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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 684,131
Full Text Papers: 573,989
Authors: 315,003
Papers Received in
  Last 12 months:
68,231

Paper Downloads:
To date: 101,330,300
Last 12 months: 12,943,940
Last 30 days: 863,062

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  Resolved
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306,508
Total References: 8,990,993
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Total Citation
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5,770,148
Papers with
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  Footnotes:
91,665
Total Footnotes: 8,995,294


SSRN eLibrary Search Results
JEL Code: G13
2,435,705 Total downloads
Showing Papers 4,401 - 4,450 of 6,249
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1 2 3 4 ... 125 | Next >
   

Incl. Electronic Paper Jumps and Stochastic Volatility in Crude Oil Prices and Advances in Average Option Pricing
Quantitative Finance (Forthcoming)
Ioannis Kyriakou, Panos K. Pouliasis and Nikos C. Papapostolou
City University London - Sir John Cass Business School, Sir John Cass Business School and Cass Business School, City University London
Date Posted: July 24, 2016
Accepted Paper Series
18 downloads

Incl. Electronic Paper Cluster Stability of Error Representation in Option Pricing
Berk Orbay, Refik Güllü and Wolfgang Hörmann
Boğaziçi University - Department of Industrial Engineering, Boğaziçi University - Department of Industrial Engineering and Boğaziçi University - Department of Industrial Engineering
Date Posted: July 23, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Model Calibration with Neural Networks
Andres Hernandez
IBM - IBM Risk Analytics
Date Posted: July 21, 2016
Working Paper Series
42 downloads

Incl. Electronic Paper A Multifactor Stochastic Volatility Model of Commodity Prices
Gonzalo Cortazar, Matias Lopez and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile - Department of Industrial Engineering and University of Miami - Department of Finance
Date Posted: July 20, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Variance and Skew Risk Premiums for the Volatility Market: The VIX Evidence
José Da Fonseca and Yahua Xu
Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Department of Finance
Date Posted: July 20, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper Contingent Claims Analysis of Sovereign Debt Sustainability in Asian Emerging Markets
Asian Development Bank Economics Working Paper Series No. 486
Marie Brière, Benno Ferrarini and Arief Ramayandi
Paris Dauphine University, Asian Development Bank and Asian Development Bank - Economic Research
Date Posted: July 19, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Exploring Risk-Adjusted Fiscal Sustainability Analysis for Asian Economies
Asian Development Bank Economics Working Paper Series No. 483
George Kopits, Benno Ferrarini and Arief Ramayandi
Woodrow Wilson International Center for Scholars, Asian Development Bank and Asian Development Bank - Economic Research
Date Posted: July 19, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Smile at Errors: A Discrete-Time Stochastic Volatility Framework for Pricing Options with Realized Measures
Giacomo Bormetti, Roberto Casarin, Fulvio Corsi and Giulia Livieri

Date Posted: July 19, 2016
Last Revised: July 21, 2016
Working Paper Series
40 downloads

Incl. Electronic Paper Pricing Asian Options: A Comparison of Numerical and Simulation Approaches, Twenty Years Later
Akos Horvath and Péter Medvegyev
Vienna Graduate School of Finance and Corvinus University of Budapest
Date Posted: July 19, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper The Evolution of Valuation in Bankruptcy
will be presented at 2016 National Conference of Bankruptcy Judges; Am. Bankr. L. J. (Forthcoming)
Michael Simkovic
Seton Hall Law School
Date Posted: July 19, 2016
Working Paper Series
45 downloads

Portfolio Credit Derivatives Top Down Dependence Diagnostics Via Majorization
9th World Congress of the Bachelier Finance Society, New York, USA
Vilimir Yordanov
Independent
Date Posted: July 18, 2016
Working Paper Series

Incl. Electronic Paper The Effect of Settlement Rules on the Incentive to Bang the Close
David Reiffen and Esen Onur
U.S. Commodity Futures Trading Commission (CFTC) and Commodity Futures Trading Commission (CFTC)
Date Posted: July 16, 2016
Working Paper Series
22 downloads

Incl. Electronic Paper Endogenous Trading in Credit Default Swaps
Marc Chesney, Delia Coculescu and Selim Gökay
University of Zurich - Swiss Banking Institute (ISB), University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)
Date Posted: July 14, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Variance Risk Premium and Investment Uncertainty
Jan Ericsson and Babak Lotfaliei
McGill University and Finance Department, San Diego State University
Date Posted: July 13, 2016
Working Paper Series
31 downloads

Incl. Electronic Paper An Accurate Pricing Formula for Vanilla Options in a Cash Dividend Framework with Linear Algorithmic Complexity
Gilles Boya
Natixis
Date Posted: July 13, 2016
Last Revised: July 18, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Exchange Rate Risk Premium: An Analysis of Its Determinants for the Mexican Peso-USD
Banco de México, Working Papers, N° 2016-11,
Guillermo Benavides
Banco de Mexico
Date Posted: July 13, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Write on the Money?
Lew Burton, Nikunj Kapadia and Brandon G Sneider
University of Massachusetts Amherst, University of Massachusetts Amherst - Department of Finance and University of Massachusetts Amherst - Department of Finance
Date Posted: July 12, 2016
Last Revised: July 20, 2016
Working Paper Series
50 downloads

Incl. Electronic Paper Closed Form Solution and Term Structure for SPX Options
Quantitative Finance, Forthcoming
Stephen H.T. Lihn
Novus Partners, Inc.
Date Posted: July 08, 2016
Accepted Paper Series
24 downloads

Incl. Electronic Paper Multi-Level Monte Carlo Simulation for the Heston Stochastic Volatility Model
Chao Zheng
Heriot-Watt University - Actuarial Maths & Statistics
Date Posted: July 08, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Credit Exposure in the Presence of Initial Margin
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Date Posted: July 08, 2016
Last Revised: July 23, 2016
Working Paper Series
131 downloads

Incl. Electronic Paper On the American Swaption in the Linear-Rational Framework
Swiss Finance Institute Research Paper No. 16-44
Damir Filipović and Yerkin Kitapbayev
Ecole Polytechnique Fédérale de Lausanne and Boston University - Questrom School of Business
Date Posted: July 08, 2016
Last Revised: July 12, 2016
Working Paper Series
20 downloads

Incl. Electronic Paper Cliquet-Style Return Guarantees in a Regime Switching Lévy Model
Peter Hieber
University of Ulm - Department of Mathematics and Economics
Date Posted: July 08, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Index Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash
Qian Han and Jufang Liang
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Hunan University - School of Finance and Statistics
Date Posted: July 08, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Integral Put-Call Formula
Tumellano Sebehela
Sebehela Inc
Date Posted: July 06, 2016
Working Paper Series
34 downloads

Incl. Electronic Paper Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
Swiss Finance Institute Research Paper No. 16-41
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Date Posted: July 06, 2016
Working Paper Series
33 downloads

Incl. Electronic Paper Option-Implied Intra-Horizon Risk and First-Passage Disentanglement
Markus Leippold and Nikola Vasiljevic
University of Zurich - Department of Banking and Finance and University of Zurich
Date Posted: July 06, 2016
Working Paper Series
45 downloads

Incl. Electronic Paper Instantaneous Portfolio Theory
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: July 06, 2016
Working Paper Series
41 downloads

Incl. Electronic Paper Stock Return Predictability of Out-of-the-Money Option Trading
Chang Mo Kang, Donghyun Kim and Geul Lee
UNSW Australia Business School, School of Banking and Finance, University of Wisconsin - Milwaukee and UNSW Australia Business School, School of Banking and Finance
Date Posted: July 05, 2016
Working Paper Series
176 downloads

Incl. Electronic Paper Online Appendix to Corporate Debt Maturity Profiles
Jaewon Choi, Dirk Hackbarth and Josef Zechner
University of Illinois at Urbana-Champaign - Department of Finance, Boston University Questrom School of Business and Vienna University of Economics and Business
Date Posted: July 02, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Price Discovery and Information Transmission in Stock Index Futures and Spot Markets: Evidence from China based on a VAR-GARCH Model with SSAEPD Margins
Wentao Zhou and Liuling Li
Nankai University - School of Finance, Nankai University and Nankai University
Date Posted: June 28, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Credit Value Adjustment with Market-Implied Recovery
Pascal Francois and Wei Yu Jiang
HEC Montreal - Department of Finance and McGill University, Students
Date Posted: June 28, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Expectations, Fundamentals, and Asset Returns: Evidence from the Commodity Markets
Alessandro Beber and Jacopo Piana
Cass Business School and Cass Business School
Date Posted: June 25, 2016
Working Paper Series
36 downloads

The Economics of Commercial Real Estate Preleasing
Journal of Real Estate Finance and Economics, Vol. 53, No. 2, 2016
Robert H. Edelstein and Peng Liu
University of California, Berkeley - Fisher Center for Real Estate and Urban Economics and Cornell University
Date Posted: June 23, 2016
Accepted Paper Series

Endogenous Trading in Credit Default Swaps
Marc Chesney, Delia Coculescu and Selim Gökay
University of Zurich - Swiss Banking Institute (ISB), University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)
Date Posted: June 23, 2016
Working Paper Series

Incl. Electronic Paper Decentralized Transaction Clearing Beyond Blockchains
Fabio Massacci, Chan-Nam Ngo and Julian M. Williams
DISI - University of Trento, Università degli Studi di Trento and Durham Business School
Date Posted: June 21, 2016
Working Paper Series
80 downloads

Incl. Electronic Paper A Strange Disposition? Option Trading Based on Reference Prices
Kelley Bergsma, Andy Fodor and Emily Tedford
Ohio University - College of Business, Ohio University and 84.51˚
Date Posted: June 21, 2016
Last Revised: June 28, 2016
Working Paper Series
49 downloads

Incl. Electronic Paper Inflation, Deflation, and Uncertainty: What Drives Euro Area Option-Implied Inflation Expectations and are They Still Anchored in the Sovereign Debt Crisis?
Bundesbank Discussion Paper No. 24/2014
Michael Scharnagl and Jelena Stapf
Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Understanding Oil Investing
Ludwig B. Chincarini, John Love and Robert Nguyen
University of San Francisco School of Management, USCF Investments and USCF Investments
Date Posted: June 20, 2016
Working Paper Series
132 downloads

Incl. Electronic Paper Pricing Corporate Bonds with Interest Rates Following Double Square-Root Process
HKIMR Working Paper No.11/2016
Chi-Fai Lo and C. H. Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Date Posted: June 20, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Endogenous Second Moments: A Unified Approach to Fluctuations in Risk, Dispersion, and Uncertainty
Ludwig Straub and Robert Ulbricht
Massachusetts Institute of Technology (MIT) - Department of Economics and Toulouse School of Economics
Date Posted: June 20, 2016
Working Paper Series
31 downloads

Incl. Electronic Paper Adapted Hedging
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: June 18, 2016
Working Paper Series
52 downloads

Incl. Electronic Paper Macro-Disagreement Beta
George Gao, Xiaomeng Lu, Zhaogang Song and Hongjun Yan
Cornell University - Samuel Curtis Johnson Graduate School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Johns Hopkins University - Carey Business School (JHU) and Driehaus College of Business, DePaul University
Date Posted: June 17, 2016
Last Revised: July 04, 2016
Working Paper Series
106 downloads

Incl. Electronic Paper Relaxing Constraints on Risk Management: Evidence from a Natural Experiment
Sabrina T. Howell
New York University (NYU) - Leonard N. Stern School of Business
Date Posted: June 16, 2016
Working Paper Series
15 downloads

Time-Varying Price Discovery, Skewed Returns, and Market Dynamics
Yang Hou and Gilbert Nartea
Department of Finance, Waikato Management School, University of Waikato and University of Waikato - Management School
Date Posted: June 16, 2016
Working Paper Series

Incl. Electronic Paper Prudent Valuation Guidelines and Sound Practices
Marco Bianchetti and Umberto Cherubini
Intesa Sanpaolo - Financial and Market Risk Management and University of Bologna - Department of Statistics
Date Posted: June 16, 2016
Last Revised: June 19, 2016
Working Paper Series
83 downloads

Incl. Electronic Paper An Estimation of the Deposit Insurance Premium from Bank CDS Spreads: An Application of the Structural Approach with a Normal Firm Value Diffusion Process
James Chen
Research137 LLC
Date Posted: June 16, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Time-Series and Cross-Sectional Momentum in the Saudi Arabia Stock Market Returns
Shah Saeed Hassan Chowdhury
Prince Mohammad Bin Fahd University
Date Posted: June 15, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Pricing VIX Options with Multifactor Stochastic Volatility
Pascal Marco Caversaccio
University of Zurich - Department of Banking and Finance
Date Posted: June 15, 2016
Working Paper Series
45 downloads

Incl. Electronic Paper A Review of CMS Swap Pricing Approaches
Marin Decaudaveine
Paris Dauphine University, Students
Date Posted: June 15, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper Does Speculation Impact What Factors Determine Oil Futures Prices?
Economics Letters, Vol. 144, 2016
Fabian Gogolin and Fearghal Kearney
Queen's Management School and Queen's Management School
Date Posted: June 14, 2016
Accepted Paper Series
34 downloads


 

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