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JEL Code: G13
1,851,914 Total downloads
Showing Papers 941 - 990 of 4,932
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Discovering the Ecosystem of an Electronic Financial Market with a Dynamic Machine-Learning Method AFA 2012 Chicago Meetings Paper
Shawn Mankad
,
George Michailidis
and
Andrei A. Kirilenko
Date Posted: March 21, 2011Last Revised: November 10, 2012216 downloads
Business Cycle and Interest Rates: Pricing and Risk Management under a New Term Structure Model
Manuel Moreno and
Federico Platania
Date Posted: March 21, 201191 downloads
Determinants of the Premium in Forward Contracts
Christian Redl
and
Derek W. Bunn
Date Posted: March 21, 201174 downloads
Interest Rate Derivative Pricing when Banks are Risky and Markets are Illiquid
Geoffrey R. Harris
and
Tao L. Wu
Date Posted: March 21, 201170 downloads
Uncovering Novel Features of Equity-Index Return Dynamics via Corridor Implied Volatility
Torben G. Andersen ,
Oleg Bondarenko and
Maria T. Gonzalez-Perez
Date Posted: March 21, 2011Last Revised: December 06, 2012250 downloads
Price and Volatility Dynamics Implied by the VIX Term Structure
Jin-Chuan Duan and
Chung-Ying Yeh
Date Posted: March 20, 2011Last Revised: March 16, 2012238 downloads
Asset Pricing in an International Lucas Orchard with Dynamic Learning and Catching up with the Joneses under Agents’ Heterogeneous Expectations and Preferences
Oliver Berndt
Date Posted: March 19, 2011Last Revised: January 31, 2013
Cross-Market and Cross-Firm Effects in Implied Default Probabilities and Recovery Values AFA 2012 Chicago Meetings Paper
Jennifer S. Conrad ,
Robert F. Dittmar and
Allaudeen Hameed
Date Posted: March 19, 2011189 downloads
In the Balance
Christoph Burgard
and
Mats Kjaer
Date Posted: March 19, 2011Last Revised: August 10, 2012756 downloads
Pairing Market Risk and Credit Risk
Isabel Figuerola-Ferretti and
Ioannis G. Paraskevopoulos
Date Posted: March 19, 201154 downloads
The Dynamics of Overpricing in Structured Products
Thomas Ruf
Date Posted: March 19, 2011Last Revised: November 21, 2011178 downloads
Costly External Finance, Liquidity Risk, and Default Risk
Jun Yang
Date Posted: March 18, 201188 downloads
Stock Options as Lotteries
Brian H. Boyer and
Keith Vorkink
Date Posted: March 18, 2011Last Revised: August 30, 2012397 downloads
The Stock Market Price of Commodity Risk AFA 2012 Chicago Meetings Paper
Martijn Boons
,
Frans de Roon and
Marta Szymanowska
Date Posted: March 18, 2011Last Revised: September 28, 2012667 downloads
Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation
Peter H. Gruber
,
Roberto Renò ,
Claudio Tebaldi and
Fabio Trojani
Date Posted: March 18, 2011290 downloads
What Drives Corporate Bond Risk Premia? Evidence from the CDS Market
Antonio Diaz ,
Jonatan Groba
and
Pedro Serrano
Date Posted: March 18, 2011
Cross-Section of Option Returns and Idiosyncratic Stock Volatility McCombs Research Paper Series No. FIN-15-09, AFA 2012 Chicago Meetings Paper
Jie Cao
and
Bing Han
Date Posted: March 17, 2011Last Revised: November 25, 20121380 downloads
Pricing and Integration of the CDX Tranches in the Financial Market
Dan Luo and
Andrew P. Carverhill
Date Posted: March 17, 201187 downloads
Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees AFA 2012 Chicago Meetings Paper
Bryan T. Kelly ,
Hanno N. Lustig and
Stijn Van Nieuwerburgh
Date Posted: March 17, 2011Last Revised: November 07, 2011107 downloads
Variance-Constrained Canonical Least-Squares Monte Carlo: An Accurate Method for Pricing American Options
Qiang Liu
Date Posted: March 16, 201195 downloads
An Asset Pricing Theory of Volatility Tail Behavior
Gurdip Bakshi ,
Dilip B. Madan and
George Panayotov
Date Posted: March 15, 2011135 downloads
Rollover Risk and Corporate Bond Spreads
Patricio Valenzuela
Date Posted: March 15, 2011115 downloads
The Extent of Informational Efficiency in the Credit Default Swap Market: Evidence from Post-Earnings Announcement Returns
Nicole Thorne Jenkins ,
Michael D. Kimbrough and
wang juan
affiliation not provided to SSRN
Date Posted: March 15, 2011Last Revised: July 14, 2011156 downloads
Variance Risk, Financial Intermediation, and the Cross-Section of Expected Option Returns CEPR Discussion Paper No. DP8268
Norman Schürhoff
and
Alexandre Ziegler
Date Posted: March 14, 20117 downloads
Central Clearing of Interest Rate Swaps: A Comparison of Offerings
Rama Cont ,
Radu Paul Mondescu and
Yuhua Yu
Date Posted: March 14, 2011965 downloads
Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR
Marco Bianchetti
and
Mattia Carlicchi
Date Posted: March 14, 2011Last Revised: April 03, 2012730 downloads
The Roles of Short-Run and Long-Run Volatility Factors in Options Market: A Term Structure Perspective
Yang-Ho Park
Date Posted: March 14, 201172 downloads
Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty
Hao Zhou
Date Posted: March 14, 2011Last Revised: September 29, 2012171 downloads
Convex Order Properties of Discrete Realized Variance and Applications to Variance Options
Martin Keller-Ressel
Date Posted: March 12, 201137 downloads
A Framework for Pricing and Risk Management of Loans with Embedded Options
Bernd Engelmann
Date Posted: March 09, 2011Last Revised: October 19, 2012147 downloads
Pricing Derivatives Analytically in a Heteroscedastic VAR Model with Jumps
Peter Vlaar
and
Liyi Lin
affiliation not provided to SSRN
Date Posted: March 09, 2011Last Revised: June 14, 201175 downloads
The Variance Risk Premium Around the World
Juan M. Londono
Date Posted: March 09, 2011108 downloads
Equity Options and Bond Options in the Leland Model
Gaia Barone
Date Posted: March 08, 2011Last Revised: February 14, 2012101 downloads
A Simple Formula to Calculate the Cost of Executive Stock Options
Ashay Kadam
,
Yan Li
and
Anand Srinivasan
Date Posted: March 07, 2011114 downloads
Funded Replication: Valuing with Stochastic Funding
Christian P. Fries
Date Posted: March 06, 2011Last Revised: April 14, 2011512 downloads
Stock-Options and Portfolio Management
Didier Maillard
Date Posted: March 05, 2011Last Revised: February 08, 201272 downloads
The Impact of Margin Interest on the Valuation of Credit Default Swaps Journal of Derivatives, Vol. 20, No. 1, 2012
Yu Hang (Gabriel) Kan and
Claus Pedersen
Date Posted: March 05, 2011Last Revised: November 14, 2012
Financial Contagion: A Local Correlation Analysis Research in International Business and Finance, Vol. 25, No. 1 pp. 11-25, 2011
A. Can Inci ,
Hsi-Cheng Li
and
Joseph McCarthy
affiliation not provided to SSRN
and
Bryant University
Date Posted: March 04, 2011
Measuring Flight to Quality: A Local Correlation Analysis Review of Accounting and Finance, Vol. 10, No. 1, pp. 69-87, 2011
A. Can Inci ,
Hsi-Cheng Li
and
Joseph McCarthy
affiliation not provided to SSRN
and
Bryant University
Date Posted: March 04, 2011
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
Tim Bollerslev ,
James Marrone
,
Lai Xu
and
Hao Zhou
Date Posted: March 04, 2011Last Revised: August 08, 2012705 downloads
Efficient Greek Estimation in Generic Swap-Rate Market Models Algorithmic Finance, Vol. 1, No. 1, 2011
Mark S. Joshi and
Chao Yang
Date Posted: March 02, 2011270 downloads
Heston 2010
Antoine Jacquier
and
Claude Martini
Date Posted: February 28, 2011Last Revised: March 07, 2011209 downloads
Portfolios of American Options Under General Preferences: Results and Counterexamples
Vicky Henderson ,
A. Elizabeth Whalley and
Jia Sun
Date Posted: February 28, 2011Last Revised: October 31, 201184 downloads
Option Bid-Ask Spread and Liquidity
Mo Chaudhury
Date Posted: February 27, 2011Last Revised: September 01, 2011122 downloads
Some Easy-to-Implement Methods of Calculating American Futures Option Prices Journal of Futures Markets Journal of Futures Markets, Vol. 15, No. 3, pp. 303-344, 1995
Mo Chaudhury
Date Posted: February 27, 201134 downloads
Accelerating Pathwise Greeks in the LIBOR Market Model
Mark S. Joshi and
Alexander Wiguna
affiliation not provided to SSRN
Date Posted: February 25, 2011Last Revised: August 01, 2011189 downloads
An Application of Risk Contingent Credit Applied to New York Dairy Farms with U.S. Options on Class III Milk Futures
Calum G. Turvey and
Cao Yu
Date Posted: February 25, 201129 downloads
Calibration and Monte Carlo Pricing of the SABR-Hull-White Model for Long-Maturity Equity Derivatives
Bin Chen
,
Lech A. Grzelak and
Cornelis W. Oosterlee
Date Posted: February 25, 2011276 downloads
Fast Trees for Options with Discrete Dividends
Nelson Areal and
Artur Rodrigues
Date Posted: February 24, 2011137 downloads
The Impact of Convertible Debt Financing on Investment Timing Economic Modelling, Vol. 29, No. 6, 2012
Kyoko Yagi and
Ryuta Takashima
Date Posted: February 24, 2011Last Revised: December 18, 2012
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