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SSRN eLibrary Statistics:

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Abstracts: 581,293
Full Text Papers: 481,997
Authors: 269,170
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63,436

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Last 12 months: 10,266,314
Last 30 days: 936,916

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Total Footnotes: 9,190,620


SSRN eLibrary Search Results
JEL Code: C63
356,797 Total downloads
Showing Papers 381 - 430 of 1,799
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Incl. Electronic Paper Efficient Estimation of Sensitivities for Counterparty Credit Risk with the Finite Difference Monte-Carlo Method
Cornelis S.L. de Graaf , Drona Kandhai and Peter M.A. Sloot
University of Amsterdam , University of Amsterdam and University of Amsterdam
Date Posted: December 19, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Efficient XVA Management: Computation, Hedging, and Attribution Using Trade-Level Regression and Global Conditioning
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Lloyds Banking Group
Date Posted: December 18, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Quantitative Modeling of Trust and Trust Management Protocols in Next Generation Social Networks Based Wireless Mobile Ad Hoc Networks
Yogesh Malhotra
Global Risk Management Network, LLC
Date Posted: December 18, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper European Option Pricing with Constant Relative Sensitivity Probability Weighting Function
University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 25/WP/2014
Martina Nardon and Paolo Pianca
Ca Foscari University of Venice - Department of Economics and Ca Foscari University of Venice - Department of Economics
Date Posted: December 18, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Counterparty Credit Exposures for Interest Rate Derivatives Using the Stochastic Grid Bundling Method
Patrik Karlsson , Shashi Jain and Cornelis W. Oosterlee
Lund University , Center for Mathematics and Computer Science (CWI) and Center for Mathematics and Computer Science (CWI)
Date Posted: December 14, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Dynamics of Assets, Liquidity, and Inequality in Economies with Decentralized Markets
Maurizio Iacopetta
OFCE (Centre de recherche en Economie de Sciences Po)
Date Posted: December 13, 2014
Last Revised: December 14, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Understanding the Dynamics of Violent Political Revolutions in an Agent-Based Framework
Ca' Foscari University of Venice Department of Economics Working Paper No. 21/WP/2014
Alessandro Moro
Ca Foscari University of Venice - Department of Economics
Date Posted: December 09, 2014
Working Paper Series
7 downloads

Incl. Fee Electronic Paper Government Debt Management: The Long and the Short of it
CEPR Discussion Paper No. DP10281
Elisa Faraglia , Albert Marcet , Rigas Oikonomou and Andrew Scott
London Business School , Universitat Autònoma de Barcelona - Institut d'Anàlisi Economica CSIC , Catholic University of Louvain (UCL) and London Business School - Department of Economics
Date Posted: December 08, 2014
Working Paper Series

Incl. Electronic Paper Circuits of Iterated Foata Maps
Department of Management, Università Ca' Foscari Venezia Working Paper No. 25/2014,
Francesco Mason and Andrea Borghesan
Ca Foscari University of Venice - Department of Management and Ca Foscari University of Venice
Date Posted: December 08, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Negative Real Interest Rates
Jing Chen , Diandian Ma , Xiaojing Song and Mark J. Tippett
University of Wales System - Swansea University , Lecturer in Accounting , Lecturer of Accounting & Finance and Loughborough University - Business School
Date Posted: December 07, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Computing Difficulties for Deriving Poverty Indices from Some Functional Forms of Lorenz Curves
Louis de Mesnard
IAE Dijon and CREGO (EA 7317), University of Burgundy
Date Posted: December 05, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper Adequacy of Lagrange Multiplier Test
European Economics Letters, Volume 3, Number 2, page 32-35, 2014
Mei-Yu Lee
Yuanpei University
Date Posted: December 04, 2014
Accepted Paper Series
1 downloads

Incl. Electronic Paper Short-Term Price Overreactions: Identification, Testing, Exploitation
CESifo Working Paper Series No. 5066
Guglielmo Maria Caporale , Luis A. Gil-Alana and Alex Plastun
Brunel University - Centre for Empirical Finance , University of Navarra - Department of Economics and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Date Posted: December 02, 2014
Working Paper Series
30 downloads

Leveraging a Call-Put Ratio as a Trading Signal
Patrick Houlihan and Germán G. Creamer
Stevens Institute of Technology and Stevens Institute of Technology - Wesley J. Howe School of Technology Management
Date Posted: November 27, 2014
Last Revised: December 02, 2014
Working Paper Series

Incl. Electronic Paper Algorithmic Trading Model for Manifold Learning in FX
Zee Fernandez
Modus Operandi, Inc.
Date Posted: November 26, 2014
Working Paper Series
36 downloads

Incl. Electronic Paper Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: November 25, 2014
Last Revised: December 16, 2014
Working Paper Series
59 downloads

Incl. Electronic Paper An Arbitrage-Free Hagan Implied Density via the Stochastic Collocation Method
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Date Posted: November 24, 2014
Last Revised: December 02, 2014
Working Paper Series
76 downloads

Incl. Electronic Paper The Stochastic Collocation Monte Carlo Sampler: Highly Efficient Sampling from 'Expensive' Distributions
Lech A. Grzelak , Jeroen Witteveen , Maria Suarez-Taboada and Cornelis W. Oosterlee
Delft University of Technology , Center for Mathematics and Computer Science (CWI) , University of Coruña and Center for Mathematics and Computer Science (CWI)
Date Posted: November 24, 2014
Last Revised: December 03, 2014
Working Paper Series
36 downloads

Incl. Electronic Paper Addressing the Bias in Monte Carlo Pricing of Multi-Asset Options with Multiple Barriers Through Discrete Sampling
The Journal of Computational Finance 6(3), pp.1-20, 2003.
Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Date Posted: November 23, 2014
Accepted Paper Series
8 downloads

Incl. Fee Electronic Paper Competitive Balance Measures in Sports Leagues: The Effects of Variation in Season Length
Economic Inquiry, Vol. 53, Issue 1, pp. 731-744, 2015
Dorian Owen and Nicholas King
University of Otago and University of Otago - School of Business - Department of Economics
Date Posted: November 21, 2014
Accepted Paper Series

Incl. Electronic Paper An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration Using Matlab
CNMV Working Paper No 58
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Date Posted: November 20, 2014
Last Revised: December 19, 2014
Accepted Paper Series
41 downloads

Incl. Electronic Paper Short-Term Price Overreaction: Identification, Testing, Exploitation
DIW Berlin Discussion Paper No. 1423
Guglielmo Maria Caporale , Luis A. Gil-Alana and Alex Plastun
Brunel University - Centre for Empirical Finance , University of Navarra - Department of Economics and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Date Posted: November 19, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper Do Audits Matter?: A Speculative Theory of the Relation between Tax Enforcement and Underreporting
J. T. Manhire
Treasury Executive Institute - U.S. Department of the Treasury
Date Posted: November 19, 2014
Last Revised: December 17, 2014
Working Paper Series
77 downloads

Incl. Electronic Paper Adverse Selection, Risk Sharing and Business Cycles
FRB of Chicago Working Paper No. 2014-10
Marcelo Veracierto
Federal Reserve Bank of Chicago - Research Department
Date Posted: November 18, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Tail Risk Protection in Asset Management
Cristian Homescu
Independent
Date Posted: November 16, 2014
Working Paper Series
529 downloads

Incl. Electronic Paper Micro and Macro Policies in the Keynes Schumpeter Evolutionary Models
Giovanni Dosi , Mauro Napoletano , Andrea Roventini and Tania Treibich
Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM) , Observatoire Français des Conjonctures Economiques (OFCE) , Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM) and Maastricht University - Department of Economics
Date Posted: November 15, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper The 4/2 Stochastic Volatility Model
Martino Grasselli
University of Padova - Department of Mathematics
Date Posted: November 14, 2014
Working Paper Series
56 downloads

Incl. Electronic Paper Forecasting Realised Volatility of Micex Index
Alexandr Cecetov
City University London
Date Posted: November 12, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper Volatility vs. Downside Risk: Optimally Protecting Against Drawdowns and Maintaining Portfolio Performance
University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 18/WP/2014
Diana Barro , Elio Canestrelli and Fabio Lanza
Ca Foscari University of Venice - Department of Economics , Ca Foscari University of Venice - Department of Economics and Ca Foscari University of Venice - Department of Economics
Date Posted: November 12, 2014
Working Paper Series
56 downloads

Incl. Electronic Paper Affine Approximation for Moment Generating Function of Log-Normal Stochastic Volatility Model
Artur Sepp
Merrill Lynch & Co.
Date Posted: November 11, 2014
Last Revised: November 18, 2014
Working Paper Series
41 downloads

Incl. Electronic Paper An Efficient Transform Method for Asian Option Pricing
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: November 08, 2014
Working Paper Series
102 downloads

Incl. Electronic Paper Numerical Fourier Method and Second-Order Taylor Scheme for Backward SDEs in Finance
Marjon Ruijter and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI) and Center for Mathematics and Computer Science (CWI)
Date Posted: November 07, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Multi-Agent Systems as a Tool for Analyzing Path-Dependent Macrodynamics
Mark Setterfield and Shyam Gouri Suresh
New School for Social Research and Davidson College
Date Posted: November 07, 2014
Last Revised: November 19, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Selective Bi-Coordinate Variations for Resource Allocation Type Problems
Igor Konnov
Kazan Federal University
Date Posted: November 07, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Small Addition to the 'Garbage Can Model: Reconstruction and Logical Analysis'
Ivan Smarzhevskiy
Peoples’ Friendship University of Russia
Date Posted: November 06, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper The Shape of the Aggregate Production Function Over the Business Cycle and its Implications for the Labor Market
Dongya Koh and Raul Santaeulalia-Llopis
University of Arkansas - Department of Economics and Washington University in Saint Louis - Department of Economics
Date Posted: November 05, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Simulated Likelihood Estimators for Discretely Observed Jump-Diffusions
Kay Giesecke and Gustavo Schwenkler
Stanford University - Management Science & Engineering and Boston University - Department of Finance & Economics
Date Posted: November 03, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Liability Concentration and Losses in Financial Networks: Comparisons via Majorization
Agostino Capponi , Peng-Chu Chen and David D. Yao
Columbia University , Purdue University and Columbia University
Date Posted: November 02, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Pricing and Hedging GMWB Riders in a Binomial Framework
Cody Blaine Hyndman and Menachem Wenger
Concordia University, Quebec - Department of Mathematics and Statistics and Concordia University, Quebec - Department of Mathematics & Statistics
Date Posted: October 31, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods
SAFE Working Paper No. 72
Alexander Ludwig and Matthias Schoen
Goethe University Frankfurt - Research Center SAFE and University of Cologne
Date Posted: October 29, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper GPU Computing in Economics
Eric M. Aldrich
University of California, Santa Cruz
Date Posted: October 28, 2014
Working Paper Series
34 downloads

Incl. Electronic Paper Il Cloud Computing. Alla Ricerca Del Diritto Perduto Nel Web 3.0 (Cloud Computing. In Search of Lost Law in the Web 3.0)
Europa e diritto privato, 2014, II, 577-659
Guido Noto La Diega
Queen Mary University of London (Centre for Commercial Law Studies - Microsoft Cloud Computing Centre)
Date Posted: October 25, 2014
Accepted Paper Series
20 downloads

Incl. Electronic Paper An Improved Method for Pricing and Hedging American Options
Tommaso Paletta , Silvia Stanescu and Radu Tunaru
University of Kent, Canterbury - Kent Business School , University of Kent, Canterbury - Kent Business School and University of Kent, Canterbury - Kent Business SchoolCeQuFin, University of Kent
Date Posted: October 25, 2014
Last Revised: November 16, 2014
Working Paper Series
81 downloads

Incl. Electronic Paper A Regression-Based Numerical Method for Forward-Backward Stochastic Differential Equations
Deng Ding and Yiqi Liu
University of Macau and University of Macau
Date Posted: October 24, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Portfolio Execution with a Dark Pool Under Stochastic Volatility and Liquidity
Patrick Cheridito and Tardu Sepin
Princeton University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Date Posted: October 22, 2014
Working Paper Series
83 downloads

Incl. Electronic Paper Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods
Max Planck Institute for Social Law and Social Policy Discussion Paper No. 274-13
Alexander Ludwig and Matthias Schoen
Goethe University Frankfurt - Research Center SAFE and University of Cologne
Date Posted: October 21, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data
Entropy, Vol. 16 Nr. 5, May 2014, pp. 2642-2668
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Date Posted: October 21, 2014
Accepted Paper Series
9 downloads

Incl. Electronic Paper A Family of Maximum Entropy Densities Matching Call Option Prices
Applied Mathematical Finance, Vol. 20, No. 6, 2013
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Date Posted: October 21, 2014
Accepted Paper Series
7 downloads

Incl. Electronic Paper Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
Finance Stochastics, Vol. 16, No. 2, 2012
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Date Posted: October 21, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper Determinants of Spatio-Temporal Patterns of Energy Technology Adoption: An Agent-Based Modeling Approach
Scott A. Robinson and Varun Rai
University of Texas at Austin - Lyndon B. Johnson School of Public Affairs and University of Texas at Austin - LBJ School of Public Affairs
Date Posted: October 20, 2014
Working Paper Series
26 downloads


 

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