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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 489,242
Full Text Papers: 398,123
Authors: 228,655
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  Last 12 months: 		69,587

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To date: 66,708,528
Last 12 months: 11,224,159
Last 30 days: 834,566

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  References: 		239,806
Total References: 8,539,827
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  Footnotes: 		78,859
Total Footnotes: 8,610,864


SSRN eLibrary Search Results
JEL Code: G13
1,867,496 Total downloads
Showing Papers 651 - 700 of 4,952
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Incl. Electronic Paper What We Can Learn from Pricing 139,879 Individual Stock Options
Lars Stentoft
HEC Montréal - Department of Finance
Date Posted: December 22, 2011
Working Paper Series
88 downloads

Incl. Electronic Paper Fundamental Analysis and Option Returns
 Theodore H. Goodman , Monica Neamtiu and Frank Zhang
Purdue University - Department of Accounting , University of Arizona - Eller College of Management and Yale School of Management
Date Posted: December 21, 2011
Last Revised: January 03, 2013
Working Paper Series
577 downloads

Incl. Electronic Paper Price Linkages between Chinese and International Metal Future Markets
 Han Zhang , zheng hui and Shuai Dai
University of Edinburgh , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: December 19, 2011
Working Paper Series
47 downloads

Incl. Electronic Paper Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and Funding Value Adjustments
 Antonio Castagna
Iason Ltd.
Date Posted: December 19, 2011
Last Revised: June 13, 2013
Working Paper Series
337 downloads

Incl. Electronic Paper How Many Commodity Sectors Are There, and How Do They Behave?
 Geetesh Bhardwaj and Adam Dunsby
SummerHaven Investment Management and SummerHaven Investment Management
Date Posted: December 17, 2011
Last Revised: February 20, 2013
Working Paper Series
250 downloads

A Unified Approach to Multiple Stopping and Duality
 Shyam S. Chandramouli and Martin Haugh
Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Date Posted: December 16, 2011
Last Revised: June 01, 2012
Working Paper Series

Incl. Electronic Paper Asset-Backed vs. Competence-Driven Leverage: The Next Entrepreneural Finance Challenge - Evidences from the Italian Experience in Finance For Growth
 Guido Max Mantovani
Ca' Foscari University in Venice – Department of Management
Date Posted: December 15, 2011
Last Revised: March 28, 2013
Working Paper Series
66 downloads

Incl. Electronic Paper Implications for Hedging of the Choice of Driving Process for One-Factor Markov-Functional Models
 Joanne Kennedy and Duy Pham
University of Warwick - Department of Statistics and University of Warwick - Department of Statistics
Date Posted: December 15, 2011
Last Revised: December 19, 2011
Working Paper Series
72 downloads

Incl. Electronic Paper Valuation of Liabilities in Hybrid Pension Plans
De Nederlandsche Bank Working Paper No. 326
 Dirk Broeders , An Chen and David R. Rijsbergen
De Nederlandsche Bank , University of Ulm - Department of Mathematics and Economics and De Nederlandsche Bank
Date Posted: December 15, 2011
Working Paper Series
40 downloads

Incl. Electronic Paper Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility
 Ana-Maria Fuertes , Joelle Miffre and Adrián Fernández-Pérez
Cass Business School, City University London , EDHEC Business School and University of Las Palmas de Gran Canaria - Department of Quantitative Methods in Economics
Date Posted: December 14, 2011
Last Revised: February 20, 2013
Working Paper Series
477 downloads

Incl. Electronic Paper Static Hedging Under Maturity Mismatch
 Philipp A. Mayer , Natalie Packham and Wolfgang M. Schmidt
affiliation not provided to SSRN , Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management Gemeinnützige GmbH
Date Posted: December 14, 2011
Working Paper Series
30 downloads

Incl. Electronic Paper FX Basic Notions and Randomization
 Ilya I. Gikhman
Independent
Date Posted: December 13, 2011
Working Paper Series
64 downloads

Incl. Electronic Paper On the Pricing of Contingent Capital Notes
 Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: December 13, 2011
Working Paper Series
94 downloads

Incl. Electronic Paper Swaption Pricing in Affine and Other Models
Date Posted: December 12, 2011
Working Paper Series
89 downloads

Incl. Electronic Paper Does Option Trading Convey Stock Price Information?
 Jianfeng Hu
City University of New York, CUNY Baruch College, Zicklin School of Business
Date Posted: December 11, 2011
Working Paper Series
162 downloads

Incl. Electronic Paper Local Volatility of Volatility for the VIX Market
Review of Derivatives Research, Forthcoming
 Gabriel G. Drimus and Walter Farkas
Institute of Banking and Finance, University of Zürich and University of Zurich, Department of Banking and Finance
Date Posted: December 11, 2011
Last Revised: December 19, 2012
Accepted Paper Series
360 downloads

Incl. Electronic Paper The Emerging Group Management and Control System in China: The Challenges of Enterprises’ Innovation Practice
 Jing Long and Yanxi Li
Dalian University of Technology and affiliation not provided to SSRN
Date Posted: December 11, 2011
Working Paper Series
35 downloads

Incl. Electronic Paper Forecasting with Option-Implied Information
Handbook of Economic Forecasting, Volume 2, G. Elliott and A. Timmermann (eds.)
 Peter Christoffersen , Kris Jacobs and Bo Young Chang
University of Toronto - Rotman School of Management , University of Houston - C.T. Bauer College of Business and Bank of Canada
Date Posted: December 08, 2011
Last Revised: July 11, 2012
Working Paper Series
528 downloads

Incl. Electronic Paper Hedging Structured Credit Products During the Credit Crisis: A Horse Race of 10 Models
 Marius Ascheberg , Björn Bick and Holger Kraft
Goethe University Frankfurt , Goethe University Frankfurt and Goethe University Frankfurt
Date Posted: December 08, 2011
Last Revised: December 31, 2012
Working Paper Series
205 downloads

Incl. Electronic Paper Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation
 Andrea Pallavicini , Daniele Perini and Damiano Brigo
Banca IMI , Mediobanca and Department of Mathematics, Imperial College, London
Date Posted: December 07, 2011
Working Paper Series
512 downloads

Incl. Electronic Paper Quantile Mechanics II: Changes of Variables in Monte Carlo Methods and GPU-Optimized Normal Quantiles
 William Thornton Shaw , Thomas Luu and Nick Brickman
University College London , University College London and affiliation not provided to SSRN
Date Posted: December 07, 2011
Working Paper Series
64 downloads

Incl. Electronic Paper A Guide to Modeling Credit Term Structures
THE OXFORD HANDBOOK OF CREDIT DERIVATIVES, A. Lipton, A. Rennie, eds., Oxford University Press, Oxford, 2010
 Arthur M. Berd
General Quantitative, LLC
Date Posted: December 06, 2011
Accepted Paper Series
103 downloads

Incl. Electronic Paper Do Oil Futures Prices Help Predict Future Oil Prices?
FRBSF Economic Letter No. 2005-38
 Andrew H. McCallum and Tao Wu
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Bank of Dallas
Date Posted: December 03, 2011
Working Paper Series
78 downloads

Incl. Electronic Paper The Smile in Stochastic Volatility Models
 Lorenzo Bergomi and Julien Guyon
Societe Generale and Bloomberg L.P.
Date Posted: December 03, 2011
Last Revised: May 06, 2012
Working Paper Series
523 downloads

Incl. Electronic Paper Measuring Portfolio Credit Risk: Modelling Versus Calibration Errors
BIS Quarterly Review
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Date Posted: December 02, 2011
Accepted Paper Series
23 downloads

Incl. Electronic Paper Granularity of Corporate Debt
 Jaewon Choi , Dirk Hackbarth and Josef Zechner
University of Illinois at Urbana-Champaign - Department of Finance , University of Illinois at Urbana-Champaign - College of Business and Vienna University of Economics and Business
Date Posted: November 30, 2011
Last Revised: May 18, 2013
Working Paper Series
304 downloads

Incl. Electronic Paper A New Explanation for Call Option Overpricing: Theory and Empirical Evidence
 Sang Baum Kang
Illinois Institute of Technology - Stuart School of Business
Date Posted: November 30, 2011
Last Revised: September 17, 2012
Working Paper Series
109 downloads

Incl. Electronic Paper Asymptotic Expansions of the Lognormal Implied Volatility: A Model Free Approach
 Cyril Grunspan
Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)
Date Posted: November 29, 2011
Last Revised: December 06, 2011
Working Paper Series
389 downloads

A Bivariate Shot Noise Hawkes Process for Insurance
 Jiwook Jang and Angelos Dassios
Macquarie University and London School of Economics & Political Science (LSE) - Department of Statistics
Date Posted: November 28, 2011
Working Paper Series
36 downloads

Are Freight Futures Markets Efficient? Evidence from Imarex
International Journal of Forecasting, Forthcoming
 Lambros Goulas and George S. Skiadopoulos
Systemic Risk Management and University of Piraeus
Date Posted: November 26, 2011
Accepted Paper Series

Incl. Electronic Paper Asymptotic Expansions of the Lognormal Implied Volatility: A Model Free Approach
 Cyril Grunspan
Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)
Date Posted: November 25, 2011
Last Revised: December 06, 2011
Working Paper Series
38 downloads

Incl. Electronic Paper Common Factors and Causality in the Dynamics of Implied Volatility Surfaces: Evidence from the FX OTC Market
Journal of Economic Asymmetries, Vol. 6, No. 1, 2009
 George Chalamandaris and Andrianos E. Tsekrekos
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Date Posted: November 25, 2011
Accepted Paper Series
18 downloads

Incl. Electronic Paper Fixed Income Basic Notions and Randomization
 Ilya I. Gikhman
Independent
Date Posted: November 25, 2011
Working Paper Series
73 downloads

Market Timing with Option-Implied Distributions: A Forward-Looking Approach
Management Science, Vol. 57, No. 7, pp. 1231-1249, 2011
 Alexandros Kostakis , Nikolaos Panigirtzoglou and George S. Skiadopoulos
University of Manchester - Manchester Business School , Queen Mary, University of London and University of Piraeus
Date Posted: November 24, 2011
Last Revised: November 27, 2011
Accepted Paper Series

Incl. Electronic Paper Order Flow and Expected Option Returns
 Dmitriy Muravyev
Boston College
Date Posted: November 23, 2011
Last Revised: September 03, 2012
Working Paper Series
357 downloads

Incl. Electronic Paper Response to Public Information in Futures Markets: Evidence from the Financial Crisis
 James Richard Cummings and Esther Yoon Kyeong Lee
Macquarie University, Faculty of Business and Economics and University of Sydney
Date Posted: November 23, 2011
Last Revised: March 28, 2012
Working Paper Series
55 downloads

Incl. Electronic Paper Tax Effects on the Pricing of Australian Stock Index Futures
 James Richard Cummings and Alex Frino
Macquarie University, Faculty of Business and Economics and University of Sydney - Discipline of Finance
Date Posted: November 23, 2011
Working Paper Series
42 downloads

Incl. Electronic Paper American Option Pricing Using Simulation and Regression: Numerical Convergence Results
 Lars Stentoft
HEC Montréal - Department of Finance
Date Posted: November 22, 2011
Working Paper Series
119 downloads

Incl. Electronic Paper Real Options Premia Implied from Recent Transactions in the Greek Real Estate Market
Journal of Real Estate Finance and Economics, Forthcoming
 Andrianos E. Tsekrekos and Georgios Kanoutos
Athens University of Economics and Business - Department of Accounting and Finance and affiliation not provided to SSRN
Date Posted: November 21, 2011
Last Revised: November 23, 2011
Accepted Paper Series
44 downloads

Incl. Electronic Paper Trading in Derivatives When the Underlying is Scarce
 Snehal Banerjee and Jeremy J. Graveline
Northwestern University - Kellogg School of Management - Department of Finance and University of Minnesota - Carlson School of Management
Date Posted: November 20, 2011
Last Revised: June 13, 2013
Working Paper Series
117 downloads

Incl. Electronic Paper Limits to Arbitrage and the Skewness Risk Premium in Options Markets
 Thomas Ruf
University of New South Wales (UNSW) - School of Banking and Finance
Date Posted: November 19, 2011
Last Revised: January 23, 2012
Working Paper Series
129 downloads

Incl. Electronic Paper Spread Risk Premia in Corporate Credit Default Swap Markets
 Oliver Entrop , Richard Schiemert and Marco Wilkens
University of Passau , Catholic University of Eichstaett-Ingolstadt and University of Augsburg
Date Posted: November 18, 2011
Last Revised: May 13, 2013
Working Paper Series
159 downloads

Incl. Electronic Paper Order Imbalance, Market Returns and Macroeconomic News: Evidence from the Australian Interest Rate Futures Market
Research in International Business and Finance, 2012, Vol. 26, Issue 3, P410-427, 2012 Financial Markets & Corporate Governance Conference
 Lee A. Smales
Curtin University of Technology - School of Economics and Finance
Date Posted: November 18, 2011
Last Revised: January 11, 2013
Accepted Paper Series
49 downloads

Incl. Electronic Paper A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
 Vicky Henderson and Gechun Liang
University of Oxford - Oxford Man Institute and University of Oxford - Oxford-Man Institute of Quantitative Finance
Date Posted: November 17, 2011
Working Paper Series
116 downloads

Incl. Electronic Paper A Remark on Lin and Chang's Paper 'Consistent Modeling of S&P 500 and VIX Derivatives'
Swiss Finance Institute Research Paper No. 11-54
 Jun Cheng , Meriton Ibraimi , Markus Leippold and Jin E. Zhang
Shanghai Stock Exchange , University of Zurich - Swiss Banking Institute (ISB) , University of Zurich - Department of Banking and Finance and The University of Hong Kong
Date Posted: November 17, 2011
Working Paper Series
98 downloads

Incl. Electronic Paper Macroeconomic Determinants of Carry Trade Activity
Bank of Italy Temi di Discussione (Working Paper) No. 817
 Alessio Anzuini and Fabio Fornari
Bank of Italy and European Central Bank (ECB)
Date Posted: November 17, 2011
Working Paper Series
42 downloads

Incl. Electronic Paper Structural Models of the Firm under State-Dependent Volatility and Jump Process Asset Dynamics
 Stylianos Perrakis and Rui Zhong
Concordia University, Quebec - John Molson School of Business and Concordia University, Quebec - John Molson School of Business
Date Posted: November 17, 2011
Last Revised: May 16, 2013
Working Paper Series
78 downloads

An Empirical Evaluation of Normative Commercial Real Estate Swap Pricing
Journal of Portfolio Management, Vol. 35, No. 5, 2011
 Christian Rehring and Bertram I. Steininger
University of Regensburg - IREBS International Real Estate Business School and RWTH Aachen University
Date Posted: November 12, 2011
Accepted Paper Series

Incl. Electronic Paper Credit Default Swap Spreads and Variance Risk Premia
FEDS Working Paper No. 2011-02
 Hao Zhou , wang hao and Zhou Yi
PBC School of Finance, Tsinghua University , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: November 11, 2011
Working Paper Series
43 downloads

Incl. Electronic Paper On Moment-Matching Approximations for Asian Options
 Min-Teh Yu
National Chiao Tung University
Date Posted: November 11, 2011
Last Revised: January 02, 2013
Working Paper Series
88 downloads


 

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