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JEL Code: G13
1,867,568 Total downloads
Showing Papers 421 - 470 of 4,952
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Time-Varying Risk Premia, Volatility, and Technical Trading Rule Profits: Evidence from Foreign Currency Futures Markets Journal of Financial Economics (JFE), Vol. 41, No. 2, 1996
Bong-Chan Kho
Date Posted: January 07, 2008
Time-Varying Optimal Currency Hedging and the Preference for Skewness
Yongyang Su and
A. Tolga Ergun
Date Posted: March 22, 2010Last Revised: March 09, 2011
Time-Varying Distribution and Hedging Effectiveness of Three Pacific-Basin Stock Futures EFMA 2000 Athens
Taufiq Choudhry
Date Posted: December 31, 200028 downloads
Time-Varying Distribution and Hedging Effectiveness of Three Pacific-Basin Stock Futures EFMA 2000 Athens
Taufiq Choudhry
Date Posted: December 18, 2000414 downloads
Time-to-Market Capability as a Stackelberg Growth Option
Enrico C. Perotti and
Nalin Kulatilaka
Date Posted: May 19, 2000372 downloads
Time-Consistent and Market-Consistent Evaluations CentER Working Paper Series No. 2012-086
Mitja Stadje
and
Antoon Pelsser
Date Posted: June 02, 2011Last Revised: October 24, 201263 downloads
Time-Consistent and Market-Consistent Actuarial Valuations
Antoon Pelsser
Date Posted: February 12, 201089 downloads
Time-Changed Processes and the Cauchy's Theorem
Oscar Gutiérrez Arnáiz
Date Posted: February 25, 2003139 downloads
Time-Changed Levy Process and Option Pricing
Peter Carr and
Liuren Wu
Date Posted: September 26, 2001793 downloads
Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube Swiss Finance Institute Research Paper No. 12-23
Markus Leippold and
Jacob Stromberg
Date Posted: May 24, 2012Last Revised: May 22, 2013137 downloads
Time-Change Risks and the Aggregate Stock Market Behavior
Roberto Marfè
Date Posted: January 16, 201184 downloads
Time Varying Three Way Decompositions of Posted Spreads
Fredrik Berchtold
Date Posted: June 08, 2004117 downloads
Time Variation in the Tail Behaviour of Bunds Futures Returns ECB Working Paper No. 199; Economic Research Centre of the Deutschen Bundesbank Discussion Paper No. 25/02
Thomas Werner
and
Christian Upper
Date Posted: April 07, 2003138 downloads
Time to Efficiency of the French CAC 40 Index Options Market EFMA 2004 Basel Meetings Paper
Laurent Deville
Date Posted: June 12, 2004161 downloads
Time Series Volatility Forecasts for Option Valuation and Risk Management AFA 2008 New Orleans Meetings Paper
Louis H. Ederington and
Wei Guan
Date Posted: January 15, 2007Last Revised: August 30, 2008383 downloads
Time for a Change: The Variance Gamma Model and Option Pricing
Harvey J. Stein
,
Peter Carr and
Apollo Hogan
Date Posted: January 12, 20071611 downloads
Time Dependent Barrier Option Values Journal of Futures Markets, Vol. 17, No. 6, pp. 667-688, 1997
C. H. Hui
Date Posted: May 08, 2007426 downloads
Time Charters with Purchase Options in Shipping: Valuation and Risk Management
Peter Løchte Jørgensen and
Domenico De Giovanni
Date Posted: February 01, 2009Last Revised: June 13, 2011250 downloads
Time Changed Markov Processes in Unified Credit-Equity Modeling FDIC Center for Financial Research Working Paper No. 2008-03
Peter Carr ,
Vadim Linetsky
and
Rafael Mendoza-Arriaga
Date Posted: March 28, 2008367 downloads
Time and Trading Behaviour with an Electronic Order Book: Evidence from the Spanish Futures Market
Pascal Barneto
Date Posted: May 15, 2001289 downloads
Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence 24th Australasian Finance and Banking Conference 2011 Paper
Michal Czerwonko
,
Nabil Khoury
,
Stylianos Perrakis and
Marko Savor
Date Posted: August 22, 2011Last Revised: May 27, 201238 downloads
Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market
Francis A. Longstaff ,
Eduardo S. Schwartz and
Pedro Santa-Clara
Date Posted: July 02, 1999910 downloads
Threshold Levels, Strike Price Grid and Other Market Microstructure Issues
Associated with Exchange Traded Equity Options: A Note The Journal of Futures Markets, Forthcoming
Edwin D. Maberly ,
Raylene M. Pierce and
Patrick Catania
Date Posted: February 27, 2009
Three-Benchmarked Risk Minimization for Jump Diffusion Markets University of Technology, Sydney, Quantitative Finance Research Centre, Research Paper No. 296
Ke Du
and
Eckhard Platen
Date Posted: November 04, 201225 downloads
Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation
Peter H. Gruber
,
Roberto Renò ,
Claudio Tebaldi and
Fabio Trojani
Date Posted: March 18, 2011290 downloads
Three Essays on Contingent Claims Pricing
Anlong Li
Date Posted: June 06, 2006281 downloads
Three Centuries Of Asset Pricing As Published in Journal of Banking & Finance, Vol. 23, 1999
Elroy Dimson and
Massoud Mussavian
Date Posted: January 11, 2000
Three Centuries Of Asset Pricing London Business School Accounting Subject Area
Elroy Dimson and
Massoud Mussavian
Date Posted: January 11, 20004859 downloads
Thinking by Analogy and Option Prices
Hammad Siddiqi
Date Posted: August 05, 201140 downloads
Theory of Storage: An Empirical Assessment of the European Natural Gas Market DIW Berlin Discussion Paper No. 821
Marcus Stronzik ,
Margarethe Rammerstorfer
and
Anne Neumann
Date Posted: June 29, 2009107 downloads
Theory of Rational Option Pricing: II
Bruce D. Grundy and
Zvi Wiener
Date Posted: October 02, 1999
Theory of Rational Futures-Style Option Pricing
Rodolfo Oviedo and
Domingo A. Tarzia
Date Posted: September 10, 2009153 downloads
Theory of Financial Risk: Basic Notions in Probability
Jean-Philippe Bouchaud and
Marc Potters
Date Posted: July 04, 19992476 downloads
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options
Liuren Wu and
Peter Carr
Date Posted: June 20, 2005447 downloads
Theory and Calibration of Swap Market Models FAME Working Paper No. 107
Stefano Galluccio
,
O. Scaillet ,
Zhijiang Huang
and
Jean-Michel Ly
affiliation not provided to SSRN
and
BNP Paribas Fixed Income
Date Posted: February 27, 20051071 downloads
Theoretical and Empirical Review of Asset Pricing Models: A Structural Synthesis International Journal of Economics and Financial Issues, Vol. 2, No. 2, 2012, pp.141-178
Saban Celik
Date Posted: April 05, 201287 downloads
The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
Marco Bianchetti
Date Posted: October 31, 2011Last Revised: October 29, 2012372 downloads
The Yield Curve, Recessions, and the Credibility of the Monetary Regime: Long-Run Evidence, 1875-1997 FRB of Cleveland Working Paper No. 04-02
Michael D. Bordo and
Joseph G. Haubrich
Date Posted: October 30, 200798 downloads
The Yield Curve and Bond Option Prices with Discrete Shifts in Economic Regimes
Vasant Naik and
Moon Lee
Date Posted: October 02, 1999
The Weekend Effect in Equity Option Returns AFA 2010 Atlanta Meetings Paper, Marshall School of Business Working Paper No. FBE 03-10
Christopher S. Jones and
Joshua Shemesh
Date Posted: March 22, 2009Last Revised: September 17, 2012520 downloads
The Volatility Risk Premium Embedded in Currency Options Journal of Financial and Quantitative Analysis, Forthcoming
Buen Sin Low and
Shaojun Zhang
Date Posted: December 29, 2004
The Volatility of Interest Rates and Forward Rates in the Hull White Model
Joachim Paulusch
Date Posted: October 10, 2012132 downloads
The Volatility is the Message: How Commodities Protect 51 Country Benchmark Portfolios from Inflation J.P. Morgan Global Commodities Research, January 2011
Colin P. Fenton
,
Lawrence E. Eagles
,
Michael J. Jansen
,
Scott C. Speaker
,
Jeff G. Brown
,
David G. Martin
,
Peter K Nance ,
Lewis A. Hagedorn
,
Jonah Waxman
,
Tobin Gorey
,
Sung K. Yoo
,
Ryan F. Sullivan
,
Shikha Chaturvedi
and
Elizabeth M. Volynsky
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
United States Association for Energy Economics
,
J.P. Morgan Chase & Co.
,
affiliation not provided to SSRN
,
J.P. Morgan Chase & Co.
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: September 05, 2011125 downloads
The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks Forthcoming, Journal of Futures Markets
Lin Gao
and
Lu Liu
Date Posted: June 26, 2011Last Revised: November 06, 2012126 downloads
The VIX Futures Basis: Evidence and Trading Strategies
David P. Simon
and
Jim Campasano
Date Posted: June 28, 20122797 downloads
The Variance Risk Premium Around the World
Juan M. Londono
Date Posted: March 09, 2011108 downloads
The Variance Risk Premium Around the World FRB International Finance Discussion Paper No. 1035
Juan M. Londono
Date Posted: February 23, 2012125 downloads
The Value Relevance of Alternative Methods of Accounting for Employee Stock Options
Wayne R. Landsman ,
Ken V. Peasnell ,
Peter F. Pope and
Shu Yeh
Date Posted: August 01, 2004700 downloads
The Value of Tradeability Swiss Finance Institute Research Paper No. 11-37
Marc Chesney and
Alexander Kempf
Date Posted: September 21, 201180 downloads
The Value of the Early Unwind Option in Futures Contracts with an Endogenous Basis 94-02
Wolfgang Bühler and
Alexander Kempf
Date Posted: July 05, 1998
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