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JEL Code: G13
1,852,486 Total downloads
Showing Papers 441 - 490 of 4,932
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Pricing Bermudan Callable Derivatives with Default, Collateral Margining, Funding and Investment Costs
Ahsan Amin
Date Posted: May 16, 2012225 downloads
Price as a Choice Under Nonstochastic Randomness in Finance Banque de France Working Paper No. 381
Yaroslav Ivanenko
and
Bertrand Munier
Date Posted: May 15, 2012Last Revised: December 22, 201224 downloads
Estimating Oil Risk Factors Using Information from Equity and Futures Markets
I-Hsuan Ethan Chiang and
Jacob S. Sagi
Date Posted: May 14, 2012128 downloads
Are There Common Factors in Individual Commodity Futures Returns?
Charoula Daskalaki
,
Alexandros Kostakis
and
George S. Skiadopoulos
Date Posted: May 13, 2012Last Revised: April 17, 2013193 downloads
Market Risk, Credit Risk, and Futures Trading in Commodity Markets
Takashi Kanamura
Date Posted: May 13, 2012116 downloads
Pension Deals and Value-Based ALM
Niels Kortleve
Date Posted: May 13, 201243 downloads
Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian-Pacific Currency Options Computational Economics, Vol. 41, No. 3, pp. 327-358, 2013
George Chalamandaris
and
Andrianos E. Tsekrekos
Date Posted: May 12, 2012Last Revised: February 20, 201325 downloads
Predictability in Implied Volatility Surfaces: Evidence from the Euro OTC FX Market European Journal of Finance, Forthcoming
George Chalamandaris
and
Andrianos E. Tsekrekos
Date Posted: May 12, 201276 downloads
The Synchronized and Long-Lasting Structural Change on Commodity Markets: Evidence from High Frequency Data
Nicolas Maystre and
David Bicchetti
Date Posted: May 12, 201270 downloads
A Formula for the Quantiles of Mixtures of Distributions with Disjoint Supports
Giuseppe Castellacci
Date Posted: May 10, 2012Last Revised: May 14, 201262 downloads
Sovereign Bond's Credit Risk Immunization in a Tax Income Volatility Environment the Case of an USD Denominated Mexican Bond
Salvador Cruz Ake
,
Francisco Venegas-Martinez and
Agustín Ignacio Cabrera-Llanos
Date Posted: May 10, 201229 downloads
Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause
Lorenzo Giada
and
Claudio Nordio
Date Posted: May 09, 2012Last Revised: January 23, 2013103 downloads
Sovereign Credit Default Swap Premia
Patrick Augustin
Date Posted: May 09, 2012Last Revised: June 04, 2012261 downloads
GARCH Option Valuation: Theory and Evidence
Peter Christoffersen ,
Kris Jacobs and
Chayawat Ornthanalai
Date Posted: May 08, 2012283 downloads
Refining the Least Squares Monte Carlo Method by Imposing Structure
Pascal Letourneau
and
Lars Stentoft
Date Posted: May 08, 2012Last Revised: February 28, 201380 downloads
Worst-of Options and Correlation Skew Under a Stochastic Correlation Framework International Journal of Theoretical and Applied Finance, Vol. 15, No. 7, 2012
Jacinto Marabel Romo
Date Posted: May 07, 2012Last Revised: March 09, 201333 downloads
Using Virtual Bids to Manipulate the Value of Financial Transmission Rights
Shaun D. Ledgerwood
and
Johannes Pfeifenberger
affiliation not provided to SSRN
Date Posted: May 05, 201277 downloads
International Correlation Risk
Philippe Mueller
,
Andreas Stathopoulos
and
Andrea Vedolin
Date Posted: May 03, 2012Last Revised: January 07, 2013383 downloads
Market Reaction to Information Shocks – Does the Bloomberg and Briefing.com Survey Matter? Forthcoming, Journal of Futures Markets
Linda H. Chen
,
George J. Jiang and
Qin Wang
Date Posted: May 03, 2012Last Revised: May 08, 201296 downloads
Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option The Journal of Fixed Income, Vol. 16, No. 2, pp. 62-75, September 2006
Marc P. A. Henrard
Date Posted: May 02, 2012
Variance Derivatives: Pricing and Convergence
John Crosby
and
Mark Davis
affiliation not provided to SSRN
and
Imperial College London
Date Posted: May 01, 2012114 downloads
Repeated Spatial Extrapolation: An Extraordinarily Efficient Approach for Option Pricing
Luca Vincenzo Ballestra
Date Posted: April 30, 201245 downloads
Determining Efficiency of Investment Companies with Selected Risk-Adjusted Ratios & Effect of Macroeconomic Factors on Their Portfolio Financial Engineering and Portfolio Management, 2011, 2(7):73-96, (Persian with English abstract)
Zadalah Fathi
,
Hamed Ahmadinia
and
Javad Afrasiabishani
Date Posted: April 27, 201244 downloads
Expert Committee on Commodity Futures: Agreements and Disagreements Economic and Political Weekly, August 23, 2008
Tulsi Lingareddy
Date Posted: April 27, 201214 downloads
American Option Pricing Using Simulation: An Introduction with an Application to the GARCH Option Pricing Model HANDBOOK OF RESEARCH METHODS AND APPLICATIONS IN EMPIRICAL FINANCE, Adrian Bell, Chris Brooks, Marcel Prokopczuk, eds., Edward Elgar Publishing, 2012
Lars Stentoft
Date Posted: April 25, 201274 downloads
A Comparison of Anti-Manipulation Rules in U.S. and EU Electricity and Natural Gas Markets: A Proposal for a Common Standard Energy Law Journal, Vol. 33, No. 1, 2012
Shaun D. Ledgerwood
and
Dan Harris
Date Posted: April 24, 201278 downloads
Central Bank Independence and Macro-Prudential Regulation IMF Working Paper No. 12/101
Kenichi Ueda
and
Fabian V. Valencia
Date Posted: April 23, 201261 downloads
Dynamics of Bankrupt Stocks
Richard Sowers
,
Xiao Li
and
Mike Lipkin
affiliation not provided to SSRN
and
Columbia University
Date Posted: April 22, 201259 downloads
On the Approximation of the SABR Model: A Probabilistic Approach Applied Mathematical Finance, Forthcoming
Joanne Kennedy ,
Subhankar Mitra
and
Duy Pham
affiliation not provided to SSRN
and
University of Warwick - Department of Statistics
Date Posted: April 22, 2012224 downloads
Robust Calculation of Model-Free Implied Volatility from Calibrated Surfaces
Philip Stahl
and
Philipp B. Rindler
Date Posted: April 22, 201281 downloads
Bootstrapping Credit Curves from CDS Spread Curves
Giuseppe Castellacci
Date Posted: April 21, 2012437 downloads
Price Dynamics in Commodity Market: A Comparison between European and US Markets
Jean-Christophe Statnik and
David Verstraete
Date Posted: April 20, 201252 downloads
An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting FRB of New York Staff Report No. 557
Michael J. Fleming ,
John P. Jackson
,
Ada Li
,
Asani Sarkar and
Patricia Zobel
Date Posted: April 19, 201272 downloads
Interest Tax Shields: A Barrier Options Approach
Robert B. Couch
,
Michael U. Dothan and
Wei Wu
Date Posted: April 19, 2012
Portfolio Selection with Commodities Under Conditional Copulas and Skew Preferences
Carlos González-Pedraz
,
Manuel Moreno and
Juan Ignacio Peña
Date Posted: April 19, 2012Last Revised: November 19, 2012214 downloads
Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach FEEM Working Paper No. 23.2012
Matteo Manera ,
Marcella Nicolini
and
Ilaria Vignati
Date Posted: April 17, 2012144 downloads
Non-Martingale Dynamics for Two Curve Derivatives Pricing
Mauricio Alvarez-Manilla
Date Posted: April 16, 2012129 downloads
Risk-Aversion and Urban Land Development Options
Gang-Zhi Fan
,
Ming Pu
and
Tien Foo Sing
Date Posted: April 16, 2012Last Revised: January 31, 201346 downloads
Temperature Modeling in the Weather Derivative Pricing
Jeo Lee
Date Posted: April 16, 2012
Pricing Interest Rate Derivatives Under Monetary Policy Changes
Alan De Genaro
and
Marco Avellaneda
Date Posted: April 15, 2012111 downloads
Approximate Hedging of Contingent Claims Under Transaction Costs Applied Mathematical Finance, Vol. 17, No. 6, 2010
Emmanuel Lepinette-Denis
Date Posted: April 13, 201225 downloads
Asymptotic Arbitrage in Large Financial Markets with Friction
Emmanuel Lepinette-Denis
and
Lavinia Ostafe
Date Posted: April 13, 201225 downloads
Mean Square Error for the Leland-Lott Hedging Strategy: Convex Pay-Off Finance Stochastics, Vol. 14, No. 4, 2010
Emmanuel Lepinette-Denis
and
Youri Kabanov
Date Posted: April 13, 201219 downloads
Perturbative Expansion Technique for Non-Linear FBSDEs With Interacting Particle Method
Masaaki Fujii
and
Akihiko Takahashi
Date Posted: April 13, 2012Last Revised: April 23, 201249 downloads
Robust No Arbitrage Condition for Continuous-Time Models with Transaction Costs Recent Advances in Financial Engineering, World Scientist, Forthcoming
Emmanuel Lepinette-Denis
Date Posted: April 13, 201222 downloads
Assessing Models of Individual Equity Option Prices
Gurdip Bakshi ,
Charles Cao and
Zhaodong Zhong
Date Posted: April 11, 2012139 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, 201283 downloads
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility Applied Mathematical Finance
17 (3): 241-259
Martin Forde
and
Antoine Jacquier
Date Posted: April 04, 2012
Affine Variance Swap Curve Models Swiss Finance Institute Research Paper No. 12-14
Damir Filipovic
Date Posted: April 03, 2012Last Revised: July 06, 2012158 downloads
Arbitrage-Free SVI Volatility Surfaces
Jim Gatheral
and
Antoine Jacquier
Date Posted: April 03, 2012Last Revised: March 25, 2013814 downloads
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