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Abstracts: 679,308
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SSRN eLibrary Search Results
JEL Code: C63
439,892 Total downloads
Showing Papers 81 - 130 of 2,148
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Incl. Electronic Paper Efficient Simulation of the Heston Stochastic Volatility Model
Leif B. G. Andersen
Bank of America Merrill Lynch
Date Posted: November 22, 2006
Working Paper Series

Incl. Electronic Paper Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals
Harvey J. Stein
Bloomberg L.P.
Date Posted: December 27, 2007
Working Paper Series

Incl. Electronic Paper Real Options Valuation: A Monte Carlo Approach
Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper
Andrea Gamba
University of Warwick - Finance Group
Date Posted: March 06, 2002
Working Paper Series

Incl. Electronic Paper Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing
Leif B. G. Andersen and Jesper Andreasen
Bank of America Merrill Lynch and Danske Bank - Danske Markets
Date Posted: August 11, 1999
Working Paper Series

Incl. Electronic Paper Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach
Rapport Interne CMAP Working Paper No. 490
Rama Cont and Peter Tankov
Imperial College London and Ecole Polytechnique, Paris
Date Posted: November 22, 2002
Working Paper Series

Incl. Electronic Paper Buy Low Sell High: A High Frequency Trading Perspective
Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.,
Álvaro Cartea , Sebastian Jaimungal and Jason Ricci
University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Date Posted: November 26, 2011
Last Revised: April 27, 2015
Accepted Paper Series

Incl. Electronic Paper The Irony in the Derivatives Discounting Part II: The Crisis
Marc P. A. Henrard
Date Posted: July 14, 2009
Last Revised: December 19, 2009
Working Paper Series

Incl. Electronic Paper Markov Models for Commodity Futures: Theory and Practice
Leif B. G. Andersen
Bank of America Merrill Lynch
Date Posted: May 30, 2008
Last Revised: December 30, 2008
Working Paper Series

Incl. Electronic Paper Introduction to Fast Fourier Transform in Finance
Cass Business School Research Paper
Aleš Černý
Cass Business School
Date Posted: June 29, 2004
Working Paper Series

Incl. Electronic Paper Analysis of Mortgage Backed Securities: Before and after the Credit Crisis
Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Harvey J. Stein , Alexander L. Belikoff , Kirill Levin and Xusheng Tian
Bloomberg L.P. , Google Inc. , Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Date Posted: January 07, 2007
Last Revised: March 16, 2011
Accepted Paper Series

Incl. Electronic Paper Automated Trading with Boosting and Expert Weighting
Quantitative Finance, Vol. 4, No. 10, pp. 401–420 ,
Germán G. Creamer and Yoav Freund
Stevens Institute of Technology - Wesley J. Howe School of Technology Management and University of California, San Diego
Date Posted: October 17, 2006
Last Revised: February 20, 2013
Accepted Paper Series

Incl. Electronic Paper The Irony in the Derivatives Discounting
Marc P. A. Henrard
Date Posted: March 14, 2007
Working Paper Series

Incl. Electronic Paper FX Market Behavior and Valuation
Harvey J. Stein
Bloomberg L.P.
Date Posted: January 12, 2007
Working Paper Series

Incl. Electronic Paper Arbitrage-Free SVI Volatility Surfaces
Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Jim Gatheral and Antoine Jacquier
CUNY Baruch College and Imperial College London
Date Posted: April 03, 2012
Last Revised: January 15, 2014
Accepted Paper Series

Incl. Electronic Paper Reproduction of Hierarchy? A Social Network Analysis of the American Law Professoriate
Journal of Legal Education, Vol. 61, No. 1, August 2011 , CELS 2009 4th Annual Conference on Empirical Legal Studies Paper
Daniel Martin Katz , Joshua R. Gubler , Jon Zelner , Michael James Bommarito II, Eric A. Provins and Eitan M. Ingall
Brigham Young University - Department of Political Science , University of Michigan at Ann Arbor - Center for Study of Complex Systems , Bommarito Consulting, LLC , University of Michigan - Department of Political Science and Childrens Hospital of Philadelphia
Date Posted: March 09, 2009
Last Revised: May 26, 2011
Accepted Paper Series

Incl. Electronic Paper Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk
EFMA 2002 London Meetings; ISMA Centre Finance Discussion Paper No. 2001 Series, No. 2001-14
Ali Bora Yigitbasioglu
University of Reading - ICMA Centre
Date Posted: December 19, 2001
Working Paper Series

Incl. Electronic Paper Closed-Form Approximations for Spread Option Prices and Greeks
Minqiang Li , Shijie Deng and Jieyun Zhou
Bloomberg LP , Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology
Date Posted: December 20, 2006
Last Revised: June 08, 2010
Working Paper Series

Incl. Electronic Paper A Boosting Approach for Automated Trading
Journal of Trading, Vol. 2, No. 3, pp. 84-96.
Germán G. Creamer and Yoav Freund
Stevens Institute of Technology - Wesley J. Howe School of Technology Management and University of California, San Diego
Date Posted: October 17, 2006
Last Revised: February 20, 2013
Accepted Paper Series

Incl. Electronic Paper Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market
QUT School of Economics and Finance Discussion Paper No. 01-01
John Anderson
Queensland University of Technology - School of Economics and Finance
Date Posted: May 08, 2001
Working Paper Series

Incl. Electronic Paper Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs
C. Burgard and M. Kjaer. Partial differential equation representations of derivatives with counterparty risk and funding costs. The Journal of Credit Risk, Vol. 7, No. 3, 1-19, 2011.
Christoph Burgard and Mats Kjaer
Barclays Investment Bank and
Date Posted: May 13, 2010
Last Revised: August 07, 2014
Accepted Paper Series

Incl. Electronic Paper A Resolution to the NPV - IRR Debate?
Michael Osborne
University of Sussex
Date Posted: April 05, 2004
Last Revised: January 04, 2010
Working Paper Series

Incl. Electronic Paper Optimal Portfolios from Ordering Information
Robert Almgren and Neil A Chriss
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Date Posted: December 25, 2004
Working Paper Series

Incl. Electronic Paper An Agent-Based Model of the Flash Crash of May 6, 2010, with Policy Implications
Tommi A. Vuorenmaa and Liang Wang
Triangle Intelligence and
Date Posted: October 07, 2013
Last Revised: February 27, 2014
Working Paper Series

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

Incl. Electronic Paper Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions: A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching
William Thornton Shaw
University College London
Date Posted: June 03, 2011
Working Paper Series

Incl. Electronic Paper No-Arbitrage Dynamics for a Tractable SABR Term Structure Libor Model
Bloomberg Portfolio Research Paper No. 2010-03-FRONTIERS
Massimo Morini and Fabio Mercurio
Banca IMI and Bloomberg L.P.
Date Posted: October 02, 2007
Last Revised: June 22, 2016
Working Paper Series

Incl. Electronic Paper A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
Tinbergen Institute Discussion Paper No. 06-046/4
Roger Lord , Remmert Koekkoek and Dick J. C. van Dijk
Cardano Risk Management , Credit Suisse and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Date Posted: May 19, 2006
Last Revised: March 20, 2008
Working Paper Series

Incl. Electronic Paper The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing
Applied Mathematical Finance, Vol. 19, No. 5, 2012, Swiss Finance Institute Research Paper No. 08-02, EFA 2008 Athens Meetings Paper
Marc Chesney and Luca Taschini
University of Zurich - Swiss Banking Institute (ISB) and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
Date Posted: February 04, 2008
Last Revised: October 12, 2013
Accepted Paper Series

Incl. Electronic Paper Implied Volatility Surface: Construction Methodologies and Characteristics
Cristian Homescu
Date Posted: July 10, 2011
Working Paper Series

Incl. Electronic Paper Bermudan Swaptions in the LIBOR Market Model
Morten Bjerregaard Pedersen
SimCorp - Financial Research Department
Date Posted: July 26, 1999
Working Paper Series

Incl. Electronic Paper An Empirical Comparison of Convertible Bond Valuation Models
Yuriy Zabolotnyuk , Robert A. Jones and Chris Veld
Carleton University , Simon Fraser University (SFU) - Department of Economics and Monash University
Date Posted: June 25, 2007
Last Revised: October 18, 2009
Working Paper Series

Incl. Electronic Paper You Don't Have to Bother Newton for Implied Volatility
Minqiang Li
Bloomberg LP
Date Posted: December 20, 2006
Working Paper Series

Incl. Electronic Paper Systemic Risk in Financial Networks
Larry Eisenberg and Thomas H. Noe
New Jersey Institute of Technology and University of Oxford - Said Business School
Date Posted: September 24, 1999
Working Paper Series

Incl. Electronic Paper A Monte Carlo Method for Optimal Portfolios
Jerome Detemple , René Garcia and Marcel Rindisbacher
Boston University - Department of Finance & Economics , EDHEC Business School and Questrom School of Business, Boston University
Date Posted: November 16, 2000
Working Paper Series

Incl. Electronic Paper Technical Analysis with a Long Term Perspective: Trading Strategies and Market Timing Ability
International Conference of the French Finance Association (AFFI), May 11-13, 2011
Dušan Isakov and Didier Marti
University of Fribourg - Faculty of Economics and Social Science and University of Fribourg - Faculty of Economics and Social Science
Date Posted: May 09, 2011
Last Revised: August 12, 2011
Working Paper Series

Incl. Electronic Paper Arrow-Debreu Prices for Affine Models
Silverio Foresi and Regis Van Steenkiste
Goldman Sachs Group, Inc. - Quantitative Strategy Group and Salomon Smith Barney, Inc., U.S.
Date Posted: April 26, 1999
Working Paper Series

Incl. Electronic Paper Network Neutrality on the Internet: A Two-Sided Market Analysis
Information Economics and Policy, Vol. 24, 2012, NET Institute Working Paper No. 07-45, NYU Law and Economics Research Paper 07-40, NYU Working Paper No. 2451/26057
Nicholas Economides and Joacim Tåg
New York University - Leonard N. Stern School of Business - Department of Economics and Research Institute of Industrial Economics (IFN)
Date Posted: October 04, 2007
Last Revised: October 25, 2012
Working Paper Series

Incl. Electronic Paper Fourier Space Time-Stepping for Option Pricing With Levy Models
Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Kenneth R. Jackson , Sebastian Jaimungal and Vladimir Surkov
University of Toronto - Department of Computer Science , University of Toronto - Department of Statistics and RBC Capital Markets
Date Posted: October 10, 2007
Last Revised: July 01, 2009
Working Paper Series

Incl. Electronic Paper Uncovering Trend Rules
Paul Beekhuizen and Winfried G. Hallerbach
Robeco Asset Management and Robeco Asset Management, Quantitative Investment Research
Date Posted: May 12, 2015
Working Paper Series

Incl. Electronic Paper Option Pricing with Quadratic Volatility: A Revisit
Leif B. G. Andersen
Bank of America Merrill Lynch
Date Posted: April 10, 2008
Last Revised: August 14, 2008
Working Paper Series

Incl. Electronic Paper Pricing Convertible Bonds with Monte Carlo Simulation
Christian Wilde and Axel H. Kind
Goethe University Frankfurt - Department of Finance and University of Basel
Date Posted: March 09, 2005
Working Paper Series

Incl. Electronic Paper Cross-Currency and Hybrid Markov-Functional Models
Christian P. Fries and Marius G. Rott
LMU Munich, Department of Mathematics and Independent
Date Posted: April 27, 2004
Working Paper Series

Incl. Electronic Paper Elementi di Teoria dei Contratti (Elements of Contract Theory)
Maria-Augusta Miceli
University of Rome "Sapienza"
Date Posted: March 24, 2013
Last Revised: December 03, 2015
Working Paper Series

Incl. Electronic Paper An Improved Estimator for Black-Scholes-Merton Implied Volatility
ERIM Report Series No. ERS-2004-054-F&A
Winfried G. Hallerbach
Robeco Asset Management, Quantitative Investment Research
Date Posted: July 23, 2004
Working Paper Series

Incl. Electronic Paper Return-Based Style Analysis with Time-Varying Exposures
Laurentius (Laurens) Adrianus Petrus Swinkels and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR) and APG Asset Management, GTAA Fund
Date Posted: November 28, 2001
Working Paper Series

Incl. Electronic Paper Trend Filtering Methods for Momentum Strategies
Benjamin Bruder , Tung-Lam Dao , Jean-Charles Richard and Thierry Roncalli
Lyxor Asset Management , Capital Fund Management , Lyxor Asset Management and Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
Date Posted: July 07, 2013
Working Paper Series

Incl. Electronic Paper The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management
Harry Zheng , Lyn C. Thomas and David E. Allen
University of Southampton - School of Management and University of South Australia
Date Posted: April 13, 2001
Working Paper Series

Incl. Electronic Paper Cash-Settled Swaptions: How Wrong are We?
Marc P. A. Henrard
Date Posted: November 07, 2010
Last Revised: March 12, 2011
Working Paper Series

Incl. Electronic Paper Analytic Loss Distributions of Heterogeneous Portfolios in the Asset Value Credit Risk Model
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Date Posted: May 07, 2003
Working Paper Series

Incl. Electronic Paper Cliquet Options: Pricing and Greeks in Deterministic and Stochastic Volatility Models
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Date Posted: September 18, 2007
Working Paper Series


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