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SSRN eLibrary Statistics:

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Abstracts: 555,967
Full Text Papers: 458,429
Authors: 258,114
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  Last 12 months:
63,509

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To date: 77,241,424
Last 12 months: 9,674,097
Last 30 days: 653,526

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260,281
Total References: 9,006,948
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  Footnotes:
89,535
Total Footnotes: 9,138,109


SSRN eLibrary Search Results
JEL Code: G13
2,047,636 Total downloads
Showing Papers 681 - 730 of 5,417
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Incl. Electronic Paper Belief Uncertainty, Volatility Risk Premium, and Speculative Trading
Ming Guo and Hao Zhou
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and PBC School of Finance, Tsinghua University
Date Posted: July 21, 2014
Working Paper Series
9 downloads

The Fusion of Insurance and Financial Structured Products – A Monte Carlo Valuation
Insurance Markets and Companies: Analyses and Actuarial Computations, 2013, Volume 4, Issue 1, pp. 30-38
Zvika Afik and Rami Yosef
Ben Gurion University and Ben-Gurion University of the Negev
Date Posted: July 20, 2014
Accepted Paper Series

Practical Valuation of Options on Durable Goods
Journal of Derivatives, Forthcoming
Zvika Afik
Ben Gurion University
Date Posted: July 20, 2014
Accepted Paper Series

Incl. Electronic Paper Pricing Volatility Options Under Stochastic Skew with Application to the VIX Index
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Date Posted: July 17, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Analogy Making and the Structure of Implied Volatility Skew
Hammad Siddiqi
University of Queensland
Date Posted: July 14, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Risk-Return Analysis of Dynamic Investment Strategies
Benjamin Bruder and Nicolas Gaussel
Lyxor Asset Management and Lyxor Asset Management
Date Posted: July 14, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Noise Momentum Around the World
Charlie X. Cai , Robert W. Faff and Yongcheol Shin
Leeds University Business School , University of Queensland and University of York (UK) - Department of Economics and Related Studies
Date Posted: July 13, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper CVA Under Partial Risk Warehousing and Tax Implications
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Lloyds Banking Group
Date Posted: July 12, 2014
Last Revised: July 14, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Exact and Approximated Option Pricing in a Stochastic Volatility Jump-Diffusion Model
M. Corazza et al. (eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance 2010, pp 133-142
Fernanda D'Ippoliti , Enrico Moretto , Sara Pasquali and Barbara Trivellato
Independent , University of Insubria - Department of Economics , CNR-IMATI and Polytechnic University of Turin - Dipartimento di Matematica
Date Posted: July 11, 2014
Accepted Paper Series
8 downloads

Incl. Electronic Paper Pricing and Hedging of Derivatives in Contagious Markets
Thomas Kokholm
School of Business and Social Sciences, Aarhus University
Date Posted: July 10, 2014
Working Paper Series
8 downloads

Affine-Structure Models and the Pricing of Energy Commodity Derivatives
Ioannis Kyriakou , Nikos K. Nomikos , Panos K. Pouliasis and Nikos C. Papapostolou
City University London - Sir John Cass Business School , Cass Business School, City University London , Sir John Cass Business School and Cass Business School, City University London
Date Posted: July 09, 2014
Working Paper Series

Incl. Electronic Paper Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew
Hammad Siddiqi
University of Queensland
Date Posted: July 08, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Stochastic Volatility Models as Means of Expressing a Smile
Dean Diavatopoulos and Oleg Sokolinskiy
Villanova University - Department of Finance and Rutgers Business School - Newark and New Brunswick
Date Posted: July 07, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Accounting for Earnings Announcements in the Pricing of Equity Options
Tim Leung and Marco Santoli
Columbia University and Columbia University
Date Posted: July 05, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper Risk-Adjusted Option-Implied Moments
Felix Brinkmann and Olaf Korn
University of Goettingen (Gottingen) and Georg-August-Universität Göttingen
Date Posted: July 03, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Jump and Variance Risk Premia in the S&P 500
Maximilian Neumann , Marcel Prokopczuk and Chardin Wese Simen
Technische Universität München (TUM) , Zeppelin University and University of Liverpool
Date Posted: July 02, 2014
Working Paper Series
22 downloads

Incl. Electronic Paper Novel No-Arbitrage Conditions for Options Written on Defaultable Assets
Greg Orosi
American University of Sharjah
Date Posted: June 29, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper General Economic Equilibrium with Financial Markets and Retainability
Alejandro Jofre , R. Tyrrell Rockafellar and Roger J-B Wets
University of Chile, CMM & DIM , University of Washington - Department of Mathmatics and University of California, Davis
Date Posted: June 29, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions
Bertram Düring and Christof Heuer
University of Sussex - School of Mathematical and Physical Sciences and University of Sussex - School of Mathematical and Physical Sciences
Date Posted: June 28, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Model-Free Option Prices
Kuo-Ping Chang
National Tsing Hua University - Department of Quantitative Finance
Date Posted: June 28, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper A Bond Consistent Derivative Fair Value
Johan Gunnesson and Alberto Fernández Muñoz de Morales
BBVA - Risk Methodologies and BBVA - Risk Methodologies
Date Posted: June 24, 2014
Working Paper Series
34 downloads

Incl. Electronic Paper Testing the Transparency Implications of Mandatory IFRS Adoption: The Spread/Maturity Relation of Credit Default Swaps
Gauri Bhat , Jeffrey L. Callen and Dan Segal
Southern Methodist University (SMU) , University of Toronto - Rotman School of Management and Interdisciplinary Center (IDC) Herzliyah
Date Posted: June 24, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper Implications of CVA for Financial Stability in Over-the-Counter Derivatives Markets: A Simulation Analysis
Yuji Sakurai
University of California, Los Angeles (UCLA) - Anderson School of Management
Date Posted: June 23, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Modelo binomial para la valoración de empresas y los efectos de la deuda: escudo fiscal y liquidación de la firma (Binomial Model for Firm Valuation and the Effects of the Debt: Tax Shield and Firm Dilution)
Journal of Economics, Finance & Administrative Science, Vol. 19, No. 36, 2014
Gastón Silverio Milanesi
National University of the South
Date Posted: June 22, 2014
Accepted Paper Series
3 downloads

Incl. Electronic Paper Direct and Indirect Competition Among Structured Financial Products: The Case of Discount Certificates in Germany
Andrea Schertler
Leuphana Universität Lüneburg
Date Posted: June 19, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper A General HJM Framework for Multiple Yield Curve Modeling
Christa Cuchiero , Claudio Fontana and Alessandro Gnoatto
Independent , Université d'Evry - Laboratoire de Mathématiques et Modélisation and Ludwig-Maximilians-Universität München
Date Posted: June 17, 2014
Working Paper Series
91 downloads

Incl. Electronic Paper Interdependence and Dynamics in Currency Futures Markets: A Multivariate Cointegration Analysis of Intra-Day Data
Journal of Banking and Finance, 25 (2001), 1161-1186, Fox School of Business Research Paper
Elyas Elyasiani and Ahmet E. Kocagil
Temple University - Department of Finance and Fitch Ratings Inc.
Date Posted: June 16, 2014
Accepted Paper Series
2 downloads

Incl. Electronic Paper Rising and Volatile Food Prices: Are Index Fund Investors to Blame?
Marcel Prokopczuk , Lazaros Symeonidis and Timo Verlaat
Zeppelin University , Accounting and Finance Division - University of Stirling and Zeppelin University
Date Posted: June 15, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Coherent CVA and FVA with Liability Side Pricing of Derivatives
Wujiang Lou
HSBC
Date Posted: June 15, 2014
Last Revised: June 24, 2014
Working Paper Series
50 downloads

Incl. Electronic Paper A Simple and Reliable Way to Compute Option-Based Risk-Neutral Distributions
FRB of New York Staff Report No. 677
Allan M. Malz
The RiskMetrics Group
Date Posted: June 14, 2014
Working Paper Series
43 downloads

Incl. Electronic Paper Dependence Calibration and Portfolio Fit with Factor-based Time Changes
Carlo Alberto Notebooks No. 307, October 2013
Marina Marena and Patrizia Semeraro
University of Eastern Piedmont and Politecnico of Turin
Date Posted: June 14, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper What Makes the S&P 500 Jump?
Marcel Prokopczuk and Chardin Wese Simen
Zeppelin University and University of Liverpool
Date Posted: June 14, 2014
Working Paper Series
39 downloads

Incl. Electronic Paper Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators
Collegio Carlo Alberto Working Paper No. 42
Patrizia Semeraro
Politecnico of Turin
Date Posted: June 14, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Post-Crisis Interest Rates: XIBOR Mechanics and Basis Spreads
Janek Gallitschke , Stefanie Müller and Frank Thomas Seifried
KPMG AG WPG (Frankfurt) , Nagler & Company and University of Kaiserslautern
Date Posted: June 13, 2014
Working Paper Series
49 downloads

An Empirical Examination of the Process of Information Transmission in India's Agriculture Futures Markets
Forthcoming in Journal of Quantitative Economics (New Series)
Sanjay Sehgal , Wasim Ahmad and Florent Deisting
University of Delhi - Department of Financial Studies , University of Delhi - Department of Financial Studies and ESC PAU
Date Posted: June 13, 2014
Accepted Paper Series

Incl. Electronic Paper Local Stochastic Volatility Models: Calibration and Pricing
Cristian Homescu
Independent
Date Posted: June 11, 2014
Last Revised: July 15, 2014
Working Paper Series
449 downloads

Incl. Electronic Paper Poverty – a Corporate Creation & Ratio Controls for Eradication
Book Published by Amazon Create Space. ISBN : 978-1484087442, Forthcoming
Viswanatha Sankara Rama Subramaniam
Intellectual Consultants
Date Posted: June 11, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper Hedging House Price Risk with Futures Contracts after the Bubble Burst
Finance Research Letters, Forthcoming
Patrick J. Schorno , Steve Swidler and Michael D. Wittry
Federal Reserve Banks - Federal Reserve Bank of Richmond , Auburn University - College of Business and University of Washington - Department of Finance and Business Economics
Date Posted: June 06, 2014
Last Revised: June 20, 2014
Accepted Paper Series
28 downloads

Incl. Electronic Paper Variance Risk Premium Dynamics in Equity and Option Markets
Laurent Barras and Aytek Malkhozov
McGill University - Desautels Faculty of Management and McGill University
Date Posted: June 06, 2014
Working Paper Series
38 downloads

Incl. Electronic Paper Non-Transferable Non-Hedgeable Executive Stock Options Pricing
David B. Colwell , David Feldman and Wei Hu
University of New South Wales (UNSW) - School of Banking and Finance , University of New South Wales - Banking & Finance, Australian School of Business and Curtin University of Technology - Department of Finance and Banking
Date Posted: June 05, 2014
Working Paper Series
18 downloads

Incl. Electronic Paper Variance Components, Term Structures of Variance Risk Premia, and Expected Asset Returns
Junye Li and Gabriele Zinna
ESSEC Business School and Bank of Italy
Date Posted: June 05, 2014
Working Paper Series
40 downloads

Incl. Electronic Paper Eight Myths and One Fact About Covered Calls
Roni Israelov and Lars N Nielsen
AQR Capital Management, LLC and AQR Capital Management, LLC
Date Posted: June 04, 2014
Last Revised: July 01, 2014
Working Paper Series
157 downloads

Incl. Electronic Paper Covered Calls and Their Unintended Reversal Bet
Roni Israelov and Lars N Nielsen
AQR Capital Management, LLC and AQR Capital Management, LLC
Date Posted: June 04, 2014
Last Revised: June 18, 2014
Working Paper Series
550 downloads

Incl. Electronic Paper Connecting Basis Risk and Background Risk Models
Yiyong Yuan
Southwestern University of Finance and Economics (SWUFE)
Date Posted: June 04, 2014
Last Revised: June 27, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Collateralization and Funding Valuation Adjustments (FVA) for Total Return Swaps
Christian P. Fries and Mark Lichtner
LMU Munich, Department of Mathematics and Independent
Date Posted: June 02, 2014
Working Paper Series
47 downloads

Incl. Electronic Paper Loan Recovery Determinants -- A Pan-European Study
Stephan Höcht and Rudi Zagst
Technische Universität München (TUM) and Technische Universität München (TUM) - Chair of Mathematical Finance
Date Posted: May 31, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Understanding Mortgage Spreads
FRB of New York Staff Report No. 674
Nina Boyarchenko , Andreas Fuster and David O. Lucca
Federal Reserve Bank of New York , Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Date Posted: May 29, 2014
Working Paper Series
24 downloads

The Samuelson Hypothesis in Futures Markets: An Analysis Using Intraday Data
Journal of Banking and Finance, Vol. 32, No. 4, 2008
Huu Nhan Duong and Petko S. Kalev
Monash University - Department of Accounting and Finance and University of South Australia - Centre for Applied Financial Studies
Date Posted: May 29, 2014
Accepted Paper Series

Incl. Electronic Paper The Stochastic String Model as a Unifying Theory of the Term Structure of Interest Rates
Alberto Bueno-Guerrero , Manuel Moreno and Javier F. Navas
IES Francisco Ayala , University of Castilla-La Mancha and Universidad Pablo de Olavide
Date Posted: May 28, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper The Cross-Sectional Variation of Volatility Risk Premia
Ana Gonzalez-Urteaga and Gonzalo Rubio
Public University of Navarre and Universidad CEU Cardenal Herrera
Date Posted: May 28, 2014
Last Revised: May 29, 2014
Working Paper Series
18 downloads


 

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