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1,852,051 Total downloads
Showing Papers 4,551 - 4,600 of 4,932
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Calibrating Libor Market Models
Morten Bjerregaard Pedersen
Date Posted: September 07, 19981598 downloads
Black & Scholes Pricing and Markets with Transaction Costs: An Example
Haim Reisman
Date Posted: September 07, 1998406 downloads
Stochastic Volatility With an Ornstein-Uhlenbeck Process: An Extension
Rainer Schoebel
and
Jianwei Zhu
Date Posted: September 07, 19982106 downloads
Gambling and Pricing of Derivatives
Erik Aurell ,
Roberto Baviera ,
Ola Hammarlid ,
Maurizio Serva and
Angelo Vulpiani
Date Posted: September 07, 1998983 downloads
Volatility Skews and Extensions of the Libor Market Model
Leif B. G. Andersen and
Jesper Andreasen
Date Posted: September 04, 19983863 downloads
An Empirical Study of the Convergence Properties of the Non-recombining HJM Forward Rate Tree in Pricing Interest Rate Derivatives
A. R. Radhakrishnan
Date Posted: September 04, 19981025 downloads
Volatility of Volatility of Financial Markets Journal of Mathematical Computer Modelling, 1998
Jennifer K. Wilson
Date Posted: September 03, 1998
Stochastic Duration and Fast Coupon Bond Option Pricing in Multi-Factor Models
Claus Munk
Date Posted: September 02, 1998673 downloads
When Is Time Continuous? MIT Laboratory of Financial Engineering (LFE) Working Paper No. LFE-1033-98
Dimitris Bertsimas ,
Leonid Kogan and
Andrew W. Lo
Date Posted: September 02, 19981721 downloads
A Transaction Cost Convergence Result for General Hedging Strategies
Laurent Gauthier
Date Posted: September 01, 1998
On Dynamic Measures of Risk
Jaksa Cvitanic and
Ioannis Karatzas
Date Posted: September 01, 1998820 downloads
Option Pricing With Infinitely Divisible Distributions OLIN-97-22
Steven L. Heston
Date Posted: September 01, 1998
A Simple New Formula for Options With Stochastic Volatility OLIN-97-23
Steven L. Heston
Date Posted: September 01, 1998
Relative Pricing of Options with Stochastic Volatility University of California-Los Angeles Finance Working Paper 9-98
Olivier Ledoit and
Pedro Santa-Clara
Date Posted: September 01, 19981304 downloads
Beyond Implied Volatility: Extracting Information From Option Prices
Rama Cont
Date Posted: September 01, 1998
Life Insurance or Lottery: Are Corporations Managing or Taking Risks with Derivatives?
Ludger Hentschel and
S.P. Kothari
Date Posted: August 29, 1998
What Data Should Be Used To Price Options?
Mikhail Chernov and
Eric Ghysels
Date Posted: August 29, 1998882 downloads
Informed Opportunistic Trading and Price Optimal Control
Laurent Gauthier
Date Posted: August 27, 1998
Option Pricing with Transaction Costs and a Nonlinear Black Scholes Equation Finance and Stochastics, Vol, 2, No. 4, 1998
Guy Barles and
Halil Mete Soner
Date Posted: August 26, 1998
Robust Hedging of the Lookback Option Finance and Stochastics, Vol. 2, No. 4, 1998
David G. Hobson
Date Posted: August 26, 1998
The Performance of Covered Calls and Protective Puts
John Board and
Charles Sutcliffe
Date Posted: August 25, 1998
Pricing Equity Swaps
William Lin
Date Posted: August 25, 1998
Aggregate Income Risks and Hedging Mechanisms QUARTERLY REVIEW OF ECONOMICS AND FINANCE, Vol 35 No 2, Summer 1995
Robert J. Shiller
Date Posted: August 25, 1998
The Valuation of Interest Rate Derivatives in a Multi-Factor Term Structure Model with Deterministic Components
Louis Scott
Date Posted: August 25, 1998
What Explains the Difference Between the Futures' Price and its 'Fair' Value? Evidence from the European Options Exchange
Tom Berglund and
Rezaul Kabir
Date Posted: August 25, 1998
Alternate Hedge For Bonds Subject To Credit Risk
Frank S. Skinner
Date Posted: August 25, 1998
The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, September 1995
Kalok Chan ,
Y. Peter Chung
and
Herb Johnson
Date Posted: August 25, 1998
Imperfect Information and Investor Inferences from Housing Price Dynamics REAL ESTATE ECONOMICS, Fall 1995
John M. Clapp ,
Walter Dolde and
Dogan Tirtiroglu
Date Posted: August 25, 1998
Would Greater Transparency Increase or Decrease Contracting Costs? JOURNAL OF FINANCIAL ENGINEERING, Vol 4 No 2, June 1995
Michael F. Ferguson and
Corinne M. Bronfman
Date Posted: August 25, 1998
Controlling Risks in Derivatives Markets JOURNAL OF FINANCIAL ENGINEERING, Vol 4 No 2, June 1995
Ludger Hentschel and
Clifford W. Smith Jr.
Date Posted: August 25, 1998
Heath, Jarrow and Morton Implied Volatility Functions and Conditional Heteroskedasticity Models: Information in Eurodollar Futures Options
Kaushik I. Amin and
Victor K. Ng
Date Posted: August 25, 1998
Interest Rate Options in Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure
Ren-Raw Chen and
Louis Scott
Date Posted: August 25, 1998
Pricing Foreign Currency and Cross-Currency Options Under GARCH Journal of Derivatives, Vol. 7, No. 1, pp. 51-63, 1999
Jin-Chuan Duan and
Jason Zhanshun Wei
Date Posted: August 25, 1998
Suitability, Legal Risk, and Derivatives Regulation JOURNAL OF FINANCIAL ENGINEERING, Vol 4 No 2, June 1995
Barry Schachter
affiliation not provided to SSRN
Date Posted: August 24, 1998
Option Pricing and the Martingale Restriction REVIEW OF FINANCIAL STUDIES, Vol 8 No 4
Francis A. Longstaff
Date Posted: August 24, 1998
Daily and Intradaily Tests of European Put-Call Parity JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, Vol 30 No 4, December 1995
Avraham Kamara and
Thomas W. Miller Jr.
Date Posted: August 24, 1998
Assessing Realignment Risk in the Exchange Rate Mechanism Through Pound-Mark Cross-Rate Options
José Manuel Campa and
P. H. Kevin Chang
Date Posted: August 24, 1998
How Well Can You Hedge Long Term Exposures With Multiple Short Term Futures Contracts? IFA Working Paper 214-195
Anthony Neuberger
Date Posted: August 23, 1998
A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk
Richard Stanton
Date Posted: August 23, 1998
The Option to Repurchase Stock
David L. Ikenberry and
Theo Vermaelen
Date Posted: August 23, 1998
Volatility, Storage and Convenience: Evidence from Natural Gas Markets
Raul Susmel and
Andrew C. Thompson
Date Posted: August 23, 1998
Fundamental Economic Variables, Expected Returns, and Bond Fund Performance JOURNAL OF FINANCE, Vol. 50 No. 4, September 1995
Edwin J. Elton ,
Martin J. Gruber and
Christopher R. Blake
Date Posted: August 23, 1998
Success and Failure of Agricultural Futures Contracts
B. Wade Brorsen and
N'Zue F. Fofana
affiliation not provided to SSRN
Date Posted: August 22, 1998
A Tree-Based Algorithm for Risk Management of Interest Rate Derivatives Portfolios
Konstantinos Kiriakopoulos ,
Nikos Christofides and
Gerry Salkin
Date Posted: August 22, 1998
GARCH Option Pricing With Implied Volatility
B. Wade Brorsen and
N'Zue F. Fofana
affiliation not provided to SSRN
Date Posted: August 22, 1998
An Asian Option Approach to the Valuation of Insurance Futures Contracts WFIC Paper 94-03
J. David Cummins and
Hélyette Geman
Date Posted: August 22, 1998
Backwardation in Oil Futures Markets: Theory and Empirical Evidence JOURNAL OF FINANCE, Vol. 50 No. 5, December 1995
Robert H. Litzenberger and
Nir Rabinowitz
affiliation not provided to SSRN
Date Posted: August 22, 1998
The Forward Premium Anomaly: Three Examples in Search of a Solution
David K. Backus ,
Silverio Foresi and
Chris Telmer
Date Posted: August 22, 1998
Ignoring Reload Features Can Substantially Understate the Value of Executive Stock Options
P. Jane Saly and
Ravi Jagannathan
Date Posted: August 18, 1998406 downloads
Recent Developments in Capital Market Theory: A Survey Lancaster University Department of Accounting and Finance 98/006
Richard C. Stapleton
Date Posted: August 13, 1998
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