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SSRN eLibrary Statistics:

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Abstracts: 577,461
Full Text Papers: 478,577
Authors: 267,322
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  Last 12 months:
63,522

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To date: 80,752,542
Last 12 months: 10,255,536
Last 30 days: 987,899

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Total References: 9,075,334
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  Footnotes:
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Total Footnotes: 9,191,436


SSRN eLibrary Search Results
JEL Code: C63
352,716 Total downloads
Showing Papers 351 - 400 of 1,783
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1 2 3 4 ... 36 | Next >
   


Incl. Electronic Paper An Arbitrage-Free Hagan Implied Density via the Stochastic Collocation Method
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Date Posted: November 24, 2014
Working Paper Series
33 downloads

Incl. Electronic Paper The Stochastic Collocation Monte Carlo Sampler: Highly Efficient Sampling from 'Expensive' Distributions
Lech A. Grzelak , Jeroen Witteveen , Maria Suarez-Taboada and Cornelis W. Oosterlee
Delft University of Technology , Center for Mathematics and Computer Science (CWI) , University of Coruña and Center for Mathematics and Computer Science (CWI)
Date Posted: November 24, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Addressing the Bias in Monte Carlo Pricing of Multi-Asset Options with Multiple Barriers Through Discrete Sampling
The Journal of Computational Finance 6(3), pp.1-20, 2003.
Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Date Posted: November 23, 2014
Accepted Paper Series
4 downloads

Incl. Fee Electronic Paper Competitive Balance Measures in Sports Leagues: The Effects of Variation in Season Length
Economic Inquiry, Vol. 53, Issue 1, pp. 731-744, 2015
Dorian Owen and Nicholas King
University of Otago and University of Otago - School of Business - Department of Economics
Date Posted: November 21, 2014
Accepted Paper Series

Incl. Electronic Paper An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration Using Matlab
CNMV Working Paper n. 58
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Date Posted: November 20, 2014
Accepted Paper Series
19 downloads

Incl. Electronic Paper Short-Term Price Overreaction: Identification, Testing, Exploitation
DIW Berlin Discussion Paper No. 1423
Guglielmo Maria Caporale , Luis A. Gil-Alana and Alex Plastun
Brunel University - Centre for Empirical Finance , University of Navarra - Department of Economics and National Bank of Ukraine - Ukrainian Academy of Banking
Date Posted: November 19, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Do Audits Matter?: A Theory of the Relation between Tax Audits and Underreporting
J. T. Manhire
Treasury Executive Institute - U.S. Department of the Treasury
Date Posted: November 19, 2014
Last Revised: November 22, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Adverse Selection, Risk Sharing and Business Cycles
FRB of Chicago Working Paper No. 2014-10
Marcelo Veracierto
Federal Reserve Bank of Chicago - Research Department
Date Posted: November 18, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Tail Risk Protection in Asset Management
Cristian Homescu
Independent
Date Posted: November 16, 2014
Working Paper Series
252 downloads

Incl. Electronic Paper Micro and Macro Policies in the Keynes Schumpeter Evolutionary Models
Giovanni Dosi , Mauro Napoletano , Andrea Roventini and Tania Treibich
Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM) , Observatoire Français des Conjonctures Economiques (OFCE) , Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM) and Maastricht University - Department of Economics
Date Posted: November 15, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper The 4/2 Stochastic Volatility Model
Martino Grasselli
University of Padova - Department of Mathematics
Date Posted: November 14, 2014
Working Paper Series
37 downloads

Incl. Electronic Paper Forecasting Realised Volatility of Micex Index
Alexandr Cecetov
City University London
Date Posted: November 12, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Volatility vs. Downside Risk: Optimally Protecting Against Drawdowns and Maintaining Portfolio Performance
University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 18/WP/2014
Diana Barro , Elio Canestrelli and Fabio Lanza
Ca Foscari University of Venice - Department of Economics , Ca Foscari University of Venice - Department of Economics and Ca Foscari University of Venice - Department of Economics
Date Posted: November 12, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Affine Approximation for Moment Generating Function of Log-Normal Stochastic Volatility Model
Artur Sepp
Merrill Lynch & Co.
Date Posted: November 11, 2014
Last Revised: November 18, 2014
Working Paper Series
28 downloads

Incl. Electronic Paper An Efficient Transform Method for Asian Option Pricing
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: November 08, 2014
Working Paper Series
51 downloads

Incl. Electronic Paper Numerical Fourier Method and Second-Order Taylor Scheme for Backward SDEs in Finance
Marjon Ruijter and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI) and Center for Mathematics and Computer Science (CWI)
Date Posted: November 07, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Multi-Agent Systems as a Tool for Analyzing Path-Dependent Macrodynamics
Mark Setterfield and Shyam Gouri Suresh
New School for Social Research and Davidson College
Date Posted: November 07, 2014
Last Revised: November 19, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Selective Bi-Coordinate Variations for Resource Allocation Type Problems
Igor Konnov
Kazan Federal University
Date Posted: November 07, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Small Addition to the 'Garbage Can Model: Reconstruction and Logical Analysis'
Ivan Smarzhevskiy
Peoples’ Friendship University of Russia
Date Posted: November 06, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper The Shape of the Aggregate Production Function Over the Business Cycle and its Implications for the Labor Market
Dongya Koh and Raul Santaeulalia-Llopis
University of Arkansas - Department of Economics and Washington University in Saint Louis - Department of Economics
Date Posted: November 05, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Simulated Likelihood Estimators for Discretely Observed Jump-Diffusions
Kay Giesecke and Gustavo Schwenkler
Stanford University - Management Science & Engineering and Boston University - Department of Finance & Economics
Date Posted: November 03, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Liability Concentration and Losses in Financial Networks: Comparisons via Majorization
Agostino Capponi , Peng-Chu Chen and David D. Yao
Columbia University , Purdue University and Columbia University
Date Posted: November 02, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper Pricing and Hedging GMWB Riders in a Binomial Framework
Cody Blaine Hyndman and Menachem Wenger
Concordia University, Quebec - Department of Mathematics and Statistics and Concordia University, Quebec - Department of Mathematics & Statistics
Date Posted: October 31, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods
SAFE Working Paper No. 72
Alexander Ludwig and Matthias Schoen
Goethe University Frankfurt - Research Center SAFE and University of Cologne
Date Posted: October 29, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper GPU Computing in Economics
Eric M. Aldrich
University of California, Santa Cruz
Date Posted: October 28, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Il Cloud Computing. Alla Ricerca Del Diritto Perduto Nel Web 3.0 (Cloud Computing. In Search of Lost Law in the Web 3.0)
Europa e diritto privato, 2014, II, 577-659
Guido Noto La Diega
Queen Mary University of London (Centre for Commercial Law Studies - Microsoft Cloud Computing Centre)
Date Posted: October 25, 2014
Accepted Paper Series
12 downloads

Incl. Electronic Paper An Improved Method for Pricing and Hedging American Options
Tommaso Paletta , Silvia Stanescu and Radu Tunaru
University of Kent, Canterbury - Kent Business School , University of Kent, Canterbury - Kent Business School and University of Kent, Canterbury - Kent Business SchoolCeQuFin, University of Kent
Date Posted: October 25, 2014
Last Revised: November 16, 2014
Working Paper Series
54 downloads

Incl. Electronic Paper A Regression-Based Numerical Method for Forward-Backward Stochastic Differential Equations
Deng Ding and Yiqi Liu
University of Macau and University of Macau
Date Posted: October 24, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Portfolio Execution with a Dark Pool Under Stochastic Volatility and Liquidity
Patrick Cheridito and Tardu Sepin
Princeton University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Date Posted: October 22, 2014
Working Paper Series
60 downloads

Incl. Electronic Paper Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods
Max Planck Institute for Social Law and Social Policy Discussion Paper No. 274-13
Alexander Ludwig and Matthias Schoen
Goethe University Frankfurt - Research Center SAFE and University of Cologne
Date Posted: October 21, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data
Entropy, Vol. 16 Nr. 5, May 2014, pp. 2642-2668
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Date Posted: October 21, 2014
Accepted Paper Series
7 downloads

Incl. Electronic Paper A Family of Maximum Entropy Densities Matching Call Option Prices
Applied Mathematical Finance, Vol. 20, No. 6, 2013
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Date Posted: October 21, 2014
Accepted Paper Series
6 downloads

Incl. Electronic Paper Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
Finance Stochastics, Vol. 16, No. 2, 2012
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Date Posted: October 21, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper Determinants of Spatio-Temporal Patterns of Energy Technology Adoption: An Agent-Based Modeling Approach
Scott A. Robinson and Varun Rai
University of Texas at Austin - Lyndon B. Johnson School of Public Affairs and University of Texas at Austin - LBJ School of Public Affairs
Date Posted: October 20, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Agent-Based Modeling of Energy Technology Adoption: Empirical Integration of Social, Behavioral, Economic, and Environmental Factors
Varun Rai and Scott A. Robinson
University of Texas at Austin - LBJ School of Public Affairs and University of Texas at Austin - Lyndon B. Johnson School of Public Affairs
Date Posted: October 20, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Probability Density of the CIR Model
Andras Vanyolos , Maxx Cho and Scott Alan Glasgow
Independent , University of Maryland and Brigham Young University
Date Posted: October 13, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Q-Learning-Based Financial Trading Systems with Applications
University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 15/WP/2014
Marco Corazza and Francesco Bertoluzzo
Ca Foscari University of Venice - Department of Economics and Ca Foscari University of Venice
Date Posted: October 11, 2014
Working Paper Series
57 downloads

Incl. Electronic Paper Regional Water Balance Based on Remotely Sensed Evapotranspiration and Irrigation: An Assessment of the Haihe Plain, China
Remote Sensing, 6(3):2514-2533, 2014, DOI: 10.3390/rs6032514
Yanmin Yang , Yonghui Yang , De Li Liu , Thomas L. Nordblom , Bingfang Wu and Nana Yan
Key Laboratory of Agricultural Water Resources , Key Laboratory of Agricultural Water Resources , NSW DPI, Wagga Wagga , NSW Trade & Investment , Institute of Remote Sensing and Digital Earth and Key Lab. of Digital Earth Sciences
Date Posted: October 10, 2014
Accepted Paper Series
3 downloads

Incl. Electronic Paper A Portable and Fast Stochastic Volatility Model Calibration Using Multi and Many-Core Processors
Matthew Francis Dixon , Jorg Lotze and Mohammed Zubair
University of San Francisco - School of Management , Xcelerit and Old Dominion University
Date Posted: October 06, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper XML Based Layout Managers
Radošević, D., Bračun, D., Mrvac, N.:"XML Based Layout Managers", 15. međunarodna konferencija tiskarstva, dizajna i grafičkih komunikacija Blaz Baromić, Senj, 21-24. 9. 2011.,
Danijel Radošević , Denis Bračun and Nikola Mrvac
University of Zagreb - Faculty of Organization and Informatics , University of Zagreb - Faculty of Organization and Informatics and Faculty of Graphic Arts
Date Posted: October 06, 2014
Accepted Paper Series
6 downloads

Incl. Electronic Paper Filling in the Blanks: Network Structure and Interbank Contagion
FRB of Cleveland Working Paper No. 14-16
Kartik Anand , Ben R. Craig and Goetz von Peter
Government of Canada - Bank of Canada , Federal Reserve Bank of Cleveland and Bank for International Settlements - Research and Policy Analysis
Date Posted: October 05, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper The Time-Dependent FX-SABR Model: Efficient Calibration Based on Effective Parameters
Anthonie Willem van der Stoep , Lech A. Grzelak and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI) , Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Date Posted: October 04, 2014
Last Revised: November 20, 2014
Working Paper Series
48 downloads

Incl. Electronic Paper Systemic Risk Spillovers in the European Banking and Sovereign Network
CFS Working Paper, No. 467
Frank Betz , Nikolaus Hautsch , Tuomas A. Peltonen and Melanie Schienle
European Union - European Investment Bank , University of Vienna - Department of Statistics and Operations Research , European Central Bank (ECB) and Leibniz University Hannover
Date Posted: October 04, 2014
Working Paper Series
48 downloads

Incl. Electronic Paper The Weekend Effect: A Trading Robot and Fractional Integration Analysis
DIW Berlin Discussion Paper No. 1386
Guglielmo Maria Caporale , Luis A. Gil-Alana , Alex Plastun and Inna Makarenko
Brunel University - Centre for Empirical Finance , University of Navarra - Department of Economics , National Bank of Ukraine - Ukrainian Academy of Banking and National Bank of Ukraine - Ukrainian Academy of Banking
Date Posted: October 03, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Applied Stochastic Control in High Frequency and Algorithmic Trading
Jason Ricci
University of Toronto, Department of Statistics
Date Posted: October 03, 2014
Working Paper Series
120 downloads

Incl. Electronic Paper Systemic Risk Spillovers in the European Banking and Sovereign Network
Franz Betz , Nikolaus Hautsch , Tuomas A. Peltonen and Melanie Schienle
European Union - European Investment Bank , University of Vienna - Department of Statistics and Operations Research , European Central Bank (ECB) and Leibniz University Hannover
Date Posted: October 01, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Learning by Doing Business: Study Case on the Students’ Perception Regarding TOPSIM Applications
Romanian Journal of Business Simulations, ISSN:2344 –116X 12/2013, (1), pp.95-105.,
Monica Roxana Tudurache , Daniel Homocianu and Livia Baciu
Alexandru Ioan Cuza University , Alexandru Ioan Cuza University - Faculty of Economics and Business Administration and Alexandru Ioan Cuza University
Date Posted: September 30, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Date Posted: September 27, 2014
Working Paper Series
42 downloads

Incl. Electronic Paper Reweight: A Stata Module to Reweight Survey Data to External Totals
Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 5
Daniele Pacifico
Italian Department of the Treasury
Date Posted: September 27, 2014
Accepted Paper Series
2 downloads

Incl. Electronic Paper Structural Models for Coupled Electricity Markets
Michael Martin Kustermann and Ruediger Kiesel
Universität Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Date Posted: September 26, 2014
Working Paper Series
19 downloads


 

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