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JEL Code: G13
1,867,123 Total downloads
Showing Papers 951 - 1,000 of 4,953
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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, 2011800 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, 2011123 downloads
An External Habit Model Subject to Long Run Risk in Continuous Time: A Multi-Dimensional Asset Pricing Model
Yu Chen
,
Thomas F. Cosimano and
Alex A. Himonas
Date Posted: March 28, 201137 downloads
The Implied Volatility Term Structure of Stock Index Options Journal of Empirical Finance, Vol. 14, No. 3, 2007
Scott Mixon
Date Posted: March 28, 2011157 downloads
A Note on Delta Hedging in Markets with Jumps
Aleksandar Mijatovic
and
Mikhail Urusov
Date Posted: March 26, 201175 downloads
Weak Approximation of G-Expectations Swiss Finance Institute Research Paper No. 11-09
Marcel Nutz
,
Halil Mete Soner and
Yan Dolinsky
affiliation not provided to SSRN
,
ETH Zürich
and
ETH Zürich
Date Posted: March 26, 2011154 downloads
Inventory Announcements, Jump Dynamics and Volatility in U.S. Energy Futures Markets
C. Johan Bjursell ,
James E. Gentle
and
George H. K. Wang
Date Posted: March 25, 201169 downloads
Credit Ratings in Structured Finance and the Role of Systemic Risk Bank of Italy Temi di Discussione (Working Paper) No. 774
Roberto Violi
Date Posted: March 24, 2011136 downloads
Sovereign Credit Risk and Banking Crises
Manuel Mayer
Date Posted: March 23, 2011Last Revised: May 21, 2013204 downloads
A Critique of the Contingent Claims Approach to Sovereign Risk Analysis
Rahmi Erdem Aktug
and
Tolga Han Seyhan
affiliation not provided to SSRN
Date Posted: March 23, 2011Last Revised: April 08, 201296 downloads
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity AFA 2012 Chicago Meetings Paper
Gurdip Bakshi ,
George Panayotov
and
Georgios Skoulakis
Date Posted: March 22, 2011389 downloads
Discovering the Ecosystem of an Electronic Financial Market with a Dynamic Machine-Learning Method
Shawn Mankad
,
George Michailidis
and
Andrei A. Kirilenko
Date Posted: March 21, 2011Last Revised: November 10, 201282 downloads
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, 2012219 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, 2012261 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, 2012244 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, 2011190 downloads
In the Balance
Christoph Burgard
and
Mats Kjaer
Date Posted: March 19, 2011Last Revised: August 10, 2012777 downloads
Pairing Market Risk and Credit Risk
Isabel Figuerola-Ferretti and
Ioannis G. Paraskevopoulos
Date Posted: March 19, 201155 downloads
The Dynamics of Overpricing in Structured Products
Thomas Ruf
Date Posted: March 19, 2011Last Revised: November 21, 2011184 downloads
Costly External Finance, Liquidity Risk, and Default Risk
Jun Yang
Date Posted: March 18, 201189 downloads
Stock Options as Lotteries
Brian H. Boyer and
Keith Vorkink
Date Posted: March 18, 2011Last Revised: August 30, 2012413 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, 2012683 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, 20121397 downloads
Pricing and Integration of the CDX Tranches in the Financial Market
Dan Luo and
Andrew P. Carverhill
Date Posted: March 17, 201191 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, 2011109 downloads
Variance-Constrained Canonical Least-Squares Monte Carlo: An Accurate Method for Pricing American Options
Qiang Liu
Date Posted: March 16, 201196 downloads
An Asset Pricing Theory of Volatility Tail Behavior
Gurdip Bakshi ,
Dilip B. Madan and
George Panayotov
Date Posted: March 15, 2011136 downloads
Rollover Risk and Corporate Bond Spreads
Patricio Valenzuela
Date Posted: March 15, 2011117 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, 2011160 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, 2011989 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, 2012745 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, 2012175 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, 2012152 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, 201178 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, 2012108 downloads
A Simple Formula to Calculate the Cost of Executive Stock Options
Ashay Kadam
,
Yan Li
and
Anand Srinivasan
Date Posted: March 07, 2011116 downloads
Funded Replication: Valuing with Stochastic Funding
Christian P. Fries
Date Posted: March 06, 2011Last Revised: April 14, 2011526 downloads
Stock-Options and Portfolio Management
Didier Maillard
Date Posted: March 05, 2011Last Revised: February 08, 201276 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
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