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SSRN eLibrary Search Results
JEL Code: G13
2,567,833 Total downloads
Showing Papers 1,481 - 1,530 of 6,508
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Incl. Electronic Paper Commodity Option Implied Volatilities and the Expected Futures Returns
Lin Gao
Luxembourg School of Finance
Date Posted: March 24, 2017
Working Paper Series
50 downloads

Incl. Electronic Paper Profitability and Capital Requirements for Banks Issuing Deposits
Giancarlo Mazzoni
LUISS Guido Carli University
Date Posted: March 24, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Pathetic Protection: The Elusive Benefits of Protective Puts
Roni Israelov
AQR Capital Management, LLC
Date Posted: March 23, 2017
Working Paper Series
66 downloads

Incl. Electronic Paper An Option Theory of Social Networks
Kim R. Sawyer and André Gygax
University of Melbourne - School of Historical and Philosophical Studies and University of Melbourne - Department of Finance
Date Posted: March 22, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper An Empirical Study on the Lead-Lag Relationship between Five-Year Chinese Government Spot Bonds and Futures Markets
Journal of International Trade & Commerce, Vol.13, No.1, pp.49-67
Rong-Yuan Qin and Ji-Hun Heo
Yunyang Teachers College and Yeungnam University
Date Posted: March 22, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal Portfolios
Alberto Bueno-Guerrero, Manuel Moreno and Javier F. Navas
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Date Posted: March 21, 2017
Working Paper Series
27 downloads

Incl. Electronic Paper Dynamics of Market Anomalies and Measurement Errors of Risk-Free Interest Rates
C. H. Hui, Chi-Fai Lo and Chin-To Fung
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Date Posted: March 20, 2017
Working Paper Series
15 downloads

A Parsimonious Risk Factor Model for Global Commodity Future Market
Zhenya Liu and Weiqing Tang
Renmin University of China and University of Birmingham, Department of Economics, Students
Date Posted: March 16, 2017
Working Paper Series

Incl. Electronic Paper Consistent XVA Metrics Part I: Single-Currency
Mats Kjaer
Bloomberg L.P.
Date Posted: March 15, 2017
Working Paper Series
37 downloads

Incl. Electronic Paper Consistent XVA Metrics Part II: Multi-Currency
Mats Kjaer
Bloomberg L.P.
Date Posted: March 15, 2017
Working Paper Series
37 downloads

Incl. Electronic Paper Comparison of Copulas for CDO valuation
Marek Kolman
University of Economics
Date Posted: March 15, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Swap Valuation with Dual Curves - Approximations
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Date Posted: March 14, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper Valuing Employee Stock Options with Exogenous and Endogenous Early Exercise
Yan Wendy Wu and Robert A. Jones
Wilfrid Laurier University and Simon Fraser University (SFU) - Department of Economics
Date Posted: March 13, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Identifying Speculative Demand Shocks in Commodity Futures Markets Through Changes in Volatility
DIW Berlin Discussion Paper No. 1646
Michael Hachula and Malte Rieth
Freie Universitat Berlin and German Institute for Economic Research (DIW Berlin)
Date Posted: March 10, 2017
Accepted Paper Series
42 downloads

Incl. Electronic Paper Interest Rate Trees: Extensions and Applications
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Date Posted: March 09, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper Modelos de valoración de dos Estados (Two-State Valuation Models)
John Freddy Moreno Trujillo
Universidad Externado de Colombia - Facultad de Finanzas, Gobierno y Relaciones Internacionales
Date Posted: March 08, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Market Discipline through Credit Ratings and Too-Big-to-Fail in Banking
Swiss Finance Institute Research Paper No. 17-09
Sascha Kolaric, Florian Kiesel and Steven Ongena
Technische Universität Darmstadt, Technische Universität Darmstadt and University of Zurich - Department of Banking and Finance
Date Posted: March 07, 2017
Working Paper Series
66 downloads

Incl. Electronic Paper Beta Risk in the Cross-Section of Equities
Ali Boloorforoosh, Peter Christoffersen, Mathieu Fournier and Christian Gourieroux
Concordia University, University of Toronto - Rotman School of Management, HEC Montreal and University of Toronto - Department of Economics
Date Posted: March 03, 2017
Working Paper Series
74 downloads

Incl. Electronic Paper Can Exchange Rate Dynamics in Krugman's Target-Zone Model Be Directly Tested?
HKIMR Working Paper No. 03/2017
C. H. Hui, Chi-Fai Lo and Po-Hon Chau
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Date Posted: March 01, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper First Hitting Time of Integral Diffusions and Applications
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology and Marist College - Department of mathematics
Date Posted: February 27, 2017
Working Paper Series
19 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
23 downloads

Asset Price Volatility and Efficient Discrimination in Credit Market Equilibrium
The International Journal of Business and Finance Research, v. 10 (4) p. 91-101
David B. Nickerson
Ryerson University, TGSM
Date Posted: February 24, 2017
Accepted Paper Series

Incl. Electronic Paper MVA Optimisation with Machine Learning Algorithms
Alexei Kondratyev and George Giorgidze
Standard Chartered Bank and Standard Chartered Bank
Date Posted: February 23, 2017
Working Paper Series
98 downloads

Incl. Electronic Paper Conic Asset Pricing and the Costs of Price Fluctuations
Robert H. Smith School Research Paper No. RHS 2921365
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Date Posted: February 23, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper Expected Stock Returns
Ana Gonzalez-Urteaga, Belen Nieto and Gonzalo Rubio
Public University of Navarre, University of Alicante and Universidad CEU Cardenal Herrera
Date Posted: February 22, 2017
Last Revised: February 24, 2017
Working Paper Series
39 downloads

Incl. Electronic Paper Product Market Competition and Option Prices
Swiss Finance Institute Research Paper No. 17-07
Erwan Morellec and Alexei Zhdanov
Ecole Polytechnique Fédérale de Lausanne and Pennsylvania State University
Date Posted: February 17, 2017
Last Revised: February 27, 2017
Working Paper Series
53 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
172 downloads

Incl. Electronic Paper Estimating the Risk of Joint Defaults: An Application to Central Bank Collateralized Lending Operations
NBP Working Paper No. 181
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and National Bank of Poland
Date Posted: February 11, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Loading Pricing of Long-Dated, Insurance-Type Contracts
Eckhard Platen and David Taylor
University of Technology, Sydney (UTS) - School of Finance and Economics and African Institute of Financial Markets & Risk Management
Date Posted: February 10, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Do Cointegrated Commodities Bubble Together? The Case of Hog, Corn, and Soybean
Finance Research Letters, Forthcoming
Christos Alexakis, Guillaume Bagnarosa and Michael M. Dowling
ESC Rennes School of Business, ESC Rennes and ESC Rennes School of Business
Date Posted: February 10, 2017
Working Paper Series
97 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
96 downloads

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
60 downloads

Incl. Electronic Paper Exploring Consumers' Preferences with Regard to Department Stores in Vietnam: An Empirical Assessment of the Multi-Attributes of Store Image
Proceedings of the Annual Vietnam Academic Research Conference on Global Business, Economics, Finance & Social Sciences (AP16Vietnam Conference) ISBN: 978-1-943579-92-1 Hanoi-Vietnam. 7-9 August, 2016. Paper ID: V673
Viet Dung Trinh and Thanh Thao Huynh
Curtin University of Technology - Curtin Business School - Bentley Campus and Vietnam National University - Ho Chi Minh City (VNU-HCM) - International University
Date Posted: February 08, 2017
Last Revised: February 09, 2017
Accepted Paper Series
10 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
31 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
87 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
10 downloads

Incl. Electronic Paper Market Value of Life Insurance Contracts Under Stochastic Interest Rates and Default Risk
Insurance: Mathematics and Economics, Vol. 36, No. 3, 2005
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Date Posted: February 08, 2017
Accepted Paper Series
7 downloads

Incl. Electronic Paper A Study of Mutual Insurance for Bank Deposits
Geneva Risk and Insurance Review, Vol. 30, No. 2, 2005
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Date Posted: February 08, 2017
Accepted Paper Series
1 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
30 downloads

Incl. Electronic Paper Losing Money on the Margin
Daniel Ladley, Guanqing Liu and James Rockey
University of Leicester - Department of Economics, University of Leicester - Department of Economics and University of Leicester
Date Posted: February 06, 2017
Working Paper Series
31 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
58 downloads

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
Last Revised: March 17, 2017
Working Paper Series
267 downloads

Incl. Electronic Paper Tail Co-Movement in Inflation Expectations as an Indicator of Anchoring
ECB Working Paper No. 1997
Filippo Natoli and Laura Sigalotti
Bank of Italy and Bank of Italy
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 Rational Mispricing with Unpredictable Demand Shocks
Majid Hasan
EDHEC Business School (EDHEC), Students
Date Posted: February 03, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper European Banks' Implied Recovery Rates
Wouter Heynderickx, Jessica Cariboni, Wim Schoutens and Bert F. Smits
Joint Research Center of the European Commission, European Commission Joint Research Center, KU Leuven - Department of Mathematics and University of Antwerp - Department of Accounting & Finance
Date Posted: February 02, 2017
Last Revised: March 06, 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
39 downloads

Incl. Electronic Paper Enhancing Agricultural Market Information Services is Necessary for Efficient Trading in Agricultural Commodity Derivatives
Tulsi Lingareddy
Economic and Political Weekly Research Foundation (EPWRF)
Date Posted: February 01, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper Default Contagion and Systemic Risk in the Presence of Credit Default Swaps
Katsumasa Nishide, Teruyoshi Suzuki and Kyoko Yagi
Graduate School of Economics, Hitotsubashi University, Hokkaido Univeristy and Tokyo Metropolitan University
Date Posted: February 01, 2017
Working Paper Series
32 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
86 downloads


 

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