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1,850,307 Total downloads
Showing Papers 3,551 - 3,600 of 4,934
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Four Methods for the Static Hedging of Weather Derivative Portfolios
Stephen Jewson
Date Posted: January 16, 2004546 downloads
Comparing the Potential Accuracy of Burn and Index Modelling for Weather Option Valuation
Stephen Jewson
Date Posted: January 16, 2004276 downloads
Design and Estimation of Multi-Currency Quadratic Models
Markus Leippold and
Liuren Wu
Date Posted: January 15, 2004547 downloads
Sovereign Debt Contract and Optimal Consumption-Investment Strategies FAME Research Paper No. 104
Andriy Demchuk
Date Posted: January 13, 200476 downloads
Stock Option Analysis for the 2003 Treasury Regulations on Cost Sharing
Andrew B. Miller
Date Posted: January 05, 2004699 downloads
Stochastic Volatilities and Correlations of Bond Yields Dice Center Working Paper No. 2003-27
Bing Han
Date Posted: January 04, 2004562 downloads
A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation
Vicky Henderson ,
David G. Hobson ,
Sam Howison
and
Tino Kluge
Date Posted: January 02, 2004422 downloads
Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model CAF Working Paper No. 147
Malene Shin Jensen
and
Mikkel Svenstrup
Date Posted: January 02, 2004332 downloads
A Finite Difference Scheme for Option Pricing in Jump-diffusion and Exponential Levy Models Ecole Polytechnique Rapport Interne CMAP Working Paper No. 513
Rama Cont and
Ekaterina Voltchkova
Date Posted: January 02, 2004748 downloads
Valuation of Floaters and Options on Floaters under Special Repo Rates
Emilio Barone and
Stefano Risa
affiliation not provided to SSRN
Date Posted: December 31, 2003224 downloads
Use of the Basic and Adjusted Kernel Densities for Weather Derivative Pricing
Stephen Jewson
Date Posted: December 31, 2003195 downloads
Risk Loading and Implied Volatility in the Pricing of Weather Options
Stephen Jewson
Date Posted: December 30, 2003241 downloads
Closed-Form Expressions for the Pricing of Weather Derivatives: Part 3 - The Payoff Variance
Stephen Jewson
Date Posted: December 30, 2003330 downloads
Alternative Neural Network Approach for Option Pricing and Hedging
Andrew P. Carverhill and
Terry H. F. Cheuk
Date Posted: December 27, 2003548 downloads
Asset Pricing of Insurance Loss Liabilities: Some Examples
Thomas J. O'Brien
Date Posted: December 23, 2003242 downloads
Credit Risk Modeling and Valuation: An Introduction
Kay Giesecke
Date Posted: December 21, 20035115 downloads
Horizon Value at Risk for Weather Derivatives Part 1: Single Contracts
Stephen Jewson
Date Posted: December 14, 2003430 downloads
Volatility Smile Consistent Option Models: A Survey International Journal of Theoretical and Applied Finance, Vol. 4, No. 3, pp. 403-437
George S. Skiadopoulos
Date Posted: December 10, 2003
Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models Journal of Banking and Finance, Forthcoming
Shiu-yan Eddie Pong
,
Mark B. Shackleton ,
Stephen J. Taylor and
Xinzhong Xu
Date Posted: December 10, 2003
Assessing Credit Quality from Equity Markets: Is Structural Model a Better Approach?
Yu Du
and
Wulin Suo
Date Posted: December 10, 2003426 downloads
Late Informed Betting and the Favourite-Longshot Bias CEPR Discussion Paper No. 4092
Marco Ottaviani and
Peter Norman Sorensen
Date Posted: December 09, 200325 downloads
Credit Spread Implied by Convertible Bonds Prices
Alon Raviv
and
Yoram Landskroner
Date Posted: December 09, 20031079 downloads
Real Options - Realistic Valuation
Marek Capinski and
Wiktor Patena
Date Posted: December 08, 2003698 downloads
Market Incompleteness and Super Value Additivity: Implications for Securitization EFA 2004 Maastricht Meetings Paper No. 2714
Vishal Gaur
,
Sridhar Seshadri
and
Marti G. Subrahmanyam
Date Posted: December 07, 2003465 downloads
Intraday Market Dynamics Around Public Information Arrivals AFA 2004 San Diego Meetings
Angelo Ranaldo
Date Posted: December 04, 2003314 downloads
Explicit Bond Option and Swaption Formula in Heath-Jarrow-Morton One Factor Model International Journal of Theoretical and Applied Finance, Vol. 6, No. 1, pp. 57-72, 2003
Marc P. A. Henrard
Date Posted: November 30, 2003
Explicit Bond Option and Swaption Formula in Heath-Jarrow-Morton One Factor Model
Marc P. A. Henrard
Date Posted: November 30, 20032305 downloads
Does Mortgage Hedging Amplify Movements in Long-term Interest Rates? FEDS Working Paper No. 2003-49
Brian P. Sack and
Roberto Perli
Date Posted: November 30, 2003346 downloads
On the Economic Value of Modeling Fat Tails: Measuring the Impact on Equilibrium Risk Premiums
Prasad V. Bidarkota
Date Posted: November 28, 200369 downloads
Black Scholes for Portfolios of Options in Discrete Time Tinbergen Institute Discussion Paper No. 2003-090/2
Bas Peeters
,
Andre Lucas and
Cees L. Dert
Date Posted: November 28, 2003597 downloads
The Quality of Volatility Traded on the Over-the-Counter Currency Market: A Multiple Horizons Study Journal of Futures Markets, Vol. 23, No. 3, March 2003
Vicentiu Covrig and
Buen Sin Low
Date Posted: November 24, 2003
Early Exercise of American Put Options: Investor Rationality on the Swedish Equity Options Market Journal of Futures Market , Vol. 20, pp. 167-188, 2000
Malin Engstrom
and
Lars L. Norden
Date Posted: November 22, 2003
A Cross-Market Valuation Framework with Integrated Credit Risk
Douglas C. Moss
Date Posted: November 20, 2003
Foreign Exchange Exposure, Risk Management, and Quarterly Earnings Announcements Journal of Multinational Financial Management, Vol. 15, pp. 15-30, 2005
Niclas Hagelin and
Bengt Pramborg
Date Posted: November 20, 2003Last Revised: August 06, 2010
Convertible Bond Prices and Inherent Biases Journal of Fixed Income, Forthcoming
Peter Carayannopoulos
and
Madhu Kalimipalli
Date Posted: November 17, 2003
A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives Journal of Financial and Quantitative Analysis, No. 38, December 2003
Sandra Peterson ,
Richard C. Stapleton and
Marti G. Subrahmanyam
affiliation not provided to SSRN
,
University of Strathclyde, Glasgow - Department of Accounting and Finance
and
New York University - Stern School of Business
Date Posted: November 17, 2003
Asymmetric Jump Processes: Option Pricing Implications
Brice V. Dupoyet
Date Posted: November 15, 2003172 downloads
Hedging of American Equity Options: Do Call and Put Prices Always Move in the Direction as Predicted by the Movement in the Underlying Stock Price? Journal of Multinational Financial Management, Vol. 11, p. 321-340, 2001
Lars L. Norden
Date Posted: November 12, 2003
The Early Exercise Premium in American Put Option Prices Journal of Multinational Financial Management, Vol. 10, p. 461-479, 2000
Malin Engstrom
and
Lars L. Norden
Date Posted: November 12, 2003
VaR: History or Simulation? Risk, Vol. 16, No. 9, pp. 122-127, 2003
George S. Skiadopoulos ,
Greg Lambadiaris
,
Louiza Papadopoulou
and
Yiannis Zoulis
Date Posted: November 09, 2003
An Empirical Test of the Hull-White Option Pricing Model: A Correction
Sofiane Aboura
Date Posted: November 04, 2003584 downloads
The General Mixture Diffusion SDE and its Relationship with an Uncertain-volatility Option Model with Volatility-asset Decorrelation
Damiano Brigo
Date Posted: November 03, 2003397 downloads
The Effect of Exercise Date Uncertainty on Employee Stock Option Value Journal of Business Finance & Accounting, Vol. 30, pp. 669-698, June 2003
Brian A. Maris ,
Jo-Mae Maris
and
Tyler T. Yang
Date Posted: October 31, 200318 downloads
Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates FDIC CFR Working Paper No. 06, EFA 2004 Maastricht Meetings Paper No. 3584, FEDS Working Paper, AFA 20004 Meetings
Dilip B. Madan ,
Gurdip Bakshi and
Frank Xiaoling Zhang
Date Posted: October 24, 20031170 downloads
GARCH Option Pricing Under Skew
Sofiane Aboura
Date Posted: October 23, 2003436 downloads
Financial Instruments Fair Value Accounting for (not against) the Banking Industry CFS Working Paper No. 2003/21
Günther Gebhardt ,
Rolf Reichardt
and
Carsten Wittenbrink
Date Posted: October 21, 20032247 downloads
Consistent Estimation Of State-Price Distribution Functions From Noisy Price Data
Vladislav Kargin
Date Posted: October 20, 2003139 downloads
Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model
Miquel Montero
Date Posted: October 18, 2003233 downloads
Warrant Pricing Using Observable Variables
Andrey Ukhov
Date Posted: October 17, 20031407 downloads
A General Decomposition Formula for Derivative Prices in Stochastic Volatility Models UPF Economics and Business Working Paper No. 665
Elisa Alos
Date Posted: October 17, 2003208 downloads
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