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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 489,370
Full Text Papers: 398,250
Authors: 228,711
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  Last 12 months: 		69,655

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To date: 66,729,620
Last 12 months: 11,224,008
Last 30 days: 834,562

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  References: 		239,806
Total References: 8,539,827
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  Footnotes: 		78,859
Total Footnotes: 8,610,864


SSRN eLibrary Search Results
JEL Code: G13
1,867,580 Total downloads
Showing Papers 851 - 900 of 4,952
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Incl. Electronic Paper Financing Uncertain Growth
Jay Y. Li and David C. Mauer
City University of Hong Kong and Texas A&M University
Date Posted: July 07, 2011
Working Paper Series
84 downloads

Incl. Electronic Paper Predictive Power of Information Market Prices
Swiss Finance Institute Research Paper No. 11-23, The Journal of Prediction Markets, Forthcoming
 Maria Putintseva
University of Zurich - Swiss Banking Institute (ISB)
Date Posted: July 06, 2011
Last Revised: August 15, 2011
Accepted Paper Series
123 downloads

Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
 Janis Back , Raphael Paschke , Marcel Prokopczuk and Markus Rudolf
WHU - Otto Beisheim School of Management , University of Mannheim - Department of Business Administration and Finance , Zeppelin University - Institute of Corporate Management & Economics and WHU Otto Beisheim Graduate School of Management
Date Posted: July 05, 2011
Last Revised: March 28, 2013
Working Paper Series

Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten
Zeitschrift für Betriebswirtschaft, Vol. 76, No. 4, pp. 347-372, 2006,
 Antje Brigitte Mahayni and Michael Suchanecki
Mercator School of Management and HSBC Bank plc
Date Posted: July 04, 2011
Accepted Paper Series

Incl. Electronic Paper A New Algorithm for Computing Implied Volatility
East-West Journal of Mathematics, Forthcoming
 Kawee Numpacharoen and Kornkanok Bunwong
Phatra Securities and Mahidol University - Department of Mathematics
Date Posted: July 03, 2011
Last Revised: August 15, 2012
Accepted Paper Series
460 downloads

Incl. Electronic Paper Implied Index and Option Pricing Errors: Evidence from the Taiwan Option Market
The International Journal of Business and Finance Research, Vol. 5, No. 2, pp. 115-125, 2011
 Ching-Ping Wang , Hung-Hsi Huang and Chien-Chia Hung
National Kaohsiung University of Applied Sciences , National Pingtung University of Science and Technology and National Pingtung University of Science and Technology
Date Posted: July 03, 2011
Accepted Paper Series
46 downloads

Incl. Electronic Paper The Liquidity Effect in Option Pricing: An Empirical Analysis
International Journal of Business and Finance Research, Vol. 5, No. 2, pp. 35-43, 2011
 Shih-Ping Feng
National Taiwan University
Date Posted: July 03, 2011
Accepted Paper Series
66 downloads

Incl. Electronic Paper The Valuation of Reset Options When Underlying Assets are Autocorrelated
The International Journal of Business and Finance Research, Vol. 5, No. 2, pp. 95-114, 2011
 Yu-Hong Liu , I-Ming Jiang , Shih-Cheng Lee and Yu-Ting Cheng
National Cheng Kung University , Yuan Ze University , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: July 03, 2011
Accepted Paper Series
33 downloads

Incl. Electronic Paper Transaction Cost Discovery by Decomposition of the Error Term: A Bootstrapping Approach
International Journal of Business and Finance Research, Vol. 5, No. 2, pp. 113-121, 2011
 Ariful Hoque
University of Southern Queensland
Date Posted: July 03, 2011
Accepted Paper Series
28 downloads

Incl. Electronic Paper American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison
 Lars Stentoft
HEC Montréal - Department of Finance
Date Posted: July 02, 2011
Working Paper Series
80 downloads

Incl. Electronic Paper Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions
Journal of Economic Theory, Vol. 146, 2011
 An Chen , Antoon Pelsser and Michel Vellekoop
University of Ulm - Department of Mathematics and Economics , Maastricht University and University of Twente - Department of Applied Mathematics
Date Posted: July 01, 2011
Last Revised: September 08, 2011
Accepted Paper Series
27 downloads

Incl. Electronic Paper Capital Requirements or Pricing Constraints? An Economic Analysis of Measures for Insurance Regulation
ICIR Working Paper Series No. 03/11
 Sebastian Schluetter
Goethe University Frankfurt - International Center for Insurance Regulation
Date Posted: June 29, 2011
Last Revised: November 18, 2011
Working Paper Series
91 downloads

Incl. Electronic Paper Mispricing in Stock Index Futures Markets – the Case of Greece
 Athanasios Fassas
University of Patras - Business Administration
Date Posted: June 28, 2011
Working Paper Series
92 downloads

The Fast Multipole Method - Application to PIDE in Option Pricing
 Takayuki Sakuma
University of Tsukuba - Graduate School of Business Sciences
Date Posted: June 28, 2011
Last Revised: August 24, 2011
Working Paper Series

Incl. Electronic Paper Evaluating Portfolios in Energy Trading
Risk Professional, April 2011
 Alessandro Mauro
LITASCO
Date Posted: June 27, 2011
Accepted Paper Series
180 downloads

Incl. Electronic Paper Funding, Liquidity, Credit and Counterparty Risk: Links and Implications
 Antonio Castagna
Iason Ltd.
Date Posted: June 27, 2011
Last Revised: July 20, 2011
Working Paper Series
249 downloads

Incl. Electronic Paper The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks
Forthcoming, Journal of Futures Markets
 Lin Gao and Lu Liu
University of Saint Gallen - Swiss Institute of Banking and Finance and Lund University - Department of Economics
Date Posted: June 26, 2011
Last Revised: November 06, 2012
Accepted Paper Series
126 downloads

Incl. Electronic Paper The Optimal Timing and Equilibrium Pricing for IPO
 Zhuming Chen and Can Chen
Sun Yat-Sen University and Lehigh University
Date Posted: June 24, 2011
Working Paper Series
52 downloads

Incl. Electronic Paper Valuing Catastrophe Derivatives Under Limited Diversification: A Stochastic Dominance Approach
 Stylianos Perrakis and Ali Boloorforoosh
Concordia University, Quebec - John Molson School of Business and John Molson School of Business, Concordia University
Date Posted: June 24, 2011
Working Paper Series
35 downloads

Incl. Electronic Paper Technical Note on Profit Sharing and Market-Consistent Embedded Value in German Life Insurance
 Christian Wiehenkamp
RiskLab GmbH
Date Posted: June 22, 2011
Last Revised: July 02, 2011
Working Paper Series
116 downloads

Deriving Optimal Portfolios for Hedging Housing Risk
Journal of Real Estate Finance and Economics, Forthcoming
 Cristian Voicu and Michael Joseph Seiler
Investment Technology Group and Old Dominion University - Finance
Date Posted: June 21, 2011
Accepted Paper Series

Incl. Electronic Paper Impact of the First to Default Time on Bilateral CVA
 Damiano Brigo , Cristin Buescu and Massimo Morini
Department of Mathematics, Imperial College, London , King's College London, Department of Mathematics and Banca IMI
Date Posted: June 21, 2011
Working Paper Series
140 downloads

Incl. Electronic Paper 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
University of Maryland - Robert H. Smith School of Business and Ohio State University (OSU) - Fisher College of Business
Date Posted: June 21, 2011
Last Revised: February 18, 2012
Working Paper Series
99 downloads

Incl. Electronic Paper CDS Auctions
 Mikhail Chernov , Alexander S. Gorbenko and Igor Makarov
London School of Economics , London Business School and London Business School
Date Posted: June 17, 2011
Last Revised: July 20, 2012
Working Paper Series
160 downloads

Incl. Electronic Paper Estimating Changing Volatility in Cash Flow Simulation Based Real Option Valuation with Regression Sum of Squares Error Method
 Tero J. Haahtela
Aalto University
Date Posted: June 17, 2011
Working Paper Series
111 downloads

Incl. Electronic Paper 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
University of Aarhus - Business and Social Sciences , University of Aarhus - Business and Social Sciences and University of Aarhus - Business and Social Sciences
Date Posted: June 13, 2011
Last Revised: July 19, 2012
Working Paper Series
261 downloads

Incl. Electronic Paper 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
University of Portsmouth , University of Athens - Department of Economics and affiliation not provided to SSRN
Date Posted: June 12, 2011
Working Paper Series
164 downloads

Incl. Electronic Paper Information Arrival as Price Jumps
 Vassilis Polimenis
Aristotle University of Thessaloniki
Date Posted: June 11, 2011
Last Revised: September 25, 2011
Working Paper Series
143 downloads

Incl. Electronic Paper 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
Babson College , Northeastern University and Northeastern University - Accounting Group
Date Posted: June 09, 2011
Accepted Paper Series
16 downloads

Incl. Electronic Paper Dislocations in the Won-Dollar Swap Markets During the Crisis of 2007-09
 Ilhyock Shim and Naohiko Baba
Bank for International Settlements (BIS) and Bank of Japan - Financial Markets Department
Date Posted: June 09, 2011
Working Paper Series
46 downloads

Price Discovery in Crude Oil Prices
 Cherl-Hyun Kim
University of Washington
Date Posted: June 08, 2011
Last Revised: March 10, 2012
Working Paper Series

Incl. Electronic Paper A Fast Method for the Computation of Option Prices Based on the N-Point Pade Approximant
Date Posted: June 06, 2011
Last Revised: December 12, 2011
Working Paper Series
101 downloads

Incl. Electronic Paper A Supplement to Remark on Local Volatility
 Ilya I. Gikhman
Independent
Date Posted: June 06, 2011
Last Revised: July 06, 2011
Working Paper Series
98 downloads

Incl. Electronic Paper Analytical Approximation of the Transition Density in a Local Volatility Model
 Andrea Pascucci and Stefano Pagliarani
University of Bologna - Department of Mathematics and University of Padua - Department of Pure and Applied Mathematics
Date Posted: June 04, 2011
Working Paper Series
227 downloads

Incl. Electronic Paper A Pricing Kernel Approach to Valuing Options on Interest Rate Futures
 Xiaoquan Liu , Jerry Coakley and Jing-Ming Kuo
Essex Business School , University of Essex - Essex Business School and Durham University Business School
Date Posted: June 03, 2011
Working Paper Series
58 downloads

Incl. Electronic Paper Currency Total Return Swaps: Valuation and Risk Factor Analysis
 Cuchet Romain , Pascal Francois and Georges Hubner
BRD - Groupe Société Générale , HEC Montreal - Department of Finance and HEC Management School - University of Liège
Date Posted: June 03, 2011
Working Paper Series
124 downloads

Incl. Electronic Paper Analytical Approximation for Non-Linear FBSDEs with Perturbation Scheme
 Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Date Posted: June 02, 2011
Last Revised: January 23, 2012
Working Paper Series
62 downloads

Incl. Electronic Paper Systemic Risk-Taking: Amplification Effects, Externalities, and Regulatory Responses
ECB Working Paper No. 1345
 Anton Korinek
University of Maryland - Department of Economics
Date Posted: June 02, 2011
Working Paper Series
256 downloads

Incl. Electronic Paper Time-Consistent and Market-Consistent Evaluations
CentER Working Paper Series No. 2012-086
 Mitja Stadje and Antoon Pelsser
Tilburg University - Department of Econometrics & Operations Research and Maastricht University
Date Posted: June 02, 2011
Last Revised: October 24, 2012
Working Paper Series
63 downloads

Incl. Electronic Paper Relaxing Competition Through Speculation: Committing to a Negative Supply Slope
IFN Working Paper No. 937
 Par Holmberg and Bert Willems
Research Institute of Industrial Economics (IFN) and Tilburg University - Department of Economics - CentER & TILEC
Date Posted: June 01, 2011
Last Revised: November 23, 2012
Working Paper Series
68 downloads

Incl. Electronic Paper Where is the Value in High Frequency Trading?
Quarterly Journal of Finance, Volume 2 (3), 2012, 1-46
 Álvaro Cartea and José Penalva
University College London and Universidad Carlos III, Madrid - Business Economics Department
Date Posted: June 01, 2011
Last Revised: March 11, 2013
Working Paper Series
246 downloads

Incl. Electronic Paper A New Numerical Scheme for a Class of Reflected Stochastic Differential Equations
 Xuewei Yang
Nanjing University - School of Management and Engineering
Date Posted: May 31, 2011
Working Paper Series
24 downloads

Incl. Electronic Paper Optimal Capital Structure Choice Revisited: A Review
 Yuta Motoyama
affiliation not provided to SSRN
Date Posted: May 30, 2011
Working Paper Series
150 downloads

Incl. Electronic Paper The Flash Crash: The Impact of High Frequency Trading on an Electronic Market
 Andrei A. Kirilenko , Albert S. Kyle , Mehrdad Samadi and Tugkan Tuzun
MIT Sloan School of Management , University of Maryland , University of North Carolina (UNC) at Chapel Hill - Finance Area and Federal Reserve Board
Date Posted: May 27, 2011
Working Paper Series
6868 downloads

Incl. Electronic Paper 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
Commodity Futures Trading Commission (CFTC) , University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics and University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics
Date Posted: May 26, 2011
Working Paper Series
198 downloads

Incl. Electronic Paper Default Clustering and Credit Risks in Commercial Mortgage-Backed Securities
 Gang-Zhi Fan , Tien Foo Sing and Seow Eng Ong
Konkuk University - Department of Real Estate , National University of Singapore (NUS) - Department of Real Estate and National University of Singapore (NUS) - Department of Real Estate
Date Posted: May 24, 2011
Working Paper Series
71 downloads

Incl. Electronic Paper New Efficient Versions of Fourier Transform Method in Applications to Option Pricing
 Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and University of Leicester - Department of Mathematics
Date Posted: May 24, 2011
Last Revised: June 06, 2011
Working Paper Series
235 downloads

Incl. Electronic Paper Hedging Effectiveness of Constant and Time Varying Hedge Ratio of the Copper in the London Metal Exchange
 Souha Boutouria and Fathi Abid
University of Sfax - Higher School of Business Administration and University of Sfax - Faculty of Economics and Management (FSEGS)
Date Posted: May 20, 2011
Working Paper Series
102 downloads

Incl. Electronic Paper Do Variance Risk Premia Predict Commodity Futures Returns? Evidence from the Crude Oil Market
 Xuhui (Nick) Pan and Sang Baum Kang
Tulane University, A.B. Freeman School of Business and Illinois Institute of Technology - Stuart School of Business
Date Posted: May 18, 2011
Last Revised: September 22, 2011
Working Paper Series
167 downloads

Incl. Electronic Paper What Can We Learn from the EU ETS Experience? Recommendations for Effective Trading and Market Design
 Walid Mnif and Matt Davison
University of Western Ontario and University of Western Ontario
Date Posted: May 18, 2011
Last Revised: October 18, 2011
Working Paper Series
120 downloads


 

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