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JEL Code: G13
1,851,508 Total downloads
Showing Papers 841 - 890 of 4,932
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Mispricing in Stock Index Futures Markets – the Case of Greece
Athanasios Fassas
Date Posted: June 28, 201189 downloads
The Fast Multipole Method - Application to PIDE in Option Pricing
Takayuki Sakuma
Date Posted: June 28, 2011Last Revised: August 24, 2011
Evaluating Portfolios in Energy Trading Risk Professional, April 2011
Alessandro Mauro
Date Posted: June 27, 2011175 downloads
Funding, Liquidity, Credit and Counterparty Risk: Links and Implications
Antonio Castagna
Date Posted: June 27, 2011Last Revised: July 20, 2011240 downloads
The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks Forthcoming, Journal of Futures Markets
Lin Gao
and
Lu Liu
Date Posted: June 26, 2011Last Revised: November 06, 2012122 downloads
The Optimal Timing and Equilibrium Pricing for IPO
Zhuming Chen
and
Can Chen
Date Posted: June 24, 201152 downloads
Valuing Catastrophe Derivatives Under Limited Diversification: A Stochastic Dominance Approach
Stylianos Perrakis and
Ali Boloorforoosh
Date Posted: June 24, 201131 downloads
Technical Note on Profit Sharing and Market-Consistent Embedded Value in German Life Insurance
Christian Wiehenkamp
Date Posted: June 22, 2011Last Revised: July 02, 2011112 downloads
Deriving Optimal Portfolios for Hedging Housing Risk Journal of Real Estate Finance and Economics, Forthcoming
Cristian Voicu
and
Michael Joseph Seiler
Date Posted: June 21, 2011
Impact of the First to Default Time on Bilateral CVA
Damiano Brigo ,
Cristin Buescu and
Massimo Morini
Date Posted: June 21, 2011136 downloads
Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors Journal of Financial Economics (JFE), Forthcoming, Charles A. Dice Center Working Paper No. 2011-11, Fisher College of Business Working Paper No. 2011-03-011
Gurdip Bakshi and
Fousseni Chabi-Yo
Date Posted: June 21, 2011Last Revised: February 18, 201296 downloads
CDS Auctions
Mikhail Chernov ,
Alexander S. Gorbenko
and
Igor Makarov
Date Posted: June 17, 2011Last Revised: July 20, 2012159 downloads
Estimating Changing Volatility in Cash Flow Simulation Based Real Option Valuation with Regression Sum of Squares Error Method
Tero J. Haahtela
Date Posted: June 17, 2011106 downloads
Overpricing and Hidden Costs of Structured Products for Retail Investors: Evidence from the Danish Market for Principal Protected Notes
Peter Løchte Jørgensen ,
Henrik Nørholm
and
David Skovmand
Date Posted: June 13, 2011Last Revised: July 19, 2012255 downloads
Macroeconomic Factors as Determinants of Company Value in the Context of the Ohlson Residual Income Valuation Model; Greek Findings
Konstantinos P. Vergos ,
Apostolos G. Christopoulos
and
Vasilios Kalogirou
affiliation not provided to SSRN
Date Posted: June 12, 2011160 downloads
Information Arrival as Price Jumps
Vassilis Polimenis
Date Posted: June 11, 2011Last Revised: September 25, 2011140 downloads
S.E.C Induced Distortion in Stock Prices MTA Journal, Vol. 20, pp. 23-27, February 1985
John C. Edmunds ,
Harlan D. Platt and
Marjorie Platt
Date Posted: June 09, 201116 downloads
Dislocations in the Won-Dollar Swap Markets During the Crisis of 2007-09
Ilhyock Shim
and
Naohiko Baba
Date Posted: June 09, 201146 downloads
Price Discovery in Crude Oil Prices
Cherl-Hyun Kim
Date Posted: June 08, 2011Last Revised: March 10, 2012
A Fast Method for the Computation of Option Prices Based on the N-Point Pade Approximant
Date Posted: June 06, 2011Last Revised: December 12, 201198 downloads
A Supplement to Remark on Local Volatility
Ilya I. Gikhman
Date Posted: June 06, 2011Last Revised: July 06, 201197 downloads
Analytical Approximation of the Transition Density in a Local Volatility Model
Andrea Pascucci
and
Stefano Pagliarani
Date Posted: June 04, 2011222 downloads
A Pricing Kernel Approach to Valuing Options on Interest Rate Futures
Xiaoquan Liu
,
Jerry Coakley and
Jing-Ming Kuo
Date Posted: June 03, 201158 downloads
Currency Total Return Swaps: Valuation and Risk Factor Analysis
Cuchet Romain
,
Pascal Francois and
Georges Hubner
Date Posted: June 03, 2011122 downloads
Analytical Approximation for Non-Linear FBSDEs with Perturbation Scheme
Masaaki Fujii
and
Akihiko Takahashi
Date Posted: June 02, 2011Last Revised: January 23, 201261 downloads
Systemic Risk-Taking: Amplification Effects, Externalities, and Regulatory Responses ECB Working Paper No. 1345
Anton Korinek
Date Posted: June 02, 2011254 downloads
Time-Consistent and Market-Consistent Evaluations CentER Working Paper Series No. 2012-086
Mitja Stadje
and
Antoon Pelsser
Date Posted: June 02, 2011Last Revised: October 24, 201261 downloads
Relaxing Competition Through Speculation: Committing to a Negative Supply Slope IFN Working Paper No. 937
Par Holmberg
and
Bert Willems
Date Posted: June 01, 2011Last Revised: November 23, 201268 downloads
Where is the Value in High Frequency Trading? Quarterly Journal of Finance, Volume 2 (3), 2012, 1-46
Álvaro Cartea and
José Penalva
Date Posted: June 01, 2011Last Revised: March 11, 2013242 downloads
A New Numerical Scheme for a Class of Reflected Stochastic Differential Equations
Xuewei Yang
Date Posted: May 31, 201124 downloads
Optimal Capital Structure Choice Revisited: A Review
Yuta Motoyama
affiliation not provided to SSRN
Date Posted: May 30, 2011145 downloads
The Flash Crash: The Impact of High Frequency Trading on an Electronic Market
Andrei A. Kirilenko ,
Albert S. Kyle ,
Mehrdad Samadi
and
Tugkan Tuzun
Date Posted: May 27, 20116762 downloads
Returns to Traders and Existences of a Risk Premium of a Risk Premium in Agricultural Futures Markets
Nicole Aulerich
,
Scott H. Irwin and
Philip Garcia
Date Posted: May 26, 2011193 downloads
Default Clustering and Credit Risks in Commercial Mortgage-Backed Securities
Gang-Zhi Fan
,
Tien Foo Sing and
Seow Eng Ong
Date Posted: May 24, 201170 downloads
New Efficient Versions of Fourier Transform Method in Applications to Option Pricing
Svetlana Boyarchenko and
Sergei Levendorskii
Date Posted: May 24, 2011Last Revised: June 06, 2011229 downloads
Hedging Effectiveness of Constant and Time Varying Hedge Ratio of the Copper in the London Metal Exchange
Souha Boutouria
and
Fathi Abid
Date Posted: May 20, 2011100 downloads
Do Variance Risk Premia Predict Commodity Futures Returns? Evidence from the Crude Oil Market
Xuhui (Nick) Pan
and
Sang Baum Kang
Date Posted: May 18, 2011Last Revised: September 22, 2011165 downloads
What Can We Learn from the EU ETS Experience? Recommendations for Effective Trading and Market Design
Walid Mnif
and
Matt Davison
Date Posted: May 18, 2011Last Revised: October 18, 2011119 downloads
Employee Stock Options Incentive Effects: A CPT-Based Model International Conference of the French Finance Association (AFFI), 11-13 May 2011, 8th AFE SAMAOS 2011
Hamza Bahaji
Date Posted: May 16, 2011Last Revised: June 12, 201248 downloads
The Bond-Stock Mix: A New Insight International Conference of the French Finance Association (AFFI), 11-13 May 2011
Sami Attaoui
and
Pierre Six
Date Posted: May 16, 2011Last Revised: January 30, 201276 downloads
Forecasting Sovereign Default risk with Merton’s Model
Johan G. Duyvesteyn
and
Martin Martens
Date Posted: May 14, 2011Last Revised: October 17, 2012310 downloads
Systemic Risk-Taking: Amplification Effects, Externalities, and Regulatory Responses Networks Financial Institute Working Paper No. 2011-WP-13
Anton Korinek
Date Posted: May 13, 201148 downloads
Limited Arbitrage and Noise Momentum
Charlie X. Cai ,
Robert W. Faff and
Yongcheol Shin
Date Posted: May 11, 2011Last Revised: July 21, 2012241 downloads
Liquidity Considerations in Estimating Implied Volatility 24th Australasian Finance and Banking Conference 2011 Paper
Rohini Grover
and
Susan Thomas
Date Posted: May 11, 2011Last Revised: November 14, 201171 downloads
Statistical Properties of Derivatives: A Journey in Term Structures International Conference of the French Finance Association (AFFI), May 11-13, 2011
Delphine Lautier
and
Franck Raynaud
Date Posted: May 09, 201151 downloads
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
Date Posted: May 09, 2011Last Revised: August 12, 20111133 downloads
Volatility in EMU Sovereign Bond Yields: Permanent and Transitory Components International Economics & Finance DEFI Working Paper No. 11-03
Simón Sosvilla Rivero and
Amalia Morales-Zumaquero
Date Posted: May 09, 201127 downloads
Currency Dependent Differences in Credit Spreads of Eur and Usd Denominated Foreign Currency Government Bonds International Conference of the French Finance Association (AFFI), May 2011
Andreas Rathgeber
,
Stefan Stöckl
and
David Rudolf
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: May 08, 201164 downloads
Testing the Speculative Efficiency Hypothesis on Co2 Emission Allowance Prices:
Evidence from Bluenext International Conference of the French Finance Association (AFFI), May 2011
Olivier Darné ,
Jessica Fouilloux
and
Amélie Charles
affiliation not provided to SSRN
Date Posted: May 08, 201138 downloads
Numerical Approximation of Option Premia in Displaced-Lognormal Heston Models
Andrew Samuel Dickinson
Date Posted: May 07, 2011Last Revised: May 30, 2011190 downloads
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