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Econometric Modeling: Derivatives eJournal
403,566 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 2,985
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Incl. Electronic Paper Credit Derivatives and Firm Investment
George E. Batta and Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Date Posted: February 25, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Estimation of Discrete Dividends Using American Options
Sascha Desmettre, Sarah Grün and Ralf Korn
Karlsruhe Institute of Technology - Department of Mathematics, Fraunhofer ITWM and University of Kaiserslautern - Department of Mathematics
Date Posted: February 24, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Tighter Bounds for Implied Volatility
Jim Gatheral, Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch College, City University of New York (CUNY) - Weissman School of Arts and Sciences, Baruch College, City University of New York and Baruch College, City University of New York
Date Posted: February 24, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Master Limited Partnerships: Is It a Smart Investment Vehicle
Haiwei Chen and Thanh Ngoc Ngo
University of Alaska Fairbanks and East Carolina University
Date Posted: February 24, 2017
Working Paper Series
8 downloads

Overnight Returns of Stock Indexes: Evidence from ETFs and Futures
International Review of Economics & Finance, Forthcoming
Qingfu Liu and Yiuman Tse
Independent and University of Missouri at Saint Louis
Date Posted: February 23, 2017
Accepted Paper Series

Incl. Electronic Paper The Effect of the Pit Closure on Futures Trading
Eleni Gousgounis and Esen Onur
Stevens Institute of Technology - School of Business and Commodity Futures Trading Commission (CFTC)
Date Posted: February 23, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Minimal Variance Hedging in Multi-Curve Interest Rate Modeling
Markus Hess
Université Libre de Bruxelles (ULB)
Date Posted: February 22, 2017
Working Paper Series
9 downloads

Intra-Market Correlations in the Bond Markets: Extending Empirical Regularities from the Equity Markets
Robert S. Goldberg and Ehud I. Ronn
Adelphi University and University of Texas at Austin - Department of Finance
Date Posted: February 22, 2017
Working Paper Series

Incl. Electronic Paper Prawne i ekonomiczne ryzyka obowiązku rozliczania instrumentów pochodnych na rynku pozagiełdowym (OTC) przez centralnego kontrahenta (CCP) (Legal and Economic Risk of Over-the-Counter (OTC) Derivatives' Central Counterparty (CCP) Clearing Obligation)
Internetowy Przegląd Prawniczy TBSP UJ 2016/8 ,
Ireneusz Dawid Książek
Jagiellonian University in Krakow, Faculty of Law and Administration, Students
Date Posted: February 21, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper Product Market Competition and Option Prices
Erwan Morellec and Alexei Zhdanov
Ecole Polytechnique Fédérale de Lausanne and Pennsylvania State University
Date Posted: February 17, 2017
Working Paper Series
23 downloads

Upgrade: VaR and Expected Shortfall to Liquidation Based on Asian Put Option Formula and Tail Volatilities & Correlations
Cesar Oreste Crousillat
Universidad del Pacifico
Date Posted: February 17, 2017
Working Paper Series

Incl. Electronic Paper Commodity Exposure, Financial and Operational Hedging of US Oil and Gas Companies
Elaine Laing, Brian M. Lucey and Tobias Leutkemeyer
Trinity Business School, Trinity Business School, Trinity College Dublin and Trinity College Dublin
Date Posted: February 16, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper On the Data-Driven COS Method
Alvaro Leitao Rodriguez, Cornelis W. Oosterlee, Luis Ortiz-Gracia and Sander Bohte
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), Center for Mathematics and Computer Science (CWI), University of Barcelona and Center for Mathematics and Computer Science (CWI)
Date Posted: February 16, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Isolating the Disaster Risk Premium with Equity Options
Jaroslav Horvath
University of New Hampshire - Department of Economics
Date Posted: February 15, 2017
Working Paper Series
38 downloads

Incl. Electronic Paper Multivariate FX Models with Jumps: Triangles, Quantos and Implied Correlation
Forthcoming, European Journal of Operational Research
Laura Ballotta, Griselda Deelstra and Grégory Rayée
Sir John Cass Business School - City, University of London, Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Date Posted: February 14, 2017
Accepted Paper Series
157 downloads

Incl. Electronic Paper Options on Quantum Money: Quantum Path-Integral with Serial Shocks
Lester Ingber Lester Ingber Research (LIR)
Date Posted: February 14, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper The Macro-Informational Role of Derivatives: Evidence from the Sovereign CDS Market
Yaqing Xiao, Hongjun Yan and Jinfan Zhang
Rutgers University, Driehaus College of Business, DePaul University and International Monetary Fund
Date Posted: February 13, 2017
Last Revised: February 19, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Le Point Sur... Les Options Parisiennes et leurs Applications (An Update On... Parisian Options and Their Applications)
Banque et Marchés, N° 82, p. 81-90, 2006 ,
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Date Posted: February 13, 2017
Accepted Paper Series
5 downloads

Incl. Electronic Paper Robust Hedging in Incomplete Markets
Netspar Discussion Paper No. 08/2014-064
Sally Shen, Antoon Pelsser and Peter C. Schotman
Capital University of Economics and Business, Maastricht University and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Date Posted: February 10, 2017
Working Paper Series
19 downloads

Incl. Fee Electronic Paper The Application of Structural Electricity Models for Dynamic Hedging
Journal of Energy Markets, Forthcoming
Cord Harms and Ruediger Kiesel
University of Duisburg-Essen - Faculty of Economic Science and University of Duisburg-Essen - Faculty of Economic Science
Date Posted: February 10, 2017
Accepted Paper Series

Incl. Electronic Paper Pricing and Hedging Guaranteed Minimum Withdrawal Benefits under a General Lévy Framework Using the COS Method
Jennifer Alonso-García, Oliver Michael Wood and Jonathan Ziveyi
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), CommInsure and UNSW Australia
Date Posted: February 10, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Does Gold Hedge Stock Market in China? The Evidence from Time-Frequency Analysis
Lei Ming, Shenggang Yang and Jizhou Li
Hunan University - School of Finance and Statistics, Hunan University - School of Finance and Statistics and The Chinese University of Hong Kong (CUHK)
Date Posted: February 10, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Rough Volatility: Evidence from Option Prices
Giulia Livieri, Saad Mouti, Andrea Pallavicini and Mathieu Rosenbaum
Scuola Normale Superiore, Université Paris VI Pierre et Marie Curie, Banca IMI and Ecole Polytechnique, Paris
Date Posted: February 10, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Coarse Grain Automatic Differentiation: A Practical Approach to Fast and Exact Computation of First and Second Order Derivatives in Software
Henri-Olivier Duche and Francois Galilee
Independent and Independent
Date Posted: February 09, 2017
Last Revised: February 10, 2017
Working Paper Series
85 downloads

Incl. Electronic Paper Closed-form Solution for American Options
Wai Man Raymond Tse
Department of Finance, Faculty of Business, Chu Hai College of Higher Education
Date Posted: February 08, 2017
Last Revised: February 13, 2017
Working Paper Series
84 downloads

Incl. Electronic Paper Statistical Hedging: Motivating the Use of Convex Risk Measures for Hedging Portfolios of Derivatives Over One Time Step in the Presence of General Convex Transaction Cost. A Summary for Derivative Quants
Hans Buehler
JP Morgan Chase, London
Date Posted: February 08, 2017
Last Revised: February 22, 2017
Working Paper Series
63 downloads

Option-Writing Strategies in a Low-Volatility Framework
Journal of Investing, Vol. 24, No. 3, Fall 2015
Jason C. Hsu, Donald X. He and Neil Rue
Rayliant Global Advisors, Allianz Global Investors US LLC and Pension Consulting Alliance
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Electronic Paper The Swap Market Model with Local Stochastic Volatility
Kenjiro Oya
Nomura Holdings, Inc. (NHI) - Nomura Securities Co., Ltd.
Date Posted: February 08, 2017
Working Paper Series
40 downloads

Incl. Electronic Paper On American VIX Options under the Generalized 3/2 and 1/2 Models

Jerome Detemple and Yerkin Kitapbayev
Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
Date Posted: February 08, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Sum of All Black-Scholes-Merton Models: An Efficient Pricing Method for Spread, Basket, and Asian Options
Jaehyuk Choi
Peking University - HSBC Business School
Date Posted: February 08, 2017
Working Paper Series
55 downloads

Incl. Electronic Paper Asset Risk Management of Participating Contracts
Asia-Pacific Journal of Risk and Insurance, Vol. 6, N°2, 2012,
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Date Posted: February 08, 2017
Accepted Paper Series
5 downloads

Incl. Electronic Paper Interest Rate Swap Valuation since the Financial Crisis: Theory and Practice
Ira G. Kawaller and Donald J. Smith
Kawaller & Company, LLC and Boston University - Department of Finance & Economics
Date Posted: February 07, 2017
Last Revised: February 09, 2017
Working Paper Series
79 downloads

Incl. Electronic Paper A Regime-Switching Copula Approach to Modeling Day-Ahead Prices in Coupled Electricity Markets
Anca Pircalabu and Fred Espen Benth
Aalborg University and University of Oslo
Date Posted: February 07, 2017
Working Paper Series
23 downloads

Incl. Fee Electronic Paper Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective
Journal of Risk and Insurance, Vol. 84, Issue 1, pp. 209-238, 2017
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Date Posted: February 06, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper Forecasting Initial Margin Requirements - A Model Evaluation
Peter Caspers, Paul Giltinan, Roland Lichters and Nikolai Nowaczyk
Quaternion Risk Management, Quaternion Risk Management, Quaternion Risk Management and Quaternion Risk Management
Date Posted: February 06, 2017
Working Paper Series
104 downloads

Incl. Electronic Paper Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks
Stefano Scoleri, Marco Bianchetti and Sergei Kucherenko
Iason Ltd., Intesa Sanpaolo - Financial and Market Risk Management and Imperial College London - Faculty of Engineering
Date Posted: February 06, 2017
Working Paper Series
42 downloads

Incl. Electronic Paper Does Combining Models Help with Pricing of European Options?
Semin Ibisevic
Independent
Date Posted: February 04, 2017
Working Paper Series
14 downloads

Inflation Anchoring in the Euro Area
ECB Working Paper No. 1998
Christian Speck
Deutsche Bundesbank
Date Posted: February 03, 2017
Working Paper Series

Incl. Electronic Paper The Timing of Option Returns
Adriano Tosi and Alexandre Ziegler
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: February 03, 2017
Working Paper Series
185 downloads

Incl. Electronic Paper Home Bias in Bank Sovereign Bond Purchases and the Bank-Sovereign Nexus
ECB Working Paper No. 1977
Desislava Andreeva and Thomas Vlassopoulos
European Central Bank (ECB) and Bank of Greece
Date Posted: February 03, 2017
Working Paper Series
5 downloads

A New Indicator of Inflation Expectations Anchoring
ECB Working Paper
Filippo Natoli and Laura Sigalotti
Bank of Italy and Bank of Italy
Date Posted: February 03, 2017
Working Paper Series

Incl. Electronic Paper Commodity Return Predictability
Regina Hammerschmid
University of Zurich
Date Posted: February 03, 2017
Working Paper Series
98 downloads

Option Introductions and the Skewness of Stock Returns
Benjamin M. Blau and Ryan J. Whitby
Utah State University - Huntsman School of Business and Utah State University - Huntsman School of Business
Date Posted: February 03, 2017
Working Paper Series

Incl. Electronic Paper The Failure of Covered Interest Parity: FX Hedging Demand and Costly Balance Sheets
BIS Working Papers No 590
Vladyslav Sushko, Claudio E. V. Borio, Robert N. McCauley and Patrick McGuire
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Research and Policy Analysis, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Date Posted: February 02, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Option Contract in Islamic Finance
Haroun Rahimi
University of Washington, School of Law, Students
Date Posted: February 02, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Credit Default Swaps, Exacting Creditors and Corporate Liquidity Management
HKIMR Working Paper No.20/2016
Marti Subrahmanyam, Sarah Qian Wang and Dragon Yongjun Tang
New York University (NYU) - Leonard N. Stern School of Business, University of Warwick and The University of Hong Kong - School of Economics and Finance
Date Posted: February 02, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Round Number Effects in Crude Oil Futures Market
Ro Cho
Massey University, College of Business, School of Economics and Finance
Date Posted: February 01, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper A Confidence-Based Model for Asset and Derivative Prices in the Bitcoin Market
Alessandra Cretarola and Gianna Figà-Talamanca
University of Perugia - Dipartimento di Matematica e Informatica and University of Perugia - Department of Economics
Date Posted: February 01, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper Option Prices and Costly Short-Selling
Adem Atmaz and Suleyman Basak
Purdue University - Krannert School of Management and London Business School
Date Posted: February 01, 2017
Working Paper Series
65 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
156 downloads


 

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