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Abstracts: 592,608
Full Text Papers: 492,698
Authors: 274,327
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Last 12 months: 10,483,137
Last 30 days: 1,034,667

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SSRN eLibrary Search Results
JEL Code: G13
2,140,090 Total downloads
Showing Papers 41 - 90 of 5,637
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1 2 3 4 ... 113 | Next >
   


Incl. Electronic Paper Model-Free Implied Variance Measures
Sven Balder
University of Duisburg-Essen - Mercator School of Management
Date Posted: February 27, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper On the EUR/CHF Exchange Rate that Would Have Prevailed Without the SNB's Minimum Exchange Rate Policy
Markus Hertrich
University of Basel - Center for Economic Science (WWZ) - Department of Finance
Date Posted: February 25, 2015
Last Revised: February 28, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Quanto Implied Correlation in a Multi-Lévy Framework
Laura Ballotta , Griselda Deelstra and Grégory Rayée
City University London - Sir John Cass Business School , Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Date Posted: February 24, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Analogy Based Valuation of Currency Options
Hammad Siddiqi
University of Queensland
Date Posted: February 24, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Stochastic Volatility Double Jump-Diffusions Model: The Importance of Distribution Type of Jump Amplitude
Youfa Sun and Shimin Guo
Guangdong University of Technology and Xi'an Jiaotong University (XJTU)
Date Posted: February 23, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Jumping Off the Bandwagon: Introducing Jumps to Equity Correlation
Valer Zetocha
Independent
Date Posted: February 23, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Arbitrage-Free Pricing of XVA – Part II: PDE Representation and Numerical Analysis
Maxim Bichuch , Agostino Capponi and Stephan Sturm
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences , Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Date Posted: February 23, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper How to Stress Test Benchmark Relative Portfolios
Daniel Satchkov
RiXtrema Inc.
Date Posted: February 22, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Pricing CoCos with a Market Trigger
José Manuel Corcuera and Arturo Valdivia
University of Barcelona and University of Barcelona
Date Posted: February 20, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Nonparametric Estimates of Option Prices Using Superhedging
University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 293
Gianluca Cassese
University of Milan, Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS)
Date Posted: February 18, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Contingent Capital, Capital Structure and Investment
Yingxian Tan and Zhaojun Yang
Hunan University - School of Finance and Statistics and Hunan University - School of Finance and Statistics
Date Posted: February 15, 2015
Last Revised: February 16, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Price Discovery in Gold Markets: China and the US
Dong Zhang
Stockholm University - Stockholm Business School
Date Posted: February 15, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Dynamic Redemption, Default Risk and Evaluation of an LBO - A Crossing Boundary Approach
Alexander D.F. Lahmann , Maximilian Schreiter and Bernhard Schwetzler
HHL Leipzig Graduate School of Management , HHL Leipzig Graduate School of Management and HHL Leipzig Graduate School of Management - Department of Finance
Date Posted: February 15, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Crude Oil Returns and Risk-Neutral Implied Volatility
Arjun Chatrath , Hong Miao , Sanjay Ramchander and Tianyang Wang
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration , Colorado State University, Fort Collins - Department of Finance & Real Estate , Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Date Posted: February 14, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper A Multi-Fuel Structural Model for the Electricity Market applied to CHP Generation
Thomas Wottka
RWE Group - RWE Supply & Trading GmbH
Date Posted: February 14, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Cumulative Prospect Theory and the Variance Premium
Netspar Discussion Paper No. 12/2014-067
Lieven Baele , Joost Driessen , Juan M. Londono and Oliver G. Spalt
Tilburg University - Department of Finance , Tilburg University - Department of Finance , Federal Reserve Board of Governors and Tilburg University - Department of Finance
Date Posted: February 14, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Market Excess Returns, Variance and the Third Cumulant
Eric C. Chang , Jin E. Zhang and Huimin ZHAO
University of Hong Kong - School of Business , University of Otago, School of Business,Department of Accountancy and Finance and Zhongshan University
Date Posted: February 13, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Pricing European Options Based on the Hesitancy Degree of Investors
Lei Ming and Shenggang Yang
Hunan University - School of Finance and Statistics and Hunan University - School of Finance and Statistics
Date Posted: February 11, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Are Corporate Spin-Offs Prone to Insider Trading?
Patrick Augustin , Menachem Brenner , Jianfeng Hu and Marti G. Subrahmanyam
McGill University, Desautels Faculty of Management , New York University (NYU) - Department of Finance , Singapore Management University - Lee Kong Chian School of Business and New York University - Stern School of Business
Date Posted: February 11, 2015
Working Paper Series
30 downloads

Incl. Electronic Paper Price-to-Earnings Ratios and Option Prices
Journal of Futures Markets, Forthcoming
Ansley Chua , Jared DeLisle , Sze-Shiang Feng and Bong‐Soo Lee
Kansas State University , Utah State University , Synchrony Financial and Florida State University
Date Posted: February 09, 2015
Accepted Paper Series
20 downloads

Incl. Electronic Paper Prospect Theory, Mental Accounting, and Option Prices
Jared DeLisle , Dean Diavatopoulos and Andy Fodor
Utah State University , Seattle University and Ohio University
Date Posted: February 09, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper The Forward Smile in Local-Stochastic Volatility Models
Andrea Mazzon and Andrea Pascucci
Gran Sasso Science Institute and University of Bologna - Department of Mathematics
Date Posted: February 06, 2015
Last Revised: February 10, 2015
Working Paper Series
19 downloads

Incl. Electronic Paper Strategic Liquidation of a Limited Liability Firm
Jamie Alcock , James Peter Brotchie and Stephen Gray
The University of Sydney Business School , University of Queensland - Business School and University of Queensland - Business School
Date Posted: February 06, 2015
Last Revised: February 24, 2015
Working Paper Series
27 downloads

Incl. Electronic Paper Implicit Assumptions and Their Consequences with Models of Demand for Risks
Yiyong Yuan
Southwestern University of Finance and Economics (SWUFE)
Date Posted: February 04, 2015
Last Revised: February 19, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper The Amount of Excess Cash Holdings and Their Influence on Abnormal Returns in IPO's in Tehran Stock Exchange
Indian Journal of Fundamental and Applied Life Sciences, 2014 Vol. 4 (S4), pp. 3545-3555
Mostafa Moslemi , Hamidreza Vakilifard and Naz Mohammad Saadati
Islamic Azad University (IAU) - Arak Branch , Islamic Azad University (IAU) and Islamic Azad University (IAU) - Department of Accounting and Management
Date Posted: February 04, 2015
Accepted Paper Series
16 downloads

Incl. Electronic Paper On the Fundamentals of Winning Virtuous Strategies Creation Toward Leveraged Buyout Transactions Implementation During Private Equity Investment in Conditions of Resonant Absorption of Discrete Information in Diffusion-Type Financial System with Induced Nonlinearities
Dimitri O. Ledenyov and Viktor O. Ledenyov Sr.
James Cook University, Townsville, Australia and V. Karazin Kharkov National University
Date Posted: February 03, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Pricing Contingent Claims with an Underlying Asset Driven by an Extreme Value Distribution: Options on Dow Jones Industrial Average Index, 2009-2010
Frontiers in Finance and Economics, Vol. 10, No. 2, 63-84 (2013)
Francisco Venegas-Martinez , Salvador Cruz Ake and Francisco López-Herrera
Instituto Politécnico Nacional , Instituto Politécnico Nacional and National Autonomous University of Mexico (UNAM)
Date Posted: February 02, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper An Analytic Method Pricing Convertible Bonds: Based on Path Decomposing

Date Posted: February 02, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper XVA Hedging: Measuring its Performance and Risks via Discrete-Time Simulations.
Gabriele Sarais
Imperial College London - Department of Mathematics
Date Posted: February 01, 2015
Working Paper Series
43 downloads

Incl. Electronic Paper Dynamic Factor Models for the Volatility Surface
Michel van der Wel , Sait R. Ozturk and Dick J. C. van Dijk
Erasmus University Rotterdam , Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Date Posted: February 01, 2015
Working Paper Series
57 downloads

Incl. Electronic Paper Common Factors in Commodity Futures Curves
Dennis Karstanje , Michel van der Wel and Dick J. C. van Dijk
Erasmus University Rotterdam , Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Date Posted: February 01, 2015
Last Revised: February 24, 2015
Working Paper Series
61 downloads

Incl. Electronic Paper Intraday Index Predictability and Options Trading Profitability
Kian Guan Lim , ying chen and Nelson Yap
Singapore Management University , National University of Singapore (NUS) and Singapore Management University
Date Posted: February 01, 2015
Working Paper Series
33 downloads

Incl. Electronic Paper Derivatives Funding, Netting and Accounting
Christoph Burgard and Mats Kjaer
Barclays Capital and Bloomberg L.P.
Date Posted: February 01, 2015
Working Paper Series
62 downloads

Incl. Electronic Paper Efficient Estimation of Lower and Upper Bounds for Pricing Higher-Dimensional American Arithmetic Average Options by Approximating Their Payoff Functions
Xing Jin and Cheng-Yu Yang
University of Warwick - Warwick Business School and University of Warwick, Warwick Business School, Students
Date Posted: January 31, 2015
Working Paper Series
16 downloads

Non-Parametric Analysis of Equity Arbitrage
International Review of Economics and Finance, Vol. 33, pp. 199-216, 2014

Date Posted: January 30, 2015
Accepted Paper Series

Incl. Electronic Paper Modeling Credit Contagion Via the Updating of Fragile Beliefs -- Online Appendix
Luca Benzoni , Pierre Collin-Dufresne , Robert S. Goldstein and Jean Helwege
Federal Reserve Bank of Chicago - Research Department , Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute , University of Minnesota - Twin Cities - Carlson School of Management and University of South Carolina
Date Posted: January 29, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Now or Never -- End-Game Effects in Time Limited Real R&D Option Investment
Sebastian Rötzer
Vienna University of Technology
Date Posted: January 27, 2015
Working Paper Series
18 downloads

Correlation between the Grains Based Commodity Futures and Stock of the Commodity Producing Companies.
Subhakara Valluri
Institute of Economics of the Polish Academy of Sciences (INE PAN)
Date Posted: January 26, 2015
Working Paper Series

Incl. Electronic Paper A Discrete-Time Two-Factor Model for Pricing Bonds and Interest Rate Derivatives under Random Volatility
FRB Atlanta Working Paper Series No. 99-20
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Date Posted: January 25, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Preference-Free Option Pricing with Path-Dependent Volatility: A Closed-Form Approach
FRB Atlanta Working Paper Series No. 98-20
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Date Posted: January 25, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Volatility Derivatives in Practice: Activity and Impact
Scott Mixon and Esen Onur
Commodity Futures Trading Commission and Commodity Futures Trading Commission (CFTC)
Date Posted: January 25, 2015
Working Paper Series
70 downloads

Incl. Electronic Paper Simple, Fast and Flexible Pricing of Asian Options
Final version in: Journal of Computational Finance, 4 (3) 89-124 (2001)
Timothy Klassen
Getco LLC
Date Posted: January 25, 2015
Accepted Paper Series
10 downloads

Incl. Electronic Paper Arbitrage-Free Pricing of XVA - Part I: Framework and Explicit Examples
Maxim Bichuch , Agostino Capponi and Stephan Sturm
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences , Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Date Posted: January 24, 2015
Last Revised: February 28, 2015
Working Paper Series
39 downloads

Incl. Electronic Paper Navigating Beyond the Credit Triangle
Yuri A. Katz
S&P Capital IQ
Date Posted: January 24, 2015
Last Revised: February 17, 2015
Working Paper Series
10 downloads

Incl. Fee Electronic Paper Option-Based Credit Spreads
CEPR Discussion Paper No. DP10318
Christopher L. Culp and Pietro Veronesi
Johns Hopkins University - Institute for Applied Economics, Global Health, and Study of Business Enterprise and University of Chicago - Booth School of Business
Date Posted: January 23, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Market Instruments for Collateral Management
Antonio Castagna
Iason Ltd.
Date Posted: January 23, 2015
Working Paper Series
39 downloads

Multilevel Dimension Reduction Monte-Carlo Simulation for High-Dimensional Stochastic Models in Finance
Duy-Minh Dang , Qifan Xu and Shangzhe Wu
School of Mathematics and Physics, University of Queensland , School of Mathematics, University of Queensland and School of Mathematics, University of Queensland
Date Posted: January 21, 2015
Working Paper Series

Dimension and Variance Reduction for Monte Carlo Methods for High-Dimensional Models in Finance
Duy-Minh Dang , Kenneth R. Jackson and Mohammadreza Mohammadi
School of Mathematics and Physics, University of Queensland , University of Toronto - Department of Computer Science and University of Toronto - Department of Statistics
Date Posted: January 21, 2015
Working Paper Series

Incl. Electronic Paper 'Paradox' with Expectation Dependence and Alternative Models of Demand for Risks
Yiyong Yuan
Southwestern University of Finance and Economics (SWUFE)
Date Posted: January 20, 2015
Last Revised: February 26, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Fluctuating Attention and Contagion: Theory and Evidence from the U.S. Equity Market
Rotman School of Management Working Paper No. 2551085
Michael Hasler and Chayawat Ornthanalai
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Date Posted: January 18, 2015
Last Revised: February 19, 2015
Working Paper Series
39 downloads


 

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