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Full Text Papers: 481,644
Authors: 268,978
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SSRN eLibrary Search Results
JEL Code: G13
2,127,297 Total downloads
Showing Papers 681 - 730 of 5,551
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Incl. Electronic Paper Option-Based Credit Spreads
Christopher L. Culp , Yoshio Nozawa and Pietro Veronesi
Compass Lexecon , Federal Reserve Board of Governors and University of Chicago - Booth School of Business
Date Posted: December 17, 2014
Working Paper Series
3 downloads

Derivatives Within Frontier Markets
Journal of Investing, Vol. 23, No. 4, pp. 47-55, Winter 2014, DOI: 10.3905/joi.2014.23.4.047
Ronald T. Slivka and Jiayun Zhang
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and NYU Polytechnic School of Engineering
Date Posted: December 13, 2014
Accepted Paper Series

Incl. Electronic Paper Optimal Futures Trading in the Presence of Liquidity Risk
Nicholas Taylor
University of Bristol - School of Economics, Finance and Management
Date Posted: December 13, 2014
Last Revised: December 17, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Return Volatility Movements in Spot and Futures Markets: Evidence from Intraday Behavior of the S&P 500 Index
The International Journal of Business and Finance Research, v. 8 (3) p. 95-107, 2014
Jeng-Hong Chen
Albany State University
Date Posted: December 13, 2014
Accepted Paper Series
3 downloads

Incl. Electronic Paper Return Volatility Movements in Spot and Futures Markets: Evidence from Intraday Behavior of the S&P 500 Index
The International Journal of Business and Finance Research, v. 8 (3) p. 95-107, 2014
Jeng-Hong Chen
Albany State University
Date Posted: December 13, 2014
Accepted Paper Series
2 downloads

Incl. Electronic Paper Return Volatility Movements in Spot and Futures Markets: Evidence from Intraday Behavior of the S&P 500 Index
The International Journal of Business and Finance Research, v. 8 (3) p. 95-107, 2014
Jeng-Hong Chen
Albany State University
Date Posted: December 12, 2014
Accepted Paper Series
3 downloads

Incl. Electronic Paper La Incorporación De La Lógica Difusa Al Modelo Black-Scholes, Para La Determinación Del Precio De La Opción Cambiaria Mexicana (Addition of the Fuzzy Logic Model to Black-Scholes, for Pricing Mexican Currency Options)
Revista Internacional Administración & Finanzas, v. 7 (7) p. 55-73,
manuel muñoz palma and Ezequiel Avilés Ochoa Sr.
Universidad de Sonora and Universidad Autónoma de Occidente
Date Posted: December 12, 2014
Accepted Paper Series
2 downloads

Dynamic CDO Pricing and Hedging in a Forward Setting
Vilimir Yordanov
Independent
Date Posted: December 11, 2014
Working Paper Series

Incl. Electronic Paper Small vs Large Caps. Evidencia De Mercados Accionarios Desarrollados Y Emergentes En Periodos Con vs Sin Crisis Financiera (Small vs Large Caps. Evidence from Developed and Emerging Stock Markets During Periods With and Without Financial Crisis)
Revista Internacional Administración & Finanzas, v. 8 (4) p. 27-44, 2015 Forthcoming,
Eduardo Sandoval
Universidad de Concepción
Date Posted: December 11, 2014
Accepted Paper Series
1 downloads

Incl. Electronic Paper A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities
Ca' Foscari University of Venice Department of Economics Working Paper No. 22/WP/2014
Roberto Casarin , Fabrizio Leisen , German Molina and Enrique ter Horst
University Ca' Foscari of Venice - Department of Economics , University of Kent, Canterbury , Idalion Capital US LP and IESA
Date Posted: December 09, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Replication & XVA: The Unique Counting Approach
Alexandre Antonov and Andy McClelland
Numerix and Numerix
Date Posted: December 08, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Economic Uncertainty and Commodity Futures Volatility
Sumudu W. Watugala
University of Oxford - Said Business School
Date Posted: December 05, 2014
Last Revised: December 10, 2014
Working Paper Series
45 downloads

Incl. Electronic Paper Market Makers’ Optimal Price-Setting Policy for Exchange-Traded Certificates
Stefanie Baller , Oliver Entrop , Michael D. McKenzie and Marco Wilkens
University of Passau , University of Passau , University of Sydney - Discipline of Finance and University of Augsburg
Date Posted: December 05, 2014
Working Paper Series
10 downloads

Systemic Financial Turmoil: Inside the Subprime and the Eurozone Crises Quantitative Architecture and Empirics
Vilimir Yordanov
Independent
Date Posted: December 03, 2014
Working Paper Series

Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions
Andrew Papanicolaou
University of Sydney, School of Mathematics and Statistics
Date Posted: November 30, 2014
Working Paper Series

Incl. Electronic Paper The Option to Hold a Petroleum Lease by Production: A User's Guide to the Shale Gas Drilling Boom
James L. Smith
Southern Methodist University (SMU) - Edwin L. Cox School of Business
Date Posted: November 30, 2014
Working Paper Series
24 downloads

Dividend Risk and the Cross-Section of Equity Risk Premia
Antonio Picca
University of Chicago - Booth School of Business
Date Posted: November 30, 2014
Working Paper Series

Incl. Electronic Paper Fed Funds Futures Variance Futures
Swiss Finance Institute Research Paper No. 14-66
Damir Filipovic and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: November 28, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: November 25, 2014
Last Revised: December 16, 2014
Working Paper Series
56 downloads

Incl. Electronic Paper CVA and Wrong-Way Risk: A Model Comparison from a Measure Change Perspective
Frédéric D. Vrins
Louvain School of Management, Université catholique de Louvain
Date Posted: November 25, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Mate Choice Swaption and Timing of First Marriage
Nengsheng Fang and Ronghua Luo
Southwestern University of Finance and Economics (SWUFE) - School of Finance and Southwestern University of Finance and Economics (SWUFE) - School of Finance
Date Posted: November 24, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper An Arbitrage-Free Hagan Implied Density via the Stochastic Collocation Method
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Date Posted: November 24, 2014
Last Revised: December 02, 2014
Working Paper Series
73 downloads

Incl. Electronic Paper The Stochastic Collocation Monte Carlo Sampler: Highly Efficient Sampling from 'Expensive' Distributions
Lech A. Grzelak , Jeroen Witteveen , Maria Suarez-Taboada and Cornelis W. Oosterlee
Delft University of Technology , Center for Mathematics and Computer Science (CWI) , University of Coruña and Center for Mathematics and Computer Science (CWI)
Date Posted: November 24, 2014
Last Revised: December 03, 2014
Working Paper Series
34 downloads

Incl. Electronic Paper Addressing the Bias in Monte Carlo Pricing of Multi-Asset Options with Multiple Barriers Through Discrete Sampling
The Journal of Computational Finance 6(3), pp.1-20, 2003.
Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Date Posted: November 23, 2014
Accepted Paper Series
8 downloads

Incl. Electronic Paper Price Discovery in Gold Markets: China and the U.S.
Dong Zhang
Stockholm University - School of Business
Date Posted: November 23, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper Adding Stochastic Credit and Funding to XVA Calculations
Claudio Moni
JP Morgan
Date Posted: November 22, 2014
Last Revised: November 29, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Kalle Rinne , Matti Suominen and Lauri Vaittinen
Luxembourg School of Finance , Aalto University, Department of Finance and Independent
Date Posted: November 22, 2014
Working Paper Series
962 downloads

Incl. Electronic Paper An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration Using Matlab
CNMV Working Paper n. 58
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Date Posted: November 20, 2014
Accepted Paper Series
37 downloads

Incl. Electronic Paper When No News is Good News – The Decrease in Investor Fear after the FOMC Announcement
Adrian Fernandez-Perez , Bart Frijns and Alireza Tourani-Rad
Auckland University of Technology , Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Date Posted: November 17, 2014
Last Revised: November 18, 2014
Working Paper Series
44 downloads

Incl. Electronic Paper The Sovereign Nature of Systemic Risk
Gerardo Manzo and Antonio Picca
The University of Chicago Booth School of Business and University of Chicago - Booth School of Business
Date Posted: November 17, 2014
Working Paper Series
30 downloads

Incl. Electronic Paper Basic of Pricing 2
Ilya I. Gikhman
Independent
Date Posted: November 17, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Behavioral Influences in Non-Ferrous Metals Prices
Mark Cummins , Michael M. Dowling and Brian M. Lucey
Dublin City University Business School , Dublin City University Business School and Trinity College, Dublin - School of Business
Date Posted: November 16, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Price Discovery of German Index Derivatives During Financial Turmoil
Anja Frommherz
University of Basel - Department of Finance
Date Posted: November 15, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper Simulated Conditional Probabilities: A Better Approximation for the m Out of n Day Provision
Qiang Liu
Southwestern University of Finance and Economics - School of Finance
Date Posted: November 14, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper The 4/2 Stochastic Volatility Model
Martino Grasselli
University of Padova - Department of Mathematics
Date Posted: November 14, 2014
Working Paper Series
55 downloads

Incl. Electronic Paper Does Optimal Cross Hedge Exist for General Basis Risk?
Yiyong Yuan
Southwestern University of Finance and Economics (SWUFE)
Date Posted: November 13, 2014
Last Revised: November 23, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Modeling Behavioral Risk
Matteo Bissiri and Riccardo Cogo
Cassa Depositi e Prestiti S.p.A. and Cassa Depositi e Prestiti S.p.A.
Date Posted: November 13, 2014
Working Paper Series
40 downloads

Incl. Electronic Paper Long Term Risk: A Martingale Approach
Likuan Qin and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Date Posted: November 12, 2014
Working Paper Series
41 downloads

Incl. Electronic Paper Dynamic Futures Hedging with a Vector Error Correction Markov Switching Multifractal Model
Waleem Alausa
University of Alberta, Department of Economics
Date Posted: November 12, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Affine Approximation for Moment Generating Function of Log-Normal Stochastic Volatility Model
Artur Sepp
Merrill Lynch & Co.
Date Posted: November 11, 2014
Last Revised: November 18, 2014
Working Paper Series
41 downloads

Incl. Electronic Paper Time-Independent Pricing of Options in Range Bound Markets
Ovidiu Sorin Racorean
Academy of Economic Studies
Date Posted: November 11, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper American Options Under Stochastic Volatility: Control Variates, Maturity Randomization & Multiscale Asymptotics
Ankush Agarwal , Sandeep Juneja and Ronnie Sircar
Tata Institute of Fundamental Research (TIFR) , Tata Institute of Fundamental Research (TIFR) and Princeton University - Department of Operations Research and Financial Engineering
Date Posted: November 09, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper An Efficient Transform Method for Asian Option Pricing
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: November 08, 2014
Working Paper Series
102 downloads

Incl. Electronic Paper Hidden Illiquidity with Multiple Central Counterparties
Paul Glasserman , Ciamac C. Moallemi and Kai Yuan
Columbia Business School , Columbia Business School - Decision Risk and Operations and Columbia University - Columbia Business School
Date Posted: November 07, 2014
Working Paper Series
51 downloads

Incl. Electronic Paper Portfolio KVA: I Theory
Andrew David Green and Chris Kenyon
Lloyds Banking Group and Lloyds Banking Group
Date Posted: November 06, 2014
Working Paper Series
75 downloads

Incl. Electronic Paper Asset Pricing Implications of Volatility Term Structure Risk
Chen Xie
Columbia University - Columbia Business School
Date Posted: November 06, 2014
Working Paper Series
135 downloads

Incl. Electronic Paper Efficient Pricing of Energy Derivatives
This chapter was prepared for Marcel Prokopczuk, ed.: Energy Pricing Models: Recent Advances, Methods, and Tools, Palgrave Macmillan, Forthcoming
Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne
Date Posted: November 06, 2014
Last Revised: December 05, 2014
Accepted Paper Series
32 downloads

Incl. Electronic Paper Discretely Monitored First Passage Problems and Barrier Options: An Eigenfunction Expansion Approach
Finance and Stochastics, Forthcoming
Lingfei Li and Vadim Linetsky
The Chinese University of Hong Kong and Northwestern University - Department of Industrial Engineering and Management Sciences
Date Posted: November 05, 2014
Accepted Paper Series
16 downloads

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: November 02, 2014
Last Revised: December 12, 2014
Working Paper Series
27 downloads

Information Arrival, Jumps and Cojumps in European Financial Markets: Evidence Using Tick by Tick Data
Forthcoming in Multinational Finance Journal
Syed Mujahid Hussain and Frederic Deleze
Hanken school of Economics and Deleze Consulting Ltd.
Date Posted: November 02, 2014
Accepted Paper Series


 

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