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Wiley-Blackwell: Mathematical Finance
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Incl. Fee Electronic Paper Local Variance Gamma and Explicit Calibration to Option Prices
Mathematical Finance, Vol. 27, Issue 1, pp. 151-193, 2017
Peter Carr and Sergey Nadtochiy
New York University (NYU) - Courant Institute of Mathematical Sciences and University of Michigan at Ann Arbor - Department of Mathematics
Date Posted: January 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper On the Martingale Property in Stochastic Volatility Models Based on Time‐Homogeneous Diffusions
Mathematical Finance, Vol. 27, Issue 1, pp. 194-223, 2017
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology and University of Waterloo
Date Posted: January 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Investment with Intermediate Consumption and Random Endowment
Mathematical Finance, Vol. 27, Issue 1, pp. 96-114, 2017
Oleksii Mostovyi
Carnegie Mellon University
Date Posted: January 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Price Setting of Market Makers: A Filtering Problem with Endogenous Filtration
Mathematical Finance, Vol. 27, Issue 1, pp. 251-275, 2017
Christoph Kühn and Matthias Riedel
Goethe University Frankfurt - Frankfurt MathFinance Institute (FMFI) and Goethe University Frankfurt - Frankfurt MathFinance Institute (FMFI)
Date Posted: January 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Real Options with Competition and Regime Switching
Mathematical Finance, Vol. 27, Issue 1, pp. 224-250, 2017
Alain Bensoussan, SingRu Hoe, Zhongfeng Yan and George K. Yin
University of Texas, Dallas Director, International Center for Decision and Risk Analysis (ICDRiA), University of Texas at Arlington - Department of Finance and Real Estate, Jinan University and University of Virginia School of Law
Date Posted: January 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Robust Portfolios and Weak Incentives in Long‐Run Investments
Mathematical Finance, Vol. 27, Issue 1, pp. 3-37, 2017
Paolo Guasoni, Johannes Muhle‐Karbe and Hao Xing
Boston University - Department of Mathematics and Statistics, University of Michigan at Ann Arbor and London School of Economics & Political Science (LSE)
Date Posted: January 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Sensitivity Analysis of Nonlinear Behavior with Distorted Probability
Mathematical Finance, Vol. 27, Issue 1, pp. 115-150, 2017
Xi‐Ren Cao and Xiangwei Wan
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Shanghai Jiao Tong University - Antai College of Economics & Management
Date Posted: January 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Stability of the Exponential Utility Maximization Problem with Respect to Preferences
Mathematical Finance, Vol. 27, Issue 1, pp. 38-67, 2017
Hao Xing
London School of Economics & Political Science (LSE)
Date Posted: January 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper The Numéraire Property and Long‐Term Growth Optimality for Drawdown‐Constrained Investments
Mathematical Finance, Vol. 27, Issue 1, pp. 68-95, 2017
Constantinos Kardaras, Jan Obłój and Eckhard Platen
London School of Economics & Political Science (LSE), University of Oxford and University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: January 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Coherence and Elicitability
Mathematical Finance, Vol. 26, Issue 4, pp. 901-918, 2016
Johanna F. Ziegel
University of Bern
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling
Mathematical Finance, Vol. 26, Issue 4, pp. 748-784, 2016
Ovidiu Costin, Michael B. Gordy, Min Huang and Pawel Szerszen
Ohio State University (OSU), Board of Governors of the Federal Reserve, City University of Hong Kong (CityUHK) and Board of Governors of the Federal Reserve System
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Fast Swaption Pricing in Gaussian Term Structure Models
Mathematical Finance, Vol. 26, Issue 4, pp. 962-982, 2016
Jaehyuk Choi and SungChan Shin
Korea Advanced Institute of Science and Technology (KAIST) and Korea Advanced Institute of Science and Technology (KAIST)
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Fire Sales Forensics: Measuring Endogenous Risk
Mathematical Finance, Vol. 26, Issue 4, pp. 835-866, 2016
Rama Cont and Lakshithe Wagalath
Imperial College London and IESEG School of Management
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Model‐Independent Lower Bound on Variance Swaps
Mathematical Finance, Vol. 26, Issue 4, pp. 939-961, 2016
Nabil Kahalé
ESCP Europe
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multivariate Risk Measures: A Constructive Approach Based on Selections
Mathematical Finance, Vol. 26, Issue 4, pp. 867-900, 2016
Ilya Molchanov and Ignacio Cascos
University of Bern - Department of Mathematical Statistics and Actuarial Science and Universidad Carlos III de Madrid
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multivariate Subordination of Markov Processes with Financial Applications
Mathematical Finance, Vol. 26, Issue 4, pp. 699-747, 2016
Rafael Mendoza-Arriaga and Vadim Linetsky
University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk
Mathematical Finance, Vol. 26, Issue 4, pp. 785-834, 2016
Lijun Bo and Agostino Capponi
Xidian University and Columbia University
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Price‐Admissibility Conditions for Arbitrage‐Free Linear Price Function Models for the Term Structure of Interest Rates
Mathematical Finance, Vol. 26, Issue 4, pp. 919-938, 2016
Andrew F. Siegel
University of Washington - Department of Finance and Business Economics
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A First‐Order BSPDE for Swing Option Pricing
Mathematical Finance, Vol. 26, Issue 3, pp. 461-491, 2016
Christian Bender and Nikolai Dokuchaev
Saarland University and Curtin University of Technology - Department of Mathematics and Statistics
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Note on the Quantile Formulation
Mathematical Finance, Vol. 26, Issue 3, pp. 589-601, 2016
Zuo Quan Xu
Hong Kong Polytechnic University
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Arrow-Debreu Equilibria for Rank-Dependent Utilities
Mathematical Finance, Vol. 26, Issue 3, pp. 558-588, 2016
Jianming Xia and Xun Yu Zhou
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Benchmarked Risk Minimization
Mathematical Finance, Vol. 26, Issue 3, pp. 617-637, 2016
Ke Du and Eckhard Platen
Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE) and University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Do Arbitrage‐Free Prices Come from Utility Maximization?
Mathematical Finance, Vol. 26, Issue 3, pp. 602-616, 2016
Pietro Siorpaes
University of Vienna
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Gambling in Contests with Regret
Mathematical Finance, Vol. 26, Issue 3, pp. 674-695, 2016
Han Feng and David Hobson
University of Warwick and University of Warwick
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper High‐Order Short‐Time Expansions for ATM Option Prices of Exponential Lévy Models
Mathematical Finance, Vol. 26, Issue 3, pp. 516-557, 2016
Jose E. Figueroa-Lopez, Ruoting Gong and Christian Houdre
Purdue University, Rutgers, The State University of New Jersey and Georgia Institute of Technology
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multidimensional Dynamic Risk Measure via Conditional G‐Expectation
Mathematical Finance, Vol. 26, Issue 3, pp. 638-673, 2016
Yuhong Xu
Shandong University
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Valuation of Barrier Options via a General Self‐Duality
Mathematical Finance, Vol. 26, Issue 3, pp. 492-515, 2016
Elisa Alos, Zhanyu Chen and Thorsten Rheinlaender
University of Pompeu Fabra - Department of Economics, London School of Economics & Political Science (LSE) and Vienna University of Technology
Date Posted: June 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Model‐Free Version of the Fundamental Theorem of Asset Pricing and the Super‐Replication Theorem
Mathematical Finance, Vol. 26, Issue 2, pp. 233-251, 2016
Beatrice Acciaio, M. Beiglböck, F. Penkner and W. Schachermayer
University of Vienna, University of Vienna, University of Vienna and University of Vienna
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Model‐Independent No‐Arbitrage Conditions on American Put Options
Mathematical Finance, Vol. 26, Issue 2, pp. 431-458, 2016
Alexander Cox and Christoph Hoeggerl
University of Bath and University of Bath
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper On Valuing Stochastic Perpetuities Using New Long Horizon Stock Price Models Distinguishing Booms, Busts, and Balanced Markets
Mathematical Finance, Vol. 26, Issue 2, pp. 296-328, 2016
Dilip B. Madan and Marc Yor
University of Maryland and Université Paris VI Pierre et Marie Curie
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Stochastic Local Intensity Loss Models with Interacting Particle Systems
Mathematical Finance, Vol. 26, Issue 2, pp. 366-394, 2016
Aurélien Alfonsi, Céline Labart and Jérôme Lelong
Université Paris Est - CERMICS, University of Savoy and Université Grenoble Alpes
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Incentives of Hedge Fund Fees and High‐Water Marks
Mathematical Finance, Vol. 26, Issue 2, pp. 269-295, 2016
Paolo Guasoni and Jan Obłój
Boston University - Department of Mathematics and Statistics and University of Oxford
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Utility Maximization Under Model Uncertainty in Discrete Time
Mathematical Finance, Vol. 26, Issue 2, pp. 252-268, 2016
Marcel Nutz
Columbia University
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Comparing Local Risks by Acceptance and Rejection
Mathematical Finance, Vol. 26, Issue 2, pp. 412-430, 2016
Amnon Schreiber
Hebrew University of Jerusalem
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Measuring Distribution Model Risk
Mathematical Finance, Vol. 26, Issue 2, pp. 395-411, 2016
Thomas Breuer and Imre Csiszar
University of Applied Sciences Vorarlberg and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Resilience to Contagion in Financial Networks
Mathematical Finance, Vol. 26, Issue 2, pp. 329-365, 2016
Hamed Amini, Rama Cont and Andreea Minca
Ecole Polytechnique Fédérale de Lausanne, Imperial College London and Cornell University
Date Posted: March 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A New Look at Short‐Term Implied Volatility in Asset Price Models with Jumps
Mathematical Finance, Vol. 26, Issue 1, pp. 149-183, 2016
Aleksandar Mijatovic and Peter Tankov
Imperial College London and Ecole Polytechnique, Paris
Date Posted: January 13, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Behavioral Portfolio Selection: Asymptotics and Stability Along a Sequence of Models
Mathematical Finance, Vol. 26, Issue 1, pp. 51-85, 2016
Christian Reichlin
ETH Zurich
Date Posted: January 13, 2016
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Bessel Processes, Stochastic Volatility, and Timer Options
Mathematical Finance, Vol. 26, Issue 1, pp. 122-148, 2016
Chenxu Li
Peking University
Date Posted: January 13, 2016
Accepted Paper Series

Incl. Fee Electronic Paper CVaR Hedging Using Quantization‐Based Stochastic Approximation Algorithm
Mathematical Finance, Vol. 26, Issue 1, pp. 184-229, 2016
O. Bardou, N. Frikha and G. Pages
GMS Management Solutions S.L. - Risk Department, Université Paris Diderot - Laboratoire de Probabilités et Modèles Aléatoires (LPMA) and Université Paris VI Pierre et Marie Curie
Date Posted: January 13, 2016
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Hope, Fear, and Aspirations
Mathematical Finance, Vol. 26, Issue 1, pp. 3-50, 2016
Xue Dong He and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Date Posted: January 13, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Linked Recursive Preferences and Optimality
Mathematical Finance, Vol. 26, Issue 1, pp. 86-121, 2016
Shlomo Levental, Sumit Sinha and Mark D. Schroder
Michigan State University, Michigan State University and Michigan State University - The Eli Broad Graduate School of Management
Date Posted: January 13, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A General Equilibrium Model of a Multifirm Moral‐Hazard Economy with Financial Markets
Mathematical Finance, Vol. 25, Issue 4, pp. 827-868, 2015
Jaeyoung Sung and Xuhu Wan
Ajou University and Hong Kong University of Science & Technology (HKUST)
Date Posted: September 14, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Long Horizons, High Risk Aversion, and Endogenous Spreads
Mathematical Finance, Vol. 25, Issue 4, pp. 724-753, 2015
Paolo Guasoni and Johannes Muhle-Karbe
Boston University - Department of Mathematics and Statistics and University of Michigan at Ann Arbor
Date Posted: September 14, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Markets for Inflation‐Indexed Bonds as Mechanisms for Efficient Monetary Policy
Mathematical Finance, Vol. 25, Issue 4, pp. 869-889, 2015
Christian-Oliver Ewald and Johannes Geissler
University of Glasgow and University of St. Andrews - School of Economics and Finance
Date Posted: September 14, 2015
Accepted Paper Series

Incl. Fee Electronic Paper No‐Arbitrage Pricing for Dividend‐Paying Securities in Discrete‐Time Markets with Transaction Costs
Mathematical Finance, Vol. 25, Issue 4, pp. 673-701, 2015
Tomasz R. Bielecki, Igor Cialenco and Rodrigo Rodriguez
Illinois Institute of Technology, Illinois Institute of Technology and Illinois Institute of Technology
Date Posted: September 14, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Option Pricing and Hedging with Small Transaction Costs
Mathematical Finance, Vol. 25, Issue 4, pp. 702-723, 2015
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and University of Michigan at Ann Arbor
Date Posted: September 14, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Static Fund Separation of Long‐Term Investments
Mathematical Finance, Vol. 25, Issue 4, pp. 789-826, 2015
Paolo Guasoni and Scott Robertson
Boston University - Department of Mathematics and Statistics and Questrom School of Business, Boston University
Date Posted: September 14, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Risk Metrics and Fine Tuning of High Frequency Trading Strategies
Mathematical Finance, Vol. 25, Issue 3, pp. 576-611, 2015
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Date Posted: June 09, 2015
Accepted Paper Series

Incl. Fee Electronic Paper General Intensity Shapes in Optimal Liquidation
Mathematical Finance, Vol. 25, Issue 3, pp. 457-495, 2015
Olivier Edmond Guéant and Charles‐Albert Lehalle
Université Paris VII Denis Diderot and Capital Fund Management
Date Posted: June 05, 2015
Accepted Paper Series


 

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