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SSRN eLibrary Search Results
JEL Code: G13
2,170,805 Total downloads
Showing Papers 3,651 - 3,700 of 5,713
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The Forecasting Efficacy of Risk-Neutral Moments for Crude Oil Volatility
Chatrath, A., Miao, H., Ramchander, S., & Wang, T. (2015). The Forecasting Efficacy of Risk‐Neutral Moments for Crude Oil Volatility. Journal of Forecasting, 34(3), 177-190.,
Arjun Chatrath , Hong Miao , Sanjay Ramchander and Tianyang Wang
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration , Colorado State University, Fort Collins - Department of Finance & Real Estate , Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Date Posted: April 20, 2015
Accepted Paper Series

The Response of Bond Prices to Insurer Ratings Changes
Miao, H., Ramchander, S., & Wang, T. (2014). The Response of Bond Prices to Insurer Ratings Changes. The Geneva Papers on Risk and Insurance-Issues and Practice, 39(2), 389-413.
Hong Miao , Sanjay Ramchander and Tianyang Wang
Colorado State University, Fort Collins - Department of Finance & Real Estate , Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Date Posted: April 20, 2015
Accepted Paper Series

Valuing Multifactor Real Options Using an Implied Binomial Tree
Wang, T., & Dyer, J. S. (2010). Valuing multifactor real options using an implied binomial tree. Decision Analysis, 7(2), 185-195.
Tianyang Wang and James Dyer
Colorado State University - Department of Finance & Real Estate and University of Texas at Austin
Date Posted: April 20, 2015
Accepted Paper Series

A Copulas-Based Approach to Modeling Dependence in Decision Trees
Tianyang, W., & Dyer, J. S. (2012). A Copulas-Based Approach to Modeling Dependence in Decision Trees. Operations research, (1), 225-242.
Tianyang Wang and James Dyer
Colorado State University - Department of Finance & Real Estate and University of Texas at Austin
Date Posted: April 20, 2015
Accepted Paper Series

Incl. Electronic Paper Robust Multi-Period Portfolio Model Based on Prospect Theory and ALMV-PSO Algorithm
Jiahe Liu , Xiu Jin , Tianyang Wang and Ying Yuan
Northeastern University China - School of Business Administration , Northeastern University China - School of Business Administration , Colorado State University - Department of Finance & Real Estate and Northeastern University China - School of Business Administration
Date Posted: April 20, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Dimension-Wise Decompositions and Their Efficient Parallelization
Electronic version of an article published in Recent Developments in Computational Finance, Interdisciplinary Mathematical Sciences, Volume 14, 2013, chapter 13, pages 445-472, DOI: 0.1142/9789814436434 0013(c) World Scientific Publishing Company
Philipp Schröder , Peter Schober and Gabriel Wittum
Goethe Center for Scientific Computing , Goethe University Frankfurt - Department of Finance and Goethe Center for Scientific Computing
Date Posted: April 19, 2015
Accepted Paper Series
3 downloads

Incl. Electronic Paper Differences in Expectations and the Cross Section of Stock Returns
Panayiotis C. Andreou , Anastasios Kagkadis , Dennis Philip and Ruslan Tuneshev
Cyprus University of Technology , Lancaster University - Department of Accounting and Finance , Durham University Business School and Durham University Business School
Date Posted: April 17, 2015
Last Revised: April 18, 2015
Working Paper Series
19 downloads

Incl. Electronic Paper Model-Free Methods in Valuation and Hedging of Derivative Securities
Mark Davis
Imperial College London
Date Posted: April 16, 2015
Working Paper Series
32 downloads

Incl. Electronic Paper The Logic and Practice of Yield Curve Construction
Emil Avsar
Barclays Investment Bank
Date Posted: April 16, 2015
Working Paper Series
32 downloads

Incl. Electronic Paper A New Approach for Pricing American Put Options
Humphrey K. K. Tung
City University of Hong Kong (CityUHK)
Date Posted: April 14, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Bond Pricing and CVA
Ilya I. Gikhman
Independent
Date Posted: April 12, 2015
Working Paper Series
30 downloads

Incl. Electronic Paper Aggregate Volatility Risk and the Cross-Section of Stock Returns: Australian Evidence
Van Anh (Vivian) Mai , Tze Chuan 'Chewie' Ang and Victor Fang
Deakin University - Faculty of Business and Law , Deakin University - Department of Finance and Deakin University
Date Posted: April 12, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis
Marco Bianchetti , Sergei Kucherenko and Stefano Scoleri
Intesa Sanpaolo - Market Risk Management , Imperial College London - Faculty of Engineering and Iason Ltd.
Date Posted: April 11, 2015
Working Paper Series
75 downloads

Incl. Electronic Paper A Volatility Index and the Volatility Premium in Brazil
Eduardo Astorino , Fernando Chague , Bruno Cara Giovannetti and Marcos E Silva
University of Sao Paulo (USP) , University of Sao Paulo (USP) - Department of Economics , University of Sao Paulo (USP) - Department of Economics and University of Sao Paulo (USP) - Department of Economics)
Date Posted: April 11, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper The Hull-White 1 Factor Convexity Adjustment and the Special Case when the Hull-White and Ho-Lee Models are Equivalent
Nicholas Burgess
Independent
Date Posted: April 11, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper An Analytical Approximation for Pricing VWAP Options
Masaaki Kijima
Kyoto University - Graduate School of Economics
Date Posted: April 09, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Explaining the Smile in Currency Options: Is it Anchoring?
Hammad Siddiqi
University of Queensland
Date Posted: April 09, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Information Uncertainty, Volatility Term Structure and Index Option Returns
Cai Zhu
Hong Kong University of Science & Technology - School of Business and Management
Date Posted: April 09, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Price Discovery and Foreign Participation in the Republic of Korea's Government Bond Cash and Futures Markets
Asian Development Bank Economics Working Paper Series No. 427
Cyn-Young Park , Rogelio V. Mercado, Jr. , Jaehun Choi and Hosung Lim
Asian Development Bank - Economic Research , Trinity College (Dublin) , Bank of Korea and Bank of Korea
Date Posted: April 07, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Effectiveness of Linear Extrapolation in Model-Free Implied Moment Estimation
Geul Lee
UNSW Australia Business School, School of Banking and Finance
Date Posted: April 06, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Hedging and Pricing in Imperfect Markets Under Non-Convexity
FRB Atlanta Working Paper No. 2014-13
Hirbod Assa and Nikolay Gospodinov
University of Liverpool and Federal Reserve Bank of Atlanta
Date Posted: April 04, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns
Gurdip Bakshi , Xiaohui Gao Bakshi and Alberto G. Rossi
University of Maryland - Robert H. Smith School of Business , University of Maryland - Department of Finance and University of Maryland - Department of Finance
Date Posted: April 04, 2015
Last Revised: April 18, 2015
Working Paper Series
40 downloads

Incl. Electronic Paper Potential Future Exposure (PFE), Credit Value Adjustment (CVA) and Wrong Way Risk (WWR) Analytic Solutions
Mark Syrkin and Ali Shirazi
Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Date Posted: April 03, 2015
Last Revised: April 16, 2015
Working Paper Series
15 downloads

Speculation, Risk Aversion, and Risk Premiums in the Crude Oil Market
Bingxin Li
West Virginia University
Date Posted: April 02, 2015
Working Paper Series

Incl. Electronic Paper Investment Timing and Optimal Capital Structure Under Debt Illiquidity Risk
Huamao Wang , Qing Xu and Jinqiang Yang
University of Kent - School of Mathematics, Statistics and Actuarial Science & Kent Centre for Finance , University of Kent and Shanghai University of Finance and Economics
Date Posted: April 02, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper Momentum Signals in the Term Structure of Commodity Futures
Martijn Boons and Melissa Porras Prado
New University of Lisbon - Nova School of Business and Economics and Nova School of Business and Economics
Date Posted: April 02, 2015
Working Paper Series
71 downloads

Incl. Electronic Paper Pricing JSE Exotic Can-Do Options: Monte Carlo Simulation
Antonie Kotze and Rudolf Oosthuizen
Financial Chaos Theory and JSE Securities Exchange
Date Posted: April 01, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper JSE Local Volatility Finite Difference Model
Rudolf Oosthuizen and Antonie Kotze
JSE Securities Exchange and Financial Chaos Theory
Date Posted: April 01, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Local Volatility Modeling of JSE Exotic Can-Do Options
Antonie Kotze , Rudolf Oosthuizen and Edson Pindza
Financial Chaos Theory , JSE Securities Exchange and University of Pretoria
Date Posted: April 01, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Random Time Forward Starting Options
Fabio Antonelli , Alessandro Ramponi and Sergio Scarlatti
University of Rome I , University of Rome II and University of Rome II
Date Posted: April 01, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper The Role of News in Commodity Markets
Svetlana Borovkova
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration
Date Posted: April 01, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper Market Making and Risk Management in Options Markets
Review of Derivatives Research, Vol. 18, No. 1, 2015
Naomi E. Boyd
West Virginia University
Date Posted: April 01, 2015
Accepted Paper Series
33 downloads

Hedging Market Risk and Volatility: Evidence from Indian Options Market
Sony Thomas
Indian Institute of Management (IIM), Kozhikode
Date Posted: March 31, 2015
Working Paper Series

Incl. Electronic Paper Price Discovery and Foreign Participation in Korea's Government Bond Cash and Futures Markets
Bank of Korea WP 2015-8
Jaehun Choi , Hosung Lim , Rogelio V. Mercado, Jr. and Cyn-Young Park
Bank of Korea , Bank of Korea , Trinity College (Dublin) and Asian Development Bank - Economic Research
Date Posted: March 31, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper On the Causal Effect of Option Trading on Underlying Stock Pricing
Tong Wang
Virginia Tech
Date Posted: March 28, 2015
Working Paper Series
28 downloads

Incl. Electronic Paper Limits to Arbitrage: The Case of Single Stock Futures and Spot Prices
Nidhi Aggarwal
Indira Gandhi Institute of Development Research
Date Posted: March 28, 2015
Last Revised: March 30, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Anchoring Heuristic in Option Pricing
Hammad Siddiqi
University of Queensland
Date Posted: March 26, 2015
Last Revised: April 16, 2015
Working Paper Series
40 downloads

Incl. Electronic Paper An Investigation of the Lead-Lag Relationship between the VIX Index and the VIX Futures on the S&P500
International Journal of Science, Innovation and New Technology, Vol. 1, No. 11, 43-56
Sotirios Karagiannis
University of Peloponnese
Date Posted: March 24, 2015
Accepted Paper Series
34 downloads

Incl. Electronic Paper An Analysis of the Covered Warrants Listed on the Athens Exchange
Siriopoulos, C. and Fassas, A. (2014) An Analysis of the Covered Warrants listed on the Athens Exchange. Journal of Risk & Control, 1(1), pp. 13-30.
Costas Siriopoulos and Athanasios Fassas
University of Patras - Business Administration and University of Patras - Business Administration
Date Posted: March 23, 2015
Last Revised: March 24, 2015
Accepted Paper Series
11 downloads

Incl. Electronic Paper Monetary Policy Surprises, Positions of Traders, and Changes in Commodity Futures Prices
FRB Atlanta Working Paper 2013-12
Nikolay Gospodinov and Ibrahim Jamali
Federal Reserve Bank of Atlanta and American University of Beirut
Date Posted: March 22, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Sources of Variation in Holding Returns for Fed Funds Futures Contracts
FRB Atlanta CQER Working Paper No. 09-03
James D. Hamilton and Tatsuyoshi Okimoto
University of California at San Diego and Australian National University
Date Posted: March 22, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Calibration of Temperature Futures by Changing the Mean Reversion
Fred Espen Benth and Salvador Ortiz-Latorre
University of Oslo - Department of Mathematics and University of Oslo - Department of Mathematics
Date Posted: March 21, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Uncertainty Quantification of Derivative Instruments
Xianming Sun and Michèle Vanmaele
Central South University and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Date Posted: March 20, 2015
Last Revised: March 21, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Option Trading Costs Are Lower than You Think
Dmitriy Muravyev and Neil D. Pearson
Boston College and University of Illinois at Urbana-Champaign - Department of Finance
Date Posted: March 20, 2015
Working Paper Series
132 downloads

Incl. Electronic Paper Integrated Trend Analysis with Triple Trend Oscillator -- Technical Insights
Market Technicians Association, New York, Technically Speaking, June 2014
Sanjay Khandelwal
EQTrend Research
Date Posted: March 20, 2015
Working Paper Series
59 downloads

Incl. Electronic Paper Constant Solution Models of Demand for Risks and Those Missed Distributions
Yiyong Yuan
Southwestern University of Finance and Economics (SWUFE)
Date Posted: March 19, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Dividend Swaps and Dividend Futures: State of Play
Scott Mixon and Esen Onur
Commodity Futures Trading Commission and Commodity Futures Trading Commission (CFTC)
Date Posted: March 18, 2015
Working Paper Series
19 downloads

Incl. Electronic Paper Commodity Forward Curve Dynamics with Inventory Information
Marcel Prokopczuk and Sebastian Vicedom
Leibniz University of Hannover - Faculty of Economics and Management and Leibniz University of Hannover - Faculty of Economics and Management
Date Posted: March 18, 2015
Working Paper Series
29 downloads

Incl. Electronic Paper The Financialization of Food?
Valentina Bruno , Bahattin Buyuksahin and Michel A. Robe
American University - Department of Finance and Real Estate , Bank of Canada and American University - Kogod School of Business
Date Posted: March 17, 2015
Working Paper Series
40 downloads

Incl. Electronic Paper Modelling Airline Costs Using Short Straddles
Tumellano Sebehela
Sebehela Inc
Date Posted: March 17, 2015
Working Paper Series
7 downloads


 

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