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JEL Code: G13
1,850,518 Total downloads
Showing Papers 4,401 - 4,450 of 4,933
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Importance of Mean-Reversion of Interest Rate Processes for Options: The Example of Range Warrants OR Spektrum, Vol. 21, Issue 1-2, 1999
Marliese Uhrig-Homburg
Date Posted: May 19, 1999
Market Risk and Model Risk for a Financial Institution Writing Options
T. Clifton Green and
Stephen Figlewski
Date Posted: May 14, 19991227 downloads
Market Risk and Model Risk For a Financial Institution Writing Options Journal of Finance, August 1999
T. Clifton Green and
Stephen Figlewski
Date Posted: May 07, 1999
Option Volume and Volatility Response to Scheduled Economic News Releases: Evidence of Informed Trading
John R. Nofsinger and
Brian Prucyk
Date Posted: May 05, 1999373 downloads
Complementary Markets
Sharon Brown-Hruska and
Paul A. Laux
Date Posted: May 05, 1999187 downloads
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives April 1999
Antje Brigitte Mahayni ,
Erik Schlogl and
Lutz Schlögl
Date Posted: May 04, 1999412 downloads
Option Pricing with Unobserved and Regime-Switching Volatility
Sean D. Campbell and
Canlin Li
Date Posted: May 04, 1999
Arrow-Debreu Prices for Affine Models
Silverio Foresi and
Regis Van Steenkiste
Date Posted: April 26, 19991547 downloads
Crash Discovery in Stock and Option Markets
Dilip B. Madan and
Gurdip Bakshi
Date Posted: April 20, 1999630 downloads
Is Sound Just Noise? EFA 0244; University of Michigan Business School Working Paper No. 98024
Joshua D. Coval and
Tyler Shumway
Date Posted: April 20, 1999338 downloads
Is Volatility Risk Priced in the Option Market?
Andrea Buraschi and
Jens Carsten Jackwerth
Date Posted: April 19, 19991383 downloads
The Potential Approach to Bond and Currency Pricing
Markus Leippold and
Liuren Wu
Date Posted: April 17, 19991049 downloads
A Model of Corporate Bond Prices with Dynamic Capital Structure
Miikka Tauren
Date Posted: April 17, 1999975 downloads
Exchange Option and Spread Option with Stochastic Interest Rate UWaterloo99
Craig Liu and
Deng-Feng Wang
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: April 14, 1999
A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model
Leif B. G. Andersen
Date Posted: April 07, 19994747 downloads
Spanning and Derivative-Security Valuation
Dilip B. Madan and
Gurdip Bakshi
Date Posted: April 07, 19991040 downloads
Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies
Anders Grosen and
Peter Løchte Jørgensen
Date Posted: April 07, 1999771 downloads
Estimation of Stochastic Volatility Models for the Purpose of Option Pricing Proceedings of the Sixth International Conference on Computational Finance, Leonard N. Stern School of Business, January 6-8, 1999
Mikhail Chernov and
Eric Ghysels
Date Posted: April 07, 1999
Statistical Mechanics of Financial Markets: Exponential Modifications to Black-Scholes
Jennifer K. Wilson
Date Posted: April 05, 1999416 downloads
Valuation of European Options Subject to Financial Distress and Interest Rate Risk Journal of Derivatives, Spring 1999
Peter Klein and
Michael Inglis
Date Posted: April 03, 1999
Derivative Securities: What They Tell Us?
Jing Chen
Date Posted: April 03, 1999Last Revised: September 30, 20101051 downloads
Transform Analysis and Asset Pricing for Affine Jump-Diffusions
Darrell Duffie ,
Jun Pan and
Kenneth J. Singleton
Date Posted: April 03, 19991796 downloads
Value at Risk for Derivatives Journal of Derivatives, Spring 1999
Lina El-Jahel ,
William Perraudin and
Peter Sellin
Date Posted: March 31, 1999
Pricing Discrete Knock-Out Options with Tree Methods OR Spektrum, Vol. 21, Issue 1-2, 1999
Manfred Steiner ,
Martin Wallmeier and
Reinhold Hafner
Date Posted: March 31, 1999
Optimal Control of Option Portfolios and Applications OR Spektrum, Vol. 21, Issue 1-2, 1999
Ralf Korn and
Siegfried Trautmann
Date Posted: March 31, 1999
Prices As Aggregators of Private Information: Evidence from the S&P 500 Futures Market
Jin-wan Cho and
Murugappa (Murgie) Krishnan
affiliation not provided to SSRN
and
Yeshiva University
Date Posted: March 30, 1999326 downloads
Estimating Gram-charlier Expansions Under Positivity Constraints
Eric Jondeau and
Michael Rockinger
Date Posted: March 26, 1999
Closed Form Valuation of American Barrier Options Tempus Financial Engineering No. 4/98
Espen Gaarder Haug
affiliation not provided to SSRN
Date Posted: March 23, 19991355 downloads
Building Models for Credit Spreads Journal of Derivatives, Spring 99 issue
Angelo Arvanitis ,
Jean Paul Laurent and
Jonathon Gregory
Date Posted: March 14, 1999
A Framework for Valuing Corporate Securities Applied Mathematical Finance, 1998 Vol. 5
Jan Ericsson and
Joel Reneby
Date Posted: March 11, 1999
Advantages to Competing with Yourself: Why an Exchange Might Design Futures Contracts with Correlated Payoffs JOURNAL OF FINANCIAL INTERMEDIATION, Vol 4 No 2, April 1995
Elizabeth Tashjian and
Maayana Weissman
affiliation not provided to SSRN
Date Posted: March 08, 1999
A Note on the Valuation of Risky Corporate Bonds OR Spektrum, Vol. 21, Issue 1-2, 1999
Rainer Schoebel
Date Posted: March 02, 1999
Barrier Put-Call Transformations TFE Number 3/97
Espen Gaarder Haug
affiliation not provided to SSRN
Date Posted: February 25, 19991278 downloads
FX Derivatives with Pre-Announced Peg: EMU Ins
Jean-Marc Bottazzi and
Andreas Hueffmann
Date Posted: February 25, 1999132 downloads
Option Replication with Large Transactions Costs OR Spektrum, Vol. 21, Issue 1-2, 1999
Ariane Reiss
Date Posted: February 25, 1999
Hedging and Liquidation under Transaction Costs in Currency Markets Finance and Stochastics, Vol. 3, Issue 2, 1999
Youri Kabanov
Date Posted: February 25, 1999
Optimal Stopping for a Diffusion with Jumps Finance and Stochastics, Vol. 3, Issue 2, 1999
Ernesto Mordecki
Date Posted: February 25, 1999
A Continuous-Time Re-examination of the Inefficiency of Dollar-Cost Averaging SSBFIN-9901
Moshe A. Milevsky and
Steven E. Posner
Date Posted: February 19, 1999540 downloads
Vulnerable Options, Risky Corporate Bond and Credit Spread
Melanie Cao and
Jason Zhanshun Wei
Date Posted: February 17, 1999
Macroeconomic Announcements and Volatility of Treasury Futures UCSD Economics Discussion Paper 98-27
Li Li and
Robert F. Engle
Date Posted: February 17, 1999
Exploding Hedging Errors for Digital Options Finance and Stochastics, Vol. 3, Issue 2, 1999
Christoph Gallus
Date Posted: February 16, 1999
The Impact of Trader Type on the Futures Volatility-Volume Relation Journal of Finance
Robert T. Daigler and
Marilyn K. Wiley
Date Posted: February 16, 1999
Corporate Hedging and Speculative Incentives: Implications for Swap Market Default Risk
Abon Mozumdar
Date Posted: February 10, 1999
Evaluating the Risk of Portfolios With Options
Elizabeth A. Sheedy and
Robert G. Trevor
Date Posted: February 08, 1999515 downloads
A New Options Theory for Risk Multipliers of Attorney's Fees in Federal Civil Rights Litigation New York University Law Review, Vol. 73, No. 6, December 1998
Peter H. Huang
Date Posted: February 04, 1999
On the Profit and Loss Distribution of Dynamic Hedging Strategies International Journal of Theoretical and Applied Finance, Vol. 2, 1999, pp. 131-153
Sergei Esipov and
Igor Vaysburd
Date Posted: February 02, 1999
On the Profit and Loss Distribution of Dynamic Hedging Strategies Discussion Paper Series No. 9899-03
Sergei Esipov and
Igor Vaysburd
Date Posted: February 02, 19992399 downloads
Importance of Mean-Reversion of Interest Rate Processes for Options: The Example of Range Warrants University of Mannheim, Working Paper No. 98-12
Marliese Uhrig-Homburg
Date Posted: February 02, 1999
Collectively Fluctuating Assets in the Presence of Arbitrage Opportunities and Option Pricing
Alexander N. Adamchuk and
Sergei Esipov
Date Posted: February 02, 19992069 downloads
Embedded Options in the Mortgage Contract
Brent W. Ambrose and
Richard J. Buttimer Jr.
Date Posted: February 02, 1999728 downloads
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