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Derivatives eJournal
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Incl. Electronic Paper India's Agricultural Commodity Futures Market Ecosystem: An Overview
Velmurugan Palanipappa Shanmugan and Paul W Armah
Pondicherry University - Department of Commerce and Independent
Date Posted: May 27, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper The Relative Efficiency and Volatility of Indian Agricultural Commodity Futures Markets
Velmurugan Palanipappa Shanmugan and Paul W Armah
Pondicherry University - Department of Commerce and Independent
Date Posted: May 27, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper A New Look at the Efficiency & Volatility of Indian Agricultural Commodity Futures Markets
Velmurugan Palanipappa Shanmugan and Paul W Armah
Pondicherry University - Department of Commerce and Independent
Date Posted: May 27, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper A Revised Approach to Cir Short-Term Interest Rates Model
Giuseppe Orlando, Rosa Maria Mininni and Michele Bufalo
University of Bari - Department of Economics and Mathematical Methods, Independent and La Sapienza University of Rome
Date Posted: May 27, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Dynamic Spillover Effects across Petroleum Spot and Futures Volatilities, Trading Volume and Open Interest
Georgios Magkonis and Dimitris A. Tsouknidis
University of Bradford and Cyprus University of Technology
Date Posted: May 26, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Impact of U.S Financial Market Deregulation on Commodity Derivatives Market: An Overview
Velmurugan Palanipappa Shanmugan and Paul W Armah
Pondicherry University - Department of Commerce and Independent
Date Posted: May 26, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Volatility Spillovers between Spot and Futures Markets: An Empirical Study on U.S. Agricultural Commodities
Velmurugan Palanipappa Shanmugan and Paul W Armah
Pondicherry University - Department of Commerce and Independent
Date Posted: May 26, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Agricultural Commodity Price Hikes Since 2006: Empirical Study on Efficiency of U.S. Futures Market
Velmurugan Palanipappa Shanmugan and Paul W Armah
Pondicherry University - Department of Commerce and Independent
Date Posted: May 26, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Impact of Commodity Index Investments on Agricultural Commodity Price Increases Over 2006-2011 Period
Velmurugan Palanipappa Shanmugan and Paul W Armah
Pondicherry University - Department of Commerce and Independent
Date Posted: May 26, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
FIRN Research Paper
Mesias Alfeus, Martino Grasselli and Erik Schlogl
UTS Business School/Finance Discipline group, University of Padova - Department of Mathematics and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Date Posted: May 25, 2017
Working Paper Series
9 downloads

Incl. Fee Electronic Paper Distortionary Effect of Trading Activity in Nymex Crude Oil Futures Market: Post Crisis
OPEC Energy Review, Vol. 41, Issue 1, pp. 23-44, 2017
Mohammad Amin Naderian and Afshin Javan
Ministry of Petroleum and Allameh Tabatabaei University - Faculty of Economics
Date Posted: May 25, 2017
Accepted Paper Series

Incl. Electronic Paper Manipulation in the VIX?
John M. Griffin and Amin Shams
University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Date Posted: May 24, 2017
Working Paper Series
1690 downloads

Incl. Electronic Paper Determinants of Price Discovery in the VIX Futures Market
Journal of Empirical Finance, Forthcoming
Yu-Lun Chen and Wei-Che Tsai
Chung Yuan Christian University - Department of Finance and National Sun Yat-sen University - Department of Finance
Date Posted: May 23, 2017
Accepted Paper Series
39 downloads

Incl. Electronic Paper Returns Signal Momentum
Fotis Papailias, Jiadong Liu and Dimitrios D. Thomakos
quantf research, Queen's Management School and University of Peloponnese - School of Management and Economics
Date Posted: May 22, 2017
Working Paper Series
155 downloads

Incl. Electronic Paper The Extended SSVI Volatility Surface
Sebas Hendriks and Claude Martini
Delft University of Technology and Zeliade Systems
Date Posted: May 22, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Structuring the Nebulous Derivative Souk in India - A Bid to Ascertain National Multi Derivative Exchange
Taxmann's SEBI and Corporate Laws, 2009 SCL vol 90 at 107 (co-authored)
Dr. Vijay Kumar Singh, Mayank Mishra and Ruchi Mehta
Associate Professor & Head, School of Corporate Law, Independent and Independent
Date Posted: May 22, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper The Information Content of the Term Structure of Risk-Neutral Skewness
Paul Borochin, Hao Chang and Yangru Wu
University of Connecticut - School of Business, Rutgers, The State University of New Jersey - Rutgers Business School and Rutgers University, Newark - School of Business - Department of Finance & Economics
Date Posted: May 20, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper Adjusting Option Pricing Models for Informative Starting Points
Hammad Siddiqi
University of Queensland
Date Posted: May 20, 2017
Last Revised: May 22, 2017
Working Paper Series
15 downloads

Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps
Ioannis Kyriakou, Panos K. Pouliasis, Nikos C. Papapostolou and Kostas D. Andriosopoulos
City University London - Sir John Cass Business School, Sir John Cass Business School, Cass Business School, City, University of London and ESCP Europe Business School
Date Posted: May 20, 2017
Working Paper Series

Incl. Electronic Paper Distributed Calibration of Option Pricing Models with Multiple Contracts Written on Different Underlying Assets
Juho Kanniainen and Marko Koskinen
Tampere University of Technology and Techila Technologies Ltd
Date Posted: May 19, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Currency Target Zones as Mirrored Options
Sandro Claudio Lera, Matthias Leiss and Didier Sornette
ETH Zurich, ETH Zurich and Swiss Finance Institute
Date Posted: May 18, 2017
Working Paper Series
18 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
13 downloads

Incl. Electronic Paper Gaussian Quadrature Method for Pricing American and Exotic Options in a Jump-Diffusion Process
Pei-Shih Weng and Wei-Che Tsai
National Dong Hwa University and National Sun Yat-sen University - Department of Finance
Date Posted: May 18, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Long-Dated Swaption Volatility Approximation in the Forward-LIBOR Model
Jacques van Appel, Thomas A McWalter and Johan de Kock
University of Johannesburg, University of Cape Town (UCT) and Libfin, Liberty Life
Date Posted: May 17, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion
Renato Faccini, Eirini Konstantinidi, George S. Skiadopoulos and Sylvia Sarantopoulou-Chiourea
Queen Mary, University of London, University of Manchester - Manchester Business School, University of Piraeus and University of Piraeus
Date Posted: May 17, 2017
Working Paper Series
46 downloads

Incl. Electronic Paper VIX Futures Calendar Spreads
Ai Jun Hou and Lars L. Norden
Stockholm University, Business School and Stockholm University - Stockholm Business School
Date Posted: May 16, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Parameter Estimation from Overlapping Observations
Michael A. Clayton
Michael A. Clayton Consulting, Inc.
Date Posted: May 16, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Arbitrage and Its Physical Limits
Louis H. Ederington, Chitru S. Fernando, Kateryna V. Holland and Scott C. Linn
University of Oklahoma - Division of Finance, University of Oklahoma - Michael F. Price College of Business, Purdue University - Division of Finance and University of Oklahoma - Michael F. Price College of Business
Date Posted: May 15, 2017
Last Revised: May 17, 2017
Working Paper Series
69 downloads

Incl. Electronic Paper Random Geometric Analysis in the Stochastic Volatility: Financial Markets States Degeneracy
Analysis and Computations Journal, Forthcoming
Siyabonga Goodwill Chule
Mathematical Sciences (MS) centre, the African Institute for MS
Date Posted: May 15, 2017
Last Revised: May 22, 2017
Accepted Paper Series
23 downloads

Incl. Electronic Paper Dynamics of the Expectation and Risk Premium in the OIS Term Structure
Suresh M. Sundaresan, Zhenyu Wang and Wei Yang
Columbia Business School - Finance and Economics, Indiana University, Kelley School of Business and Indiana University - Kelley School of Business - Department of Finance
Date Posted: May 15, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Single Simulation Lower Bounds for Bermudan Derivatives
Xiang Cheng and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: May 13, 2017
Working Paper Series
70 downloads

Incl. Electronic Paper Numerical Methods for Valuing Advanced Option Contracts
Dimitrios V. Siskos
ThinkingFinance
Date Posted: May 13, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Even-Keeled Moments of Doubt
James Ming Chen
Michigan State University - College of Law
Date Posted: May 13, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Financial Convergence on Emerging Markets: The Case of CEE Countries
Bank i Kredyt 48(2), 2017, 149-172
Michał Fronc and Piotr Mielus
Warsaw School of Economics (SGH) and Warsaw School of Economics (SGH)
Date Posted: May 11, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper Investing for the Long Run
Dietmar Leisen and Eckhard Platen
University of Mainz - Department of Banking and University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: May 11, 2017
Working Paper Series
68 downloads

Incl. Electronic Paper LSM Reloaded - Differentiate xVA on your iPad Mini
Brian Norsk Huge and Antoine Savine
Danske Bank and Danske Bank
Date Posted: May 10, 2017
Last Revised: May 25, 2017
Working Paper Series
93 downloads

Incl. Electronic Paper Multivariate Volatility Modeling of Electricity Futures: Online Appendix
Luc Bauwens, Christian M. Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain - Institute of Statistics and HEC - University of Lausanne
Date Posted: May 10, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Multivariate Volatility Modeling of Electricity Futures
Journal of Applied Econometrics, 28/5, 743-761, 2013
Luc Bauwens, Christian M. Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain - Institute of Statistics and HEC - University of Lausanne
Date Posted: May 09, 2017
Accepted Paper Series
7 downloads

Incl. Electronic Paper Accounting Quality, Information Risk and the Term Structure of Implied Volatility around Earnings Announcements
Research in International Business and Finance, Forthcoming
Seraina C. Anagnostopoulou and Andrianos E. Tsekrekos
ESCP Europe and Athens University of Economics and Business - Department of Accounting and Finance
Date Posted: May 09, 2017
Accepted Paper Series
65 downloads

Incl. Electronic Paper Unspanned Stochastic Volatility in the Multi-Factor CIR Model
Swiss Finance Institute Research Paper No. 17-13
Damir Filipović, Martin Larsson and Francesco Statti
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Date Posted: May 08, 2017
Last Revised: May 20, 2017
Working Paper Series
39 downloads

Incl. Electronic Paper Anticipated Backward SDEs with Jumps and Quadratic-Exponential Growth Drivers
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Date Posted: May 08, 2017
Last Revised: May 24, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Risk Neutral Measure Determination from Price Ranges: Single Period Market Models.
Henryk Gzyl, Enrique ter Horst and German Molina
IESA, Colegio de Estudios Superiores de Administracion and Idalion Capital US LP
Date Posted: May 08, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Can Islamic Banks Have Their Own Benchmark?
A. S. M. Sohel Azad, Amirul Ahsan, Saad Azmat and Abdelaziz Chazi
Deakin University, Deakin University- School of Accounting, Economics and Finance, Lahore University of Management Sciences (LUMS) and American University of Sharjah - School of Business & Management
Date Posted: May 07, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Long Memory Models for Financial Time Series of Counts and Evidence of Systematic Market Participant Trading Behaviour Patterns in Futures on US Treasuries
Hongxuan Yan, Jennifer S.K. Chan and Gareth William Peters
The University of Sydney - School of Mathematics and Statistics, The University of Sydney - School of Mathematics and Statistics and University College London - Department of Statistical Science
Date Posted: May 04, 2017
Working Paper Series
31 downloads

Incl. Electronic Paper A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility with Rough Market Price of Volatility Risk
Hideharu Funahashi and Masaaki Kijima
Mizuho Securities Co. Ltd and Tokyo Metropolitan University
Date Posted: May 04, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Noise Traders, Mispricing, and Price Adjustments in Derivatives Markets
Doojin Ryu, Seongkyu Gilbert Park and Heejin Yang
Sungkyunkwan University, Hong Kong Polytechnic University and Sungkyunkwan University
Date Posted: May 02, 2017
Working Paper Series
46 downloads

Incl. Electronic Paper Equity Modeling with Stochastic Dividends
Hamza Guennoun and Pierre Henry-Labordere
Societe Generale and Société Générale - Paris, France
Date Posted: May 02, 2017
Working Paper Series
59 downloads

Incl. Electronic Paper An Analysis on the Intraday Trading Activity of VIX Derivatives
Dian-Xuan Kao, Wei-Che Tsai, Yaw-Huei Wang and Kuang-Chieh Yen
National Taiwan University, National Sun Yat-sen University - Department of Finance, National Taiwan University and National Taiwan University, Department of Finance, Students
Date Posted: May 02, 2017
Working Paper Series
91 downloads

Incl. Electronic Paper On the Estimation of the SABR Model's Beta Parameter: The Role of Hedging in Determining the Beta Parameter
Journal of Derivatives, Vol. 24, No. 1, 2016
Mengfei Zhang and Frank J. Fabozzi
Bloomberg L.P. and EDHEC Business School
Date Posted: May 02, 2017
Last Revised: May 08, 2017
Accepted Paper Series
17 downloads

Incl. Electronic Paper From Quadratic Gaussian to Quantum Groups: Exploiting Duality in Modelling IR-FX Hybrids (Presentation Slides)
Presented at the Global Derivatives Trading & Risk Management Conference, Barcelona, May 2017
Paul McCloud
University College London - Department of Mathematics
Date Posted: May 02, 2017
Working Paper Series
34 downloads


 

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