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JEL Code: G13
1,851,920 Total downloads
Showing Papers 661 - 710 of 4,932
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The Official Closing Versus Last Trade Price for Nasdaq Stocks: Implications for Empirical Research and Automatic Equity Option Exercise
Patrick Catania
and
Edwin D. Maberly
Date Posted: July 27, 2005232 downloads
The Non-Monotonicity of Value-at-Risk and the Validity of Risk Measures over Different Horizons
Jonathan Treussard
Date Posted: August 16, 2005248 downloads
The New South-African Volatility Index: New SAVI
Antonie Kotze
,
Angelo Joseph
and
Rudolf Oosthuizen
Date Posted: January 10, 201329 downloads
The Need for Futures Markets in Currencies Cato Journal, Vol. 31, No. 3, 2011
Milton Friedman
Date Posted: April 16, 20134 downloads
The Most Likely Stream
Date Posted: November 03, 2012114 downloads
The Monotonicity of the Option-Value/Risk Relation: A Note
Robert R. Bliss
Date Posted: April 02, 2001168 downloads
The Modified Dividend-Price Ratio
Ioannis Neokosmidis
and
Vassilis Polimenis
affiliation not provided to SSRN
and
Aristotle University of Thessaloniki
Date Posted: November 26, 2012Last Revised: December 13, 201261 downloads
The Minimum Variance Hedge Ratio Under Stochastic Interest Rates Management Science, Vol. 46, Issue 5, pp. 658-668
Abraham Lioui and
Patrice Poncet
Date Posted: April 19, 2000
The Merits of Pooling Claims Revisited Journal of Risk Finance Vol. 13, No. 3, pp. 184-198, 2012
Nadine Gatzert and
Hato Schmeiser
Date Posted: August 21, 2012
The Maximum Entropy Distribution of an Asset Inferred from Option Prices J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, March 1996
Peter W. Buchen and
Michael Kelly
Date Posted: May 03, 2000
The Mathematical Foundations of Barrier Option-Pricing Theory ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Don R. Rich
affiliation not provided to SSRN
Date Posted: May 03, 2000
The Market Value of Corporate Votes: Theory and Evidence from Option Prices Journal of Finance, Forthcoming
Avner Kalay ,
Oguzhan Karakas
and
Shagun Pant
Date Posted: January 26, 2011Last Revised: April 28, 2013369 downloads
The Market Value and Dynamic Interest Rate Risk of Swaps Paper ID: 96-44
Andrew H. Chen and
Mo Chaudhury
Date Posted: January 23, 19971309 downloads
The Market Price of Credit Risk: The Impact of Asymmetric Information
Kay Giesecke and
Lisa R. Goldberg
Date Posted: October 08, 2003Last Revised: April 21, 2009960 downloads
The Market Microstructure of the European Climate Exchange
Bruce Mizrach and
Yoichi Otsubo
Date Posted: June 07, 2010Last Revised: February 09, 2013404 downloads
The Margin-Volatility Relationship: A Test Based on Extreme Price Movements London Business School Institute of Finance and Accounting Working Paper 191
Francois M. Longin
Date Posted: May 11, 2000
The Main Risks of an FX Options Portfolio, Some Untimely Considerations of an Option Trader
Antonio Castagna
Date Posted: August 29, 2005606 downloads
The Long-run Risks Model: What Differences Can an Extra Volatility Factor Make?
Guofu Zhou and
Yingzi Zhu
Date Posted: May 13, 2009Last Revised: March 10, 2013554 downloads
The Long-Run Negative Drift Of Post-Listing Stock Returns
Bala G. Dharan and
David L. Ikenberry
Date Posted: April 11, 1995
The Liquidity Effect in Option Pricing: An Empirical Analysis International Journal of Business and Finance Research, Vol. 5, No. 2, pp. 35-43, 2011
Shih-Ping Feng
Date Posted: July 03, 201166 downloads
The Linear Digital Model
Paul F. Romanelli
Date Posted: January 24, 2012Last Revised: May 02, 201273 downloads
The Limits of Arbitrage J. OF FINANCE, Vol. 52 No. 1, March 1997
Andrei Shleifer and
Robert W. Vishny
Date Posted: January 16, 1997
The LIBOR/SABR Market Models: A Critical Review
Sanjay K. Nawalkha
Date Posted: December 26, 2009742 downloads
The LIBOR Market Model: A Critical Review
Sanjay K. Nawalkha
Date Posted: April 29, 2009253 downloads
The Large Maturity Smile for the Heston Model
Martin Forde
and
Antoine Jacquier
Date Posted: November 27, 2009Last Revised: June 04, 2012
The Issuer Effect on Default Risk Insured Municipal Bond Yields Journal of Economics and Finance, Vol. 18 No. 3, Fall 1994
C. Steven Cole ,
Pu Liu and
Stanley D. Smith
affiliation not provided to SSRN
and
University of Central Florida
Date Posted: July 18, 2001
The Irony in the Derivatives Discounting Part II: The Crisis
Marc P. A. Henrard
Date Posted: July 14, 2009Last Revised: December 19, 20092439 downloads
The Irony in the Derivatives Discounting Part II: The Crisis Wilmott Journal, Vol. 2, pp. 301-316, 2010
Marc P. A. Henrard
Date Posted: September 28, 2011
The Irony in the Derivatives Discounting Wilmott Magazine, pp. 92-98, July 2007
Marc P. A. Henrard
Date Posted: February 25, 2009
The Irony in the Derivatives Discounting
Marc P. A. Henrard
Date Posted: March 14, 20072552 downloads
The Investment Policy and the Pricing of Equity in a Levered Firm: A Reexamination of the Contingent Claims' Valuation Approach
Marc Chesney and
Rajna Gibson
Date Posted: May 22, 2000
The Intraday Relation Between NYSE and CBOE Prices Forthcoming in Journal of Financial Research
Brian C. Hatch
Date Posted: June 10, 2002
The Intraday Multivariate Structure of the Eurofutures Markets GBA.1997-11-25
Giuseppe Ballocchi ,
Carl M. Hopman ,
Michel M. Dacorogna ,
Ulrich A. Müller and
Richard B. Olsen
affiliation not provided to SSRN
,
Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
,
SCOR Switzerland
,
Olsen & Associates
and
Olsen & Associates
Date Posted: August 03, 1998363 downloads
The Intraday Behaviour of Quoted and Effective Bid-Ask Spreads of FT-SE 100 Index Options
Paul Dawson
Date Posted: December 05, 1998
The Intraday Behavior of Bid-Ask Spreads, Returns, and Volatility for FTSE-100 Stock Index Options J. OF DERIVATIVES, Summer 1997
Owain Ap Gwilym ,
Mike Buckle and
Stephen Thomas
Date Posted: July 31, 1997
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
The Intertemporal Relation between Risk and Returns in Australia 21st Australasian Finance and Banking Conference 2008 Paper
Bin Li
Date Posted: August 25, 200866 downloads
The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets ECONOMIC THEORY, DYNAMICS AND MARKETS: ESSAYS IN HONOR OF RYUZO SATO, K. Mino, T. Negishi, R. Ramachandran, eds., Kluwer Academic Press, 2001
Young Ho Eom ,
Jun Uno and
Marti G. Subrahmanyam
Date Posted: January 18, 2002475 downloads
The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets
Young Ho Eom ,
Jun Uno and
Marti G. Subrahmanyam
Date Posted: March 17, 200192 downloads
The Interaction between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics WIFO Working Paper No. 290
Stephan Schulmeister
Date Posted: November 25, 2010166 downloads
The Interaction between Corporate Bonds Yields, Equity Market and the Macro Economy
Samuel B. Bulmash
and
Nilesh Balaram Sah
Date Posted: September 16, 201240 downloads
The Informational Role of Spot Prices and Inventories Resources for the Future Discussion Paper No. 12-45
James L. Smith and
Rex Thompson
Date Posted: October 23, 201211 downloads
The Informational Content of Over-the-Counter Currency Options
Peter Christoffersen and
Stefano Mazzotta
Date Posted: February 24, 2004128 downloads
The Informational Content of Implied Volatility Around Stock Splits
Brandon Julio
and
Qian Deng
Date Posted: November 03, 2005392 downloads
The Informational Content of Financial Options for Quantitative Asset Management: A Review HANDBOOK OF QUANTITIVE ASSET MANAGEMENT, B. Scherer, K. Winston, ed., Oxford University Press, Forthcoming
Daniel Giamouridis
and
George S. Skiadopoulos
Date Posted: November 01, 2009Last Revised: March 29, 2012319 downloads
The Informational Content of an Open Limit Order Book AFA 2005 Philadelphia Meetings; EFA 2004 Maastricht Meetings Paper No. 4311
Charles Cao ,
Oliver Hansch and
Xiaoxin Wang Beardsley
Date Posted: July 19, 20041180 downloads
The Information Frown in Option Prices
Louis H. Ederington and
Wei Guan
Date Posted: August 17, 1999493 downloads
The Information Dissemination Process of Futures Exchange Innovations: A Note Journal of Business Research, 1998
Joost M. E. Pennings
Date Posted: September 10, 1998
The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index Journal of Futures Markets
Chung San-Lin
,
Wei-Che Tsai ,
Yaw-Huei Wang and
Pei-Shih (Pace) Weng
Date Posted: November 20, 2010Last Revised: January 17, 2013253 downloads
The Information Content of Price Limit Moves International Journal of Business, Vol. 8, No. 2, 2003
Lawrence J. Belcher ,
Christopher K. Ma
and
James Mallett
Date Posted: September 02, 2003208 downloads
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