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JEL Code: G13
1,868,652 Total downloads
Showing Papers 381 - 430 of 4,953
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Deriving the Rent Versus Buy Decision in the Absence of Expected Home Price Appreciation or Risk Premia
Cristian Voicu
and
Michael Joseph Seiler
Date Posted: August 28, 201222 downloads
On the Pricing of Salmon Futures and Options at Fish Pool
Christian-Oliver Ewald
,
Roy Nawar
and
Tak-Kuen Siu
Date Posted: August 28, 201285 downloads
Pricing of Derivatives on Commodity Indices
Johannes Rauch ,
Mikhail Krayzler
,
Bernhard Brunner and
Rudi Zagst
Date Posted: August 28, 2012
Rehypothecation Dilemma: Impact of Collateral Rehypothecation on Derivative Prices Under Bilateral Counterparty Credit Risk 25th Australasian Finance and Banking Conference 2012
Yuji Sakurai and
Yoshihiko Uchida
Date Posted: August 28, 2012Last Revised: February 14, 2013137 downloads
Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options 25th Australasian Finance and Banking Conference 2012
Jamie Alcock and
Godfrey Smith
Date Posted: August 28, 2012Last Revised: February 16, 201350 downloads
Unbiasedness and Risk Premiums in the Indian Currency Futures Market
Satish Kumar
and
Stefan Trueck
Date Posted: August 28, 201218 downloads
The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis
Yacine Ait-Sahalia ,
Mustafa Karaman
and
Loriano Mancini
Date Posted: August 27, 2012379 downloads
SPM Extension
Christian Kamtchueng
Date Posted: August 26, 2012Last Revised: September 17, 201244 downloads
Evaluating Natural Resource Investments Under Different Model Dynamics: Managerial Insights European Financial Management, Vol. 18, Issue 4, pp. 543-575, 2012
Andrianos E. Tsekrekos
,
Mark B. Shackleton and
Rafał Wojakowski
affiliation not provided to SSRN
Date Posted: August 23, 2012
Allocating Risk Through Contract: Evidence from M&A and Policy Implications
John C. Coates, IV
Date Posted: August 22, 2012Last Revised: August 23, 2012577 downloads
Pricing and Hedging Quanto Options in Energy Markets
Fred Espen Benth
,
Nina Lange
and
Tor Age Myklebust
Date Posted: August 22, 2012Last Revised: November 29, 2012144 downloads
An Improved Algorithm for Pricing Derivatives Using Sobol Quasirandom Sequences
Marcos Eugenio da Silva
Date Posted: August 21, 201243 downloads
Comparing First, Second and Third Generation Commodity Indices
Joelle Miffre
Date Posted: August 21, 2012196 downloads
Industry Loss Warranties: Contract Features, Pricing, and Central Demand Factors Journal of Risk Finance, Vol. 13, No. 1, pp. 13-31, 2012
Nadine Gatzert and
Hato Schmeiser
Date Posted: August 21, 2012
The Merits of Pooling Claims Revisited Journal of Risk Finance Vol. 13, No. 3, pp. 184-198, 2012
Nadine Gatzert and
Hato Schmeiser
Date Posted: August 21, 2012
Macro-Prudential Policy and the Conduct of Monetary Policy Banque de France Working Paper No. 390
Denis Beau
,
Laurent Clerc
and
Benoit Mojon
affiliation not provided to SSRN
Date Posted: August 20, 201297 downloads
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 25th Australasian Finance and Banking Conference 2012
David E. Allen ,
Michael McAleer ,
Robert J. Powell
and
Abhay Kumar-Singh
Date Posted: August 19, 201283 downloads
Does the Stock Market Expect Upcoming Merger Activity?
Ulugbek Saidiev
Date Posted: August 14, 2012Last Revised: May 30, 201318 downloads
Income Distribution in Multinational Firms through Transfer Pricing
José G. Vargas-Hernández
Date Posted: August 11, 2012Last Revised: January 28, 201378 downloads
Arbitrage-Free Analytical Bound on the Cost of Illiquidity in Equity Markets
Stillian Ghaidarov
Date Posted: August 10, 201227 downloads
Pricing Options on Stocks with Known Dividends: A Note on Hull's Popular Book
Qiang Liu
and
Shuxin Guo
Date Posted: August 10, 2012Last Revised: February 04, 201378 downloads
Contingent Convertible ('CoCo') Bonds: A First Empirical Assessment of Selected Pricing Models
Sascha Wilkens
and
Nastja Bethke
Date Posted: August 09, 2012Last Revised: April 11, 2013414 downloads
Hedging Emerging Market Bonds and the Rise of the Credit Default Swap International Review of Financial Analysis, Vol. 16, No. 5, 2007
Frank S. Skinner and
Julinda Nuri
Date Posted: August 08, 201224 downloads
Rare Events and Investor Risk Aversion: Evidence from Crude Oil Options
Marie-Hélène Gagnon
and
Gabriel J. Power
Date Posted: August 08, 201241 downloads
Swapping Headline for Core Inflation: An Asset Liability Management Approach Southwestern Finance Association 2013 Annual Meeting Paper, Albuquerque NM, European Business Research Conference Proceedings, Rome 2012.
Nicolas Fulli-Lemaire
and
Ernesto Palidda
Date Posted: August 08, 2012Last Revised: March 07, 201385 downloads
Concept and Mathematics of Islamic Financial Engineering 8th International Conference on Islamic Economics and Finance,
20 December 2011, Doha, Qatar
Nadi Serhan Aydin
and
Martin Rainer
Date Posted: August 06, 2012Last Revised: August 08, 2012167 downloads
Finite Maturity Optimal Stopping of Levy Processes with Running Cost, Stopping Cost and Terminal Gain
Budhi Arta Surya
Date Posted: August 06, 201258 downloads
Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance IMF Working Paper No. WP/12/194
Tiago Severo
Date Posted: August 06, 2012109 downloads
Segmenting Supply Chain Risk Using E/CTRM Systems: Unifying Theory of Commodity Hedging and Arbitrage
Michael Mack Frankfurter
Date Posted: August 06, 2012205 downloads
Commodity Futures Returns and Idiosyncratic Volatility
Joelle Miffre ,
Ana-Maria Fuertes and
Adrián Fernández-Pérez
Date Posted: August 01, 2012Last Revised: October 26, 2012151 downloads
From Spot Volatility to Forward Volatility
Gilles Boya
affiliation not provided to SSRN
Date Posted: July 30, 2012145 downloads
On the Optimal Type and Level of Guarantees for Prospect Theory Investors
Sebastian Ebert
,
Birgit Koos
and
Judith C. Schneider
Date Posted: July 27, 2012Last Revised: December 17, 201292 downloads
Optimal Capital Structure and Growth Options in Mergers and Acquisitions Midwest Finance Association 2013 Annual Meeting Paper
Elettra Agliardi
,
Amir Amel-Zadeh
and
Nicos Koussis
Date Posted: July 27, 2012Last Revised: February 24, 2013211 downloads
A Mathematical Theory of Financial Bubbles
Philip Protter
Date Posted: July 24, 2012Last Revised: November 04, 2012408 downloads
Price Discovery in European Energy Markets
John Swieringa
Date Posted: July 24, 2012Last Revised: September 06, 201240 downloads
Prices and Asymptotics for Discrete Variance Swaps
Carole Bernard
and
Zhenyu Cui
Date Posted: July 23, 2012Last Revised: June 07, 2013124 downloads
Funded Replication: Fund Exchange Process and the Valuation with Different Funding-Accounts (Cross-Currency Analogy to Funding Revisited)
Christian P. Fries
Date Posted: July 23, 2012Last Revised: July 25, 2012101 downloads
Nearly Exact Option Price Simulation Using Characteristic Functions International Journal of Theoretical and Applied Finance, Forthcoming
Carole Bernard
,
Zhenyu Cui
and
Don McLeish
affiliation not provided to SSRN
Date Posted: July 23, 2012130 downloads
Psychological Barriers and Option Pricing
Bong-Gyu Jang
,
Changki Kim
,
Kyeong Tae Kim
,
Seungkyu Lee
and
Dong-Hoon Shin
Date Posted: July 23, 201292 downloads
An Empirical Study of the Information Premium on Electricity Markets
Richard Biegler-König
,
Fred Espen Benth
and
Ruediger Kiesel
Date Posted: July 21, 201267 downloads
Correlation as a Pricing Factor for Oil Derivatives
Pierre Six
Date Posted: July 21, 201248 downloads
Electricity Options and Additional Information
Richard Biegler-König
,
Fred Espen Benth
and
Ruediger Kiesel
Date Posted: July 21, 201276 downloads
Contingent Capital: An In‐Depth Discussion Economic Notes, Vol. 41, Issue 1‐2, pp. 59-79, 2012,
Stan Maes and
Wim Schoutens
affiliation not provided to SSRN
and
KU Leuven - Department of Mathematics
Date Posted: July 19, 2012
Measuring the Stance of Monetary Policy in Zero Lower Bound Environments CAMA Working Paper No. 35/2012, 25th Australasian Finance and Banking Conference 2012
Leo Krippner
Date Posted: July 19, 2012Last Revised: August 07, 201224 downloads
Going for Broke: Optimizing Investments in Distressed Debt
Sanjiv Ranjan Das and
Seoyoung Kim
Date Posted: July 17, 2012Last Revised: August 14, 201245 downloads
Cost of Equity and Risk: Empirical Evidence from Russia
Yury Dranev
,
Sofya Fomkina
,
Yana Nurdinova
and
Victor Redkin
Date Posted: July 16, 2012Last Revised: March 08, 201316 downloads
Modeling the Dynamics of Correlations Among Implied Volatilities
Robert F. Engle and
Stephen Figlewski
Date Posted: July 15, 2012300 downloads
All Risks Matter 25th Australasian Finance and Banking Conference 2012
Weiping Li
and
Tim Krehbiel
Date Posted: July 12, 2012Last Revised: July 14, 201237 downloads
Dynamic Portfolio Choice
Andrew Ang
Date Posted: July 11, 2012901 downloads
Illustrating a Problem in the Self-Financing Condition in Two 2010-2011 Papers on Funding, Collateral and Discounting
Damiano Brigo ,
Cristin Buescu ,
Andrea Pallavicini
and
Qing Daphne Liu
Date Posted: July 10, 2012Last Revised: July 17, 2012122 downloads
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