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Abstracts: 684,653
Full Text Papers: 574,501
Authors: 315,245
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SSRN eLibrary Search Results
JEL Code: C63
445,500 Total downloads
Showing Papers 381 - 430 of 2,197
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1 2 3 4 ... 44 | Next >
   

Incl. Electronic Paper Efficient Pricing of Discrete Arithmetic Asian Options Under Mean Reversion and Jumps Based on Fourier-Cosine Expansions
Forthcoming in Journal of Computational and Applied Mathematics
Chun-Sung Huang, John G O'Hara and Sure Mataramvura
University of Cape Town (UCT) - Department of Finance and Tax, University of Essex - Centre for Computational Finance and Economic Agents and University of Cape Town (UCT)
Date Posted: July 30, 2016
Accepted Paper Series
7 downloads

Incl. Electronic Paper ENID Loading - We Finally Cracked it! (Presentation Slides)
Jerome Kirk and Yuriy Krvavych
PricewaterhouseCoopers LLP, UK and PricewaterhouseCoopers LLP
Date Posted: July 30, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Accuracy and Speed of Different Fourier Implementations: An Analysis of the Bates and Asymmetric Variance Gamma Models
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Date Posted: July 28, 2016
Last Revised: July 29, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper XVA at the Exercise Boundary
Andrew David Green and Chris Kenyon
Scotiabank and Lloyds Banking Group
Date Posted: July 27, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Option-Based Pricing of Wrong Way Risk for CVA
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Scotiabank
Date Posted: July 27, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Choosing a Good Toolkit, II: Simulations and Conclusions
Alejandro Francetich and David M. Kreps
UW Bothell School of Business and Stanford Graduate School of Business
Date Posted: July 25, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Choosing a Good Toolkit, I: Formulation, Heuristics, and Asymptotic Properties
Alejandro Francetich and David M. Kreps
UW Bothell School of Business and Stanford Graduate School of Business
Date Posted: July 25, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Pricing Sovereign Contingent Convertible Debt
The Wharton Financial Institutions Center WP 16-05
Andrea Consiglio, Michele Tumminello and Stavros A. Zenios
University of Palermo, University of Palermo and University of Cyprus
Date Posted: July 25, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Jumps and Stochastic Volatility in Crude Oil Prices and Advances in Average Option Pricing
Quantitative Finance (Forthcoming)
Ioannis Kyriakou, Panos K. Pouliasis and Nikos C. Papapostolou
City University London - Sir John Cass Business School, Sir John Cass Business School and Cass Business School, City University London
Date Posted: July 24, 2016
Accepted Paper Series
30 downloads

Incl. Electronic Paper Multivariate Concordance Measures and Copulas via Tensor Approximation of Generalized Correlated Diffusions
Antonio Dalessandro and Gareth William Peters
University College London and University College London - Department of Statistical Science
Date Posted: July 22, 2016
Last Revised: July 25, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper MSSA vs. Multivariate Regularized Expectation Maximization for Data Cleaning
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Date Posted: July 20, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Data Spike Cleaning with MSSA
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Date Posted: July 20, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper Cleaning Data with Real-World Updating Using MSSA
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Date Posted: July 20, 2016
Working Paper Series
30 downloads

Incl. Electronic Paper Pricing Asian Options: A Comparison of Numerical and Simulation Approaches, Twenty Years Later
Akos Horvath and Péter Medvegyev
Vienna Graduate School of Finance and Corvinus University of Budapest
Date Posted: July 19, 2016
Working Paper Series
22 downloads

Incl. Electronic Paper Path Integrals and Greeks
Jan Dash
Bloomberg LP
Date Posted: July 17, 2016
Last Revised: July 22, 2016
Working Paper Series
38 downloads

Incl. Electronic Paper Efficient Simulation of High Dimensional Gaussian Vectors
Nabil Kahalé
ESCP Europe
Date Posted: July 14, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Nearest Neighbor Technique for a Positive Definite Correlation Matrix in Advanced Stressed VAR
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 13, 2016
Last Revised: July 22, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Smart Monte Carlo, Path Integrals, and American Options
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 13, 2016
Last Revised: July 22, 2016
Working Paper Series
98 downloads

Incl. Electronic Paper Path Integrals and Smart Monte Carlo - II
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 13, 2016
Last Revised: July 22, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper Path Integrals and Smart Monte Carlo - I
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 13, 2016
Last Revised: July 22, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper The Macro-Micro Model, Trends vs. Noise, and SSA - I
Jan Dash, Xipei Yang and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Date Posted: July 13, 2016
Last Revised: July 22, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Macro-Micro, Trends vs. Noise, and SSA - II
Jan Dash, Xipei Yang and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Date Posted: July 12, 2016
Last Revised: July 22, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Empirical Validation of Simulated Models through the GSL-div: An Illustrative Application
LEM Working Paper Series, 2016/18
Francesco Lamperti
Scuola Superiore Sant'Anna di Pisa - Institute of Economics and LEM
Date Posted: July 12, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Complexity and the Economics of Climate Change: A Survey and a Look Forward
LEM Working Paper Series, 2016/29
Tomas Balint, Francesco Lamperti, Antoine Mandel, Mauro Napoletano, Andrea Roventini and Alessandro Sapio
Université Paris I Panthéon-Sorbonne, Scuola Superiore Sant'Anna di Pisa - Institute of Economics and LEM, Université Paris I Panthéon-Sorbonne, Observatoire Français des Conjonctures Economiques (OFCE), Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM) and University Parthenope of Naples
Date Posted: July 12, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Risk Tails and General Orthonormal Polynomials
Jan Dash, Harvey J. Stein and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Date Posted: July 12, 2016
Last Revised: July 22, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper HYVAR (Hybrid VAR): HVAR Mixed with MC-HVAR
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg L.P.
Date Posted: July 12, 2016
Last Revised: July 29, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Cleaning Financial Data Using SSA and MSSA
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Date Posted: July 12, 2016
Last Revised: July 22, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper A Distressed Bond Model
Jan Dash, Xipei Yang and Stan Maydan
Bloomberg LP, Bloomberg L.P. and Bloomberg LP
Date Posted: July 12, 2016
Last Revised: July 22, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper Analytic Solution to the Two Dimension Merton Model
Jan Dash, Mario Bondioli and Harvey J. Stein
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Date Posted: July 12, 2016
Last Revised: July 22, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Non-Leading Eigenvalue Distributions, RMT, and Correlations
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 11, 2016
Last Revised: July 22, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Noise-Reduced Correlations, the Signal to Noise Ratio, and SSA
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 11, 2016
Last Revised: July 22, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper SSA, Random Matrix Theory, and Noise-Reduced Correlations
Jan Dash, Xipei Yang, Mario Bondioli and Harvey J. Stein
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Date Posted: July 11, 2016
Last Revised: July 22, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Stable Reduced-Noise 'Macro' SSA - Based Correlations for Long-Term Counterparty Risk Management
Jan Dash, Xipei Yang, Harvey J. Stein and Mario Bondioli
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Date Posted: July 11, 2016
Last Revised: July 22, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Multi-Level Monte Carlo Simulation for the Heston Stochastic Volatility Model
Chao Zheng
Heriot-Watt University - Actuarial Maths & Statistics
Date Posted: July 08, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Stochastic Dominance: An Overall Review and an Empirical Evaluation on the Equity Premium Puzzle
Evanthia K. Zervoudi
Athens University of Economics and Business - Department of International and European Economic Studies
Date Posted: July 08, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Defensive Tactics and Optimal Search: A Simulation Approach
European Corporate Governance Institute (ECGI) - Finance Working Paper No. 472/2016
Ronald J. Gilson and Alan Schwartz
Stanford Law School and Yale Law School
Date Posted: July 07, 2016
Last Revised: July 29, 2016
Working Paper Series
30 downloads

Incl. Electronic Paper Co-Authorship and Academic Productivity in Economics: Interaction Maps from the Complex Networks Approach
IZA Discussion Paper No. 10008
Jose Alberto Molina, Alberto Alcolea, Alfredo Ferrer, David Iñiguez, Alejandro Rivero, Gonzalo Ruiz and Alfonso Tarancón
University of Zaragoza - Department of Economic Analysis, Kampal Data Solutions S.L., University of Zaragoza, ARAID, University of Zaragoza, Kampal Data Solutions S.L. and Kampal Data Solutions S.L.
Date Posted: July 07, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Contagion in Financial Systems: A Bayesian Network Approach
Carsten Chong and C. Klüppelberg
Technische Universität München (TUM) - Chair of Mathematical Statistics and Technische Universität München (TUM)
Date Posted: July 06, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Ecological Influences on Informal Property Rights
Erik O. Kimbrough
Simon Fraser University
Date Posted: July 06, 2016
Working Paper Series
31 downloads

Incl. Electronic Paper The Effects of Labour Market Reforms upon Unemployment and Income Inequalities: An Agent Based Model
Giovanni Dosi, Marcelo C Pereira, Andrea Roventini and Maria Enrica Virgillito
Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM), University of Campinas, Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM) and Scuola Superiore Sant'Anna di Pisa
Date Posted: July 06, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper A Note on Construction of a Composite Index by Optimization of Shapley Value Shares of the Constituent Variables
Sudhanshu K. Mishra
Independent
Date Posted: July 06, 2016
Last Revised: July 23, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Finite Gaussian Mixture Approximations to Analytically Intractable Density Kernels
Natalia Khorunzhina and Jean-Francois Richard
Copenhagen Business School - Faculty of Economics and Business Administration and University of Pittsburgh - Department of Economics
Date Posted: July 04, 2016
Working Paper Series
9 downloads

Validation of Default Probability Models: A Stress Testing Approach
International Review of Financial Analysis, Forthcoming
Fabio Yasuhiro Tsukahara, Herbert Kimura, Vinicius Amorim Sobreiro and J. C. Arismendi
Midway Financeira, Universidade de Brasília (UnB), University of Brasilia and University of Reading - ICMA Centre
Date Posted: July 02, 2016
Last Revised: July 07, 2016
Accepted Paper Series

Incl. Electronic Paper Properties of the Financial Break-Even Point in a Simple Investment Project as a Function of the Discount Rate
Journal of Economics and Financial Studies, Vol. 4 No. 2 (2016), pp 31-45
Domingo A. Tarzia
Univ. Austral, FCE, Mathematics Department & CONICET
Date Posted: June 29, 2016
Accepted Paper Series
11 downloads

Incl. Electronic Paper Optimal Asset Allocation Strategies
Razvan Stefanescu
North Carolina State University
Date Posted: June 28, 2016
Last Revised: July 15, 2016
Working Paper Series
121 downloads

Incl. Electronic Paper The Market Resources Method for Solving Dynamic Optimization Problems
Globalization and Monetary Policy Institute Working Paper No. 274
Ayşe Kabukçuoğlu and Enrique Martínez-García
Koç University and Federal Reserve Bank of Dallas - Research Department
Date Posted: June 28, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Money-Weighted Rates of Return that are Better than the IRR - What I've Learned from the Academics – Part 1
Dean Altshuler
Bard Consulting LLC
Date Posted: June 28, 2016
Last Revised: July 05, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper The WITCH 2016 Model - Documentation and Implementation of the Shared Socioeconomic Pathways
FEEM Working Paper No. 42.2016
Johannes Emmerling, Laurent Drouet, Lara Aleluia Reis, Michela Bevione, Loïc Berger, Valentina Bosetti, Samuel Carrara, Enrica De Cian, Gauthier de Maere d'Aertrycke, Thomas Longden, Maurizio Malpede, Giacomo Marangoni, Fabio Sferra, Massimo Tavoni, Jan Witajewski-Baltvilks and Petr Havlík
Fondazione Eni Enrico Mattei, Fondazione Eni Enrico Mattei (FEEM), Fondazione Eni Enrico Mattei (FEEM), Fondazione Eni Enrico Mattei (FEEM), Fondazione Eni Enrico Mattei (FEEM), Fondazione Eni Enrico Mattei (FEEM), Centro Euro-Mediterraneo per i Cambiamenti Climatici (CMCC), Fondazione Eni Enrico Mattei (FEEM), Fondazione Eni Enrico Mattei, Macquarie University, Faculty of Business and Economics, Fondazione Eni Enrico Mattei (FEEM), Fondazione Eni Enrico Mattei, Fondazione Eni Enrico Mattei (FEEM), Fondazione Eni Enrico Mattei (FEEM), Fondazione Eni Enrico Mattei (FEEM) and International Institute for Applied Systems Analysis (IIASA)
Date Posted: June 27, 2016
Last Revised: July 19, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Occupational Choice, Retirement, and the Effects of Disability Insurance
FEDS Working Paper No. 2016-051
Lindsay Jacobs
Board of Governors of the Federal Reserve System
Date Posted: June 27, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper An Agent-Based Simulation of the Stolper-Samuelson Effect
Computational Economics, Forthcoming
Luzius Meisser and Carl Friedrich Kreuser
University of Zurich - Department of Banking and Finance and Stellenbosch University
Date Posted: June 25, 2016
Accepted Paper Series
6 downloads


 

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