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Full Text Papers: 583,394
Authors: 319,988
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SSRN eLibrary Search Results
JEL Code: C63
454,252 Total downloads
Showing Papers 381 - 430 of 2,223
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1 2 3 4 ... 45 | Next >
   

India VIX Entropy Indicators for Portfolio Rotation Timing
Gaurav Rajendra Jadhao Jr. and Abhijeet Chandra
Independent and Indian Institute of Technology (IIT), Kharagpur - Vinod Gupta School of Management
Date Posted: September 26, 2016
Working Paper Series

Incl. Electronic Paper Interbank Loans, Collateral and Modern Monetary Policy
ECB Working Paper No. 1959
Marcin Wolski and Michiel C.W. van de Leur
European Investment Bank and VU University Amsterdam - Faculty of Economics and Business Administration
Date Posted: September 19, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Stable Return-Based Fund Classification
Philipp Gerlach and Raimond Maurer
Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Finance Department
Date Posted: September 14, 2016
Last Revised: September 16, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Volatility Can Be Detrimental to Option Values!
Hamed Ghoddusi and Arash Fahim
Stevens Institute of Technology - School of Business and Florida State University - Department of Mathematics
Date Posted: September 12, 2016
Working Paper Series
56 downloads

Incl. Electronic Paper Pass-Through Pricing on Production Chains
Maria-Augusta Miceli and Claudia Nardone
University of Rome "Sapienza" and University of Rome I
Date Posted: September 11, 2016
Last Revised: September 13, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper Lie Symmetry Methods for Local Volatility Models
Mark Craddock and Martino Grasselli
University of Technology Sydney (UTS) and University of Padova - Department of Mathematics
Date Posted: September 10, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper A General Endogenous Grid Method for Multi-Dimensional Models with Non-Convexities and Constraints
Jeppe Druedahl and Thomas Høgholm Jørgensen
University of Copenhagen - Department of Economics and University of Copenhagen
Date Posted: September 06, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper A Mathematical Model for Optimal Corporate Alliances: Evidence from Japan
International Journal of Management and Marketing Research, v. 9 (1) p. 63-80, 2016
Satoshi Tomita and Yoshiyasu Takefuji
TC Consulting Co., Ltd. and Keio University
Date Posted: September 03, 2016
Accepted Paper Series
3 downloads

Incl. Electronic Paper Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo - Graduate School of Economics, University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Date Posted: September 02, 2016
Last Revised: September 14, 2016
Working Paper Series
117 downloads

Incl. Electronic Paper Simulation in the Real World
Russell Colm Barker, Andrew Samuel Dickinson and Alex Lipton
Independent, Bank of America and Bank of America Merrill Lynch
Date Posted: August 31, 2016
Working Paper Series
63 downloads

Incl. Electronic Paper Supplement To "Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets"
Gustavo Fruet Dias and George Kapetanios
University of Aarhus and University of London - Queen Mary College - Department of Economics
Date Posted: August 29, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Multi-Layered Interbank Model For Assessing Systemic Risk
ECB Working Paper No. 1944
Mattia Montagna and Christoffer Kok
European Central Bank (ECB) and European Central Bank (ECB)
Date Posted: August 28, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper The Impact of Macroprudential Housing Finance Tools in Canada: 2005-10
Bank of Canada Staff Working Paper 2016-41
Jason Allen, Timothy Grieder, Brian Michael Peterson and Tom Roberts
Bank of Canada, Government of Canada - Bank of Canada, Government of Canada - Bank of Canada and Government of Canada - Bank of Canada
Date Posted: August 27, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Occasionally Binding Liquidity Constraints and Macroeconomic Dynamics
Maximilian Werner
University of Zurich
Date Posted: August 25, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Obtaining Informationally Consistent Decisions When Computing Costs with Limited Information
Production and Operations Management, Forthcoming
Vic Anand, Ramji Balakrishnan and Eva Labro
Emory University - Goizueta Business School, University of Iowa - Department of Accounting and University of North Carolina Kenan-Flagler Business School
Date Posted: August 23, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Integral Representation of Vega for American Put Options
Yanchu Liu, Zhenyu Cui and Ning Zhang
Lingnan (University) College, Sun Yat-sen University, Guangzhou, China., Stevens Institute of Technology and Jiangxi University of Finance and Economics
Date Posted: August 23, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper Endogenous Dynamics of Multi-Agent Firms
Robert L. Axtell
George Mason University - Department of Computational Social Science
Date Posted: August 23, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Optimal Monetary Policy Regime Switches
Federal Reserve Bank of Kansas City Working Paper No. 16-07
Jason Choi and Andrew T. Foerster
Federal Reserve Bank of Kansas City and Federal Reserve Bank of Kansas City
Date Posted: August 19, 2016
Accepted Paper Series
7 downloads

Incl. Electronic Paper A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
Alessandro Gnoatto, Martino Grasselli and Eckhard Platen
Independent, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: August 18, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Single- and Multi-Period Portfolio Optimization with Cone Constraints and Discrete Decisions
Ümit Sağlam and Hande Yurttan Benson
East Tennessee State University - Department of Management and Marketing and Drexel University
Date Posted: August 13, 2016
Working Paper Series
31 downloads

Incl. Electronic Paper Rom Simulation with Exact Means, Covariances, and Multivariate Skewness
Michael Hanke, Spiridon Penev, Wolfgang Schief and Alex Weissensteiner
University of Liechtenstein, University of New South Wales (UNSW) - School of Mathematics, University of New South Wales (UNSW) - School of Mathematics and Statistics and Free University of Bolzano/Bozen
Date Posted: August 11, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper Schumpeterian Competition and Consumer Networks: An Exploration of the Internet Access Market
Marcelo C Pereira
University of Campinas
Date Posted: August 08, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Portfolio Diversification in the Sovereign Credit Swap Markets
Andrea Consiglio, Somayyeh Lotfi and Stavros A. Zenios
University of Palermo, University of Guilan and University of Cyprus
Date Posted: August 08, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper On the Use of Agricultural System Models for Exploring Technological Innovations Across Scales in Africa: A Critical Review
ZEF-Discussion Paper No. 223
Reimund Rötter, Fanou Sehomi, Jukka Höhn, Jarkko Niemi and Marrit Van den Berg
University of Göttingen, Wageningen UR, Natural Resources Institute Finland (Luke), Natural Resources Institute Finland (Luke) and Wageningen University - Development Economics
Date Posted: August 05, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Tax Compliance with Uncertain Income: A Stochastic Control Model
Gaetano Tarcisio Spartà and Gabriele Stabile
University of Rome I - Department of Methods and Models for Economics, Territory and Finance (MEMOTEF) and University of Rome I - Department of Methods and Models for Economics, Territory and Finance (MEMOTEF)
Date Posted: August 02, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper A Gentle Introduction to Default Risk and Counterparty Credit Modelling
Laura Ballotta, Gianluca Fusai and Marina Marena
City University London - Sir John Cass Business School, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Eastern Piedmont
Date Posted: August 01, 2016
Working Paper Series
559 downloads

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
21 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
10 downloads

Incl. Electronic Paper Speed and Biases of Fourier-based Pricing Choices: 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: September 16, 2016
Working Paper Series
19 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
Last Revised: August 08, 2016
Working Paper Series
46 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
Last Revised: September 24, 2016
Working Paper Series
48 downloads

Incl. Electronic Paper Choosing a Good Toolkit, II: Simulations and Conclusions
Stanford University Graduate School of Business Research Paper No. 16-39
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
20 downloads

Incl. Electronic Paper Choosing a Good Toolkit, I: Formulation, Heuristics, and Asymptotic Properties
Stanford University Graduate School of Business Research Paper No. 16-38
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
26 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
34 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
80 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
14 downloads

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

Incl. Electronic Paper Data Spike Cleaning with MSSA
Jan W Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Date Posted: July 20, 2016
Last Revised: September 17, 2016
Working Paper Series
40 downloads

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

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

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

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

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

Incl. Electronic Paper Smart Monte Carlo, Path Integrals, and American Options
Jan W Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 13, 2016
Last Revised: September 17, 2016
Working Paper Series
111 downloads

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

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

Incl. Electronic Paper The Macro-Micro Model, Trends vs. Noise, and SSA - I
Jan W 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
35 downloads

Incl. Electronic Paper Macro-Micro, Trends vs. Noise, and SSA - II
Jan W Dash, Xipei Yang and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Date Posted: July 12, 2016
Last Revised: September 17, 2016
Working Paper Series
23 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
17 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
76 downloads


 

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