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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 A State‐Constrained Differential Game Arising in Optimal Portfolio Liquidation
Mathematical Finance, Vol. 27, Issue 3, pp. 779-802, 2017
Alexander Schied and Tao Zhang
University of Mannheim and University of Mannheim
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 Portfolio Optimization and Stochastic Volatility Asymptotics
Mathematical Finance, Vol. 27, Issue 3, pp. 704-745, 2017
Jean‐Pierre Fouque, Ronnie Sircar and Thaleia Zariphopoulou
University of California Santa Barbara, Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin - Red McCombs School of Business
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Pricing for Large Positions in Contingent Claims
Mathematical Finance, Vol. 27, Issue 3, pp. 746-778, 2017
Scott Robertson
Questrom School of Business, Boston University
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. Fee Electronic Paper The General Structure of Optimal Investment and Consumption with Small Transaction Costs
Mathematical Finance, Vol. 27, Issue 3, pp. 659-703, 2017
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and University of Michigan at Ann Arbor
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Management of Green Certificates in the Swedish–Norwegian Market
Journal of Energy Markets, Forthcoming
Fred Espen Benth, Marcus Karl Viren Eriksson and Sjur Westgaard
University of Oslo, University of Oslo and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper A Note on the Statistical Robustness of Risk Measures
Journal of Operational Risk, Forthcoming
Mikhail Zhelonkin and Valérie Chavez-Demoulin
Erasmus University Rotterdam (EUR) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: June 14, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Modeling Superior Predictors for Crude Oil Prices
Journal of Energy Markets, 10(2), 1–22 (2017),
Sjur Westgaard, Petter Osmundsen, Daniel Stenslet and Jo Ringheim
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, University of Stavanger, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU)
Date Posted: June 10, 2017
Accepted Paper Series

Incl. Fee Electronic Paper On a Family of Weighted Cramér–Von Mises Goodness-of-Fit Tests in Operational Risk Modeling
Journal of Operational Risk, Forthcoming
Kirill Mayorov, James Hristoskov and Narayanaswamy Balakrishnan
McMaster University, Faculty of Science, Department of Mathematics and Statistics, Students, RBC Financial Group and McMaster University
Date Posted: June 09, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Barriers for District Heating as a Source of Flexibility for the Electricity System
Journal of Energy Markets, Forthcoming
Klaus Skytte, Ole Jess Olsen, Emilie Rosenlund Soysal and Daniel Møller Sneum
Technical University of Denmark, Technical University of Denmark, Technical University of Denmark and Technical University of Denmark
Date Posted: June 06, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Various Approximations of the Total Aggregate Loss Quantile Function with Application to Operational Risk
Journal of Operational Risk, Forthcoming
Ross Griffiths and Walid Mnif
TD Bank and TD Bank
Date Posted: June 05, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Institutional Constraints, Rule‐Following, and Circumvention: Tax and Expenditure Limits and the Choice of Fiscal Tools During a Budget Crisis
Public Budgeting & Finance, Vol. 37, Issue 2, pp. 5-34, 2017
Benedict S. Jimenez
Northeastern University, Boston MA
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Is a Good Normative Model of Public Spending Run Backward a Good Positive Model?
Public Budgeting & Finance, Vol. 37, Issue 2, pp. 35-57, 2017
Fred Thompson, Kawika Pierson, Michael L. Hand and Michael U. Dothan
Willamette University - Atkinson Graduate School of Management, Willamette University - Atkinson Graduate School of Managementaffiliation not provided to SSRN, Willamette University - Atkinson Graduate School of Management and Willamette University - Atkinson Graduate School of Management
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper The Impact of Fiscal Stress on Local Government Fiscal Structures: An Event Study of the Orange County Bankruptcy
Public Budgeting & Finance, Vol. 37, Issue 2, pp. 102-124, 2017
Robert MacKay
Government Accountability Office (GAO)
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper The Impact of Rating Recalibration on Municipal Bond Yield Spreads
Public Budgeting & Finance, Vol. 37, Issue 2, pp. 83-101, 2017
Kenneth A. Kriz and Yan Xiao
Wichita State University and California State University, Fullerton
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper The Role of Metropolitan Cooperation and Administrative Capacity in Subnational Debt Dynamics: Evidence from Municipal Mexico
Public Budgeting & Finance, Vol. 37, Issue 2, pp. 58-82, 2017
Heidi Jane M. Smith and Allyson Benton
Universidad Iberoamericana and Centro de Investigación y Docencia Económicas (CIDE)
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Analyzing Equilibrium in Incomplete Markets with Model Uncertainty
International Review of Finance, Vol. 17, Issue 2, pp. 235-262, 2017
Daisuke Yoshikawa
Hokkai-Gakuen University
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance
International Review of Finance, Vol. 17, Issue 2, pp. 289-324, 2017
Qing Zhou
Financial Research Network (FIRN)
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Model Uncertainty Effect on Asset Prices
International Review of Finance, Vol. 17, Issue 2, pp. 205-233, 2017
Junya Jiang and Weidong Tian
affiliation not provided to SSRN and University of North Carolina (UNC) at Charlotte - The Belk College of Business Administration
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Specification Error, Estimation Risk, and Conditional Portfolio Rules
International Review of Finance, Vol. 17, Issue 2, pp. 263-288, 2017
Murray Carlson, David A. Chapman, Ron Kaniel and Hong Yan
University of British Columbia (UBC) - Sauder School of Business, McIntire School, University of Virginia, University of Rochester - Simon Business School and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry
International Review of Finance, Vol. 17, Issue 2, pp. 177-204, 2017
Azamat Abdymomunov and Ibrahim Ergen
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Audit Opinions and Information Asymmetry in the Stock Market
Accounting & Finance, Vol. 57, Issue 2, pp. 565-595, 2017
David Abad, Juan P. Sánchez‐Ballesta and José Yagüe
Universidad de Alicante, University of Murcia and University of Murcia
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Conservative Accounting, IFRS Convergence and Cash Dividend Payments: Evidence from China
European Financial Management, Vol. 23, Issue 3, pp. 376-414, 2017
William Bradford, Chao Chen and Song Zhu
University of Washington, Fudan University and Beijing Normal University - School of Economics & Business Administration
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Does Ownership Structure Matter?
European Financial Management, Vol. 23, Issue 3, pp. 357-375, 2017
Sheridan Titman
University of Texas at Austin - Department of Finance
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Financial Hedging and Firm Performance: Evidence from Cross‐Border Mergers and Acquisitions
European Financial Management, Vol. 23, Issue 3, pp. 415-458, 2017
Zhong Chen, Bo Han and Yeqin Zeng
Henley Business School - ICMA Centre, Central Washington University and University of Reading
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Innovation‐Related Diversification and Firm Value
European Financial Management, Vol. 23, Issue 3, pp. 475-518, 2017
Zhao Rong and Sheng Xiao
Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management and Westminster College (Utah)
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Tax Havens, Tax Evasion and Tax Information Exchange Agreements in the OECD
European Financial Management, Vol. 23, Issue 3, pp. 519-542, 2017
David Kemme, Bhavik Parikh and Tanja Steigner
University of Memphis - Economics, Saint Francis Xavier University and Emporia State University
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper The Market Premium for the Option to Close: Evidence from Australian Gold Mining Firms
Accounting & Finance, Vol. 57, Issue 2, pp. 511-531, 2017
Simone Kelly
Bond University - Finance
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Where Will the ‘Silver Money’ Go?
European Financial Management, Vol. 23, Issue 3, pp. 459-474, 2017
Na Young Park
University of Oxford - Said Business School
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper A Stakeholder Analysis of Employee Disclosures in Annual Reports
Accounting & Finance, Vol. 57, Issue 2, pp. 533-563, 2017
Pamela Kent and Tamara Zunker
University of Queensland - Business School and Bond University - Bond Business School
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Capital Structure of Multinational and Domestic Corporations – A Cross‐Country Comparison
Accounting & Finance, Vol. 57, Issue 2, pp. 319-349, 2017
Shumi M. Akhtar
The University of Sydney
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Corporate Fraud Culture: Re‐Examining the Corporate Governance and Performance Relation
Accounting & Finance, Vol. 57, Issue 2, pp. 597-620, 2017
David Tan, Larelle Chapple and Kathleen D. Walsh
University of New South Wales (UNSW), Queensland University of Technology - QUT Business School and Australian National University (ANU) - School of Finance and Applied Statistics
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Firm Life Cycle, Corporate Risk‐Taking and Investor Sentiment
Accounting & Finance, Vol. 57, Issue 2, pp. 465-497, 2017
Mostafa Monzur Hasan and Ahsan Habib
Curtin University and Massey University - School of Accountancy
Date Posted: June 03, 2017
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Improved Corporate Governance and Chinese Seasoned Equity Offering Announcement Effects
Accounting & Finance, Vol. 57, Issue 2, pp. 401-428, 2017
Xiaoyan Chen
University of Queensland
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Rare Disaster Risk and the Expected Equity Risk Premium
Accounting & Finance, Vol. 57, Issue 2, pp. 351-372, 2017
Henk Berkman, Ben Jacobsen and John B. Lee
University of Auckland - Business School, Tilburg University - TIAS School for Business and Society and University of Auckland
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Risk Factors in Australian Bond Returns
Accounting & Finance, Vol. 57, Issue 2, pp. 373-400, 2017
Robert J. Bianchi, Michael E. Drew, Eduardo Roca and Timothy Whittaker
Griffith University, Griffith University, Griffith University and Griffith University - Department of Accounting, Finance and Economics
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper The Diversity of Expertise on Corporate Boards in Australia
Accounting & Finance, Vol. 57, Issue 2, pp. 429-463, 2017
Stephen Gray and John Nowland
University of Queensland - Business School and City University of Hong Kong
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper When are Investment Projects in the Same Risk Class?
Accounting & Finance, Vol. 57, Issue 2, pp. 499-510, 2017
David James Johnstone
University of Sydney Business School
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Execution of Accelerated Share Repurchase Contracts with Fixed Notional
Journal of Risk, Vol. 19, No. 5, 2017
Olivier Edmond Guéant
Université Paris VII Denis Diderot
Date Posted: June 01, 2017
Accepted Paper Series

Incl. Fee Electronic Paper On Empirical Likelihood Option Pricing
Journal of Risk, Vol. 19, No. 5, 2017
Xiaolong Zhong, Jie Cao, Yong Jin and Wei Zheng
Amazon.com, Chinese University of Hong Kong - Department of Finance, The Hong Kong Polytechnic University - School of Accounting and Finance and Indiana University Purdue University Indianapolis (IUPUI)
Date Posted: June 01, 2017
Accepted Paper Series

Optimal Oil Production Under Mean-Reverting Lévy Models with Regime Switching
Journal of Energy Markets, Forthcoming
Moustapha Pemy
Towson University
Date Posted: May 26, 2017
Accepted Paper Series

Pricing and Hedging Options with Rollover Parameters
Journal of Risk, Forthcoming
Sol Kim
Hankuk University of Foreign Studies
Date Posted: May 19, 2017
Accepted Paper Series

Incl. Fee Electronic Paper A Multivariate Analysis of Intercompany Loss Triangles
Journal of Risk and Insurance, Vol. 84, Issue 2, pp. 717-737, 2017
Peng Shi
University of Wisconsin - Madison
Date Posted: May 15, 2017
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Between‐Group Adverse Selection: Evidence from Group Critical Illness Insurance
Journal of Risk and Insurance, Vol. 84, Issue 2, pp. 771-809, 2017
Martin Eling, Ruo Jia and Yi Yao
University of St. Gallen - Institute of Insurance Economics, University of St. Gallen - Institute of Insurance Economics and Peking University - School of Economics
Date Posted: May 15, 2017
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper How Does Tort Law Affect Consumer Auto Insurance Costs?
Journal of Risk and Insurance, Vol. 84, Issue 2, pp. 691-715, 2017
Paul S. Heaton
University of Pennsylvania Law School
Date Posted: May 15, 2017
Accepted Paper Series
1 downloads


 

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