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1,853,148 Total downloads
Showing Papers 3,601 - 3,650 of 4,933
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Fat Tails in Power Prices ERIM Report Series Reference No. ERS-2003-059-F&A
Ronald Huisman and
C. Huurman
Date Posted: October 15, 2003418 downloads
Mean-Reversion Across MENA Stock Markets: Implications for Derivative Pricing International Journal of Business, Vol. 8, No. 3, 2003
Sam Hakim
and
Simon Neaime
Date Posted: October 09, 2003192 downloads
The Market Price of Credit Risk: The Impact of Asymmetric Information
Kay Giesecke and
Lisa R. Goldberg
Date Posted: October 08, 2003Last Revised: April 21, 2009960 downloads
Estimation of Uncertainty in the Pricing of Weather Options
Stephen Jewson
Date Posted: October 06, 2003418 downloads
Closed-Form Expressions for the Pricing of Weather Derivatives: Part 2 - The Greeks
Stephen Jewson
Date Posted: October 04, 2003536 downloads
Closed-form Expressions for the Pricing of Weather Derivatives: Part 1 - The Expected Payoff
Stephen Jewson
Date Posted: October 04, 2003754 downloads
Determinants of the Brazilian Sovereign Risk: A Two-Factor Structural Model IPEA Discussion Paper No. 945
Ajax R. Moreira and
Katia Rocha
Date Posted: October 01, 2003242 downloads
The Black-Scholes Equation for Weather Derivatives
Stephen Jewson
and
Mihail Zervos
Date Posted: September 29, 20031374 downloads
A Simple Probabilistic Approach to the Pricing of Credit Default Swap Covenants Journal of Risk, Vol. 8, No. 3, Spring 2006, Rabobank International Working Paper
Etienne de Malherbe
Date Posted: September 26, 2003
Dividends in the Theory of Derivative Securities Pricing Economic Theory, Vol. 31, pp. 447-471, 2007
Lars Tyge Nielsen
affiliation not provided to SSRN
Date Posted: September 17, 2003Last Revised: January 30, 2010
The Forecast Quality of CBOE Implied Volatility Indexes Olin School of Business Working Paper No. 2003-08-004
Charles J. Corrado and
Thomas W. Miller Jr.
Date Posted: September 16, 2003741 downloads
Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights Journal of Derivatives, Fall 2003, pp. 45-54
Nikunj Kapadia and
Gurdip Bakshi
Date Posted: September 09, 2003
Asymmetric Option Price Distribution and Bid-Ask Quotes: Consequences for Implied Volatility Smiles Journal of Multinational Financial Management, Vol. 13, 2003
Lars L. Norden
Date Posted: September 08, 2003
Expiration Day Effects of Index Futures and Options: Evidence from a Market with a Long Settlement Period Applied Financial Economics, Vol. 14, pp. 385-396, 2004
Niclas Hagelin and
Per Alkeback
Date Posted: September 08, 2003
The Information Content of Price Limit Moves International Journal of Business, Vol. 8, No. 2, 2003
Lawrence J. Belcher ,
Christopher K. Ma
and
James Mallett
Date Posted: September 02, 2003208 downloads
Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High Frequency Data
Gianluca Cassese and
Massimo Guidolin
Date Posted: September 02, 2003320 downloads
Optionality and Daily Dynamics of Convenience Yield Behavior: An Empirical Analysis Journal of Financial Research, Forthcoming
Ahmet Enis Kocagil
Date Posted: August 26, 2003
A General Framework for Evaluating Executive Stock Options
Ronnie Sircar and
Wei Xiong
Date Posted: August 21, 2003295 downloads
A New Class of Bayesian Semiparametric Models with Applications to Option Pricing NYU Stern School of Business Working Paper, McCombs Research Paper Series No. IROM-08-05
Marcin T. Kacperczyk ,
Paul Damien and
Stephen G. Walker
Date Posted: August 08, 2003Last Revised: June 15, 2011885 downloads
Bounds for Exotics
George L. Ye
Date Posted: August 06, 2003Last Revised: June 15, 2011224 downloads
Pricing Options with American Style Average Reset Features U. of Lancaster Dept. of Accounting & Finance WP No. 2000/015
Chuang-Chang Chang ,
Mark B. Shackleton and
San-Lin Chung
Date Posted: August 03, 2003
Liquidity and Credit Risk EFA 2003 Glasgow
Jan Ericsson and
Olivier Renault
Date Posted: August 01, 20033636 downloads
The Risk Management of Minimum Return Guarantees BuR Business Research Journal, Vol. 1, No. 1 May 2008
Antje Brigitte Mahayni and
Erik Schlogl
Date Posted: July 31, 2003568 downloads
Volatility Smile Adjustment in the Pricing of Some European Derivatives Banque & Marches, Vol. 62, January-February 2003
Etienne de Malherbe
Date Posted: July 30, 2003
Vertical Spread Design
Louis H. Ederington and
J. Scott Chaput
Date Posted: July 28, 2003421 downloads
Weather Derivative Pricing and Risk Management: Volatility and Value at Risk
Stephen Jewson
Date Posted: July 25, 20031297 downloads
Multivariate Long-Memory Modeling of Daily Surface Air Temperatures and the Valuation of Weather Derivative Portfolios
Stephen Jewson
and
Rodrigo Caballero
Date Posted: July 25, 2003341 downloads
Quanto Pricing with Copulas University of Warwick Statistics Department Research Report No. 415
Michael N. Bennett
and
Joanne Kennedy
Date Posted: July 25, 20031381 downloads
Seasonality in the Statistics of Surface Air Temperature and the Pricing of Weather Derivatives
Stephen Jewson
and
Rodrigo Caballero
Date Posted: July 25, 2003350 downloads
A Pricing Model for American Options with Stochastic Interest Rates Annals of Operations Research, Vol. 100, No. 1/4, pp. 211-226, 2000
Ton Vorst and
Albert J. Menkveld
Date Posted: July 24, 2003
Timing Multiple Markets: Theory and Evidence
George O. Aragon
Date Posted: July 24, 2003248 downloads
Valuation of Convertible Bonds with Sequential Conversion Schmalenbach Business Review (sbr), Vol. 54, October 2002
Wolfgang Bühler and
Christian Koziol
Date Posted: July 24, 2003500 downloads
An Empirical Examination of the Classical Theory of Corporate Security Valuation
Scott Lyden and
David Saraniti
Date Posted: July 24, 2003738 downloads
Solving Asset Pricing Models when the Price-Dividend Function is Analytic
Stefano Athanasoulis ,
Ovidiu L. Calin
,
Thomas F. Cosimano and
Alex A. Himonas
Date Posted: July 23, 2003143 downloads
The Favorite/Long-Shot Bias in S&P 500 and Ftse 100 Index Futures Options: The Return to Bets and the Cost of Insurance EFA 2003 Annual Conference Paper No. 135, Sauder School of Business Working Paper
Stewart D. Hodges ,
Robert Tompkins and
William T. Ziemba
Date Posted: July 23, 2003761 downloads
Information Asymmetry, Bid-Ask Spreads and Option Returns EFA 2003 Annual Conference Paper No. 147
Fredrik Berchtold
and
Lars L. Norden
Date Posted: July 23, 2003309 downloads
Arbitrage and the Tax Code
Michael F. Gallmeyer and
Sanjay Srivastava
Date Posted: July 23, 2003Last Revised: July 25, 2010241 downloads
Estimates of the Term Premium on Near-dated Federal Funds Futures Contracts FEDS Working Paper No. 2003-19
J. Benson Durham
Date Posted: July 21, 200387 downloads
Real Options: Valuing Flexibility in Strategic Mergers and Acquisitions as an Exchange Ratio Swap Managerial Finance, Vol. 28, No. 12, 2002
Hemantha Herath and
John S. Jahera
Date Posted: July 21, 2003
Over-Allotment Options in IPOs on Germany's Neuer Markt - An Empirical Investigation EFMA 2004 Basel Meetings Paper; CFS Working Paper No. 2002/16
Stefanie Franzke
and
Christian Schlag
Date Posted: July 14, 2003253 downloads
A Review of Stochastic Volatility Processes: Properties and Implications Journal of Risk Finance, Vol. 4, No. 3, Spring 2003
Dimitris Psychoyios ,
George S. Skiadopoulos and
Panayotis Alexakis
Date Posted: June 28, 2003
Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility
Pierre Collin-Dufresne ,
Robert S. Goldstein and
Christopher S. Jones
Date Posted: June 28, 2003429 downloads
Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets UC Santa Cruz Economics Working Paper No. 03-6
Rita Madarassy Akin
Date Posted: June 27, 2003380 downloads
Simulating the Value of Loan Commitment with the MAC Covenant and the Uncertain Drawdown Data Not Availalbe
Hongze Abraham Lu
Date Posted: June 27, 2003341 downloads
The Use of Weather Forecasts in the Pricing of Weather Derivatives
Stephen Jewson
and
Rodrigo Caballero
Date Posted: June 26, 2003628 downloads
Conditional Estimation of Diffusion Processes EFMA 2003 Helinski Meetings
Minqiang Li
,
Neil D. Pearson and
Allen M. Poteshman
Date Posted: June 24, 2003251 downloads
Pricing European and American Derivatives Under a Jump-Diffusion Process: A Bivariate Tree Approach
Jimmy E. Hilliard and
Adam Schwartz
Date Posted: June 23, 2003378 downloads
Generalizing the Affine Framework to HJM and Random Field Models
Pierre Collin-Dufresne and
Robert S. Goldstein
Date Posted: June 23, 2003611 downloads
Relative Implied Volatility Arbitrage with Index Options
University of St. Gallen, Department of Economics Working Paper No. 2001-06
Manuel Ammann and
Silvan Herriger
Date Posted: June 20, 20032433 downloads
Counterparty Credit Risk in Interest Rate Swaps during Times of Market Stress FEDS Working Paper No. 2003-09
Antulio N. Bomfim
affiliation not provided to SSRN
Date Posted: June 16, 2003419 downloads
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