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JEL Code: G13
1,850,735 Total downloads
Showing Papers 4,001 - 4,050 of 4,933
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Financial Press Coverage and Expected Stock Returns EFMA 2002 London Meetings
Christopher Gadarowski
Date Posted: May 09, 2001610 downloads
Pricing Swaptions within the Affine Framework Washington University Department of Finance WP
Pierre Collin-Dufresne and
Robert S. Goldstein
Date Posted: May 09, 2001605 downloads
Risk Attitudes of Bond Investors EFMA 2001 Lugano Meetings
B. Philipp Kellerhals and
Rainer Schoebel
Date Posted: May 05, 2001390 downloads
Capital Structure and Firm Value: A Study of Split-Capital Closed-End Funds in the UK EFMA 2001 Lugano Meetings
Gordon Gemmill
Date Posted: May 04, 20011356 downloads
Modeling S&P 500 Futures Mispricing Using a Neural Network. The Review of Futures Markets, Vol. 12, No. 2, 1993, Cass Business School Research Paper
Date Posted: May 02, 2001
Using High Frequency Stock Market Index Data to Calculate, Model & Forecast Realized Return Variance European Univ., Economics Discussion Paper No. 2001/6
Roel C. A. Oomen
Date Posted: May 01, 2001993 downloads
Skewness and Kurtosis Implied by Option Prices: A Correction The Journal of Financial Research, Forthcoming
Christine A. Brown and
David M. Robinson
Date Posted: April 28, 2001
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks FMG Discussion Paper No. 0350
Eric Benhamou
Date Posted: April 27, 2001492 downloads
A Martingale Result for Convexity Adjustment in the Black Pricing Model LSE Working Paper
Eric Benhamou
Date Posted: April 27, 20011508 downloads
Risk Minimization and Trading Performance of Dynamic Hedging Models: Time Varying Covariance and Volatility Transmission Effects EFMA 2001 Lugano Meetings
Gerard Gannon and
Michael Chng
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: April 25, 2001336 downloads
Option Pricing with Levy Process LSE Working Paper
Eric Benhamou
Date Posted: April 16, 20011327 downloads
Unconditional First Moment and Conditional Second Moment Effects: Intra-Day Stock Price, Market Index and Futures Price Processes EFMA Athens 2000 Meeting
Gerard Gannon
affiliation not provided to SSRN
Date Posted: April 13, 2001236 downloads
Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
George J. Jiang and
Pieter Jelle van der Sluis
Date Posted: April 03, 2001297 downloads
Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates European Finance Review, Vol. 3, No. 3
George J. Jiang and
Pieter Jelle van der Sluis
Date Posted: April 03, 2001
Small Dimension PDE for Discrete Asian Options LSE Working Paper
Eric Benhamou
and
Alexandre Duguet
Date Posted: April 03, 2001684 downloads
The Monotonicity of the Option-Value/Risk Relation: A Note
Robert R. Bliss
Date Posted: April 02, 2001168 downloads
Swap Pricing with Two-Sided Default Risk in a Rating-Based Model
David Lando and
Brian Huge
Date Posted: March 29, 2001314 downloads
Swap Pricing with Two-Sided Default Risk in a Rating-Based Model European Finance Review, Vol. 3, No. 3
David Lando and
Brian Huge
Date Posted: March 29, 2001
The Valuation of Contingent Claims Under Portfolio Constraints:
Reservation Buying and Selling Prices European Finance Review, Vol. 3, No. 3
Claus Munk
Date Posted: March 29, 2001
Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk European Finance Review, Vol. 3, No. 3
Dietmar Leisen
Date Posted: March 29, 2001
Patent Law and Financial Engineering Derivatives Quarterly, Winter 2000
J.B. Heaton III
Date Posted: March 27, 2001
A New Stochastic Duration Based on the Vasicek and CIR Term Structure Theories J of Business Finance and Accounting, Vol. 27, No. 7&8, September/October 2000
Xueping Wu
Date Posted: March 27, 2001
On Modelling Credit Risk Using Arbitrage Free Models EFMA 2001 Lugano Meetings
Frank S. Skinner and
Antonio Diaz
Date Posted: March 27, 2001677 downloads
Pricing Convexity Adjustment with Wiener Chaos FMG Dp351
Eric Benhamou
Date Posted: March 21, 20011486 downloads
The Sensitivity of Implied Volatility to Expectations of Jumps in Volatility: An Explanation to the Illusory Bias in Implied Volatility as a Forecast EFMA 2001 Lugano Meetings
Date Posted: March 21, 2001478 downloads
An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets EFA 2001 Barcelona Meetings
Anurag Gupta and
Marti G. Subrahmanyam
Date Posted: March 19, 2001420 downloads
Russian Options for a Diffusion with Negative Jumps
Ernesto Mordecki and
Walter Moreira
Date Posted: March 18, 2001
Option Pricing Under Discrete Shifts in Stock Returns
Kyriakos Chourdakis and
Elias Tzavalis
Date Posted: March 17, 2001242 downloads
The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets
Young Ho Eom ,
Jun Uno and
Marti G. Subrahmanyam
Date Posted: March 17, 200192 downloads
Valuing the Option to Purchase an Asset at a Proportional Discount The Journal of Financial Research, Forthcoming
Anthony Yanxiang Gu
Date Posted: March 17, 2001
Kulatilaka '88 as a CVP Analysis in a Real Option Framework: A Review, Gauss Codes and Numerical Examples Universita degli Studi - L'Aquila, Facolta di Economia, Dip. di Sistemi ed Istituzioni per l'Economia Serie Working Papers di Economia Aziendale
Giuseppe Alesii II
Date Posted: March 15, 20011332 downloads
Kulatilaka '93: The Case of a Dual Fuel Boiler: A Review, Gauss Codes and Numerical Examples Universita degli Studi - L'Aquila, Facolta di Economia, Dip. di Sistemi ed Istituzioni per l'Economia Serie Working Papers di Economia Aziendale
Giuseppe Alesii II
Date Posted: March 15, 2001467 downloads
Credit Explosives Bank of America Fixed Income Research Working Paper
Jesper Andreasen
Date Posted: March 09, 2001851 downloads
Pricing, No-arbitrage Bounds and Robust Hedging of Installment Options EFMA 2001 Lugano Meetings
Mark Davis ,
Walter Schachermayer and
Robert Tompkins
Date Posted: March 09, 2001369 downloads
Warrant Pricing: A Review of Empirical Research
Chris Veld
Date Posted: February 23, 20011521 downloads
A Libor Market Model with Default Risk
Philipp Schönbucher
Date Posted: February 21, 20012914 downloads
Duration, Convexity and Higher Order Hedging (Revisited) Yale SOM Working Paper No. ICF - 00-22
Andrew Jeffrey
Date Posted: February 19, 20011611 downloads
Hedging with a Misspecified Model
Nicki Søndergaard Rasmussen
Date Posted: February 19, 2001188 downloads
Growth Outlook and the Cross-section of Stock Returns
Amy Chan and
Gurdip Bakshi
Date Posted: February 16, 2001
Very High Order Lattice Methods for One Factor Models
Jonathan Alford and
Nick Webber
Date Posted: February 15, 2001413 downloads
Measuring Off-Balance-Sheet Leverage IMF Working Paper No. 00/202
Peter Breuer
Date Posted: February 14, 20011536 downloads
The Relative Pricing of U.S. Treasury STRIPS: Empirical Evidence Journal of Financial Economics, Vol. 56, Issue 1, April 2000
Bradford D. Jordan ,
Randy D. Jorgensen and
David R. Kuipers
Date Posted: February 12, 2001
Does Conditioning Information Matter in Estimating Continuous Time Interest Rate Diffusions? Journal of Financial and Quantitative Analysis, Cass Business School Research Paper
Abhay Abhyankar and
Devraj Basu
Date Posted: February 11, 2001
A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation Journal of Financial Economics, Vol. 56, No. 3, June, 2000
Mikhail Chernov and
Eric Ghysels
Date Posted: February 10, 2001
Pricing Eurodollar Futures Options Using the BDT Term Structure Model: The Effect of Yield Curve Smoothing Journal of Futures Markets, Vol. 20, pp. 293-306, March 2000
Turan G. Bali and
Ahmet Karagozoglu
Date Posted: February 10, 2001
Flexible Term Structure Estimation: Which Method Is Preferred? Yale ICF Working Paper No. 00-25
Andrew Jeffrey ,
Oliver B. Linton and
Thong Nguyen
affiliation not provided to SSRN
Date Posted: February 08, 20011003 downloads
Option Pricing Based on the Generalized Lambda Distribution Journal of Futures Market, February, 2001
Charles J. Corrado
Date Posted: February 04, 2001477 downloads
A Simple Regime Switching Term Structure Model Finance and Stochastics, Vol. 4, Issue 4
Asbjorn T. Hansen and
Rolf Poulsen
Date Posted: January 29, 2001
Index-Futures Arbitrage Before and After the Introduction of Sixteenths on the NYSE
Thomas Henker and
Martin Martens
Date Posted: January 27, 2001411 downloads
Simulating the Evolution of the Implied Distribution European Financial Management Journal
George S. Skiadopoulos and
Stewart D. Hodges
Date Posted: January 19, 2001
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