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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 542,666
Full Text Papers: 445,183
Authors: 252,069
Papers Received in
  Last 12 months:
66,030

Paper Downloads:
To date: 74,857,921
Last 12 months: 10,154,337
Last 30 days: 862,928

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  Resolved
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254,687
Total References: 8,920,295
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Total Citation
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5,937,149
Papers with
  Resolved
  Footnotes:
89,535
Total Footnotes: 9,013,447


SSRN eLibrary Search Results
JEL Code: G13
2,010,191 Total downloads
Showing Papers 61 - 110 of 5,328
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Incl. Electronic Paper Path-Dependent Volatility
Julien Guyon
Bloomberg L.P.
Date Posted: April 15, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper 評論衍生性金融商品教科書與闡述資產訂價基本定理 (Reviewing the Textbooks of Derivatives and Demonstrating the Fundamental Theorem of Asset Pricing)
Jen-Chang Liu
Takming University of Science and Technology - Department of Banking and Finance
Date Posted: April 14, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper A Flexible Spot Multiple-Curve Model
Martino Grasselli and Giulio Miglietta
University of Padova - Department of Mathematics and University of Padova - Department of Mathematics
Date Posted: April 13, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Assessing Futures Odds in the NCAA Tournament
Adam Schultz and John R. Birge
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: April 13, 2014
Working Paper Series
2 downloads

Time-Frequency Analysis of Crude Oil and S&P500 Futures Contracts
Quantitative Finance, Vol.12, No. 12, 2012
Joseph McCarthy and Alexei G. Orlov
Bryant University and Radford University
Date Posted: April 12, 2014
Accepted Paper Series

Incl. Electronic Paper Enterprise Risk Management and Diversification Effects for Property and Casualty Insurance Companies
Jing Ai , Vickie L. Bajtelsmit and Tianyang Wang
University of Hawaii at Manoa - Shidler College of Business , Colorado State University - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Date Posted: April 08, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Pricing GDP Linked Securities
Oleg A. Ruban , Luiz Vitiello and Ser-Huang Poon
MSCI Inc. , University of Essex - Essex Business School and University of Manchester - Manchester Business School
Date Posted: April 08, 2014
Working Paper Series
8 downloads

Incl. Fee Electronic Paper Algorithmic Trading, Liquidity, and Price Discovery: An Intraday Analysis of the SPI 200 Futures
Financial Review, Vol. 49, Issue 2, pp. 245-270, 2014
Tina Viljoen , P. Joakim Westerholm and Hui Zheng
The University of Sydney Business School , The University of Sydney Business School and Discipline of Finance, The University of Sydney
Date Posted: April 08, 2014
Accepted Paper Series

Incl. Electronic Paper Closed-Form Partial Transform of Triple Joint Density for Pricing Exotic Options and Variance Derivatives Under the 3/2 Model
Wendong Zheng and Pingping Zeng
Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Date Posted: April 08, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Does Option Trading Make Underlying Stock Prices More Efficient? Evidence from IPO Lockup Expirations
Li Wang
University of Illinois at Urbana-Champaign
Date Posted: April 07, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Lead-Lag Relationship in Spot and Future Market: Evidence from Pakistani Stock Market KSE-100 Index
Business Review, Vol 8: No 1. pp. 135-148, January-June 2013
Hamid Ullah and Attaullah Shah
Abdul Wali Khan University and Institute of Management Sciences, Peshawar
Date Posted: April 06, 2014
Accepted Paper Series
3 downloads

Incl. Electronic Paper The Solution of Discretionary Stopping Problems with Applications to the Optimal Timing of Investment Decisions
Timothy C. Johnson
Heriot-Watt University - Maxwell Institute for Mathematical Sciences
Date Posted: April 05, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Option Pricing Under Short-Lived Arbitrage: Theory and Tests
Jimmy E Hilliard and Jitka Hilliard
Auburn University and Auburn University
Date Posted: April 05, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets
Katja Ignatieva
University of New South Wales - Australian School of Business
Date Posted: April 03, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Stochastic Skew and Target Volatility Options
Martino Grasselli and Jacinto Marabel Romo
University of Padova - Department of Mathematics and Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Date Posted: April 02, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper CRR/CRD IV: The Trees and the Forest
Rainer Masera
Università degli Studi Guglielmo Marconi
Date Posted: April 01, 2014
Working Paper Series
46 downloads

Incl. Electronic Paper Merger Deal Stage Fright and the Use of Earn-Outs
Andrew Nyombi
Georgetown University Law Center
Date Posted: March 31, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Inflation Securities Valuation with Macroeconomic-Based No-Arbitrage Dynamics
Gabriele Sarais and Damiano Brigo
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Date Posted: March 31, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Omega Risk Model with Tax
Zhenyu Cui
Brooklyn College, CUNY
Date Posted: March 31, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper An ETF Premium Puzzle and a Market Segmentation Explanation
Louis R Piccotti
Rutgers Business School
Date Posted: March 30, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Margin-Based Asset Pricing and the Determinants of the CDS Basis
Liying Wang
University of South Carolina
Date Posted: March 30, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper On the Possible Impact of Commodity Transaction Tax on India's Commodity Derivatives: An Empirical Study
Sanjay Sehgal and Wasim Ahmad
University of Delhi - Department of Financial Studies and University of Delhi - Department of Financial Studies
Date Posted: March 29, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Entendiendo los Mercados de Swaps: Un Enfoque de Equilibrio General (Understanding Swaps Markets: A General Equilibrium Approach)
Revista de Estadistica, Econometria y Finanzas Aplicadas, Vol. 3, No. 4, 2014
Francisco Venegas
Escuela Superior de Economía, Instituto Politécnico Nacional
Date Posted: March 29, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper Locally Risk-Free Asset Implied by a Finite Set of Assets
Claudio Moni
RBS - QuaRC
Date Posted: March 28, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper An Investigation of Price Discovery and Volatility Spillovers in India's Foreign Exchange Market
Forthcoming in Journal of Economic Studies
Sanjay Sehgal , Wasim Ahmad and Florent Deisting
University of Delhi - Department of Financial Studies , University of Delhi - Department of Financial Studies and Groupe ESC Pau
Date Posted: March 28, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper Banks’ Capital: The Relevance of Market Signals
Rainer Masera and Giancarlo Mazzoni
Università degli Studi Guglielmo Marconi and Banca d'Italia
Date Posted: March 27, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Credit Spreads and State-Dependent Volatility: Theory and Empirical Evidence
Stylianos Perrakis and Rui Zhong
Concordia University, Quebec - John Molson School of Business and Concordia University, Quebec - John Molson School of Business
Date Posted: March 27, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Rollover Risk and Volatility Risk in Credit Spread Models: A Unified Approach
Stylianos Perrakis and Rui Zhong
Concordia University, Quebec - John Molson School of Business and Concordia University, Quebec - John Molson School of Business
Date Posted: March 27, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Valuation of Forwards, Futures, Swaps, and Options
Joel Spina
Montereale Consulting
Date Posted: March 27, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Modeling and Monitoring Risk Acceptability in Markets: The Case of the Credit Default Swap Market
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: March 26, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Análisis comparativo de modelos para estimar la distribución de la volatilidad de series financieras de rendimientos (A Comparative Analysis of Models for Estimating the Volatility Distribution of Financial Returns Series)
Carlos Alexander Grajales Correa , Fredy Ocaris Perez Ramirez and Francisco Venegas
University of Medellin , University of Medellin and Escuela Superior de Economía, Instituto Politécnico Nacional
Date Posted: March 23, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Caracterización del Precio de un Bono Cupón Cero en un Modelo de Equilibrio General (Characterization of the Price of a Zero-Coupon Bond in a General Equilibrium Model)
Francisco Venegas
Escuela Superior de Economía, Instituto Politécnico Nacional
Date Posted: March 23, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Decomposing CDS Spreads and Their Variation
Antje Berndt
Poole College of Management, NC State University
Date Posted: March 23, 2014
Last Revised: April 10, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper An Equilibrium Model for Commodity Prices with Regime Switching Reserve Dynamics
Karl Larsson
Lund University - Department of Economics
Date Posted: March 22, 2014
Working Paper Series
6 downloads

Global Contagion of Market Sentiment During the US Subprime Crisis
Global Finance Journal, Forthcoming
Yen-Hsien Lee , Alan L. Tucker , David K. Wang and Hsin-Ting Pao
Chung Yuan Christian University , Pace University - Lubin School of Business , National University of Kaohsiung and Independent
Date Posted: March 21, 2014
Accepted Paper Series

A Defaultable Callable Bond Pricing Model
Investment Management and Financial Innovations, Volume 6, Issue 3, Pages 54-62, 2009.
David Hua and David K. Wang
Notre Dame de Namur University (NDNU) and National University of Kaohsiung
Date Posted: March 21, 2014
Last Revised: April 05, 2014
Accepted Paper Series

Incl. Electronic Paper Cumulative Prospect Theory and the Variance Premium
Lieven Baele , Joost Driessen , Juan M. Londono and Oliver G. Spalt
Tilburg University - Department of Finance , Tilburg University - Department of Finance , Federal Reserve Board of Governors and Tilburg University - Department of Finance
Date Posted: March 21, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper Is Idiosyncratic Volatility Risk Priced? Evidence from the Physical and Risk-Neutral Distributions
Ali Boloorforoosh
John Molson School of Business, Concordia University
Date Posted: March 21, 2014
Working Paper Series
34 downloads

Incl. Electronic Paper Vasiček Distribution for Nonuniform Credit Portfolios Losses
Ali Shirazi and Mark Syrkin
Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Date Posted: March 20, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Fast Computation of Univariate Memory Autocallable Notes
Andreas Welbers
Hamburger Sparkasse
Date Posted: March 18, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Extending the Black-Scholes Option Pricing Theory to Account for an Option Market Maker's Funding Costs
Wujiang Lou
HSBC
Date Posted: March 18, 2014
Last Revised: April 10, 2014
Working Paper Series
37 downloads

Incl. Electronic Paper Revenues from Storage in a Competitive Electricity Market: Empirical Evidence from Great Britain
IEB Working Paper N. 2013/037
Monica Giulietti , Luigi Grossi and Michael Waterson
University of Warwick - Warwick Business School , University of Verona - Department of Economics and University of Warwick - Department of Economics
Date Posted: March 15, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Empirical Evidence of CAC 40 Futures Volatility Under Crisis
International Research Journal of Finance and Economics, ISSN 1450-2887 Issue 67 (2011)
Alassane B. Diaw and Bernard Olivero
Al Jouf University and Université de Nice Sophia Antipolis
Date Posted: March 13, 2014
Accepted Paper Series
12 downloads

Incl. Electronic Paper Intrinsic Prices of Risk
Truc Le
ANZ Bank
Date Posted: March 12, 2014
Working Paper Series
40 downloads

Incl. Electronic Paper Failings of the Option Pricing
Ilya I. Gikhman
Independent
Date Posted: March 10, 2014
Working Paper Series
33 downloads

Incl. Electronic Paper Analysis of Historical and Implied Volatility
Yue Zhao
Curtin University of Technology - Department of Mathematics and Statistics
Date Posted: March 10, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Revisiting the Supply-Side Equity Risk Premium
Gaurav Jetley , Ching Watson and Neri Breno
Analysis Group, Inc. , Analysis Group, Inc. and Analysis Group, Inc.
Date Posted: March 07, 2014
Working Paper Series
22 downloads

Incl. Electronic Paper On the Frequency of Drawdowns for Brownian Motion Processes
Journal of Applied Probability, Vol. 52, No. 1, 2015, Forthcoming
David Landriault , Bin Li and Hongzhong Zhang
University of Waterloo , University of Waterloo - Department of Statistics and Actuarial Science and Columbia University - Department of Statistics
Date Posted: March 07, 2014
Accepted Paper Series
27 downloads

Incl. Electronic Paper The Impact of Creditor Control on Corporate Bond Pricing and Liquidity
Peter Feldhütter , Edith S. Hotchkiss and Oğuzhan Karakaş
London Business School , Boston College - Carroll School of Management and Boston College - Department of Finance
Date Posted: March 07, 2014
Working Paper Series
28 downloads

Incl. Electronic Paper Choosing the Right Spread
Sebastian Schlenkrich and André Miemiec
d-fine GmbH and d-fine GmbH
Date Posted: March 06, 2014
Working Paper Series
30 downloads


 

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