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JEL Code: G13
1,853,210 Total downloads
Showing Papers 501 - 550 of 4,933
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Does it Matter Who Trades Energy Derivatives? FEEM (Fondazione Eni Enrico Mattei), Review of Environment, Energy and Economics (Re3), March 2012
Bahattin Buyuksahin
and
Michel A. Robe
Date Posted: March 28, 201269 downloads
Does it Matter Who Trades Energy Derivatives? Review of Environment, Energy and Economics, March 2012
Bahattin Buyuksahin
and
Michel A. Robe
Date Posted: March 28, 2012Last Revised: May 01, 201253 downloads
Speculation, Returns, Volume and Volatility in Commodities Futures Markets FEEM (Fondazione Eni Enrico Mattei), Review of Environment, Energy and Economics (Re3), January 2012
Andrea Bastianin
,
Matteo Manera ,
Marcella Nicolini
and
Ilaria Vignati
Date Posted: March 28, 2012149 downloads
Tests of Non Linear Gaussian Term Structure Models
Marco Realdon
affiliation not provided to SSRN
Date Posted: March 28, 201230 downloads
Model Calibration and Automated Trading Agent for Euro Futures Quantitative Finance, Vol. 12, No. 4, pp. 531-545, 2012
Germán Creamer
Date Posted: March 26, 2012Last Revised: February 20, 2013358 downloads
An Efficient Numerical PDE Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives
Duy Minh Dang ,
Christina Christara
,
Kenneth R. Jackson
and
Asif Lakhany
Date Posted: March 26, 2012Last Revised: May 05, 2013328 downloads
Price Discovery in Futures and Options Markets Journal of Futures Markets, Forthcoming
Naomi E. Boyd
and
Peter Locke
Date Posted: March 26, 2012Last Revised: April 22, 201351 downloads
Balance-Sheet Shocks and Recapitalizations IMF Working Paper No. NO.12/68
Fabian V. Valencia
and
Damiano Sandri
Date Posted: March 25, 201231 downloads
The Fine Structure of Variance: Consistent Pricing of VIX Derivatives Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Nicole Branger
and
Clemens Völkert
affiliation not provided to SSRN
Date Posted: March 25, 2012Last Revised: February 21, 2013196 downloads
Large Deviations for the Extended Heston Model: The Large-Time Case
Antoine Jacquier
and
Aleksandar Mijatovic
Date Posted: March 24, 201217 downloads
A Flexible Matrix Libor Model with Smiles
Alessandro Gnoatto
,
Martino Grasselli
and
José Da Fonseca
Date Posted: March 23, 201256 downloads
Coherent Price Systems and Uncertainty-Neutral Valuation Institute of Mathematical Economics Working Paper No. 464
Patrick Beissner
Date Posted: March 22, 2012Last Revised: October 05, 201234 downloads
Generalised CVA with Funding and Collateral via Semi-Replication
Christoph Burgard
and
Mats Kjaer
Date Posted: March 22, 2012Last Revised: December 08, 2012580 downloads
Comment on 'The Large-Maturity Smile for the Heston Model'
Carole Bernard
,
Zhenyu Cui
and
Don McLeish
affiliation not provided to SSRN
Date Posted: March 21, 201280 downloads
American Options with Multiple Priors in Continuous Time Institute of Mathematical Economics Working Paper No. 448
Joerg Vorbrink
affiliation not provided to SSRN
Date Posted: March 20, 2012
Heterogeneity in Beliefs and Volatility Tail Behavior
Gurdip Bakshi ,
Dilip B. Madan and
George Panayotov
Date Posted: March 20, 201290 downloads
Merger and Acquisitions - Collar Contracts
Christian Hilpert
and
An Chen
Date Posted: March 20, 2012Last Revised: November 13, 2012123 downloads
Option Pricing in Jump Diffusions: A New Integral-Based Framework for European and American Options
Robert Frontczak
Date Posted: March 20, 201259 downloads
Utility-Based Pricing, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information
Dandan Song
and
Zhaojun Yang
affiliation not provided to SSRN
and
Hunan University - School of Finance and Statistics
Date Posted: March 19, 2012105 downloads
Is the KOSPI 200 Options Market Efficient? A Nonparametric Tests of the Martingale Restriction Forthcoming in Journal of Futures Markets
Qian Han ,
Biao Guo
and
DooJin Ryu
Date Posted: March 18, 2012Last Revised: April 16, 201247 downloads
Predictability: The Wrong Way
Andrea Carnelli
and
Andrea Buraschi
Date Posted: March 18, 2012Last Revised: July 18, 201268 downloads
Ambiguity Aversion and Variance Premium
Jianjun Miao ,
Bin Wei and
Hao Zhou
Date Posted: March 17, 2012Last Revised: May 16, 2012120 downloads
Discrepancy between Black-Scholes and Binomial Option Premia
Jayaram Muthuswamy
and
Thomas A. Hanson
Date Posted: March 17, 201292 downloads
Limits to Market Making and the Skewness Risk Premium in Options Markets
Thomas Ruf
Date Posted: March 17, 2012Last Revised: September 22, 2012121 downloads
Misvaluation and Return Anomalies in Distress Stocks AFA 2013 San Diego Meetings Paper
Assaf Eisdorfer
,
Amit Goyal and
Alexei Zhdanov
Date Posted: March 17, 2012189 downloads
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
Tim Bollerslev ,
James Marrone
,
Lai Xu
and
Hao Zhou
Date Posted: March 17, 2012Last Revised: August 08, 2012246 downloads
Crash Risk in Currency Returns
Mikhail Chernov ,
Jeremy J. Graveline
and
Irina Zviadadze
Date Posted: March 16, 2012158 downloads
Misvaluation and Return Anomalies in Distress Stocks Swiss Finance Institute Research Paper No. 12-12
Assaf Eisdorfer
,
Amit Goyal and
Alexei Zhdanov
Date Posted: March 16, 2012178 downloads
Rare Macro Disasters in Credit and Option Markets
Du Du
and
Redouane Elkamhi
Date Posted: March 16, 201248 downloads
Do Sovereign Credit Default Swaps Represent a Clean Measure of Sovereign Default Risk? A Factor Model Approach
Saad Badaoui
,
Lara Cathcart
and
Lina El-Jahel
Date Posted: March 15, 2012Last Revised: January 29, 201385 downloads
Financial Trading, Spot Oil Prices, and Inventory: Evidence from the U.S. Crude Oil Market
Louis H. Ederington ,
Chitru S. Fernando ,
Kateryna V. Holland and
Thomas K Lee
Date Posted: March 15, 2012Last Revised: October 12, 201261 downloads
Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound
Leo Krippner
Date Posted: March 15, 201235 downloads
The Relation between Idiosyncratic Volatility and Returns: A Growth Option Model with Stochastic Volatility and Jumps
Kyung Hwan Shim
Date Posted: March 15, 201259 downloads
A Risk-Based Premium: What Does It Mean for DB Plan Sponsors?
An Chen
and
Filip Uzelac
Date Posted: March 14, 2012Last Revised: May 19, 201341 downloads
Sorting Out Inflation
Martijn Boons
,
Frans de Roon and
Marta Szymanowska
Date Posted: March 14, 2012Last Revised: November 19, 201269 downloads
Valuation of Equity-Linked Life Insurance Contracts with Surrender Guarantees in a Regime-Switching Rational Expectation Model
Filip Uzelac
and
Alexander Szimayer
Date Posted: March 14, 2012Last Revised: April 30, 201244 downloads
A Tough Nut to Crack: On the Pricing of Capital Ratio Triggered Contingent Convertibles
Markus Philipp Henry Buergi
Date Posted: March 13, 201296 downloads
Toxic Asset Subsidies and the Early Redemption of TALF Loans
Linus Wilson
Date Posted: March 13, 201218 downloads
Investing in Commodities: Popular Beliefs and Misconceptions Journal of Asset Management, Vol. 13, No. 2, pp. 77-83, 2012
George S. Skiadopoulos
Date Posted: March 12, 2012
Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options Journal of Financial and Quantitative Analysis, Forthcoming
Michael Neumann
and
George S. Skiadopoulos
Date Posted: March 12, 2012
A Regulator's Exercise of Career Option to Quit and Join a Regulated Firm's Management with Applications to Financial Institutions Proceedings of Academy of Behavioral Finance & Economics, 2012
John A. Cole
Date Posted: March 11, 2012Last Revised: August 02, 201288 downloads
Credit Derivatives and Earnings Announcements Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2012-03
George E. Batta
,
Jiaping Qiu
and
Fan Yu
Date Posted: March 11, 2012Last Revised: May 11, 2013131 downloads
An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options Journal of CENTRUM Cathedra: The Business and Economics Research Journal, Vol. 5, Issue 1, pp. 91-101, 2012
Mihir Dash
,
Jay H. Dagha
,
Pooja Sharma
and
Rashmi Singhal
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: March 10, 2012Last Revised: October 31, 2012107 downloads
Balance-Sheet Shocks and Recapitalizations IMF Working Paper No. 12/68
Damiano Sandri and
Fabian V. Valencia
Date Posted: March 08, 201210 downloads
Option Pricing Revisited
Ilya I. Gikhman
Date Posted: March 07, 201256 downloads
Explaining the Volatility Surface: A Closed-Form Solution to Option Pricing in a Fractional Jump-Diffusion Market Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Stefan Rostek
Date Posted: March 06, 2012Last Revised: October 26, 201271 downloads
Modeling Credit Contagion Via the Updating of Fragile Beliefs
Luca Benzoni ,
Pierre Collin-Dufresne ,
Robert S. Goldstein and
Jean Helwege
Date Posted: March 05, 2012107 downloads
Nonparametric, Conditional Pricing of Higher Order Multivariate Contingent Claims
Kostas Giannopoulos
Date Posted: March 05, 2012
A Comparison and Survey of Finite Difference Methods for Pricing American Options Under Finite Activity Jump-Diffusion Models
Santtu Salmi
and
Jari Toivanen
Date Posted: March 04, 2012164 downloads
U.S. Presidential Elections and Implied Volatility: The Role of Political Uncertainty Journal of Banking and Finance, Forthcoming
John W. Goodell and
Sami Vähämaa
Date Posted: March 04, 2012Last Revised: December 31, 2012153 downloads
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