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Review of Derivatives Research

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Viewing: 1 - 44 of 44 papers

1.

Corporate Governance and Hedge Fund Activism

Review of Derivatives Research, Vol. 14, No. 2, 2011
Number of pages: 45 Posted: 21 Mar 2008 Last Revised: 04 Dec 2012
Accepted Paper Series
Northeastern University - D’Amore-McKim School of Business and Northeastern University, D’Amore-McKim School of Business, Finance Area
Downloads 1,920
2.

The Bias in Black-Scholes/Black Implied Volatility: An Analysis of Equity and Energy Markets

Review of Derivatives Research, Vol. 8, No. 3, 2005
Number of pages: 34 Posted: 08 Dec 2004 Last Revised: 07 Nov 2014
Working Paper Series
Implied Capital Advisors and University of Texas at Austin - Department of Finance
Downloads 1,360
3.

Local Volatility of Volatility for the VIX Market

Review of Derivatives Research, 16(3), 267-293, (2013)
Number of pages: 27 Posted: 11 Dec 2011 Last Revised: 09 Oct 2013
Accepted Paper Series
Institute of Banking and Finance, University of Zürich and University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
Downloads 764
4.

A Call on Art Investments

Review of Derivatives Research, Vol. 15, No. 1, 2012.
Number of pages: 30 Posted: 17 Nov 2008 Last Revised: 20 Mar 2012
Accepted Paper Series
Luxembourg School of Finance and affiliation not provided to SSRN
Downloads 718
5.

On the Robustness of Least - Squares Monte Carlo (LSM) for Pricing American Derivatives

Review of Derivatives Research, Vol. 6, No. 2, 2003
Number of pages: 41 Posted: 20 Nov 2007 Last Revised: 07 Dec 2007
Accepted Paper Series
University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 558
6.

Option Market Making Under Inventory Risk

Review of Derivatives Research, Vol. 12, No. 1, 2009
Number of pages: 28 Posted: 01 Jul 2009
Accepted Paper Series
Cornell Financial Engineering Manhattan and University of Cincinnati - Department of Finance - Real Estate
Downloads 550
7.

On the Information in the Interest Rate Term Structure and Option Prices

Review of Derivatives Research, Vol. 7, No. 2, 2004
Number of pages: 40 Posted: 28 Feb 2002 Last Revised: 08 May 2011
Accepted Paper Series
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Maastricht University
Downloads 519
8.

Efficient Option Replication in the Presence of Transaction Costs

Review of Derivatives Research
Number of pages: 31 Posted: 28 Nov 2000
Accepted Paper Series
EDHEC Business School
Downloads 504
9.

A Comparison of Single-Factor Markov-Functional and Multi-Factor Market Models

Review of Derivatives Research, Vol. 13, No. 3, 2010
Number of pages: 27 Posted: 29 Jun 2004 Last Revised: 07 May 2011
Accepted Paper Series
Erasmus Research Institute of Management (ERIM) and Maastricht University
Downloads 492
10.

Parametric Modeling of Implied Smile Functions: A Generalized SVI Model

Review of Derivatives Research, Forthcoming
Number of pages: 30 Posted: 12 May 2012
Accepted Paper Series
City University London - Sir John Cass Business School and University of Warwick - Financial Options Research Centre (FORC)
Downloads 373
11.

A Forward Started Jump-Diffusion Model and Pricing of Cliquet Style Exotics

Review of Derivatives Research, Vol. 13, No. 2, 2010
Number of pages: 17 Posted: 04 Apr 2009 Last Revised: 21 Dec 2010
Accepted Paper Series
Institute of Banking and Finance, University of Zürich
Downloads 367
12.

The Equity Premium and The Volatility Spread: The Role of Risk-Neutral Skewness

Review of Derivatives Research, Forthcoming, EFA 2009 Bergen Meetings Paper
Number of pages: 54 Posted: 17 Nov 2008 Last Revised: 17 Dec 2016
Accepted Paper Series
Bank of Canada, Bank of Canada and ESSEC Business School
Downloads 353
13.

Market Making and Risk Management in Options Markets

Review of Derivatives Research, Vol. 18, No. 1, 2015
Number of pages: 46 Posted: 01 Apr 2015
Accepted Paper Series
West Virginia University
Downloads 248
14.

The Role of Hedge Funds as Primary Lenders

Review of Derivatives Research, Forthcoming
Number of pages: 27 Posted: 29 Apr 2010 Last Revised: 24 Jan 2011
Accepted Paper Series
Georgia State University and West Virginia University
Downloads 224
15.

The Cost of Operational Risk Loss Insurance

Review of Derivatives Research, Vol. 13, No. 3, 2010, Johnson School Research Paper Series No. 19-2011
Number of pages: 27 Posted: 07 Feb 2011 Last Revised: 27 Mar 2011
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of St. Thomas and CUNY Baruch College - Zicklin School of Business
Downloads 211
16.

Pricing Average Options Under Time-Changed Levy Processes

Review of Derivatives Research, Vol. 17, No. 1, 2014
Number of pages: 31 Posted: 06 Apr 2011 Last Revised: 17 Mar 2014
Accepted Paper Series
Hosei University - Graduate School of Business Administration
Downloads 202
17.

Manager Fee Contracts and Managerial Incentives

Review of Derivatives Research, Forthcoming
Number of pages: 44 Posted: 05 Apr 2010
Accepted Paper Series
University of Massachusetts, Amherst - Isenberg School of Management
Downloads 157
18.

Do CDS Spreads Move with Commonality in Liquidity?

Review of Derivatives Research, Forthcoming
Number of pages: 47 Posted: 09 Apr 2015
Accepted Paper Series
Ruhr Universität Bochum, University of Dortmund - Department of Business and University of Leipzig - Faculty of Economics and Management Science
Downloads 64
19.

A General Framework for the Derivation of Asset Price Bounds: An Application to Stochastic Volatility Option Models

Review of Derivatives Research, Vol. 12, pp. 81-107, 2009
Number of pages: 29 Posted: 14 Oct 2011 Last Revised: 06 Apr 2015
Working Paper Series
University of Illinois at Chicago - Department of Finance and Stockholm University - Stockholm Business School
Downloads 63
20.

Leverage, Options Liabilities, and Corporate Bond Pricing

Review of Derivatives Research, Vol. 11, No. 3, 2008
Number of pages: 37 Posted: 07 Feb 2011
Accepted Paper Series
National Central University at Taiwan and CUNY Baruch College - Zicklin School of Business
Downloads 62
21.

Is the Information Obtained from European Options on Equally Weighted Baskets Enough to Determine the Prices of Exotic Derivatives Such as Worst of Options?

Review of Derivatives Research, Forthcoming
Number of pages: 17 Posted: 26 Dec 2014 Last Revised: 19 Sep 2015
Accepted Paper Series
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 57
22.

Single Name Credit Default Swaptions Meet Single Sided Jump Models

Review of Derivatives Research, Vol. 11, No. 1, 2008
Number of pages: 18 Posted: 22 Jun 2010
Accepted Paper Series
European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM) and KU Leuven - Department of Mathematics
Downloads 56
23.

The Determinants of CDS Spreads: Evidence from the Model Space

Review of Derivatives Research, Forthcoming
Number of pages: 70 Posted: 02 Jul 2016 Last Revised: 13 Jun 2017
Accepted Paper Series
Leuphana University Lueneburg and Deutsche Bundesbank

Multiple version iconThere are 2 versions of this paper

Downloads 41
25.

American Bond Option Pricing in One-Factor Dynamic Term Structure Models

Review of Derivatives Research, Vol. 1, No. 3, 1996
Posted: 20 Dec 2012
Accepted Paper Series
University of Aarhus - Business and Social Sciences
26.

An Alternative Approach to the Valuation of American Options and Applications

REVIEW OF DERIVATIVES RESEARCH, Vol. 1 No. 1
Posted: 18 Nov 1999
Accepted Paper Series
Sungkyunkwan University and Goldman Sachs Group, Inc.
27.

An Analytical Approach for Systematic Risk Sensitivity of Structured Finance Products

Review of Derivatives Research 17, 2014, 1-37
Posted: 30 Oct 2013 Last Revised: 15 Nov 2015
Accepted Paper Series
Leibniz Universität Hannover, Leibniz Universität Hannover and University of Regensburg
28.

An Extended Set of Risk Neutral Valuation Relationships for the Pricing of Contingent Claims

Review of Derivatives Research, Vol. 3, No. 1, 1999
Posted: 03 Sep 2008
Accepted Paper Series
Oklahoma State University, Stillwater - College of Business Administration
29.

Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison

Review of Derivatives Research, Vol. 13, No. 1, pp. 75-99, 2010
Posted: 15 Mar 2010
Accepted Paper Series
Bloomberg LP

Multiple version iconThere are 2 versions of this paper

30.

Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models

Review of Derivatives Research, Vol. 17, 2014
Posted: 19 Feb 2009 Last Revised: 20 Nov 2015
Accepted Paper Series
Deutsche Bundesbank and Karlsruhe Institute of Technology (KIT) - Institute for Finance

Multiple version iconThere are 2 versions of this paper

31.

Hedging With Derivatives & Performance Evaluation

Journal of Derivatives, Forthcoming, Review of Derivatives Research, Forthcoming
Posted: 12 Jul 2006
Accepted Paper Series
Amity International Business School
32.

Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach

Review of Derivatives Research, Vol. 3, Pp. 5-66, 1999
Posted: 18 Apr 2000
Accepted Paper Series
ISCTE Business School, Lacima and University of Warwick - Financial Options Research Centre (FORC)
33.

Lean Trees - A General Approach for Improving Performance of Lattice Models for Option Pricing

Review of Derivatives Research Vol. 7, pp. 53-72, 2004
Posted: 13 May 2004
Accepted Paper Series
University of Hagen and University of Augsburg

Multiple version iconThere are 2 versions of this paper

34.

Liquidity and CDS Premiums on European Companies Around the Subprime Crisis

Review of Derivatives Research, Vol. 15, No. 3, 2012
Posted: 23 Jan 2016
Accepted Paper Series
Independent, Financial Services and Markets Authority (FSMA) and Louvain School of Management (UCL)
35.

On Improving the Least Squares Monte Carlo Option Valuation Method

Review of Derivatives Research, Forthcoming
Posted: 05 Feb 2008 Last Revised: 26 Oct 2008
Working Paper Series
University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho
36.

On Pricing Kernels and Finite State Variable Heath Jarrow Morton Models

REVIEW OF DERIVATIVES RESEARCH, Vol. 1 No. 1
Posted: 12 May 2000
Accepted Paper Series
University of Illinois, Case Western Reserve University - Department of Banking & Finance and affiliation not provided to SSRN
37.

Option Prices Under Generalized Pricing Kernels

Review of Derivatives Research, Vol. 8, No. 2, pp. 97-123, 2005
Posted: 08 May 2006
Accepted Paper Series
University of Sussex - School of Mathematical and Physical Sciences and Centre for European Economic Research (ZEW)
38.

Options With Constant Underlying Elasticity in Strikes

Review of Derivatives Research, Vol. 8, No. 2, 2005
Posted: 28 Dec 2014
Accepted Paper Series
University of North Carolina (UNC) at Charlotte - Department of Finance & Business Law and University of North Carolina (UNC) at Charlotte
39.

Price Discovery, Causality and Forecasting in the Freight Futures Market

Review of Derivatives Research, Vol. 6, No. 3, 2003, 203 -230
Posted: 07 Feb 2014
Accepted Paper Series
Athens University of Economics and Business - Department of Accounting and Finance and Cass Business School, City University London

Multiple version iconThere are 2 versions of this paper

40.

Pricing of Swaps with Default Risk

Review of Derivatives Research, Vol. 2, 1998
Posted: 12 Oct 2002
Accepted Paper Series
University of Michigan - Stephen M. Ross School of Business
41.

Stochastic Dividend Yield and Derivatives Pricing in Complete Markets

Review of Derivatives Research, Forthcoming
Posted: 01 Aug 2006
Accepted Paper Series
EDHEC Business School
42.

The Dynamics of the S&P 500 Implied Volatility Surface

Review of Derivatives Research, Vol. 3, No. 3, 1999
Posted: 27 Mar 2000
Accepted Paper Series
University of Piraeus, University of Warwick - Financial Options Research Centre (FORC) and Lacima
43.

The Unbiasdness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests

Review of Derivatives Research, Vol. 7, No. 3, 2004, pp 241-266
Posted: 12 Feb 2014
Accepted Paper Series
Independent, Hull University Business School (HUBS) and Athens University of Economics and Business - Department of Accounting and Finance
44.

The Valuation and Behavior of Black-Scholes Options Subject to Intertemporal Default Risk

REVIEW OF DERIVATIVES RESEARCH, Vol. 1 No. 1
Posted: 03 May 2000
Accepted Paper Series
affiliation not provided to SSRN