Feedback to SSRN (Beta)
SSRN eLibrary Statistics:
Papers & Authors:
Abstracts:
484,961
Full Text Papers:
394,289
Authors:
227,018
Papers Received in Last 12 months:
69,054
Paper Downloads:
To date:
66,050,196
Last 12 months:
11,186,953
Last 30 days:
1,033,315
CiteReader: What's this?
Papers with
238,981
Total References:
8,480,523
Papers with Cites:
230,038
Total Citation
5,722,240
Papers with
77,812
Total Footnotes:
8,534,471
SSRN eLibrary Search Results
JEL Code: E43
342,053 Total downloads
Showing Papers 351 - 400 of 1,869
Sort By
Abstract Title, A-Z
Abstract Title, Z-A
Downloads, Ascending
Downloads, Descending
Date Posted, Ascending
Date Posted, Descending
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Marco Bianchetti
Date Posted: January 29, 2009Last Revised: August 01, 20125736 downloads
Demography and the Long-Run Predictability of the Stock Market USC CLEO Research Paper No. C02-21; Cowles Foundation Discussion Paper No. 1380
John Geanakoplos ,
Michael J. P. Magill
and
Martine Quinzii
Date Posted: September 24, 20024974 downloads
A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model
Leif B. G. Andersen
Date Posted: April 07, 19994748 downloads
Interest Rate Targeting and the Dynamics of Short-Term Rates
Pierluigi Balduzzi ,
Giuseppe Bertola ,
Silverio Foresi and
Leora F. Klapper
Date Posted: February 01, 19974254 downloads
Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals
Harvey J. Stein
Date Posted: December 27, 20074158 downloads
Volatility Skews and Extensions of the Libor Market Model
Leif B. G. Andersen and
Jesper Andreasen
Date Posted: September 04, 19983865 downloads
Extended Libor Market Models with Stochastic Volatility
Leif B. G. Andersen and
Rupert Brotherton-Ratcliffe
Date Posted: December 31, 20013380 downloads
PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital
Peter D. Easton
Date Posted: September 09, 20033148 downloads
The Determinants of Stock and Bond Return Comovements The Review of Financial Studies, Vol. 23, Issue 6, pp. 2374-2428, 2010, National Bank of Belgium Working Paper No. 119, AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Lieven Baele
,
Geert Bekaert and
Koen Inghelbrecht
Date Posted: October 05, 20102787 downloads
The Irony in the Derivatives Discounting
Marc P. A. Henrard
Date Posted: March 14, 20072553 downloads
Yield Curve Construction with Tension Splines
Leif B. G. Andersen
Date Posted: December 19, 20052502 downloads
The Irony in the Derivatives Discounting Part II: The Crisis
Marc P. A. Henrard
Date Posted: July 14, 2009Last Revised: December 19, 20092440 downloads
Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option
Marc P. A. Henrard
Date Posted: February 08, 20062418 downloads
On the Profit and Loss Distribution of Dynamic Hedging Strategies Discussion Paper Series No. 9899-03
Sergei Esipov and
Igor Vaysburd
Date Posted: February 02, 19992399 downloads
A New Approach to the Valuation of Interest Rate Derivatives: Arrow-Debreu Prices Implicit in the Term Structure of Interest Rates
Padideh Jalali and
Hossein B. Kazemi
Date Posted: October 12, 19982250 downloads
Modeling Term Structure Dynamics: An Infinite Dimensional Approach CMAPX Internal Report No. 402
Rama Cont
Date Posted: February 25, 19992140 downloads
Collectively Fluctuating Assets in the Presence of Arbitrage Opportunities and Option Pricing
Alexander N. Adamchuk and
Sergei Esipov
Date Posted: February 02, 19992069 downloads
Liquidity and Credit Default Swap Spreads AFA 2007 Chicago Meetings Paper, EFA 2008 Athens Meetings Paper
Dragon Yongjun Tang
and
Hong Yan
Date Posted: March 03, 2008Last Revised: January 22, 20091966 downloads
Factor Dependence of Bermudan Swaption Prices: Fact or Fiction?
Leif B. G. Andersen and
Jesper Andreasen
Date Posted: May 09, 20001965 downloads
Speculative Capital and Currency Carry Trades
Petri Jylha
and
Matti Suominen
Date Posted: April 18, 2008Last Revised: March 27, 20111920 downloads
A New Perspective on Gaussian Dynamic Term Structure Models Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper
Scott Joslin
,
Kenneth J. Singleton and
Haoxiang Zhu
Date Posted: March 23, 2009Last Revised: October 13, 20101827 downloads
Short Rate Models: Hull-White or Black-Karasinski? Implementation Note and Model Comparison for ALM
Aisha Khan
,
Zhenke Guan
and
Ser-Huang Poon
affiliation not provided to SSRN
and
University of Manchester - Business School
Date Posted: October 20, 20081681 downloads
Arbitrage Relaxation of Instruments with Temporal Constraints
Alexander N. Adamchuk ,
Sergei Adamchuk and
Sergei Esipov
Date Posted: June 01, 19981677 downloads
Does The Peg Ratio Rank Stocks According To The Market's Expected Rate Of Return On Equity Capital? Ohio State University Working Paper
Peter D. Easton
Date Posted: March 04, 20021674 downloads
Yield Curve Predictors of Foreign Exchange Returns AFA 2011 Denver Meetings Paper
Andrew Ang and
Joseph Chen
Date Posted: January 25, 2010Last Revised: June 15, 20111646 downloads
Log-Normal Interest Rate Models: Stability and Methodology
Klaus Sandmann and
Dieter Sondermann
Date Posted: March 06, 19971633 downloads
The Fisher Effect under Deflationary Expectations
David Glasner
Date Posted: January 27, 2011Last Revised: February 02, 20111532 downloads
Default Implied Volatility for Credit Spread
C.K. Zheng
Date Posted: May 24, 19991523 downloads
Factor Models and the Shape of the Term Structure
Erik Schlogl and
Daniel Sommer
Date Posted: February 01, 19971513 downloads
Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model
Marc P. A. Henrard
Date Posted: April 03, 20051465 downloads
Using Principal Component Analysis to Explain Term Structure Movements: Performance and Stability
Gloria M. Soto
Date Posted: May 14, 20071464 downloads
Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rate Derivatives
Massoud Heidari and
Liuren Wu
Date Posted: October 08, 20021453 downloads
Sovereign Risk Premia AFA 2010 Atlanta Meetings Paper
Nicola Borri and
Adrien Verdelhan
Date Posted: February 17, 2009Last Revised: September 14, 20111446 downloads
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
'Maximal' Convenience Yield Model Implied by Commodity Futures EFA 2002 Berlin Meetings Presented Paper; Carnegie Mellon University Working Paper
Jaime Casassus and
Pierre Collin-Dufresne
Date Posted: February 27, 20021408 downloads
Effective and Nominal Interest Rates per Period: The Calvary for Students in Finance (In Spanish)
Ignacio Velez-Pareja
Date Posted: February 27, 20041387 downloads
Leveraged Buyout Bankruptcies, the Problem of Hindsight Bias, and the Credit Default Swap Solution Columbia Business Law Review, Vol. 2011, No. 1, p. 118, 2011, Seton Hall Public Law Research Paper No. 1632084
Michael Simkovic
and
Benjamin Kaminetzky
Date Posted: July 17, 2010Last Revised: April 25, 20111314 downloads
The Term Structure of Real Rates and Expected Inflation EFA 2004 Maastricht Meetings Paper No. 1220; AFA 2004 San Diego Meetings
Geert Bekaert and
Andrew Ang
Date Posted: July 16, 20031313 downloads
Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis
Frank de Jong ,
Joost Driessen and
Antoon Pelsser
Date Posted: March 11, 20001264 downloads
Expectations, Bond Yields and Monetary Policy Review of Financial Studies, October 1, 2010
, AFA 2006 Boston Meetings Paper, EFA 2007 Ljubljana Meetings Paper
Albert Lee Chun
Date Posted: March 19, 2005Last Revised: November 29, 20101262 downloads
Macro Factors and the Term Structure of Interest Rates ERIM Report Series Reference No. ERS-2003-037-F&A; EFA 2003 Annual Conference Paper No. 101
Hans Dewachter and
Marco Lyrio
Date Posted: March 24, 20031224 downloads
Phenomenology of the Interest Curve: A Statistical Analysis of Term Structure Deformations
Jean-Philippe Bouchaud ,
Nicholas Sagna ,
Rama Cont ,
Nicole El Karoui and
Marc Potters
Date Posted: February 10, 19981205 downloads
Is Default Event Risk Priced in Corporate Bonds? EFA 2002 Berlin Meetings Presented Paper; University of Amsterdam Working Paper
Joost Driessen
Date Posted: March 20, 20021175 downloads
The Performance of Multi-factor Term Structure Models for Pricing and Hedging Caps and Swaptions
Joost Driessen ,
Pieter Klaassen and
Bertrand Melenberg
Date Posted: November 06, 20001167 downloads
Specification Analysis of Affine Term Structure Models
Qiang Dai
and
Kenneth J. Singleton
Date Posted: November 26, 19981162 downloads
An Evaluation of the Reliability of Accounting Based Measures of Expected Returns: A Measurement Error Perspective University of Notre Dame and INSEAD Working Paper
Peter D. Easton and
Steven J. Monahan
Date Posted: September 15, 20031160 downloads
Sovereign Risk Premia in the European Government Bond Market ECB Working Paper No. 369
Kerstin Bernoth
,
Jürgen von Hagen and
Ludger Schuknecht
Date Posted: December 02, 20041142 downloads
Usury Law, Payday Loans, and Statutory Sleight of Hand: Salience Distortion of American Credit Pricing Limits Minnesota Law Review, Vol. 92, No. 4, April 2008, 2nd Annual Conference on Empirical Legal Studies Paper
Christopher Lewis Peterson
Date Posted: July 12, 2007Last Revised: February 05, 20131127 downloads
Predictability of Interest Rates and Interest-Rate Portfolios
Turan G. Bali ,
Massoud Heidari and
Liuren Wu
Date Posted: August 03, 20061126 downloads
Bond Implied CDS Spread and CDS-Bond Basis
Richard Zhou
affiliation not provided to SSRN
Date Posted: September 09, 2008Last Revised: September 12, 20081124 downloads
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
5.500 seconds
