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Abstracts: 614,418
Full Text Papers: 511,188
Authors: 283,760
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Last 12 months: 11,476,193
Last 30 days: 896,541

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SSRN eLibrary Search Results
JEL Code: G13
2,212,908 Total downloads
Showing Papers 721 - 770 of 5,805
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1 2 3 4 ... 117 | Next >
   


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
5 downloads

Incl. Electronic Paper Hedging with Small Uncertainty Aversion
Sebastian Herrmann , Johannes Muhle-Karbe and Frank Thomas Seifried
ETH Zurich , ETH Zürich and University of Trier
Date Posted: July 03, 2015
Working Paper Series
8 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
10 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
51 downloads

Incl. Electronic Paper Black Scholes Pricing Concept
Ilya I. Gikhman
Independent
Date Posted: June 27, 2015
Working Paper Series
33 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
6 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
5 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
5 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
6 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
14 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
6 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
8 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
5 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
8 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-Maximilians-Universität München and Ludwig-Maximilians-Universität München - 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
10 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
15 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

Incl. Electronic Paper Do Index Futures and ETFs Affect Stock Return Correlations?
Markus Leippold , Lujing Su and Alexandre Ziegler
University of Zurich - Department of Banking and Finance , University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: June 21, 2015
Working Paper Series
111 downloads

Incl. Electronic Paper Seasonal Stochastic Volatility and Correlation Together with the Samuelson Effect in Commodity Futures Markets
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Date Posted: June 20, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Structured Products: Performance, Costs and Investments
Dietmar Maringer , Walter Pohl and Paolo Vanini
University of Basel , University of Zurich and Zurich Cantonal Bank
Date Posted: June 20, 2015
Working Paper Series
85 downloads

Incl. Electronic Paper Bank Risk Behavior and Connectedness in EMU Countries
Manish Kumar Singh , Marta Gómez-Puig and Simón Sosvilla Rivero
University of Barcelona , Economic Theory Department. University of Barcelona and Complutense University of Madrid
Date Posted: June 19, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Term Structure of Variance Risk Premium in Multi-Component GARCH Models
Giacomo Bormetti and Adam Aleksander Majewski
Scuola Normale Superiore and Scuola Normale Superiore
Date Posted: June 18, 2015
Working Paper Series
37 downloads

Incl. Electronic Paper Analytical Representations for the Basic Affine Jump Diffusion
Lingfei Li , Rafael Mendoza-Arriaga and Daniel Mitchell
The Chinese University of Hong Kong , University of Texas at Austin - Department of Information, Risk and Operations Management and Singapore University of Technology and Design (SUTD)
Date Posted: June 17, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Information Arrival, Jumps and Cojumps in European Financial Markets: Evidence Using Tick by Tick Data
Multinational Finance Journal, Vol. 18, No. 3/4, p. 169-213, 2014
Frédéric Délèze and Syed Mujahid Hussain
Hanken School of Economics and Hanken school of Economics
Date Posted: June 17, 2015
Accepted Paper Series
16 downloads

Incl. Electronic Paper Analysis of VIX Markets with a Time-Spread Portfolio
Andrew Papanicolaou
NYU Polytechnic School of Engineering, Department of Finance and Risk Engineering
Date Posted: June 16, 2015
Working Paper Series
41 downloads

Incl. Electronic Paper Modelling Electricity Prices: A Time Change Approach
Lingfei Li , Rafael Mendoza-Arriaga , Zhiyu Mo and Daniel Mitchell
The Chinese University of Hong Kong , University of Texas at Austin - Department of Information, Risk and Operations Management , The Chinese University of Hong Kong (CUHK) and Singapore University of Technology and Design (SUTD)
Date Posted: June 16, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper The Trend is Your Friend: Time-Series Momentum Strategies Across Equity and Commodity Markets
Athina Athina Georgopoulou and George J. Wang
SEI Investments and Manchester Business School
Date Posted: June 15, 2015
Working Paper Series
257 downloads

Incl. Electronic Paper An Empirical Investigation of CDS Spreads Using a Regime Switching Default Risk Model
Andreas Milidonis
Nanyang Technological University (NTU) - Division of Banking & Finance
Date Posted: June 13, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper The Return-Volatility Relation in Commodity Futures Markets
UNSW Business School Research Paper No. 2015 BFIN 05
Carl Chiarella , Boda Kang , Christina Nikitopoulos Sklibosios and Thuy Duong To
University of Technology, Sydney - UTS Business School, Finance Discipline Group , University of York - Department of Mathematics , University of Technology, Sydney - Faculty of Business and University of New South Wales, Sydney
Date Posted: June 13, 2015
Working Paper Series
35 downloads

Incl. Electronic Paper Default Near-the-Default-Point: The Value of and the Distance to Default
Banco de Espana Working Paper No. 1514
Alfredo Ibañez
Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Date Posted: June 13, 2015
Last Revised: July 01, 2015
Working Paper Series
28 downloads

Incl. Electronic Paper Cyberfinance: Liberating the Financial Markets
The Capco Institute Journal of Financial Transformation, Forthcoming
Kim Wales
Wales Capital
Date Posted: June 12, 2015
Last Revised: July 02, 2015
Accepted Paper Series
57 downloads

Incl. Electronic Paper The Valuation of Contingent Convertible Catastrophe Debt Under Simple Solvency and Liquidity Covenants
Nikolaos Georgiopoulos
Independent
Date Posted: June 11, 2015
Last Revised: June 12, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Is Information Assimilated at Announcements in the European Carbon Market?
Jiayuan Chen , Cal B. Muckley and Don Bredin
University College Dublin (UCD) , University College Dublin and University College Dublin
Date Posted: June 09, 2015
Last Revised: June 12, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Forward Premia in Electricity Markets: Two Caveats
CERGE-EI Working Paper Series No. 543
Silvester Van Koten
University of Economics, Prague - Department of Institutional Economics
Date Posted: June 09, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Jump and Volatility Dynamics for the S&P500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets
Hanxue Yang and Juho Kanniainen
Tampere University of Technology and Tampere University of Technology
Date Posted: June 09, 2015
Last Revised: June 12, 2015
Working Paper Series
30 downloads

Incl. Fee Electronic Paper Risk Metrics and Fine Tuning of High Frequency Trading Strategies
Mathematical Finance, Vol. 25, Issue 3, pp. 576-611, 2015
Álvaro Cartea and Sebastian Jaimungal
University College London and University of Toronto - Department of Statistics
Date Posted: June 09, 2015
Accepted Paper Series

Incl. Electronic Paper A State-Price Volatility Index for the Government Bond Market
Zheyao Pan
UQ Business School, University of Queensland
Date Posted: June 08, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Credit Default Swaps, Contract Theory, Public Debt, and Fiat Money Regimes: Comment on Polleit and Mariano
Libertarian Papers 5 (2): 217-239, 2013
Xavier Méra
University of Angers - GRANEM (Groupe de Recherche Angevin en Economie et Management / Angers Economics and Management Research Group)
Date Posted: June 08, 2015
Accepted Paper Series
4 downloads

Incl. Electronic Paper Cross-Dependent Volatility
Julien Guyon
Bloomberg L.P.
Date Posted: June 07, 2015
Last Revised: June 09, 2015
Working Paper Series
64 downloads

A Fast Algorithm to Combine Binomial Option Pricing Framework with Stochastic Volatility Forecasts from a T-GARCH Model for Valuation of Path Dependent Options: A Path Integral Approach
Pavan Gadiraju
Independent
Date Posted: June 07, 2015
Working Paper Series

Incl. Electronic Paper A Lattice Method for Option Evaluation with Regime-Switching Asset Correlation Structure
Amalia Christoforidou and Christian-Oliver Ewald
University of Glasgow - Adam Smith Business School and University of Glasgow
Date Posted: June 06, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Double-Sort Trading Strategy on Commodity Futures: Performance Evaluation and Stop-Loss Implementation
Hossein Rad
University of Queensland - Business School
Date Posted: June 05, 2015
Working Paper Series
47 downloads

Incl. Electronic Paper Self-Financing Strategy Expression in Extended Roch-CJP Supply Curve Model
Taiga Saito
The University of Tokyo
Date Posted: June 05, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Invariance, Existence and Uniqueness of Solutions of Nonlinear Valuation PDEs and FBSDEs Inclusive of Credit Risk, Collateral and Funding Costs
Damiano Brigo , Marco Francischello and Andrea Pallavicini
Imperial College London - Department of Mathematics , Imperial College London - Department of Mathematics and Banca IMI
Date Posted: June 02, 2015
Working Paper Series
62 downloads

Incl. Electronic Paper Credit Default Swap Spreads and Annual Report Readability
Nan Hu , Ling Liu and Lu Zhu
Singapore Management University , University of Wisconsin Eau Claire and University of Wisconsin - Eau Claire - College of Business
Date Posted: May 30, 2015
Working Paper Series
17 downloads

Incl. Electronic Paper The Impact of Global Financial Crisis on Informational Efficiency: Evidence from Price-Volume Relationship in Crude Palm Oil Futures Market
You-How Go and Wee-Yeap Lau
Tunku Abdul Rahman University (UTAR) and University of Malaya (UM) - Faculty of Economics & Administration (FEA)
Date Posted: May 28, 2015
Working Paper Series
19 downloads

Incl. Electronic Paper Hedging and Speculative Pressures and the Transition of the Spot-Futures Relationship in Metal and Energy Markets
Jin Suk Park and Yukun Shi
Oxford Brookes University - Business School and Middlesex University
Date Posted: May 28, 2015
Working Paper Series
31 downloads

Incl. Electronic Paper Facts and Fantasies About Commodity Futures Ten Years Later
Geetesh Bhardwaj , Gary B. Gorton and K. Geert Rouwenhorst
SummerHaven Investment Management , Yale School of Management and Yale School of Management - International Center for Finance
Date Posted: May 27, 2015
Working Paper Series
1414 downloads

Incl. Electronic Paper FFDs: Reducing Systemic Credit Risk in the OTC Derivatives Market
James Kurt Dew
Tecnológico de Monterrey
Date Posted: May 23, 2015
Working Paper Series
14 downloads


 

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