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Abstracts: 607,851
Full Text Papers: 505,273
Authors: 281,181
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  Last 12 months:
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To date: 86,586,308
Last 12 months: 11,178,752
Last 30 days: 1,028,476

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SSRN eLibrary Search Results
JEL Code: G13
2,189,366 Total downloads
Showing Papers 4,551 - 4,600 of 5,754
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1 2 3 4 ... 116 | Next >
   


Incl. Electronic Paper FFDs: Reducing Systemic Credit Risk in the OTC Derivatives Market
James Kurt Dew
Tecnológico de Monterrey
Date Posted: May 23, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Increasing Liquidity and Reducing Credit Risk in the Eurodollar Deposit and Futures Markets
James Kurt Dew
Tecnológico de Monterrey
Date Posted: May 23, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Analytic Formulas for Options in the Schwartz 97 Multifactor Framework with Added Regime Shifts
Amalia Christoforidou and Christian-Oliver Ewald
University of Glasgow - Adam Smith Business School and University of Glasgow
Date Posted: May 22, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Bounding Wrong-Way Risk in CVA Calculation
Paul Glasserman and Linan Yang
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Date Posted: May 19, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Political Elections as a Test of Macroeconomic Theory: Evidence from the 2015 U.K. General Election
Jonathan K. Pedde
University of Oxford, Merton College
Date Posted: May 18, 2015
Working Paper Series
198 downloads

Incl. Electronic Paper Non-Parametric Pricing of Long-Dated Volatility Derivatives Under Stochastic Interest Rates
Mark S. Joshi and Navin Ranasinghe
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: May 18, 2015
Working Paper Series
21 downloads

Incl. Electronic Paper Rare Disaster Concerns Everywhere
George Gao and Zhaogang Song
Cornell University - Samuel Curtis Johnson Graduate School of Management and Board of Governors of the Federal Reserve System (FRB)
Date Posted: May 17, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Anticipatory Traders and Trading Speed
Raymond P.H. Fishe , Richard Haynes and Esen Onur
University of Richmond - E. Claiborne Robins School of Business , Commodity Futures Trading Commission (CFTC) and Commodity Futures Trading Commission (CFTC)
Date Posted: May 16, 2015
Working Paper Series
32 downloads

Incl. Electronic Paper Who Sets the Price of Gold? London or New York?
Martin Hauptfleisch , Tālis J. Putniņš and Brian M. Lucey
University of Technology Sydney (UTS) , University of Technology, Sydney - UTS Business School and Trinity College, Dublin - School of Business
Date Posted: May 16, 2015
Working Paper Series
114 downloads

Incl. Electronic Paper Valoración De Derivados Europeos Con Mixtura De Distribuciones Weibull (Valuation for European Derivatives with Mixture-Weibull Distributions)
Cuadernos de Economía, Vol. 34, No. 65, 279-298. doi: 10.15446/cuad.econ.v34n65.48656 ,
Andrés Mauricio Molina and José Alfredo Jiménez Moscoso
National University of Colombia and National University of Colombia
Date Posted: May 16, 2015
Accepted Paper Series
3 downloads

Incl. Electronic Paper Closed-Form Option Pricing Formulas for Mean-Reverting Commodity Prices with Regime-Switching
Amalia Christoforidou and Christian-Oliver Ewald
University of Glasgow - Adam Smith Business School and University of Glasgow
Date Posted: May 15, 2015
Last Revised: May 21, 2015
Working Paper Series
19 downloads

Incl. Electronic Paper An Efficient Algorithm Based on Eigenfunction Expansions for Some Optimal Timing Problems in Finance
Lingfei Li , Xianjun Qu and Gongqiu Zhang
The Chinese University of Hong Kong , Independent and The Chinese University of Hong Kong (CUHK)
Date Posted: May 14, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Trading and Information in Futures Markets
Guillermo Llorente and Jiang Wang
Universidad Autonoma de Madrid and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: May 12, 2015
Working Paper Series
84 downloads

Incl. Electronic Paper Which Trend Is Your Friend?
Ari Levine and Lasse Heje Pedersen
AQR Capital Management and New York University (NYU) - Department of Finance
Date Posted: May 10, 2015
Last Revised: May 12, 2015
Working Paper Series
419 downloads

Incl. Electronic Paper Commodity Spread Option with Cointegration
Katsushi Nakajima and Kazuhiko Ohashi
College of International Management and Hitotsubashi University - Graduate School of International Corporate Strategy
Date Posted: May 09, 2015
Working Paper Series
21 downloads

Incl. Electronic Paper Convenience Yield Revisited: Using Profit Maximization Discrete-Time Model
Katsushi Nakajima
College of International Management
Date Posted: May 09, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper An Empirical Study of the Dynamics of Implied Volatility Indices: International Evidence
Bujar Huskaj and Karl Larsson
Lund University and Lund University - Department of Economics
Date Posted: May 09, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Growth Option, Contingent Capital and Agency Conflicts
Yingxian Tan and Zhaojun Yang
Hunan University - School of Finance and Statistics and Hunan University - School of Finance and Statistics
Date Posted: May 09, 2015
Working Paper Series
12 downloads

Tail Events: A New Approach to Understanding Extreme Energy Commodity Prices
Energy Economics, Vol. 43, 2014
Nicolas Koch
Mercator Research Institute on Global Commons and Climate Change
Date Posted: May 08, 2015
Accepted Paper Series

Incl. Electronic Paper Understanding Basis Through Grain Hedging
Advances in Financial Education, 2015 Forthcoming
Thomas B. Sanders
University of Miami - Department of Finance
Date Posted: May 06, 2015
Accepted Paper Series
13 downloads

Incl. Electronic Paper Monte-Carlo Payoff-Smoothing for Pricing Autocallable Instruments
Frank Koster and Achim Rehmet
DGZ-DekaBank and DGZ-DekaBank
Date Posted: May 05, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Forecasting Discrete Dividends by No-Arbitrage
Sascha Desmettre , Sarah Grün and Frank Thomas Seifried
University of Kaiserslautern - Department of Mathematics , Fraunhofer ITWM and University of Kaiserslautern
Date Posted: May 05, 2015
Working Paper Series
38 downloads

Incl. Electronic Paper The Problematic Delta Test for Dividend Equivalents
Tax Notes, Vol. 146, No. 4, 2015
Thomas J. Brennan and Robert L. McDonald
Northwestern University School of Law and Northwestern University - Kellogg School of Management
Date Posted: May 05, 2015
Accepted Paper Series
15 downloads

The Real Benchmark of DAX Index Products and the Influence of Information Dissemination: A Natural Experiment
Journal of Asset Management, Volume 15, Issue 2 April (2014), 129-149
Christoph Schmidhammer , Sebastian Lobe and Klaus Röder
University of Regensburg - Faculty of Business, Economics & Information Systems , University of Leicester - School of Management and University of Regensburg - Faculty of Business, Economics & Information Systems
Date Posted: May 04, 2015
Accepted Paper Series

Incl. Electronic Paper On Peacocks and Lyrebirds: Australian Options, Brownian Bridges and the Average of Sub-Martingales
Christian-Oliver Ewald and Marc Yor
University of Glasgow and Université Paris VI Pierre et Marie Curie
Date Posted: May 03, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Multi-Curve Modeling Using Trees
Rotman School of Management Working Paper No. 2601457
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Date Posted: May 03, 2015
Working Paper Series
40 downloads

Incl. Electronic Paper Option Pricing and Hedging for Regime-Switching Geometric Brownian Motion Models
Bruno Remillard and Sylvain Rubenthaler
HEC Montreal and Université de Nice Sophia Antipolis
Date Posted: April 27, 2015
Working Paper Series
12 downloads

The Effect of Risk Factor Disclosures on the Pricing of Credit Default Swaps
Tzu-Ting Chiu , Yuyan Guan and Jeong-Bon Kim
Norwegian School of Economics (NHH) - Department of Accounting, Auditing and Law , City University of Hong Kong - Department of Accountancy and City University of Hong Kong
Date Posted: April 26, 2015
Working Paper Series

Incl. Electronic Paper Eficiencia Semifuerte Del Mercado Internacional Del Azúcar Entre Los Años 2001 Y 2011 (Semi-Strong Efficiency in the International Sugar Market During the Period 2001-2011)
Cuadernos de Economía, Vol. 33, No. 62, pp. 145-161, 2014,
Julio César Alonso and Andres mauricio Arcila Vasquez
Universidad Icesi - Economics & Management and Universidad Icesi
Date Posted: April 26, 2015
Accepted Paper Series
2 downloads

Incl. Electronic Paper Capital and Funding
Claudio Albanese , Simone Caenazzo and Stefano Iabichino
Global Valuation , Global Valuation Ltd and Global Valuation Ltd.
Date Posted: April 26, 2015
Last Revised: May 16, 2015
Working Paper Series
73 downloads

Incl. Electronic Paper Bond Market Completeness Under Stochastic Strings with Distribution-Valued Strategies
Alberto Bueno-Guerrero , Manuel Moreno and Javier F. Navas
IES Francisco Ayala , University of Castilla-La Mancha and Universidad Pablo de Olavide
Date Posted: April 25, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Rewarding Risk-Taking or Managerial Skill? The Case of Private Equity Fund Managers
Axel Buchner and Niklas Wagner
University of Passau and Passau University
Date Posted: April 24, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Equity Valuation Meets the Sigmoid Growth Equation: The Gordon Growth Model Revisited
Evelyn Madoroba and Jan Walters Kruger
University of South Africa - Graduate School of Business Leadership (SBL) and Unisa SBL
Date Posted: April 24, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Using Exchange Options in the Valuation of Convertible Preferred Shares
Vigen Babkenovich Minasyan and Alexander Tai
Russian Presidential Academy of National Economy and Public Administration and Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: April 23, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper In Search of Beta
Alan Gregory , Shan Hua and Rajesh Tharyan
University of Exeter - Xfi Centre , University of Exeter Business School - XFI Centre for Finance and Investment and University of Exeter Business School
Date Posted: April 23, 2015
Working Paper Series
34 downloads

Incl. Electronic Paper Credit Risk and Dividend Irrelevance
Dan Galai and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Date Posted: April 23, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Optimal Hedging in Carbon Emission Markets Using Markov Regime Switching Models
Dennis Philip and Yukun Shi
Durham University Business School and Middlesex University
Date Posted: April 22, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper XVA of a Derivative on an Underlying Modelled by a Default Jump Process with an Analysis of CVA Wrong Way Risk for Bond Forwards
Mark Lichtner and Christian P. Fries
Independent and LMU Munich, Department of Mathematics
Date Posted: April 22, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper A Note on Credit Spread Forwards
Markus Hertrich
University of Basel - Center for Economic Science (WWZ) - Department of Finance
Date Posted: April 22, 2015
Working Paper Series
38 downloads

Incl. Electronic Paper The Value of Being Lucky: Option Backdating and Non-Diversifiable Risk
Vicky Henderson , Jia Sun and A. Elizabeth Whalley
University of Warwick , China Credit Rating Co.,Ltd and University of Warwick - Finance Group
Date Posted: April 21, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper The Relation between Bank Credit-Risk Management Procedures and Originate-to-Distribute Mortgage Quality During the Financial Crisis
Gauri Bhat
Southern Methodist University (SMU)
Date Posted: April 21, 2015
Working Paper Series
16 downloads

The Forecasting Efficacy of Risk-Neutral Moments for Crude Oil Volatility
Chatrath, A., Miao, H., Ramchander, S., & Wang, T. (2015). The Forecasting Efficacy of Risk‐Neutral Moments for Crude Oil Volatility. Journal of Forecasting, 34(3), 177-190.,
Arjun Chatrath , Hong Miao , Sanjay Ramchander and Tianyang Wang
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration , Colorado State University, Fort Collins - Department of Finance & Real Estate , Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Date Posted: April 20, 2015
Accepted Paper Series

The Response of Bond Prices to Insurer Ratings Changes
Miao, H., Ramchander, S., & Wang, T. (2014). The Response of Bond Prices to Insurer Ratings Changes. The Geneva Papers on Risk and Insurance-Issues and Practice, 39(2), 389-413.
Hong Miao , Sanjay Ramchander and Tianyang Wang
Colorado State University, Fort Collins - Department of Finance & Real Estate , Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Date Posted: April 20, 2015
Accepted Paper Series

Valuing Multifactor Real Options Using an Implied Binomial Tree
Wang, T., & Dyer, J. S. (2010). Valuing multifactor real options using an implied binomial tree. Decision Analysis, 7(2), 185-195.
Tianyang Wang and James Dyer
Colorado State University - Department of Finance & Real Estate and University of Texas at Austin
Date Posted: April 20, 2015
Accepted Paper Series

A Copulas-Based Approach to Modeling Dependence in Decision Trees
Tianyang, W., & Dyer, J. S. (2012). A Copulas-Based Approach to Modeling Dependence in Decision Trees. Operations research, (1), 225-242.
Tianyang Wang and James Dyer
Colorado State University - Department of Finance & Real Estate and University of Texas at Austin
Date Posted: April 20, 2015
Accepted Paper Series

Incl. Electronic Paper Robust Multi-Period Portfolio Model Based on Prospect Theory and ALMV-PSO Algorithm
Jiahe Liu , Xiu Jin , Tianyang Wang and Ying Yuan
Northeastern University China - School of Business Administration , Northeastern University China - School of Business Administration , Colorado State University - Department of Finance & Real Estate and Northeastern University China - School of Business Administration
Date Posted: April 20, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Dimension-Wise Decompositions and Their Efficient Parallelization
Electronic version of an article published in Recent Developments in Computational Finance, Interdisciplinary Mathematical Sciences, Volume 14, 2013, chapter 13, pages 445-472, DOI: 0.1142/9789814436434 0013(c) World Scientific Publishing Company
Philipp Schröder , Peter Schober and Gabriel Wittum
Goethe Center for Scientific Computing , Goethe University Frankfurt - Department of Finance and Goethe Center for Scientific Computing
Date Posted: April 19, 2015
Accepted Paper Series
6 downloads

Incl. Electronic Paper Differences in Expectations and the Cross Section of Stock Returns
Panayiotis C. Andreou , Anastasios Kagkadis , Dennis Philip and Ruslan Tuneshev
Cyprus University of Technology , Lancaster University - Department of Accounting and Finance , Durham University Business School and Durham University Business School
Date Posted: April 17, 2015
Last Revised: April 18, 2015
Working Paper Series
41 downloads

Incl. Electronic Paper Model-Free Methods in Valuation and Hedging of Derivative Securities
Mark Davis
Imperial College London
Date Posted: April 16, 2015
Working Paper Series
88 downloads

Incl. Electronic Paper The Logic and Practice of Yield Curve Construction
Emil Avsar
Barclays Investment Bank
Date Posted: April 16, 2015
Last Revised: April 21, 2015
Working Paper Series
59 downloads


 

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