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SSRN eLibrary Search Results
JEL Code: G13
2,551,388 Total downloads
Showing Papers 161 - 210 of 6,487
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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 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
3 downloads

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
38 downloads

Incl. Electronic Paper Conic Asset Pricing and the Costs of Price Fluctuations
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
12 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
9 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
24 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
158 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
21 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
9 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
72 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 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 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
7 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
56 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 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
5 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
23 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
29 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 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
191 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
4 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
1 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: February 10, 2017
Working Paper Series
14 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 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
14 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
20 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

Return Seasonality in the Foreign Exchange Market
Applied Economics Letters, Forthcoming
Yiuman Tse
University of Missouri at Saint Louis
Date Posted: February 01, 2017
Accepted Paper Series

Incl. Electronic Paper Good Deal Indices in Asset Pricing: Actuarial and Financial Implications
Alejandro Balbás, José Garrido and Ramin Okhrati
Universidad Carlos III de Madrid - Department of Business Administration, Concordia University, Quebec - Department of Mathematics & Statistics and University of Southampton - School of Mathematics
Date Posted: February 01, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads
Sirio Aramonte, Mohammad R. Jahan-Parvar, Samuel Rosen and John W. Schindler
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, University of North Carolina, Kenan-Flagler Business School and Board of Governors of the Federal Reserve System
Date Posted: January 31, 2017
Working Paper Series
44 downloads

Incl. Electronic Paper Risk Premium Estimation in the Colombian Foreign Exchange Market
Javier Pantoja, Federico Mejía-Posada and Sebastián Bedoya-Ríos
Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF), Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF), Students and Universidad EAFIT
Date Posted: January 28, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper From Volatility Smile to Risk Neutral Probability and Closed Form Solution of Local Volatility Function
Quantitative Finance, Forthcoming
Stephen H.T. Lihn
Novus Partners, Inc.
Date Posted: January 27, 2017
Last Revised: February 08, 2017
Working Paper Series
52 downloads

Incl. Electronic Paper Option-Implied Correlations, Factor Models, and Market Risk
INSEAD Working Paper No. 2017/20/FIN
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
INSEAD, Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Date Posted: January 27, 2017
Last Revised: February 25, 2017
Working Paper Series
159 downloads

Incl. Electronic Paper Supply-Side Perspective for Carbon Pricing
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Date Posted: January 26, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Should CTT Be Retained or Removed in India? An Empirical Analysis Based on Economic Consequences and Market Micro-Structure Impacts
Sanjay Sehgal, Muneesh Kumar and Tarunika Jain Agrawal
University of Delhi, Department of Financial Studies, University of Delhi and Sri Aurobindo College
Date Posted: January 25, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Local, Stochastic, Local/Stochastic, Volatility Models – And Non-Models
Lorenzo Bergomi
Societe Generale
Date Posted: January 21, 2017
Working Paper Series
81 downloads

Incl. Electronic Paper Assessing Target Volatility Investment Strategies Using Stochastic Delayed Differential Models
Lorenzo Torricelli
Ludwig Maximilian University of Munich - Department of Mathematics
Date Posted: January 21, 2017
Working Paper Series
39 downloads

Incl. Electronic Paper Pricing Non-cash Collateralized Derivatives and Collateral Optimization with Liquidity Value Adjustment
Wujiang Lou
NYU/Courant
Date Posted: January 19, 2017
Last Revised: February 15, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Estimating Long-Term Volatility Parameters for Market-Consistent Models
South African Actuarial Journal, Vol. 14, 2014
Emlyn James Flint, Edru Ochse and Daniel A. Polakow
Peregrine Securities, Peregrine Securities and University of Cape Town (UCT)
Date Posted: January 17, 2017
Accepted Paper Series
20 downloads

Incl. Electronic Paper Pairs Trading to the Commodities Futures Market Using Cointegration Method
International Journal of Commerce and Finance, Vol. 1, Issue 1, 2015, 25-38
Cuneyt Ungever
Istanbul Commerce University, Students
Date Posted: January 15, 2017
Accepted Paper Series
131 downloads

Incl. Electronic Paper The Informational Role of Thin Options Markets: Empirical Evidence of the Spanish Case (El Papel Informativo De Los Mercados De Opciones Estrechos: Evidencia Empírica Del Caso Español)
C. Jose Garcia, Begoña Herrero and Ana M. Ibáñez
University of Valencia - Department of Corporate Finance, University of Valencia - Department of Corporate Finance and University of Valencia - Department of Corporate Finance
Date Posted: January 13, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Zeroing In: Asset Pricing at the Zero Lower Bound
Mohsan A Bilal
New York University (NYU) - Leonard N. Stern School of Business
Date Posted: January 13, 2017
Last Revised: January 24, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Mispriced Index Option Portfolios
George M. Constantinides, Michal Czerwonko and Stylianos Perrakis
University of Chicago - Booth School of Business, Concordia University and Concordia University, Quebec - John Molson School of Business
Date Posted: January 12, 2017
Working Paper Series
46 downloads

Incl. Electronic Paper A Refined Bid Stack Model for the Multi-Technology Merit Order of Electricity Markets
Thomas Wottka
RWE Group - RWE Supply & Trading GmbH
Date Posted: January 12, 2017
Last Revised: February 05, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper BTP Futures and Cash Relationships: A High Frequency Data Analysis
Bank of Italy Temi di Discussione (Working Paper) No. 1083
Onofrio Panzarino, Francesco Potente and Alfonso Puorro
Bank of Italy, Bank of Italy and Bank of Italy
Date Posted: January 11, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Costs of Capital under Credit Risk
Peter Reichling and Anastasiia Zbandut
Otto-von-Guericke University Magdeburg and University of Magdeburg
Date Posted: January 10, 2017
Last Revised: January 26, 2017
Working Paper Series
68 downloads

Incl. Electronic Paper Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model
Ludger Overbeck and Johannes Weckend
University of Giessen and Independent
Date Posted: January 10, 2017
Working Paper Series
20 downloads


 

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