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SSRN eLibrary Statistics:

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Abstracts: 618,709
Full Text Papers: 515,139
Authors: 285,841
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63,158

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To date: 88,543,181
Last 12 months: 11,604,384
Last 30 days: 808,736

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SSRN eLibrary Search Results
JEL Code: E43
431,300 Total downloads
Showing Papers 351 - 400 of 2,314
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1 2 3 4 ... 47 | Next >
   


Incl. Electronic Paper Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Marco Bianchetti
Intesa Sanpaolo - Market Risk Management
Date Posted: January 29, 2009
Last Revised: August 01, 2012
Working Paper Series
6721 downloads

Incl. Electronic Paper A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model
Leif B. G. Andersen
Bank of America Merrill Lynch
Date Posted: April 07, 1999
Working Paper Series
5112 downloads

Incl. Electronic Paper 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
Yale University - Cowles Foundation , University of Southern California - Department of Economics and University of California, Davis - Department of Economics
Date Posted: September 24, 2002
Working Paper Series
5039 downloads

Incl. Electronic Paper Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals
Harvey J. Stein
Bloomberg L.P.
Date Posted: December 27, 2007
Working Paper Series
4919 downloads

Incl. Electronic Paper Interest Rate Targeting and the Dynamics of Short-Term Rates
Pierluigi Balduzzi , Giuseppe Bertola , Silverio Foresi and Leora F. Klapper
Boston College - Carroll School of Management , Centre for Economic Policy Research (CEPR) , Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank
Date Posted: February 01, 1997
Working Paper Series
4326 downloads

Incl. Electronic Paper Volatility Skews and Extensions of the Libor Market Model
Leif B. G. Andersen and Jesper Andreasen
Bank of America Merrill Lynch and Danske Bank - Danske Markets
Date Posted: September 04, 1998
Working Paper Series
4017 downloads

Incl. Electronic Paper PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital

Peter D. Easton
University of Notre Dame - Department of Accountancy
Date Posted: September 09, 2003
Working Paper Series
3646 downloads

Incl. Electronic Paper Extended Libor Market Models with Stochastic Volatility
Leif B. G. Andersen and Rupert Brotherton-Ratcliffe
Bank of America Merrill Lynch and Gen Re Securities
Date Posted: December 31, 2001
Working Paper Series
3599 downloads

Incl. Electronic Paper Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask
Ferdinando M. Ametrano and Marco Bianchetti
Milan Bicocca University - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Market Risk Management
Date Posted: February 18, 2013
Last Revised: April 03, 2013
Working Paper Series
3188 downloads

Incl. Electronic Paper The Irony in the Derivatives Discounting Part II: The Crisis
Marc P. A. Henrard
OpenGamma
Date Posted: July 14, 2009
Last Revised: December 19, 2009
Working Paper Series
3180 downloads

Incl. Electronic Paper Yield Curve Construction with Tension Splines
Leif B. G. Andersen
Bank of America Merrill Lynch
Date Posted: December 19, 2005
Working Paper Series
3026 downloads

Incl. Electronic Paper Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option
Marc P. A. Henrard
OpenGamma
Date Posted: February 08, 2006
Working Paper Series
3021 downloads

Incl. Electronic Paper 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
Tilburg University - Department of Finance , Columbia Business School - Finance and Economics and Ghent University - Department of Financial Economics
Date Posted: October 05, 2010
Accepted Paper Series
3011 downloads

Incl. Electronic Paper The Irony in the Derivatives Discounting
Marc P. A. Henrard
OpenGamma
Date Posted: March 14, 2007
Working Paper Series
2947 downloads

Incl. Electronic Paper Does the Fed Control Interest Rates?
The Review of Asset Pricing Studies, Forthcoming, Chicago Booth Research Paper No. 12-23, Fama-Miller Working Paper
Eugene F. Fama
University of Chicago - Finance
Date Posted: August 05, 2012
Last Revised: July 02, 2013
Accepted Paper Series
2657 downloads

Incl. Electronic Paper On the Profit and Loss Distribution of Dynamic Hedging Strategies
Discussion Paper Series No. 9899-03
Sergei Esipov and Igor Vaysburd
Quant Isle Ltd. and JP Morgan Securities Inc.
Date Posted: February 02, 1999
Working Paper Series
2510 downloads

Incl. Electronic Paper 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
University of Massachusetts Amherst - Isenberg School of Management and University of Massachusetts at Amherst - Isenberg School of Management
Date Posted: October 12, 1998
Working Paper Series
2285 downloads

Incl. Electronic Paper Liquidity and Credit Default Swap Spreads
AFA 2007 Chicago Meetings Paper, EFA 2008 Athens Meetings Paper
Dragon Yongjun Tang and Hong Yan
The University of Hong Kong - School of Economics and Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Date Posted: March 03, 2008
Last Revised: January 22, 2009
Working Paper Series
2252 downloads

Incl. Electronic Paper Modeling Term Structure Dynamics: An Infinite Dimensional Approach
CMAPX Internal Report No. 402
Rama Cont
Imperial College London
Date Posted: February 25, 1999
Working Paper Series
2178 downloads

Incl. Electronic Paper Speculative Capital and Currency Carry Trades
Petri Jylha and Matti Suominen
Imperial College Business School and Aalto University, Department of Finance
Date Posted: April 18, 2008
Last Revised: March 27, 2011
Working Paper Series
2127 downloads

Incl. Electronic Paper Collectively Fluctuating Assets in the Presence of Arbitrage Opportunities and Option Pricing
Alexander N. Adamchuk and Sergei Esipov
NAFT and Quant Isle Ltd.
Date Posted: February 02, 1999
Working Paper Series
2096 downloads

Incl. Electronic Paper Factor Dependence of Bermudan Swaption Prices: Fact or Fiction?
Leif B. G. Andersen and Jesper Andreasen
Bank of America Merrill Lynch and Danske Bank - Danske Markets
Date Posted: May 09, 2000
Working Paper Series
2090 downloads

Incl. Electronic Paper Short Rate Models: Hull-White or Black-Karasinski? Implementation Note and Model Comparison for ALM
Aisha Khan , Zhenke Guan and Ser-Huang Poon
University of Manchester - Manchester Business School , Manchester University - Business School and University of Manchester - Manchester Business School
Date Posted: October 20, 2008
Working Paper Series
2078 downloads

Incl. Electronic Paper 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
Seton Hall Law School and Davis Polk & Wardwell LLP - New York Office
Date Posted: July 17, 2010
Last Revised: April 25, 2011
Accepted Paper Series
2058 downloads

Incl. Electronic Paper Yield Curve Predictors of Foreign Exchange Returns
AFA 2011 Denver Meetings Paper
Andrew Ang and Joseph Chen
Columbia Business School - Finance and Economics and University of California, Davis - Graduate School of Management
Date Posted: January 25, 2010
Last Revised: June 15, 2011
Working Paper Series
2048 downloads

Incl. Electronic Paper 'Real' Assets
Columbia Business School Research Paper No. 12-60
Andrew Ang
Columbia Business School - Finance and Economics
Date Posted: October 13, 2012
Working Paper Series
2025 downloads

Incl. Electronic Paper Sovereign Risk Premia
AFA 2010 Atlanta Meetings Paper
Nicola Borri and Adrien Verdelhan
LUISS Guido Carli University - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: February 17, 2009
Last Revised: September 14, 2011
Working Paper Series
1990 downloads

Incl. Electronic Paper 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
University of Notre Dame - Department of Accountancy
Date Posted: March 04, 2002
Working Paper Series
1970 downloads

Incl. Electronic Paper A Guide to Duration, DV01, and Yield Curve Risk Transformations
Thomas Coleman
Johns Hopkins University - Institute for Applied Economics, Global Health, and Study of Business Enterprise
Date Posted: January 01, 2011
Last Revised: January 23, 2011
Working Paper Series
1931 downloads

Incl. Electronic Paper Using Principal Component Analysis to Explain Term Structure Movements: Performance and Stability
Gloria M. Soto
University of Murcia - Faculty of Business and Economics
Date Posted: May 14, 2007
Working Paper Series
1898 downloads

Incl. Electronic Paper Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model
Marc P. A. Henrard
OpenGamma
Date Posted: April 03, 2005
Working Paper Series
1859 downloads

Incl. Electronic Paper 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
University of Southern California , Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: March 23, 2009
Last Revised: October 13, 2010
Working Paper Series
1848 downloads

Incl. Electronic Paper The Fisher Effect under Deflationary Expectations
David Glasner
Federal Trade Commission
Date Posted: January 27, 2011
Last Revised: December 23, 2013
Working Paper Series
1839 downloads

Incl. Electronic Paper Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy
João Caldeira and Guilherme V. Moura
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Date Posted: January 05, 2013
Working Paper Series
1742 downloads

Incl. Electronic Paper Log-Normal Interest Rate Models: Stability and Methodology
Klaus Sandmann and Dieter Sondermann
University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics
Date Posted: March 06, 1997
Working Paper Series
1698 downloads

Incl. Electronic Paper Arbitrage Relaxation of Instruments with Temporal Constraints
Alexander N. Adamchuk , Sergei Adamchuk and Sergei Esipov
NAFT , NAFT and Quant Isle Ltd.
Date Posted: June 01, 1998
Working Paper Series
1686 downloads

Incl. Electronic Paper What Explains the Surge in Euro Area Sovereign Spreads During the Financial Crisis of 2007-09?
ECB Working Paper No. 1131
Maria Grazia Attinasi II , Cristina D. Checherita-Westphal and Christiane Nickel
European Central Bank (ECB) , European Central Bank (ECB) and European Central Bank (ECB)
Date Posted: December 27, 2009
Working Paper Series
1671 downloads

Incl. Electronic Paper 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
Fordham University Schools of Business , Rutgers Business School - New Brunswick and City University of New York, CUNY Baruch College - Zicklin School of Business
Date Posted: August 16, 2005
Working Paper Series
1577 downloads

Incl. Electronic Paper Default Implied Volatility for Credit Spread
C.K. Zheng
Morgan Stanley
Date Posted: May 24, 1999
Working Paper Series
1563 downloads

Incl. Electronic Paper Factor Models and the Shape of the Term Structure
Erik Schlogl and Daniel Sommer
University of Technology Sydney (UTS) - School of Finance and Economics and University of Bonn
Date Posted: February 01, 1997
Working Paper Series
1532 downloads

Incl. Electronic Paper Sovereign Risk Premia in the European Government Bond Market
ECB Working Paper No. 369
Kerstin Bernoth , Jürgen von Hagen and Ludger Schuknecht
German Institute for Economic Research (DIW Berlin) , University of Bonn - Institute of Economic Policy and European Central Bank (ECB)
Date Posted: December 02, 2004
Working Paper Series
1517 downloads

Incl. Electronic Paper Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rate Derivatives
Massoud Heidari and Liuren Wu
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Date Posted: October 08, 2002
Working Paper Series
1509 downloads

Incl. Electronic Paper Tasas De Interés Efectivas Y Nominales: El Calvario De Los Estudiantes De Finanzas (Effective and Nominal Interest Rates Per Period: The Calvary for Students in Finance) (in Spanish)
Ignacio Velez-Pareja
Grupo Consultor CAV Capital Advisory & Valuation
Date Posted: February 27, 2004
Last Revised: December 19, 2013
Working Paper Series
1497 downloads

Incl. Electronic Paper '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
Pontificia Universidad Catolica de Chile and Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Date Posted: February 27, 2002
Working Paper Series
1454 downloads

Incl. Electronic Paper Bond Implied CDS Spread and CDS-Bond Basis
Richard Zhou
Wells Fargo Bank
Date Posted: September 09, 2008
Last Revised: September 12, 2008
Working Paper Series
1439 downloads

Incl. Electronic Paper On the Term Structure of Interest Rates with Basis Spreads, Collateral and Multiple Currencies
Masaaki Fujii , Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics , Shinsei Bank, Ltd and University of Tokyo - Graduate School of Economics
Date Posted: February 21, 2010
Last Revised: March 23, 2010
Working Paper Series
1392 downloads

Incl. Electronic Paper Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management
Masaaki Fujii , Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics , Shinsei Bank, Ltd and University of Tokyo - Graduate School of Economics
Date Posted: May 12, 2010
Working Paper Series
1376 downloads

Incl. Electronic Paper 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
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Date Posted: July 16, 2003
Working Paper Series
1363 downloads

Incl. Electronic Paper 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
UQ Business School
Date Posted: March 19, 2005
Last Revised: November 29, 2010
Working Paper Series
1354 downloads

Incl. Electronic Paper Global Imbalances and the Financial Crisis: Link or No Link?
BIS Working Paper No. 346
Claudio E. V. Borio and Piti Disyatat
Bank for International Settlements (BIS) - Research and Policy Analysis and Bank of Thailand
Date Posted: June 08, 2011
Working Paper Series
1321 downloads


 

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