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SSRN eLibrary Search Results
JEL Code: G13
2,601,253 Total downloads
Showing Papers 2,451 - 2,500 of 6,563
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1 2 3 4 ... 132 | Next >
   

Incl. Electronic Paper The Leverage Effect and the Basket-Index Put Spread
Robert S. Goldstein and Fan Yang
University of Minnesota - Twin Cities and University of Connecticut
Date Posted: May 28, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
FIRN Research Paper
Mesias Alfeus, Martino Grasselli and Erik Schlogl
UTS Business School/Finance Discipline group, University of Padova - Department of Mathematics and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Date Posted: May 25, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Pricing Catastrophe Bonds Based on a Left-Truncated Loss Index
Mario Giuricich and Krzysztof Burnecki
University of Cape Town - Faculty of Commerce and Hugo Steinhaus Center
Date Posted: May 25, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper A Reconsideration of the Equity Premium Puzzle
Miguel Cantillo
Universidad de Costa Rica
Date Posted: May 24, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper The Information Content of the Term Structure of Risk-Neutral Skewness
Paul Borochin, Hao Chang and Yangru Wu
University of Connecticut - School of Business, Rutgers, The State University of New Jersey - Rutgers Business School and Rutgers University, Newark - School of Business - Department of Finance & Economics
Date Posted: May 20, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Adjusting Option Pricing Models for Informative Starting Points
Hammad Siddiqi
University of Queensland
Date Posted: May 20, 2017
Last Revised: May 22, 2017
Working Paper Series
16 downloads

Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps
Ioannis Kyriakou, Panos K. Pouliasis, Nikos C. Papapostolou and Kostas D. Andriosopoulos
City University London - Sir John Cass Business School, Sir John Cass Business School, Cass Business School, City, University of London and ESCP Europe Business School
Date Posted: May 20, 2017
Working Paper Series

Incl. Electronic Paper Gaussian Quadrature Method for Pricing American and Exotic Options in a Jump-Diffusion Process
Pei-Shih Weng and Wei-Che Tsai
National Dong Hwa University and National Sun Yat-sen University - Department of Finance
Date Posted: May 18, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Long-Dated Swaption Volatility Approximation in the Forward-LIBOR Model
Jacques van Appel, Thomas A McWalter and Johan de Kock
University of Johannesburg, University of Cape Town (UCT) and Libfin, Liberty Life
Date Posted: May 17, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Testing for Convexity Relevance: An IFRS 9 Benchmark Cashflow Test Proposal
Luigi A. Cefis
Intesa SanPaolo SpA
Date Posted: May 17, 2017
Last Revised: May 24, 2017
Working Paper Series
60 downloads

Incl. Electronic Paper A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion
Renato Faccini, Eirini Konstantinidi, George S. Skiadopoulos and Sylvia Sarantopoulou-Chiourea
Queen Mary, University of London, University of Manchester - Manchester Business School, University of Piraeus and University of Piraeus
Date Posted: May 17, 2017
Working Paper Series
46 downloads

Incl. Electronic Paper Optimising Cross-Asset Carry
"Factor Investing", Elsevier & ISTE Press, 2017 (Forthcoming)
Nick Baltas
Imperial College Business School
Date Posted: May 17, 2017
Accepted Paper Series
127 downloads

Incl. Electronic Paper Multivariate Modeling and Analysis of Regional Ocean Freight Rates
Roar Adland, Fred Espen Benth and Steen Koekebakker
Norwegian School of Economics (NHH), University of Oslo and School of Business and Law at the University of Agder
Date Posted: May 16, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Arbitrage and Its Physical Limits
Louis H. Ederington, Chitru S. Fernando, Kateryna V. Holland and Scott C. Linn
University of Oklahoma - Division of Finance, University of Oklahoma - Michael F. Price College of Business, Purdue University - Division of Finance and University of Oklahoma - Michael F. Price College of Business
Date Posted: May 15, 2017
Last Revised: May 17, 2017
Working Paper Series
70 downloads

Incl. Electronic Paper Random Geometric Analysis in the Stochastic Volatility: Financial Markets States Degeneracy
Analysis and Computations Journal, Forthcoming
Siyabonga Goodwill Chule
Mathematical Sciences (MS) centre, the African Institute for MS
Date Posted: May 15, 2017
Last Revised: May 22, 2017
Accepted Paper Series
23 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: May 15, 2017
Working Paper Series
67 downloads

Incl. Electronic Paper A Note on the Impact of Management Fees on the Pricing of Variable Annuity Guarantees
Jin Sun, Pavel Shevchenko and Man Chung Fung
University of Technology Sydney (UTS), Macquarie University and CSIRO
Date Posted: May 13, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Investing for the Long Run
Dietmar Leisen and Eckhard Platen
University of Mainz - Department of Banking and University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: May 11, 2017
Working Paper Series
69 downloads

Incl. Electronic Paper News and Social Media Emotions in the Commodity Market
Review of Behavioral Finance, Forthcoming
Jiancheng Shen, Mohammad Najand, Feng Dong and Wu He
Regent University - Finance, Old Dominion University - Finance, Old Dominion University - College of Business & Public Administration and Old Dominion University - College of Business & Public Administration
Date Posted: May 11, 2017
Accepted Paper Series
63 downloads

Incl. Electronic Paper Time-Varying Uncertainty and Jump Intensities: Why Should Variance Jumps Be Different?
Alexander Kraftschik
University of Muenster - Finance Center Muenster
Date Posted: May 09, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Accounting Quality, Information Risk and the Term Structure of Implied Volatility around Earnings Announcements
Research in International Business and Finance, Forthcoming
Seraina C. Anagnostopoulou and Andrianos E. Tsekrekos
ESCP Europe and Athens University of Economics and Business - Department of Accounting and Finance
Date Posted: May 09, 2017
Accepted Paper Series
66 downloads

Incl. Electronic Paper Unspanned Stochastic Volatility in the Multi-Factor CIR Model
Swiss Finance Institute Research Paper No. 17-13
Damir Filipović, Martin Larsson and Francesco Statti
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Date Posted: May 08, 2017
Last Revised: May 20, 2017
Working Paper Series
39 downloads

Incl. Electronic Paper The Iberian Electricity Market: Price Dynamics and Risk Premium in an Illiquid Market
Márcio Ferreira and Helder Sebastião
University of Coimbra and Faculty of Economics - University of Coimbra
Date Posted: May 03, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper Noise Traders, Mispricing, and Price Adjustments in Derivatives Markets
Doojin Ryu, Seongkyu Gilbert Park and Heejin Yang
Sungkyunkwan University, Hong Kong Polytechnic University and Sungkyunkwan University
Date Posted: May 02, 2017
Working Paper Series
46 downloads

Incl. Electronic Paper From Quadratic Gaussian to Quantum Groups: Exploiting Duality in Modelling IR-FX Hybrids (Presentation Slides)
Presented at the Global Derivatives Trading & Risk Management Conference, Barcelona, May 2017
Paul McCloud
University College London - Department of Mathematics
Date Posted: May 02, 2017
Working Paper Series
34 downloads

Static Hedging and Pricing American Knock-Out Options
Journal of Derivatives, Forthcoming
Chung San-Lin, Pai-Ta Shih and Wei-Che Tsai
National Taiwan University, Department of Finance, National Taiwan University and National Sun Yat-sen University - Department of Finance
Date Posted: May 02, 2017
Working Paper Series

Incl. Electronic Paper Duality in Mathematical Finance
Paul McCloud
University College London - Department of Mathematics
Date Posted: May 02, 2017
Last Revised: May 05, 2017
Working Paper Series
70 downloads

Incl. Electronic Paper Does the Ross Recovery Theorem Work Empirically?
Jens Carsten Jackwerth and Marco Menner
University of Konstanz - Department of Economics and University of Konstanz - Department of Economics
Date Posted: May 01, 2017
Last Revised: May 18, 2017
Working Paper Series
50 downloads

A New Government Bond Volatility Index Predictor for the U.S. Equity Premium
Pacific Basin Finance Journal, Forthcoming
Zheyao Pan and Kam Fong Chan
University of Queensland, Business School and University of Queensland - Faculty of Business, Economics and Law
Date Posted: April 29, 2017
Accepted Paper Series

Incl. Electronic Paper Generating Options-Implied Probability Densities to Understand Oil Market Events
FRB International Finance Discussion Paper No. 1122
Deepa Dhume Datta, Juan M. Londono and Landon Ross
Federal Reserve Board, Federal Reserve Board of Governors and Board of Governors of the Federal Reserve System
Date Posted: April 27, 2017
Working Paper Series
30 downloads

Incl. Electronic Paper An Empirical Method for Calibrating LSV Mixing Weight
Yan Kuang
Independent
Date Posted: April 25, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper Asymptotic Asset Pricing and Bubbles
Alexandre F. Roch
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Date Posted: April 25, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Contingent Claims Analysis of Sovereign Default Risk in the Eurozone
Dennis Kahlert, Niklas Wagner and Ludwig Weipert
University of Passau, Passau University and University of Passau
Date Posted: April 24, 2017
Last Revised: May 01, 2017
Working Paper Series
37 downloads

Incl. Electronic Paper Informative Starting Points and Option Prices
Hammad Siddiqi
University of Queensland
Date Posted: April 24, 2017
Last Revised: May 19, 2017
Working Paper Series
45 downloads

Incl. Electronic Paper Enhancing Enterprise Value by Trading Options
Dilip B. Madan and Yazid Sharaiha
University of Maryland - Robert H. Smith School of Business and Norges Bank Investment Management (NBIM)
Date Posted: April 22, 2017
Working Paper Series
29 downloads

Incl. Electronic Paper The Skewness and Kurtosis of European Options and the Implications for Trade Sizing
Euan Sinclair and Reuben Brooks
FactorWave and Independent
Date Posted: April 21, 2017
Working Paper Series
65 downloads

Incl. Electronic Paper Thinking About Theta: An Analysis of Time Decay, Early Unwind and Closeout Feedback Effects
Anthony J. Seymour, Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT), Peregrine Securities and Peregrine Securities
Date Posted: April 19, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Jump Models
Bertram Düring and Alexander Pitkin
University of Sussex - School of Mathematical and Physical Sciences and University of Sussex - School of Mathematical and Physical Sciences
Date Posted: April 18, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Commodity Spot, Forward Prices, and Convenience Yield Under Incomplete Market
Katsushi Nakajima
Ritsumeikan Asia Pacific University, College of International Management
Date Posted: April 16, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Markets' Notion on Implied Volatility Risks: Insights from Model-Free VIX Futures Pricing
Hendrik Hülsbusch and Alexander Kraftschik
University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Date Posted: April 15, 2017
Last Revised: April 21, 2017
Working Paper Series
86 downloads

Incl. Electronic Paper Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders
Álvaro Cartea, Luhui Gan and Sebastian Jaimungal
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
Date Posted: April 13, 2017
Working Paper Series
85 downloads

Incl. Electronic Paper Bartlett's Delta in the SABR Model
Patrick Hagan and Andrew Lesniewski
AVM, L.P. and CUNY Baruch College
Date Posted: April 13, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper Quantization Meets Fourier: A New Technology for Pricing Options
Giorgia Callegaro, Lucio Fiorin and Martino Grasselli
University of Padua, University of Padua and University of Padova - Department of Mathematics
Date Posted: April 12, 2017
Working Paper Series
107 downloads

Incl. Electronic Paper Good Deal Hedging and Valuation Under Combined Uncertainty About Drift and Volatility
Dirk Becherer and Klebert Kentia
Humboldt University of Berlin - Faculty of Mathematics and Natural Sciences and Goethe-University Frankfurt am Main - Institute of Mathematics
Date Posted: April 12, 2017
Last Revised: April 18, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper Sharing R&D Risk in Healthcare via FDA Hedges
Becker Friedman Institute for Research in Economics Working Paper No. 2017-01
Adam Tejs Jørring, Andrew W. Lo, Tomas Philipson, Manita Singh and Richard T. Thakor
University of Chicago - Booth School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Chicago, Goldman Sachs and University of Minnesota - Carlson School of Management
Date Posted: April 07, 2017
Last Revised: April 17, 2017
Working Paper Series
30 downloads

Negative Interest Rates Effects on Option Pricing: Back to Basics?
Giacomo Burro, Pier Giuseppe Giribone, Simone Ligato, Martina Mulas and Francesca Querci
Independent, Independent, Independent, Independent and Università degli Studi di Genova
Date Posted: April 07, 2017
Working Paper Series

Incl. Electronic Paper An Indicator of Inflation Expectations Anchoring
Bank of Italy Temi di Discussione (Working Paper) No. 1103
Filippo Natoli and Laura Sigalotti
Bank of Italy and Bank of Italy
Date Posted: April 05, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper Algorithmic Differentiation for Discontinuous Payoffs
Roberto Daluiso and Giorgio Facchinetti
Banca IMI and Banca IMI
Date Posted: April 03, 2017
Working Paper Series
34 downloads

Incl. Electronic Paper Sharing R&D Risk in Healthcare via FDA Hedges
MIT Sloan Research Paper No. 5194-17
Adam Tejs Jørring, Andrew W. Lo, Tomas Philipson, Manita Singh and Richard T. Thakor
University of Chicago - Booth School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Chicago, Goldman Sachs and University of Minnesota - Carlson School of Management
Date Posted: April 03, 2017
Last Revised: April 13, 2017
Working Paper Series
219 downloads

Incl. Electronic Paper Financial Crisis of 2007 and Co-Integration of Global Markets
Ashraf, A. (2012). Financial Crisis of 2007 and Co-integration of Global Markets. Global Journal of Finance and Economics, 09 (01), 45-58
Ali Ashraf
Frostburg State University
Date Posted: April 03, 2017
Working Paper Series
24 downloads


 

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