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SSRN eLibrary Search Results
JEL Code: C60
167,116 Total downloads
Showing Papers 1 - 50 of 720
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Incl. Electronic Paper Uniform Integrability of a Single Jump Local Martingale with State-Dependent Characteristics
Swiss Finance Institute Research Paper No. 17-21
Michael Schatz and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: June 23, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Pricing Variance, Gamma and Corridor Swaps Using Multinomial Trees
Honglei Zhao, Zhe Zhao, Rupak Chatterjee, Thomas Monza Lonon and Ionut Florescu
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Date Posted: May 18, 2017
Last Revised: May 23, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Modelos Económicos Básicos y Simulaciones en MATLAB (Basic Economic Models and Simulations with MATLAB)
Documento de Trabajo Omega Beta Gamma No. 16-2015
Alfonso Ayala
Universidad Nacional Mayor de San Marcos
Date Posted: May 17, 2017
Working Paper Series
18 downloads

Stochastic Revealed Preferences with Measurement Error: Testing for Exponential Discounting in Survey Data
Victor Aguiar and Nail Kashaev
Western University (University of Western Ontario) and University of Western Ontario
Date Posted: May 16, 2017
Working Paper Series

Incl. Electronic Paper The Practical Application of the Investment Management Methodology in U. S. Patent 7251627 B1: A Method of Identifying a Universe of Stocks for Inclusion into an Investment Portfolio
Laurie Thomas Vass
The Private Capital Market
Date Posted: May 03, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Population Monotonicity in Newsvendor Games
Xin Chen, Xiangyu Gao, Zhenyu Hu and Qiong Wang
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign, National University of Singapore (NUS) - Department of Decision Sciences and University of Illinois at Urbana-Champaign
Date Posted: May 02, 2017
Working Paper Series
39 downloads

Incl. Electronic Paper Alternative Risk Premia: What Do We Know?
Thierry Roncalli
Amundi Asset Management
Date Posted: April 29, 2017
Working Paper Series
187 downloads

Incl. Electronic Paper Coherent Preferences and Price Reference Point Jumps in Stock Market
Leilei Shi, Boris Podobnik and Andrea Fenu
Bank of China International (China) Co. Ltd--Beijing Business (Brokerage) Branch, Boston University and Boston University
Date Posted: April 20, 2017
Last Revised: April 27, 2017
Working Paper Series
36 downloads

Incl. Electronic Paper A Meditation on Intangibility: The Input Value Problem of Patent Valuation
Brian Burke
American University, Washington College of Law, Students
Date Posted: April 11, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Pólya-Based Approximation for the ATM-Forward Implied Volatility
Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch College, Baruch College, City University of New York and Baruch College, City University of New York
Date Posted: April 05, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper A Simple Framework for Climate-Change Policy Under Model Uncertainty
FEEM Working Paper No. 13.2017
Stergios Athanasoglou, Valentina Bosetti and Laurent Drouet
Università degli Studi di Milano-Bicocca - Department of Economics, Management & Statistics, Fondazione Eni Enrico Mattei (FEEM) and Fondazione Eni Enrico Mattei (FEEM)
Date Posted: April 04, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper The Short-Time Behaviour of VIX Implied Volatilities in a Multifactor Stochastic Volatility Framework
Andrea Barletta, Elisa Nicolato and Stefano Pagliarani
Department of Economics and Business Economics - Aarhus BSS, University of Aarhus - Department of Theoretical Statistics and DEAMS, Università di Trieste
Date Posted: March 30, 2017
Last Revised: April 21, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Yogurts Choose Consumers? Identification of Random Utility Models via Two-Sided Matching
Odran Bonnet Sr., Alfred Galichon and Matthew Shum
Sciences Po, NYU, Department of Economics and Courant Institute and California Institute of Technology
Date Posted: March 09, 2017
Working Paper Series
47 downloads

Incl. Electronic Paper Prime-Partitioned Block Chain: A Scalable and Efficient Block Chain Implementation
Gerardo Ballabio
Independent
Date Posted: March 06, 2017
Working Paper Series
79 downloads

Incl. Electronic Paper Orthogonal Expansions for VIX Options Under Affine Jump Diffusions
Andrea Barletta and Elisa Nicolato
Department of Economics and Business Economics - Aarhus BSS and Aarhus University - Department of Business and Economics
Date Posted: February 24, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Preference Conditions for Invertible Demand Functions
Theodoros Diasakos and Georgios Gerasimou
University of Stirling - Department of Economics and University of St Andrews
Date Posted: February 23, 2017
Last Revised: April 28, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Simple Explanation of Zipf's Mystery via New Rank-Share Distribution, Derived from Combinatorics of the Ranking Process
Alexandra Elizabeth Shyklo
Independent
Date Posted: February 21, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper Estimating Unbiassed Expected Loss, with Application to Consumer Credit
Anthony Bellotti
Imperial College London
Date Posted: February 13, 2017
Working Paper Series
97 downloads

Incl. Electronic Paper Legal Protections for Personal Health Information in the Age of Big Data – A Proposal for Regulatory Framework
(2017) Ethics, Public Health and Medicine/Éthique, Médecine et Politiques Publiques vol 4,
Danuta Mendelson and David Mendelson
Deakin University, Geelong, Australia - Deakin Law School and SYPAQ Systems Pty Ltd
Date Posted: February 13, 2017
Accepted Paper Series
63 downloads

Incl. Electronic Paper Optimal Social Insurance and Health Inequality
CEGE Number 302 – February 2017,
Volker Grossmann and Holger Strulik
University of Fribourg - Faculty of Economics and Social Science and University of Goettingen (Gottingen) - School of Law, Economics, Social Sciences
Date Posted: February 08, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper An Explicit Implied Volatility Formula
Dan Stefanica and Rados Radoicic
Baruch College, City University of New York and Baruch College, City University of New York
Date Posted: February 01, 2017
Working Paper Series
394 downloads

Incl. Electronic Paper Uncertainty Quantification and Global Sensitivity Analysis for Economic Models
CER-ETH - Center of Economic Research at ETH Zurich, Working Paper 17/265, January 2017
Daniel Harenberg, Stefano Marelli, Bruno Sudret and Viktor Winschel
ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich, ETH Zurich - Chair of Risk, Safety and Uncertainty Quantification, ETH Zurich and ETH Zürich
Date Posted: January 31, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Uncertainty Quantification and Global Sensitivity Analysis for Economic Models
Daniel Harenberg, Stefano Marelli, Bruno Sudret and Viktor Winschel
ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich, ETH Zurich - Chair of Risk, Safety and Uncertainty Quantification, ETH Zurich and ETH Zürich
Date Posted: January 25, 2017
Last Revised: April 07, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper Heterogeneous T-Copula Implementation in a Credit Portfolio Model
Carsten Binnenhei and Ludger Overbeck
DGZ-DekaBank and University of Giessen
Date Posted: January 20, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper Unbiased Estimation of Risk
Marcin Pitera and Thorsten Schmidt
Jagiellonian University in Krakow - Department of Mathematics and University of Freiburg
Date Posted: December 27, 2016
Last Revised: December 28, 2016
Working Paper Series
53 downloads

Incl. Electronic Paper The Role of Liquidity in Electricity Markets
Jakob Krause
Martin Luther Universitat Halle Wittenberg
Date Posted: December 22, 2016
Last Revised: February 15, 2017
Working Paper Series
45 downloads

Incl. Electronic Paper Banking Industry Dynamics and Size-Dependent Capital Regulation
BIS Working Paper No. 599
Tirupam Goel
Bank for International Settlements (BIS)
Date Posted: December 22, 2016
Working Paper Series
20 downloads

Incl. Electronic Paper Pareto-Optimal Reinsurance Arrangements Under General Model Settings
Jun Cai, Haiyan Liu and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Date Posted: December 21, 2016
Working Paper Series
55 downloads

Incl. Electronic Paper Sustainable Transmission Planning in Imperfectly Competitive Electricity Industries: Balancing Economic and Environmental Outcomes
Afzal Siddiqui, Makoto Tanaka and Yihsu Chen
University College London - Department of Statistical Science, National Graduate Institute for Policy Studies (GRIPS) and University of California, Santa Cruz, Department of Technology Management
Date Posted: December 16, 2016
Last Revised: May 16, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Grey Model for Evaluation and Analysis of Competitiveness in the Packaging and Testing Industry
International Journal of Management, Economics and Social Sciences, Vol 5(3), 2016
Chong-Rong Huang and Kuo-Wei Lin
Hsuan Chuang University and Hsuan Chuang University
Date Posted: November 17, 2016
Accepted Paper Series
12 downloads

Incl. Electronic Paper The Impact of Bunker Risk Management on CO2 Emissions in Maritime Transportation Under ECA Regulation
NHH Dept. of Business and Management Science Discussion Paper No. 2016/17
Yewen Gu, Stein W. Wallace and Xin Wang
Norwegian School of Economics (NHH) - Department of Business and Management Science, Norwegian School of Economics (NHH) - Department of Business and Management Science and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Date Posted: November 17, 2016
Working Paper Series
28 downloads

Incl. Electronic Paper Intrinsic Risk Measures
Swiss Finance Institute Research Paper No. 16-65
Walter Farkas and Alexander Smirnow
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: November 09, 2016
Last Revised: November 18, 2016
Working Paper Series
167 downloads

Incl. Electronic Paper The Challenge of Teaching and Learning Statistics in Tertiary Education
Istraživanje Matematičkog Obrazovanja (IMO), Vol. 8(15), p. 17-26, 2016,
Selman Repišti
Independent
Date Posted: November 08, 2016
Accepted Paper Series
8 downloads

Incl. Electronic Paper Optimal Design of Process Flexibility for General Production Systems
Xi Chen, Tengyu Ma, Jiawei Zhang and Yuan Zhou
New York University (NYU) - Leonard N. Stern School of Business, Princeton University, New York University (NYU) - Department of Information, Operations, and Management Sciences and Indiana University at Bloomington
Date Posted: October 24, 2016
Working Paper Series
116 downloads

Incl. Electronic Paper Interbank Clearing in Financial Networks with Multiple Maturities
Michael Kusnetsov and Luitgard A. M. Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Date Posted: October 19, 2016
Working Paper Series
77 downloads

Incl. Electronic Paper Gesture, Speech, Drawing and Writing: CAD and the Architectural Design Process
Proceedings of the Nordic Association of Architectural Research Annual Symposium, pp. 168-175, 2006
Wendy Gunn
KU LEUVEN
Date Posted: October 09, 2016
Accepted Paper Series
9 downloads

Incl. Electronic Paper Part B: Evaluating Concordance Measures via a Tensor Approximation of Generalized Correlated Diffusions
Antonio Dalessandro and Gareth William Peters
University College London and University College London - Department of Statistical Science
Date Posted: October 03, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia
Benjamin Bruder, Nazar Kostyuchyk and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Date Posted: September 23, 2016
Working Paper Series
492 downloads

Incl. Electronic Paper Hedging Futures Options with Stochastic Interest Rates
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Date Posted: September 20, 2016
Working Paper Series
53 downloads

Incl. Electronic Paper Empirical Hedging Performance on Long-Dated Crude Oil Derivatives
FIRN Research Paper
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Date Posted: September 20, 2016
Working Paper Series
103 downloads

A Model Illustrating Multiple Interest Rate Analysis (MIRA)
Wolfram Demonstrations Project, (2015)
Michael Osborne and Edward J O'Reilly
University of Sussex and Independent
Date Posted: September 15, 2016
Accepted Paper Series

Incl. Electronic Paper Pricing Wind: A Revenue Adequate, Cost Recovering Uniform Price for Electricity Markets with Intermittent Generation
NHH Dept. of Business and Management Science Discussion Paper No. 2016/15
Golbon Zakeri, Geoff Pritchard, Mette Helene Bjorndal and Endre Bjorndal
University of Auckland, University of Auckland, Norwegian School of Economics (NHH) - Department of Business and Management Science and Norwegian School of Economics (NHH) - Department of Business and Management Science
Date Posted: September 12, 2016
Working Paper Series
32 downloads

Incl. Electronic Paper The Risk Parity Principle Applied on a Corporate Bond Index Using Duration Times Spread
Lauren Stagnol
Université Paris Ouest - Nanterre, La Défense - EconomiX
Date Posted: September 10, 2016
Working Paper Series
78 downloads

Incl. Electronic Paper Tractable Robust Drawdown Management
Alexey Medvedev
Lombard Odier & Cie
Date Posted: September 08, 2016
Last Revised: September 21, 2016
Working Paper Series
203 downloads

Incl. Electronic Paper Pricing of Defaultable Claims in a Semimartingale Setting
Silke Prohl
Princeton University
Date Posted: September 07, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Valuation of Credit Derivatives Portfolio
Silke Prohl
Princeton University
Date Posted: September 07, 2016
Working Paper Series
41 downloads

Incl. Electronic Paper Exploring the Community Structure of Complex Networks
FEEM Working Paper No. 57.2016
Carlo Drago
University of Rome "Niccolò Cusano"
Date Posted: September 03, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper Proof-of-Sovereignty (PoSv) As a Method to Achieve Distributed Consensus in Crypto-Currency Networks
Kartik Hegadekatti and Yatish S G
Government of India, Ministry of Railways and Government of India, Ministry of Railways
Date Posted: September 02, 2016
Last Revised: September 24, 2016
Working Paper Series
40 downloads

Incl. Electronic Paper Random Categorization and Bounded Rationality
Victor Aguiar
Western University (University of Western Ontario)
Date Posted: August 28, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper A Note on the IRR of a Project with Many Potential Outcomes
Michael Osborne
University of Sussex
Date Posted: August 27, 2016
Last Revised: September 24, 2016
Working Paper Series
34 downloads


 

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