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Abstracts: 618,975
Full Text Papers: 515,402
Authors: 285,999
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  Last 12 months:
63,049

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To date: 88,582,165
Last 12 months: 11,601,989
Last 30 days: 790,547

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291,376
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94,290
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SSRN eLibrary Search Results
JEL Code: G13
2,228,004 Total downloads
Showing Papers 721 - 770 of 5,834
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1 2 3 4 ... 117 | Next >
   


Incl. Electronic Paper Incremental Default Risk (IDR): Modeling Framework for the 'Basel 4' Risk Measure
Sascha Wilkens and Mirela Predescu
BNP Paribas, London and BNP Paribas, London
Date Posted: August 02, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Interest-Rate Modeling in Collateralized Markets: Multiple Curves and Credit-Liquidity Effects
Giacomo Bormetti , Damiano Brigo , Marco Francischello and Andrea Pallavicini
Scuola Normale Superiore , Imperial College London - Department of Mathematics , Imperial College London - Department of Mathematics and Banca IMI
Date Posted: July 31, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Latent Jump Diffusion Factor Estimation for Commodity Futures
M. A. H. Dempster , Elena Medova and Ke Tang
University of Cambridge - Centre for Financial Research , University of Cambridge - Centre for Financial Research and Tsinghua University - School of Economics & Management
Date Posted: July 30, 2015
Working Paper Series
5 downloads

Testing the Transparency Implications of Mandatory IFRS Adoption: The Spread/Maturity Relation of Credit Default Swaps
Management Science, Forthcoming
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: July 30, 2015
Accepted Paper Series

Incl. Electronic Paper Marx's Theory of Money and 21st-Century Macrodynamics
Levy Economics Institute, Working Papers Series Paper No. 841
Tai Young-Taft
Bard College - The Levy Economics Institute
Date Posted: July 28, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper An Improved Pairs Trading Strategy Based on Switching Regime Volatility
Marco Bee and Giulio Gatti
University of Trento - Department of Economics and Management and University of Trento - Department of Economics and Management
Date Posted: July 27, 2015
Working Paper Series
117 downloads

Incl. Electronic Paper Analyzing Equilibrium in Incomplete Markets with Model Uncertainty
Daisuke Yoshikawa
Hokkai-Gakuen University
Date Posted: July 27, 2015
Working Paper Series
8 downloads

Interest Rate Curve Interpolations and Their Assessment Via Hedge Simulations
Christian P. Fries and Christoph Plum
LMU Munich, Department of Mathematics and Ludwig Maximilian University of Munich - Department of Mathematics
Date Posted: July 26, 2015
Working Paper Series

Incl. Electronic Paper Financial Jeorpardy
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: July 26, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Risk Premia in Option Markets
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: July 26, 2015
Working Paper Series
103 downloads

Incl. Electronic Paper Acceptability Bounds for Forward Starting Options Using Disciplined Convex Programming
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Date Posted: July 26, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Portfolio Theory for Squared Returns Correlated Across Time
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Date Posted: July 26, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Three Non-Gaussian Models of Dependence in Returns
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: July 26, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Adjusting Exponential Levy Models Towards the Simultaneous Calibration of Market Prices for Crash Cliquets
Peter Carr , Ajay Khanna and Dilip B. Madan
New York University (NYU) - Courant Institute of Mathematical Sciences , New York University (NYU) and University of Maryland - Robert H. Smith School of Business
Date Posted: July 26, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Hedging Insurance Books
Dilip B. Madan , Peter Carr , Wim Schoutens and Michael Melamed
University of Maryland - Robert H. Smith School of Business , New York University (NYU) - Courant Institute of Mathematical Sciences , KU Leuven - Department of Mathematics and Independent
Date Posted: July 26, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Dynamic Conic Hedging for Competitiveness
Dilip B. Madan , Martijn Pistorius and Wim Schoutens
University of Maryland - Robert H. Smith School of Business , Imperial College London and KU Leuven - Department of Mathematics
Date Posted: July 25, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Optimum Weighting for the Least Squares Monte Carlo Approach to American Options Under the CEV Model
Jason Barden and Karl Jenkins
Cranfield University and Independent
Date Posted: July 25, 2015
Working Paper Series
12 downloads

An Algorithmic Model for Retail Credit Portfolio Segmentation
Journal of Risk Model Validation, Vol. 7, No. 2, 2013
Andy Jia-Yuh Yeh
National Taiwan University
Date Posted: July 25, 2015
Accepted Paper Series

Incl. Electronic Paper Conditional-Exchange Option
Tumellano Sebehela
Sebehela Inc
Date Posted: July 23, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Pricing Vanilla Options with Cash Dividends
Timothy Klassen
PFT Analytics
Date Posted: July 23, 2015
Working Paper Series
86 downloads

Incl. Electronic Paper A Quasi-Bounded Model for Swiss Franc's One-Sided Target Zone During 2011-2015
HKIMR Working Paper No.15/2015
C. H. Hui , Chi-Fai Lo and Tom Fong
Hong Kong Monetary Authority - Research Department , The Chinese University of Hong Kong and Hong Kong Monetary Authority
Date Posted: July 21, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Assessing Default Risks for Chinese Firms: A Lost Cause?
IMF Working Paper No. 15/140
Daniel Law and Shaun K. Roache
International Monetary Fund (IMF) and International Monetary Fund (IMF)
Date Posted: July 21, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper A Smiling Bear in the Equity Options Market and the Cross-Section of Stock Returns
Hye-hyun Park , Baeho Kim and Hyeongsop Shim
Korea University Business School (KUBS) , Korea University Business School (KUBS) and Ulsan National Institute of Science and Technology
Date Posted: July 20, 2015
Working Paper Series
49 downloads

Incl. Electronic Paper A Jump and Smile Ride: Continuous and Jump Variance Risk Premia in Option Pricing
Dario Alitab , Giacomo Bormetti and Adam Aleksander Majewski
Scuola Normale Superiore , Scuola Normale Superiore and Scuola Normale Superiore
Date Posted: July 17, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Foreign Exchange Markets with Last Look
Álvaro Cartea and Sebastian Jaimungal
University College London and University of Toronto - Department of Statistics
Date Posted: July 15, 2015
Last Revised: July 24, 2015
Working Paper Series
83 downloads

Incl. Electronic Paper To Eliminate Over-the-Counter Systemic Risk, Replace the OTC Markets with a Common Cash and Futures Trading Platform
James Kurt Dew
Tecnológico de Monterrey
Date Posted: July 15, 2015
Last Revised: July 30, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Quantum Gates and Quantum Circuits of Stock Portfolio
Ovidiu Sorin Racorean
Academy of Economic Studies
Date Posted: July 15, 2015
Working Paper Series
21 downloads

Incl. Electronic Paper Stochastic Expectations: Good Mathematics, Bad Economics
Robert G. James
California State University, Chico
Date Posted: July 12, 2015
Working Paper Series
39 downloads

Incl. Electronic Paper Staggered Boards and Private Benefits of Control
Oğuzhan Karakaş and Mahdi Mohseni
Boston College - Department of Finance and Boston College
Date Posted: July 11, 2015
Last Revised: July 14, 2015
Working Paper Series
38 downloads

Incl. Electronic Paper Switching to Non-Affine Stochastic Volatility: A Closed-Form Expansion for the Inverse Gamma Model
Nicolas Langrené , Geoffrey Lee and Zili Zhu
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) , Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Date Posted: July 10, 2015
Working Paper Series
24 downloads

Incl. Electronic Paper A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets
Multinational Finance Journal, Vol. 6, No. 2, p. 99-130, 2002
Mondher Bellalah and Marc Lavielle
Universite de Cergy-Pontoise and University of Paris 11 Sud - Department of Mathematics
Date Posted: July 08, 2015
Accepted Paper Series
5 downloads

Incl. Electronic Paper Exponential-Affine Approximations of Macro-Finance Models with Nonlinear Habits
Pierlauro Lopez , David Lopez-Salido and Francisco Vazquez-Grande
Banque de France , Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Date Posted: July 05, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Liquidity and Volatility in the Chinese Commodity Futures Market: Evidence from Intraday Data
Ying Jiang , Shamim Ahmed and Xiaoquan Liu
University of Nottingham Ningbo , Nottingham University Business School and University of Nottingham Ningbo
Date Posted: July 03, 2015
Working Paper Series
24 downloads

Incl. Electronic Paper Hedging with Small Uncertainty Aversion
Swiss Finance Institute Research Paper No. 15-19
Sebastian Herrmann , Johannes Muhle-Karbe and Frank Thomas Seifried
ETH Zurich , ETH Zürich and University of Trier
Date Posted: July 03, 2015
Last Revised: July 09, 2015
Working Paper Series
53 downloads

Incl. Electronic Paper The Valuation of Options on Bonds with Default Risk
Multinational Finance Journal, Vol. 10, No. 3/4, p. 277-305, 2006
Riadh Belhaj
Conservatoire National des Arts et Metiers (CNAM)
Date Posted: June 30, 2015
Accepted Paper Series
13 downloads

Incl. Electronic Paper Trading the VIX Futures Roll and Volatility Premiums with VIX Options
David P. Simon
Bentley University - Department of Finance
Date Posted: June 30, 2015
Working Paper Series
167 downloads

Incl. Electronic Paper Black Scholes Pricing Concept
Ilya I. Gikhman
Independent
Date Posted: June 27, 2015
Working Paper Series
41 downloads

Incl. Electronic Paper The Convergence Speed of Pricing European-Style Derivatives under Lattice Models
Wen-Kai Wang
National University of Kaohsiung - Department of Finance
Date Posted: June 27, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Mispricing Persistence and the Effectiveness of Arbitrage Trading
Multinational Finance Journal, Vol. 11, No. 1/2, p. 123-156, 2007
Pascal Alphonse
University of Lille 2 - ESA
Date Posted: June 26, 2015
Accepted Paper Series
12 downloads

Incl. Electronic Paper Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework
Multinational Finance Journal, Vol. 11, No. 3/4, p. 157-178, 2007
Manfred Frühwirth , Paul Schneider and Markus S. Schwaiger
Vienna University of Economics and Business , University of Queensland and Vienna University of Economics and Business Administration
Date Posted: June 26, 2015
Accepted Paper Series
6 downloads

Incl. Electronic Paper European Put-Call Parity and the Early Exercise Premium for American Currency Options
Multinational Finance Journal, Vol. 13, No. 1/2, p. 39-54, 2009
Geoffrey Poitras , Chris Veld and Yuriy Zabolotnyuk
Simon Fraser University (SFU) - Finance Area , Monash University and Carleton University
Date Posted: June 26, 2015
Accepted Paper Series
8 downloads

Incl. Electronic Paper Modeling Volatility in Foreign Currency Option Pricing
Multinational Finance Journal, Vol. 13, No. 3/4, p. 189-208, 2009
Ariful Hoque , Felix Chan Sr. and Meher Manzur
University of Southern Queensland , Curtin University of Technology - School of Economics and Finance and Curtin University of Technology - School of Economics and Finance
Date Posted: June 26, 2015
Accepted Paper Series
18 downloads

Incl. Electronic Paper Investor Valuation of the Abandonment Option: Empirical Evidence from UK Divestitures 1985-1991
Multinational Finance Journal, Vol. 14, No. 3/4, p. 291-317, 2010
Ephraim Clark , Magid Gadad and Patrick Rousseau
Middlesex University Business School , The Academy of Graduate Studies and Institut d'Administration des Entreprises d'Aix-en-Provence (IAE Aix)
Date Posted: June 26, 2015
Accepted Paper Series
7 downloads

Incl. Electronic Paper Asymmetric Information and Irreversible Investments: An Auction Model
Multinational Finance Journal, Vol. 14, No. 3/4, p. 255-289, 2010
Joril Maeland
NHH Norwegian School of Economics - Department of Finance
Date Posted: June 26, 2015
Accepted Paper Series
9 downloads

Incl. Electronic Paper The Predictability of Non-Overlapping Forecasts: Evidence from a New Market
Multinational Finance Journal, Vol. 15, No. 1/2, p. 125-156, 2011
Manolis G. Kavussanos and Ilias Visvikis
Athens University of Economics and Business - Department of Accounting and Finance and World Maritime University
Date Posted: June 25, 2015
Accepted Paper Series
7 downloads

Incl. Electronic Paper Heterogeneous Basket Options Pricing Using Analytical Approximations
Multinational Finance Journal, Vol. 15, No. 1/2, p. 47-85, 2011
Georges Dionne , Geneviève Gauthier , Nadia Ouertani and Nabil Tahani
HEC Montreal - Department of Finance , HEC Montreal - Department of Management Sciences , IESEG School of Management and York University - Atkinson School of Administrative Studies
Date Posted: June 25, 2015
Accepted Paper Series
10 downloads

Incl. Electronic Paper Long-Term Yield in an Affine HJM Framework on Sd+
Francesca Biagini , Alessandro Gnoatto and Maximilian Härtel
University of Bologna - Department of Mathematics , Ludwig Maximilian University of Munich and Ludwig Maximilian University of Munich - Department of Mathematics
Date Posted: June 25, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Advancing the Universality of Quadrature Methods to Any Underlying Process for Option Pricing
Journal of Financial Economics (JFE), Vol. 114, No. 3, 2014
Ding Chen , Hannu Hannu Härkönen and David Newton
Nottingham University Business School , Nottingham University Business School and Nottingham University Business School (NUBS)
Date Posted: June 24, 2015
Accepted Paper Series
20 downloads

Incl. Electronic Paper Index Option Returns from an Anchoring Perspective
Hammad Siddiqi
University of Queensland
Date Posted: June 22, 2015
Last Revised: June 29, 2015
Working Paper Series
22 downloads

Price Leadership in Commodity Market: Evidence from India
Sarveshwar Kumar Inani
Indian Institute of Management (IIM), Lucknow
Date Posted: June 21, 2015
Working Paper Series


 

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