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Econometric Modeling: Derivatives eJournal
455,052 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 3,241
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Incl. Electronic Paper Covering the World: Global Evidence on Covered Calls
Roni Israelov, Matthew Klein and Harsha Tummala
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Date Posted: June 28, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Which Index Options Should You Sell?
Roni Israelov and Harsha Tummala
AQR Capital Management, LLC and AQR Capital Management, LLC
Date Posted: June 28, 2017
Last Revised: June 29, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Metal Vadeli İşlem Piyasaları ve Doğrusal Olmayan Dinamikleri (Metals Futures Market and the Nonlinear Dynamics)
İşletme ve İktisat Çalışmaları Dergisi, Cilt 4, Sayı 4, ss. 165-176, 2016 ,
Ayben Koy and Güldenur Çetin
affiliation not provided to SSRN and Istanbul Commerce University
Date Posted: June 28, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper Spot ve Vadeli Piyasa İlişkilerine Markov Rejim Değişim Modelleri Yaklaşımı (A Markov Regime Switching Approach to the Relationships between Spot and Futures Markets)
Bankacılar Dergisi, Sayı 101, 2017,
Ayben Koy affiliation not provided to SSRN
Date Posted: June 28, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Fama ve French’in Büyüklük ve Risk Primleri İMKB’de Geçerli midir? (Are the Size Premium and Value Premium of Fama and French's Valid in Istanbul Stock Exchange?)
Yönetim Dergisi, Vol. 24(74), p. 102-118, 2013,
Ayben Koy affiliation not provided to SSRN
Date Posted: June 28, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Kredi Temerrüt Swapları ve Tahvil Primleri Üzerine Ampirik Bir Çalışma (An Empirical Study on Credit Default Swaps' Spreads and Bond Spreads)
International Review of Economics and Management, Volume 2, Number 2, p. 63-79, 2014
Ayben Koy affiliation not provided to SSRN
Date Posted: June 28, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper Credit Default Swaps on Corporate Debt and the Pricing of Audit Services
Auditing: A Journal of Practice & Theory, Forthcoming
Lijing Du, Adi Masli and Felix Meschke
Towson University - Department of Finance, University of Kansas - School of Business and University of Kansas - Finance Area
Date Posted: June 28, 2017
Accepted Paper Series
7 downloads

The CDS Market Reaction to Restatement Announcements
Journal of Business Finance & Accounting, 2013
Lijing Du
Towson University - Department of Finance
Date Posted: June 28, 2017
Accepted Paper Series

Incl. Electronic Paper Asset, Index and Option Behavior
Richard Gary Burke
Database Solutions, Inc.
Date Posted: June 28, 2017
Last Revised: June 29, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Functional Ross Recovery: An Operator Approach
Yannick Dillschneider and Raimond Maurer
Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Finance Department
Date Posted: June 27, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper CDS and Credit: Testing the Small Bang Theory of the Financial Universe with Micro Data
Bundesbank Discussion Paper No. 16/2017
Yalin Gündüz, Steven Ongena, Günseli Tümer-Alkan and Yuejuan Yu
Deutsche Bundesbank, University of Zurich - Department of Banking and Finance, VU University Amsterdam and Shandong University
Date Posted: June 27, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Exchange Rates’ Effect on Spot and Futures Equity Index Markets: A Study on Borsa Istanbul
International Journal of Commerce and Finance, Vol. 2, Issue 2, 2016, 13-25
Ayben Koy and Ihsan Ersan
affiliation not provided to SSRN and Istanbul University - Faculty of Business Management
Date Posted: June 26, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper Modelling Nonlinear Dynamics of Oil Futures Market
Econometric Research in Finance, Vol. 2 (2017)
Ayben Koy affiliation not provided to SSRN
Date Posted: June 26, 2017
Last Revised: June 28, 2017
Accepted Paper Series
35 downloads

Incl. Electronic Paper Futures Hedge Profit Measurement Error-Correction Model vs. Regression Approach Hedge Ratios, and Data Error Effects
Financial Management, Vol. 28, No. 4, Winter 1999
Robert Ferguson and Dean Leistikow
AnswersToGo and Fordham University - Finance Area
Date Posted: June 24, 2017
Working Paper Series
13 downloads

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 The Longstaff – Schwartz Model of Yield Term Structure and its Expansion
Gennady Medvedev
Belarusian State University
Date Posted: June 22, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper An Elementary Exposition of the No Strong Arbitrage Principle for Financial Markets
CAEPR Working Paper 2017-005
Robert A. Becker
Indiana University Bloomington - Department of Economics
Date Posted: June 22, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper The Effect of Disclosure and Prices on Uninformed Traders' Beliefs and Trading: An Experimental Study on Public Forecasts
Guojin Gong, Hong Qu and Ian Tarrant
Penn State University - Smeal College of Business, Pennsylvania State University and Pennsylvania State University
Date Posted: June 22, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper The Interaction between Credit Default Swaps and National Stock Indices: Empirical Evidence from Turkey
Yhlas Sovbetov and Hami Saka
London School of Commerce and Istanbul University
Date Posted: June 21, 2017
Last Revised: June 24, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper About One Quadratic Model of Yield Term Structure
Medvedev G. A. About One Quadratic Model of Yield Term Structure/Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science. 2017. № 38. P. 24–29 (In Russian),
Gennady Medvedev
Belarusian State University
Date Posted: June 21, 2017
Accepted Paper Series
8 downloads

Incl. Electronic Paper The Nelson-Siegel-Svensson Yields. Probability Properties and Estimation
Gennady Medvedev
Belarusian State University
Date Posted: June 21, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Strategic Trade when Securitized Portfolio Values are Unknown
Louis R. Piccotti
SUNY at Albany - School of Business
Date Posted: June 21, 2017
Last Revised: June 25, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper On the Nelson-Siegel-Svensson No-Arbitrage Yield Curve Models
Tomsk State University Journal of Control and Computer Science. №3(32). P. 44–55.,
Gennady Medvedev
Belarusian State University
Date Posted: June 21, 2017
Accepted Paper Series
7 downloads

Incl. Electronic Paper A Reverse Index Futures Split Effect on Liquidity and Market Dynamics
Athanasios Fassas and Nikolaos L. Hourvouliades
Hellenic Open University and American College of Thessaloniki
Date Posted: June 21, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Yield Curves in Two-Factor Vasiček Models
Probability Theory, Mathematical Statistics and Their Applications: The Collection of Scientific Papers, H́ Minsk: RIVSH, p. 136-141, 2014,
Gennady Medvedev
Belarusian State University
Date Posted: June 21, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper An Appraisal of the Tax Implications of Derivative Instruments in Nigeria
The Gravitas Review of Business and Property Law, June 2017, Vol 8. No.2
Oluwaseun Viyon Ojo
Lagos State University
Date Posted: June 20, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper Impact of Futures Trading on Agricultural Commodity Market in India
Mohammad Irshad VK and Mashood C
Pondicherry University - Department of Commerce, Students and Independent
Date Posted: June 20, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Credit Alpha and CO2 Reduction: A Portfolio Manager Perspective
Ulf Erlandsson
Independent
Date Posted: June 19, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Accounting for Volatility Decay in Time Series Models for Leveraged Exchange Traded Funds
Ahmed Abdou
Columbia University, Department of Industrial Engineering and Operations Research (IEOR), Students
Date Posted: June 19, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Evaluating Hedge Fund Performance
Hedge Funds: Structure, Strategies, and Performance, H. Kent Baker and Greg Filbeck (eds.), Oxford University Press, Forthcoming
David M. Smith
State University of New York at Albany - School of Business
Date Posted: June 19, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper The Present of Futures: Valuing Eurodollar-Futures Convexity Adjustments in a Multi-Curve World
Fabio Mercurio
Bloomberg L.P.
Date Posted: June 19, 2017
Working Paper Series
27 downloads

Incl. Electronic Paper Corporate Hedging and Collateral Constraints: Evidence from a Difference-in-Difference Approach
Håkan Jankensgård
Lund University - Department of Business Administration
Date Posted: June 17, 2017
Working Paper Series
27 downloads

Incl. Electronic Paper Comparison of Model for Pricing Volatility Swaps
Documento de Trabajo del Banco Central de Chile N.º 708 ,
Nestor Romero
University of Manchester - Alliance Manchester Business School
Date Posted: June 16, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper The Best Strategies for the Worst Crises
Michael Cook, Edward Hoyle, Matthew Sargaison, Dan Taylor and Otto Van Hemert
Man AHL, Man AHL, Man AHL, Numeric Investors and Man AHL
Date Posted: June 16, 2017
Working Paper Series
223 downloads

Incl. Electronic Paper A Model of the Dynamics of the Relationship between the Prices of World Crude Oil and the Prices Of Rice
Proceedings of the Celebes Interntional Confrence on Diversity atWallacea’s Line (CICWDL), ISBN: 978-602-8161-81-7,
Pasrun Adam
Department of Mathematics, Universitas Halu Oleo
Date Posted: June 15, 2017
Accepted Paper Series
6 downloads

Incl. Electronic Paper Does the Introduction of Index Futures Stabilize Stock Markets? Further Evidence from Emerging Markets
Ali M. Kutan, Yukun Shi, Mingzhe Wei and Yang Zhao
Southern Illinois University at Edwardsville, University of Leicester, University of Leicester and Jiangxi University of Finance and Economics
Date Posted: June 15, 2017
Working Paper Series
13 downloads

Incl. Fee Electronic Paper A First‐Order BSPDE for Swing Option Pricing: Classical Solutions
Mathematical Finance, Vol. 27, Issue 3, pp. 902-925, 2017
Christian Bender and Nikolai Dokuchaev
Saarland University and Curtin University of Technology - Department of Mathematics and Statistics
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper A Primal–Dual Algorithm for BSDEs
Mathematical Finance, Vol. 27, Issue 3, pp. 866-901, 2017
Christian Bender, Nikolaus Schweizer and Jia Zhuo
Saarland University, Tilburg School of Economics and Management and University of Southern California
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Approximate Hedging Problem with Transaction Costs in Stochastic Volatility Markets
Mathematical Finance, Vol. 27, Issue 3, pp. 832-865, 2017
Thai Huu Nguyen and Serguei Pergamenshchikov
CNRS and CNRS
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Explicit Implied Volatilities for Multifactor Local‐Stochastic Volatility Models
Mathematical Finance, Vol. 27, Issue 3, pp. 926-960, 2017
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Option Pricing and Hedging with Execution Costs and Market Impact
Mathematical Finance, Vol. 27, Issue 3, pp. 803-831, 2017
Olivier Edmond Guéant and Jiang Pu
Université Paris VII Denis Diderot and Europlace Institute of Finance
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Shadow Prices for Continuous Processes
Mathematical Finance, Vol. 27, Issue 3, pp. 623-658, 2017
Christoph Czichowsky, Walter Schachermayer and Junjian Yang
Vienna University of Technology, Universität Wien, Fakultät für Mathematik and University of Vienna
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Electronic Paper Price Discovery and Spill-Over Impact in The Indian Commodity Futures Market: An Empirical Investigation Into Metal Futures
IJABER, Vol. 14, No. 6, (2016): 4573-4586
Chinmaya Behera Jr.
Gandhi Institute of Technology and Management (GITAM) - GITAM School of International Business
Date Posted: June 15, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper Beating the Omega Clock: An Optimal Stopping Problem with Random Time-Horizon Under Spectrally Negative Lévy Models
The Annals of Applied Probability, Forthcoming
Neofytos Rodosthenous and Hongzhong Zhang
Queen Mary, University of London and Columbia University
Date Posted: June 14, 2017
Accepted Paper Series
10 downloads

Incl. Electronic Paper What Do We Really Know About Corporate Hedging? A Multimethod Meta-Analytical Study
Business Research, 2017
Jerome Geyer-Klingeberg, Markus Hang, Andreas Rathgeber, Stefan Stöckl and Matthias Walter
University of Augsburg - Institute of Materials Resource Management, University of Augsburg - Institute of Materials Resource Management, University of Augsburg - Institute of Materials Resource Management, ICN Business School Nancy-Metz and University of Augsburg
Date Posted: June 14, 2017
Accepted Paper Series
11 downloads

Incl. Electronic Paper Derivatives Market: Innovations and Its Effects
Financial Derivatives: Market & Application, New Delhi, ISBN 978-81-8387-482-3, 2011
Velmurugan Palaniyappa Shanmugam
Pondicherry University - Department of Commerce
Date Posted: June 14, 2017
Accepted Paper Series
10 downloads

Incl. Electronic Paper A Comparative Study on the Spot and Futures Return of Silver Market in India
Financial Derivatives: Market & Application, New Delhi, ISBN 978-81-8387-482-3, 2011
Velmurugan Palaniyappa Shanmugam
Pondicherry University - Department of Commerce
Date Posted: June 14, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Pricing Asian Options with Stochastic Convenience Yield and Jumps
Christian-Oliver Ewald, Yuexiang Wu and Aihua Zhang
University of Glasgow, University of Glasgow - Adam Smith Business School and University of Leicester - Department of Mathematics
Date Posted: June 13, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper A Note on CDS Returns
Patrick Augustin and Fahad Saleh
McGill University, Desautels Faculty of Management and New York University (NYU) - Leonard N. Stern School of Business
Date Posted: June 13, 2017
Working Paper Series
51 downloads

Incl. Electronic Paper Commodity Options in India – The Way Forward
Kiran Karande
Indira Gandhi Institute of Development Research (IGIDR) - Economics
Date Posted: June 13, 2017
Working Paper Series
9 downloads


 

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