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JEL Code: G13
1,850,407 Total downloads
Showing Papers 881 - 930 of 4,933
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Forecasting Sovereign Default risk with Merton’s Model
Johan G. Duyvesteyn
and
Martin Martens
Date Posted: May 14, 2011Last Revised: October 17, 2012309 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, 2012240 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, 20111132 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, 201163 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
Evaluating Natural Resource Investments Under Different Model Dynamics: Managerial Insights European Financial Management, Vol.18, No.4, pp. 543-577, 2012
Andrianos E. Tsekrekos
,
Mark B. Shackleton and
Rafal M. Wojakowski
Date Posted: May 06, 2011Last Revised: August 28, 201244 downloads
The Correlation Structure of FX Option Markets Before and Since the Financial Crisis Applied Financial Economics, Vol. 20, No.1-2, pp. 73-84, 2009
George Chalamandaris
and
Andrianos E. Tsekrekos
Date Posted: May 06, 201153 downloads
American Option Sensitivities Estimation via a Generalized IPA Approach
Nan Chen
and
Yanchu Liu
Date Posted: May 04, 2011Last Revised: February 27, 201273 downloads
Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
Cristian Homescu
affiliation not provided to SSRN
Date Posted: May 02, 2011Last Revised: September 12, 2011823 downloads
Tail Risk and Asset Prices Chicago Booth Research Paper No. 11-17, Fama-Miller Working Paper
Bryan T. Kelly
Date Posted: May 02, 2011Last Revised: November 29, 20121747 downloads
Equity Options, Credit Default Swaps and Leverage: A Simple Stochastic-Volatility Model for Equity and Credit Derivatives
Gaia Barone
Date Posted: May 01, 2011Last Revised: February 14, 2012156 downloads
Diffusion Equation and Monte Carlo
Anders Eskil Österling
Date Posted: April 29, 201140 downloads
Continuous Workout Mortgages
Robert J. Shiller ,
Rafal M. Wojakowski ,
Muhammed Shahid Ebrahim
and
Mark B. Shackleton
Date Posted: April 27, 201144 downloads
Testing Option Pricing Models: Complete and Incomplete Markets
Olesia Verchenko
Date Posted: April 27, 2011Last Revised: April 29, 201152 downloads
The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis CESifo Working Paper Series No. 3418
Marc Gronwald
,
Janina Ketterer
and
Stefan Trueck
Date Posted: April 27, 2011116 downloads
Calibration of the Heston Stochastic Local Volatility Model: A Finite Volume Scheme
Bernd Engelmann
,
Frank Koster
and
Daniel Oeltz
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: April 26, 2011Last Revised: February 13, 2012368 downloads
FOMC Communication Policy and the Accuracy of Fed Funds Futures FRB of New York Staff Report No. 491
Menno H. Middeldorp
Date Posted: April 26, 201118 downloads
IRC and CRM: Modelling Framework for the 'Basel 2.5' Risk Measures
Sascha Wilkens
,
Jean-Baptiste Brunac and
Vladimir Chorniy
Date Posted: April 24, 2011Last Revised: April 09, 20131258 downloads
An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets
Dion Bongaerts
,
Frank de Jong and
Joost Driessen
Date Posted: April 23, 2011Last Revised: March 14, 2012400 downloads
Continuous Workout Mortgages Cowles Foundation Discussion Paper No. 1794
Robert J. Shiller ,
Rafal M. Wojakowski ,
Muhammed Shahid Ebrahim
and
Mark B. Shackleton
Date Posted: April 23, 201140 downloads
Limited and Varying Consumer Attention: Evidence from Shocks to the Salience of Bank Overdraft Fees FRB of Philadelphia Working Paper No. 11-17
Victor Stango and
Jonathan Zinman
Date Posted: April 23, 2011Last Revised: May 21, 201127 downloads
Risk Models with Jumps and Time-Varying Second Moments Netspar Discussion Paper No. 03/2011-034
Rob van den Goorbergh
,
R. Molenaar ,
Onno W. Steenbeek
and
Peter Vlaar
Date Posted: April 23, 2011Last Revised: June 14, 201191 downloads
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
Andrew Ang and
Francis A. Longstaff
Date Posted: April 21, 2011256 downloads
CDO Mapping with Stochastic Recovery
Matthias Dinnis
and
Andrea Prampolini
Date Posted: April 19, 2011138 downloads
The Adjustable Balance Mortgage: Reducing the Value of the Put Real Estate Economics, June 2012
Real Estate Economics
Date Posted: April 19, 2011
Hedging and Vertical Integration in Electricity Markets CEPR Discussion Paper No. DP8313
René Aïd ,
Gilles Chemla ,
Arnaud Porchet
and
Nizar Touzi
Date Posted: April 18, 20113 downloads
After-Tax Valuation of Convertible Bonds and Participation Exemption Economic Notes, Vol. 39, Issue 3, pp. 147-171, 2010
Marco Realdon
affiliation not provided to SSRN
Date Posted: April 18, 20113 downloads
Extended Value at Risk (EVaR) Measure for Market Risk
Mo Chaudhury
Date Posted: April 16, 2011Last Revised: September 18, 2011160 downloads
Statistical Modeling of Credit Default Swap Portfolios
Rama Cont and
Yu Hang (Gabriel) Kan
Date Posted: April 14, 2011Last Revised: April 25, 2011675 downloads
The Pricing of Equity-Linked Contingent Claims Under a Lognormal Short Rate Dynamics
Rosa Cocozza
and
Antonio De Simone
Date Posted: April 14, 2011
Collateralized CDS and Default Dependence - Implications for the Central Clearing
Masaaki Fujii
and
Akihiko Takahashi
Date Posted: April 12, 2011125 downloads
An Insight into Banks' Pricing: The Case of Covered Warrant
Rosa Cocozza
,
Antonio De Simone
and
Angela Gallo
Date Posted: April 11, 2011
Applied Multidimensional Girsanov Theorem
Denis Papaioannou
Date Posted: April 11, 2011Last Revised: July 14, 20121031 downloads
Variation in Option Returns: The Importance of Moneyness, Maturity and Skewness
Ryan McKeon
Date Posted: April 11, 201169 downloads
Information Transmission and Causality in the Italian Treasury Bond Market
Antonio Scalia
Date Posted: April 08, 201114 downloads
Volatility Stylized Facts
Philippe Masset
Date Posted: April 08, 2011Last Revised: September 12, 2011227 downloads
On the Risk Situation of Financial Conglomerates: Does Diversification Matter? Financial Markets and Portfolio Management, Vol. 25, No. 1, pp. 3-26, 2011
Nadine Gatzert and
Hato Schmeiser
Date Posted: April 06, 2011
Pricing Average Options Under Time-Changed Levy Processes Review of Derivatives Research, Forthcoming
Akira Yamazaki
Date Posted: April 06, 2011Last Revised: May 13, 2013131 downloads
The Financial Crisis and the Behavior of Stock Prices
Mo Chaudhury
Date Posted: April 06, 2011Last Revised: July 31, 2011295 downloads
Information Transmission and Causality in the Italian Treasury Bond Market Journal of Empirical Finance, Vol. 5, No. 4, 1998
Antonio Scalia
Date Posted: April 05, 2011
Hedge Fund Systemic Risk Signals CAREFIN Research Paper No. 19/2010
Roberto Savona
Date Posted: April 02, 2011142 downloads
Adiabatic Genesis of Extreme Volatility Winter Regimes: Dynamic Moment Analysis of Non-Stationary Temperature Data for the Midwestern Natural Gas Market
Cornelis A. Los and
Jennifer Zhou
Date Posted: March 31, 201116 downloads
Pricing American Options in the Heston Model: A Close Look on Incorporating Correlation Journal of Derivatives, Vol. 20, No. 3, 2013
Peter Ruckdeschel
,
Tilman Sayer
and
Alexander Szimayer
Date Posted: March 30, 2011Last Revised: March 07, 2013
Pricing Contingent Convertibles: A Derivatives Approach
Jan De Spiegeleer and
Wim Schoutens
Date Posted: March 30, 2011Last Revised: June 24, 2011782 downloads
Factors Explaining Movements in the Implied Volatility Surface Journal of Futures Markets, Vol. 22, No. 10, pp. 915-937, 2002
Scott Mixon
Date Posted: March 29, 2011119 downloads
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