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SSRN eLibrary Search Results
Derivatives eJournal
3,356,375 Total downloads
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India's Agricultural Commodity Futures Market Ecosystem: An OverviewVelmurugan Palanipappa Shanmugan and Paul W Armah Pondicherry University - Department of Commerce and Independent Date Posted: May 27, 2017 Working Paper Series 1 downloads
The Relative Efficiency and Volatility of Indian Agricultural Commodity Futures MarketsVelmurugan Palanipappa Shanmugan and Paul W Armah Pondicherry University - Department of Commerce and Independent Date Posted: May 27, 2017 Working Paper Series 2 downloads
A New Look at the Efficiency & Volatility of Indian Agricultural Commodity Futures MarketsVelmurugan Palanipappa Shanmugan and Paul W Armah Pondicherry University - Department of Commerce and Independent Date Posted: May 27, 2017 Working Paper Series 1 downloads
A Revised Approach to Cir Short-Term Interest Rates ModelGiuseppe 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
Dynamic Spillover Effects across Petroleum Spot and Futures Volatilities, Trading Volume and Open InterestGeorgios Magkonis and Dimitris A. Tsouknidis University of Bradford and Cyprus University of Technology Date Posted: May 26, 2017 Working Paper Series 2 downloads
Impact of U.S Financial Market Deregulation on Commodity Derivatives Market: An OverviewVelmurugan Palanipappa Shanmugan and Paul W Armah Pondicherry University - Department of Commerce and Independent Date Posted: May 26, 2017 Working Paper Series 1 downloads
Volatility Spillovers between Spot and Futures Markets: An Empirical Study on U.S. Agricultural CommoditiesVelmurugan Palanipappa Shanmugan and Paul W Armah Pondicherry University - Department of Commerce and Independent Date Posted: May 26, 2017 Working Paper Series 1 downloads
Agricultural Commodity Price Hikes Since 2006: Empirical Study on Efficiency of U.S. Futures MarketVelmurugan Palanipappa Shanmugan and Paul W Armah Pondicherry University - Department of Commerce and Independent Date Posted: May 26, 2017 Working Paper Series 1 downloads
Impact of Commodity Index Investments on Agricultural Commodity Price Increases Over 2006-2011 PeriodVelmurugan Palanipappa Shanmugan and Paul W Armah Pondicherry University - Department of Commerce and Independent Date Posted: May 26, 2017 Working Paper Series 1 downloads
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple TenorsFIRN 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 
Distortionary Effect of Trading Activity in Nymex Crude Oil Futures Market: Post CrisisOPEC 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
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
Determinants of Price Discovery in the VIX Futures MarketJournal 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
Returns Signal MomentumFotis 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
The Extended SSVI Volatility SurfaceSebas Hendriks and Claude Martini Delft University of Technology and Zeliade Systems Date Posted: May 22, 2017 Working Paper Series 13 downloads
Structuring the Nebulous Derivative Souk in India - A Bid to Ascertain National Multi Derivative ExchangeTaxmann'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
The Information Content of the Term Structure of Risk-Neutral SkewnessPaul 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
Adjusting Option Pricing Models for Informative Starting PointsHammad 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
Distributed Calibration of Option Pricing Models with Multiple Contracts Written on Different Underlying AssetsJuho Kanniainen and Marko Koskinen Tampere University of Technology and Techila Technologies Ltd Date Posted: May 19, 2017 Working Paper Series 5 downloads
Currency Target Zones as Mirrored OptionsSandro 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
Pricing Variance, Gamma and Corridor Swaps Using Multinomial TreesHonglei 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
Gaussian Quadrature Method for Pricing American and Exotic Options in a Jump-Diffusion ProcessPei-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
Long-Dated Swaption Volatility Approximation in the Forward-LIBOR ModelJacques 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
A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk AversionRenato 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
VIX Futures Calendar SpreadsAi 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
Parameter Estimation from Overlapping ObservationsMichael A. Clayton Michael A. Clayton Consulting, Inc. Date Posted: May 16, 2017 Working Paper Series 22 downloads
Arbitrage and Its Physical LimitsLouis 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
Random Geometric Analysis in the Stochastic Volatility: Financial Markets States DegeneracyAnalysis 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
Dynamics of the Expectation and Risk Premium in the OIS Term StructureSuresh 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
Single Simulation Lower Bounds for Bermudan DerivativesXiang 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
Numerical Methods for Valuing Advanced Option ContractsDimitrios V. Siskos ThinkingFinance Date Posted: May 13, 2017 Working Paper Series 5 downloads
Even-Keeled Moments of DoubtJames Ming Chen Michigan State University - College of Law Date Posted: May 13, 2017 Working Paper Series 13 downloads
Financial Convergence on Emerging Markets: The Case of CEE CountriesBank 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
Investing for the Long RunDietmar 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
LSM Reloaded - Differentiate xVA on your iPad MiniBrian 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
Multivariate Volatility Modeling of Electricity Futures: Online AppendixLuc 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
Multivariate Volatility Modeling of Electricity FuturesJournal 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
Accounting Quality, Information Risk and the Term Structure of Implied Volatility around Earnings AnnouncementsResearch 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
Unspanned Stochastic Volatility in the Multi-Factor CIR ModelSwiss 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
Anticipated Backward SDEs with Jumps and Quadratic-Exponential Growth DriversMasaaki 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
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
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
Long Memory Models for Financial Time Series of Counts and Evidence of Systematic Market Participant Trading Behaviour Patterns in Futures on US TreasuriesHongxuan 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
A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility with Rough Market Price of Volatility RiskHideharu Funahashi and Masaaki Kijima Mizuho Securities Co. Ltd and Tokyo Metropolitan University Date Posted: May 04, 2017 Working Paper Series 7 downloads
Noise Traders, Mispricing, and Price Adjustments in Derivatives MarketsDoojin 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
Equity Modeling with Stochastic DividendsHamza Guennoun and Pierre Henry-Labordere Societe Generale and Société Générale - Paris, France Date Posted: May 02, 2017 Working Paper Series 59 downloads
An Analysis on the Intraday Trading Activity of VIX DerivativesDian-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
On the Estimation of the SABR Model's Beta Parameter: The Role of Hedging in Determining the Beta ParameterJournal 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
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 |
