
IEPR Working Paper No. 05.18
 M. Hashem Pesaran , Samuel Gregory Hanson and Til Schuermann
University of Southern California , Harvard Business School and Oliver Wyman
Date Posted: March 14, 2005
Working Paper Series
280 downloads

Incl. Electronic Paper Forecasting the Interest-rate Term Structure: Using the Model of Fong & Vasicek, the Extended Kalman Filter and the Bollinger Bands
 Pierre Rostan , Raymond Théoret and Abdeljalil El Moussadek
Audencia - Nantes Ecole de Management , University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Date Posted: March 12, 2005
Working Paper Series
597 downloads

Incl. Electronic Paper Pricing Options on Realized Variance
EFA 2005 Moscow Meetings Paper
 Peter Carr , Hélyette Geman , Dilip B. Madan and Marc Yor
New York University (NYU) - Courant Institute of Mathematical Sciences , University of London, Birkbeck College - School of Economics, Mathematics and Statistics , University of Maryland - Robert H. Smith School of Business and Universite Paris
Date Posted: March 11, 2005
Last Revised: January 30, 2010
Working Paper Series
725 downloads

Incl. Electronic Paper The Smirk in the S&P500 Futures Options Prices: A Linearized Factor Analysis
 Andrew P. Carverhill , Terry H. F. Cheuk and Sigurd Dyrting
University of Hong Kong - School of Business , University of Hong Kong - School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Date Posted: March 11, 2005
Working Paper Series
229 downloads

Incl. Electronic Paper Estimating the Dynamics of Mutual Fund Alphas and Betas
Yale ICF Working Paper No. 03-03; EFA 2003 Annual Conference Paper No. 803; AFA 2004 San Diego Meetings
 Matthew I. Spiegel , Harry Mamaysky and Hong Zhang
Yale University - Yale School of Management, International Center for Finance , Yale School of Management and INSEAD - Finance
Date Posted: March 10, 2005
Working Paper Series
4767 downloads

Incl. Electronic Paper Pricing Convertible Bonds with Monte Carlo Simulation
 Christian Wilde and Axel H. Kind
Goethe University Frankfurt - Department of Finance and University of Basel
Date Posted: March 09, 2005
Working Paper Series
1048 downloads

Incl. Electronic Paper Asymmetric Risk Loadings in the Cross Section of Stock Returns
 Li Gu
Columbia University
Date Posted: March 07, 2005
Working Paper Series
172 downloads

Incl. Electronic Paper Callable Risky Perpetual Debt with Protection Period
NHH Dept. of Finance & Management Science Discussion Paper No. 22/2005
 Aksel Mjøs and Svein-Arne Persson
Norwegian School of Economics (NHH) and Norwegian School of Economics (NHH)
Date Posted: March 06, 2005
Last Revised: September 28, 2008
Working Paper Series
132 downloads

Incl. Electronic Paper Energy Options in an HJM framework
 Bjarne Astrup Jensen and Thomas Lyse Hansen
Copenhagen Business School - Department of Finance and Copenhagen Business School - Department of Finance
Date Posted: March 06, 2005
Working Paper Series
155 downloads

Incl. Electronic Paper Pricing Equity Swaps in an Economy with Jumps
 Mia Hinnerich
Stockholm School of Economics - Department of Finance
Date Posted: March 06, 2005
Working Paper Series
116 downloads

Incl. Electronic Paper Risk Neutral Probabilities and Option Bounds: A Geometric Approach
Lancaster University Management School Working Paper No. 2004/052, EFA 2005 Moscow Meetings Paper
 James Huang
Lancaster University - Department of Accounting and Finance
Date Posted: March 06, 2005
Working Paper Series
202 downloads

Incl. Electronic Paper Warrant Exercise and Bond Conversion in Large Trader Economies
 Tobias Linder and Siegfried Trautmann
University of Mainz and University of Mainz - Faculty of Law and Economics
Date Posted: March 06, 2005
Working Paper Series
64 downloads

Incl. Electronic Paper Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model
BIS Working Paper No. 191, EFA 2006 Zurich Meetings
 Martijn Cremers , Joost Driessen and Pascal J. Maenhout
University of Notre Dame , Tilburg University - Department of Finance and INSEAD - Finance
Date Posted: March 04, 2005
Working Paper Series
595 downloads

Incl. Electronic Paper Model Uncertainty and Option Markets in Heterogeneous Economies
 Andrea Buraschi and Alexei Jiltsov
The University of Chicago and London Business School
Date Posted: March 02, 2005
Working Paper Series
190 downloads

Incl. Electronic Paper Ambiguity Aversion, Bond Pricing and the Non-Robustness of Some Affine Term Structures
EFA 2005 Moscow Meetings Paper
 Patrick Gagliardini , Paolo Porchia and Fabio Trojani
University of Lugano and Swiss Finance Institute , IE Business School and Swiss Finance Institute
Date Posted: March 01, 2005
Working Paper Series
176 downloads

Incl. Electronic Paper Indexed Underlying Price Options
 Márton Radnai
Ramasoft Ltd.
Date Posted: February 27, 2005
Working Paper Series
60 downloads

Incl. Electronic Paper Theory and Calibration of Swap Market Models
FAME Working Paper No. 107
 Stefano Galluccio , O. Scaillet , Zhijiang Huang and Jean-Michel Ly
BNP Paribas Fixed Income , University of Geneva - HEC , affiliation not provided to SSRN and BNP Paribas Fixed Income
Date Posted: February 27, 2005
Working Paper Series
1069 downloads

Incl. Electronic Paper Towards a General Theory of Good Deal Bounds
EFA 2005 Moscow Meetings Paper
 Tomas Bjork and Irina Slinko
Stockholm School of Economics - Department of Finance and Swedbank, Group Risk Control
Date Posted: February 27, 2005
Working Paper Series
213 downloads

Incl. Electronic Paper Gold-Mining
EFA 2005 Moscow Meetings Paper
 Bruce D. Grundy and Johannes Raaballe
University of Melbourne and University of Aarhus - Department of Management
Date Posted: February 26, 2005
Working Paper Series
349 downloads

Incl. Electronic Paper Testing the Martingale Restriction for Option Implied Densities
 Thomas Busch
Danske Markets
Date Posted: February 26, 2005
Working Paper Series
47 downloads

Incl. Electronic Paper Informational Asymmetry Between Managers and Investors in the Optimal Capital Structure Decision
EFA 2005 Moscow Meetings Paper
 Matthias Bank and Jochen Lawrenz
University of Innsbruck and University of Innsbruck
Date Posted: February 25, 2005
Working Paper Series
492 downloads

Incl. Electronic Paper Path Dependant Option Pricing under Levy Processes
EFA 2005 Moscow Meetings Paper
 Conall O'Sullivan
University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Date Posted: February 25, 2005
Working Paper Series
856 downloads

Incl. Electronic Paper Skewness Aversion, Output Uncertainty and Hedging in a Futures Market

 Uri Ben-Zion and Leon Zolotoy
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and CentER, Tilburg University
Date Posted: February 25, 2005
Working Paper Series
75 downloads

Incl. Electronic Paper The Price of Correlation Risk: Evidence from Equity Options
EFA 2005 Moscow Meetings
 Joost Driessen , Pascal J. Maenhout and Grigory Vilkov
Tilburg University - Department of Finance , INSEAD - Finance and Goethe University Frankfurt - Department of Finance
Date Posted: February 25, 2005
Last Revised: July 14, 2008
Working Paper Series
2086 downloads

Incl. Electronic Paper Mispricing of S&P 500 Index Options
EFA 2005 Moscow Meetings
 George M. Constantinides , Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business , University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Date Posted: February 24, 2005
Working Paper Series
477 downloads

Incl. Electronic Paper A Comparison of Mixed GARCH-Jump Models with Skewed t-Distribution for Asset Returns
 Jung-Suk Yu and Elton Daal
School of Urban Planning & Real Estate Studies, Dankook University and University of New Orleans - College of Business Administration - Department of Economics and Finance
Date Posted: February 22, 2005
Working Paper Series
784 downloads

Incl. Electronic Paper An Empirical Study on Credit Rating Change Behavior
 Yu Du and Wulin Suo
RBC Capital Markets and Queen's School of Business
Date Posted: February 22, 2005
Working Paper Series
579 downloads

Incl. Electronic Paper The Influence of Tracking Error on Volatility Premium Estimation
Journal of Risk, Vol. 9, No. 3, 2007
 James S. Doran
Florida State University - Department of Finance
Date Posted: February 22, 2005
Accepted Paper Series
86 downloads

Incl. Electronic Paper The Influence of Tracking Error on Volatility Premium Estimation
 James S. Doran
Florida State University - Department of Finance
Date Posted: February 22, 2005
Working Paper Series
313 downloads

Incl. Electronic Paper Pricing Jump Risk with Utility Indifference

 Lixin Wu and Min Dai
Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Date Posted: February 21, 2005
Working Paper Series
189 downloads

Incl. Electronic Paper Calendar Based Risk, Firm Size, and the Random Walk Hypothesis
 C. Kenneth Jones
PortfolioNetworks.com
Date Posted: February 16, 2005
Last Revised: March 12, 2009
Working Paper Series
173 downloads

Incl. Electronic Paper A Note on Melnikov-Petrachenko Option Pricing in Binomial Market with Transaction Costs
 Alet Roux and Tomasz Zastawniak
University of York (UK) - Department of Mathematics and University of York (UK)
Date Posted: February 11, 2005
Working Paper Series
118 downloads

Managerial Risk-Taking Incentives and Executive Stock Option Repricing: A Study of U.S. Casino Executives
Financial Management, Vol. 34, Spring 2005
 Daniel A. Rogers
Portland State University - School of Business Administration
Date Posted: February 09, 2005
Accepted Paper Series

Incl. Electronic Paper Information, Diversification, and Cost of Capital
AFA 2006 Boston Meetings Paper
 John S. Hughes , Jing Liu and Jun Liu
University of California at Los Angeles , The Cheung Kong Graduate School of Business and University of California, San Diego (UCSD) - Rady School of Management
Date Posted: February 07, 2005
Working Paper Series
986 downloads

Incl. Electronic Paper Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models
 Allan Mortensen
Independent
Date Posted: February 07, 2005
Working Paper Series
795 downloads

Incl. Electronic Paper Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11
 Mark Broadie , Mikhail Chernov and Suresh M. Sundaresan
Columbia University - Columbia Business School - Decision Risk and Operations , London School of Economics and Columbia Business School - Finance and Economics
Date Posted: February 05, 2005
Working Paper Series
241 downloads

Incl. Electronic Paper The Tactical and Strategic Value of Commodity Futures
 Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Date Posted: February 03, 2005
Working Paper Series
7214 downloads

Employee Stock Options as Warrants
Journal of Banking and Finance, Forthcoming
 Allan Eberhart
Georgetown University
Date Posted: February 03, 2005
Accepted Paper Series


 

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