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SSRN eLibrary Search Results
JEL Code: G13
2,510,376 Total downloads
Showing Papers 681 - 730 of 6,397
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Incl. Electronic Paper Convex Duality with Transaction Costs
Swiss Finance Institute Research Paper No. 16-71
Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Date Posted: December 07, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Using an Option Pricing Approach to Evaluate Strategic Decisions in a Rapidly Changing Climate: Black–Scholes and Climate Change
Climatic Change DOI 10.1007/s10584-016-1860-5
Matthew Sturm, Michael A. Goldstein, Henry Huntington and Thomas A. Douglas
University of Alaska-Fairbank - Geophysical Institute, Babson College - Finance Division, Huntington Consulting and U.S. Army Corps of Engineers
Date Posted: December 07, 2016
Accepted Paper Series
4 downloads

Incl. Electronic Paper A Generalised Contagion Process with an Application to Credit Risk
International Journal of Theoretical and Applied Finance, Forthcoming
Angelos Dassios and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Date Posted: December 06, 2016
Accepted Paper Series
7 downloads

Incl. Electronic Paper Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach
Tim Leung and Hyungbin Park
University of Washington and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Date Posted: December 06, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Increased Asset Volatility Does Not Always Increase Shareholder Value
Andres Rubio
R&F Consultores Financieros
Date Posted: December 06, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Risks and Their Rewards in Financial Markets: A Two Price Perspective
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: December 06, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper Time Consistent Pricing of Options with Embedded Decisions
Johannes Gerer and Gregor Dorfleitner
University of Regensburg - Department of Finance and Universität Regensburg
Date Posted: December 05, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution
Erik Gilje, Robert C. Ready and Nikolai L. Roussanov
University of Pennsylvania - The Wharton School, University of Rochester - Simon Business School and University of Pennsylvania - The Wharton School
Date Posted: December 02, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper The Evolution of Inflation Expectations in Euro Area Markets
Banco de Espana Working Paper No. 1627
Ricardo Gimeno and Eva Ortega
Bank of Spain and Bank of Spain, Research Department
Date Posted: December 01, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper The Implied Futures Financing Rate
Nicholas L Gunther, Robert M. Anderson and Lisa R. Goldberg
University of California, Berkeley, University of California, Berkeley - Department of Economics and University of California, Berkeley
Date Posted: December 01, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper Computation of Market Risk Measures with Stochastic Liquidity Horizon
Gemma Colldeforns-Papiol and Luis Ortiz-Gracia
Centre de Recerca Matemàtica and University of Barcelona
Date Posted: December 01, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Covered Call Writing in a Cumulative Prospect Theory Framework
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 35/WP/2016
Martina Nardon and Paolo Pianca
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Date Posted: December 01, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Community Rhino Farms
Keith Madders, Rowan Martin and Julian Sturgeon [Editors] (2014). Community Rhino Farms
Rowan B. Martin, Keith Madders and Julian Sturgeon
Independent, Resource Africa and Resource Africa
Date Posted: November 30, 2016
Accepted Paper Series
6 downloads

Incl. Electronic Paper Inattention in the Options Market
Assaf Eisdorfer, Ronnie Sadka and Alexei Zhdanov
University of Connecticut - Department of Finance, Boston College - Carroll School of Management and Pennsylvania State University
Date Posted: November 29, 2016
Working Paper Series
40 downloads

Incl. Electronic Paper From Utility Indifference Pricing to Risk Premium Pricing for a Contingent Claim on a Non-Tradable Asset
Antoine Conze
Hiram Finance
Date Posted: November 26, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Expectations and Financial Markets: The Case of UK Referendum on EU Membership
Chen Gu and Ann Marie Hibbert
West Virginia University, College of Business & Economics, Department of Finance, Students and West Virginia University
Date Posted: November 25, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Informed Trading in Oil-Futures Market
USAEE Working Paper No. 16-289
Olivier Rousse and Benoît Sévi
Université Grenoble Alpes and University of Nantes
Date Posted: November 25, 2016
Working Paper Series
36 downloads

Incl. Electronic Paper Securities Lending Strategies, Valuation of Term Loans Using Option Theory (Presentation Slides)
Ravi Kashyap
Gain Knowledge Group
Date Posted: November 21, 2016
Working Paper Series
25 downloads

Incl. Electronic Paper Bear Beta
Zhongjin Lu and Scott Murray
University of Georgia - Department of Banking and Finance and J. Mack Robinson College of Business - Georgia State University
Date Posted: November 20, 2016
Working Paper Series
89 downloads

Incl. Electronic Paper Informed Trading in Oil-Futures Market
FEEM Working Paper No. 70.2016
Olivier Rousse and Benoît Sévi
Université Grenoble Alpes and University of Nantes
Date Posted: November 18, 2016
Working Paper Series
54 downloads

Incl. Electronic Paper Representation of Homothetic Forward Performance Processes in Stochastic Factor Models Via Ergodic and Infinite Horizon BSDE
Gechun Liang and Thaleia Zariphopoulou
King's College London - Department of Mathematics and University of Texas at Austin (Mathematics and IROM)
Date Posted: November 17, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Empirical Pricing Kernels: A Tale of Two Tails and Volatility?
Horatio Cuesdeanu
University of Konstanz - Department of Economics
Date Posted: November 17, 2016
Last Revised: November 23, 2016
Working Paper Series
46 downloads

Incl. Electronic Paper Ethanol Hedging Strategies Using Dynamic Multivariate GARCH
Sergio Garcia
University of Texas - Rio Grande Valley
Date Posted: November 16, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Pricing American Options Under High-Dimensional Models with Recursive Adaptive Sparse Expectations
Simon Scheidegger and Adrien Treccani
University of Zurich and University of Zurich
Date Posted: November 11, 2016
Working Paper Series
30 downloads

Incl. Electronic Paper Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?
Sophie X. Ni, Neil D. Pearson, Allen M. Poteshman and Joshua S. White
Hong Kong University of Science and Technology, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Date Posted: November 10, 2016
Working Paper Series
52 downloads

Incl. Electronic Paper An Algebraic Model for Hedging Equity Index Portfolios with Stock Index Futures. Evidence from the IBEX 35
Javier Sánchez-Verdasco
Incompany Formación en Finanzas
Date Posted: November 10, 2016
Last Revised: November 25, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper S&P 500 Index, an Option Implied Risk Analysis
Swiss Finance Institute Research Paper No. 16-62
Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala
Swiss Finance Institute, Swiss Finance Institute and ESADE Business School
Date Posted: November 09, 2016
Last Revised: November 12, 2016
Working Paper Series
74 downloads

Incl. Electronic Paper How Risk-Mitigating Are the ECB's Unconventional Monetary Policy Announcements? Evidence from Risk-Neutral Densities
Anja Frommherz
University of Basel - Department of Finance
Date Posted: November 07, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
FEDS Working Paper No. 2016-087
Wenxin Du, Salil Gadgil, Michael B. Gordy and Clara Vega
Federal Reserve Board, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve and Board of Governors of the Federal Reserve System
Date Posted: November 07, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models
Bertram Düring, Christian Hendricks and James Miles
University of Sussex - School of Mathematical and Physical Sciences, Bergische Universitat Wuppertal and University of Sussex - School of Mathematical and Physical Sciences
Date Posted: November 05, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper How Fundamental is the One-Period Trinomial Model to European Option Pricing Bounds. A New Methodological Approach
Finance Research Letters, Forthcoming
Yann Braouezec
IESEG School of Management, LEM CNRS
Date Posted: November 03, 2016
Accepted Paper Series
15 downloads

Incl. Electronic Paper Expected Oil Prices and Stock Returns
W. Keener Hughen
Sacred Heart University
Date Posted: November 03, 2016
Working Paper Series
33 downloads

Incl. Electronic Paper Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities
International Journal of Financial Studies, (2015) Vol. 3, No. 2. 136-150.
Tao Pang, Yipeng Yang and Dai Zhao
North Carolina State University, University of Houston, Clear Lake and affiliation not provided to SSRN
Date Posted: November 02, 2016
Accepted Paper Series
12 downloads

Incl. Electronic Paper Why Have M&A Contracts Grown? Evidence from Twenty Years of Deals
Harvard Law School John M. Olin Center Discussion Paper No. 889, European Corporate Governance Institute (ECGI) - Law Working Paper No. 333/2016
John C. Coates, IV
Harvard Law School
Date Posted: November 02, 2016
Last Revised: November 08, 2016
Working Paper Series
257 downloads

Incl. Electronic Paper Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids
Bertram Düring and Christof Heuer
University of Sussex - School of Mathematical and Physical Sciences and University of Sussex - School of Mathematical and Physical Sciences
Date Posted: November 02, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Crash Risk in Individual Stocks
Paola Pederzoli
University of Geneva
Date Posted: November 01, 2016
Last Revised: November 19, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Volatility Smile and Risk Neutral Density for FX Options: An Example for the USDMXN
Luis Murra
Independent
Date Posted: November 01, 2016
Last Revised: November 03, 2016
Working Paper Series
44 downloads

Incl. Electronic Paper Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets
Journal of Derivatives, Forthcoming
Peter Christoffersen, Kris Jacobs and Bingxin Li
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and West Virginia University
Date Posted: November 01, 2016
Accepted Paper Series
25 downloads

Incl. Electronic Paper Equity Misvaluation and Default Options
Assaf Eisdorfer, Amit Goyal and Alexei Zhdanov
University of Connecticut - Department of Finance, University of Lausanne and Pennsylvania State University
Date Posted: October 29, 2016
Last Revised: November 03, 2016
Working Paper Series
51 downloads

Incl. Electronic Paper Understanding the Non-Convergence of Agricultural Futures Via Stochastic Storage Costs and Timing Options
Kevin Guo and Tim Leung
Columbia University and University of Washington
Date Posted: October 29, 2016
Last Revised: November 06, 2016
Working Paper Series
32 downloads

Incl. Electronic Paper First Passage Times of the SABR Model: Asymptotics and Application
Nian Yang and Xiangwei Wan
Department of Finance and Insurance, Nanjing University and Shanghai Jiao Tong University - Antai College of Economics & Management
Date Posted: October 29, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper It Takes All Sorts: A Heterogeneous Agent Explanation of State-Contingent Claims Mispricing
Valerio Restocchi, Frank McGroarty, Enrico Gerding and Johnnie E.V. Johnson
University of Southampton - Southampton Business School, University of Southampton - School of Management, University of Southampton - School of Electronics and Computer Science (ECS) and University of Southampton
Date Posted: October 26, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Do Oil Futures Prices Predict Stock Returns?
I-Hsuan Ethan Chiang and W. Keener Hughen
University of North Carolina (UNC) at Charlotte and Sacred Heart University
Date Posted: October 25, 2016
Working Paper Series
128 downloads

Incl. Fee Electronic Paper A Macrofinance View of U.S. Sovereign CDS Premiums
CEPR Discussion Paper No. DP11576
Mikhail Chernov, Lukas Schmid and Andres Schneider
UCLA Anderson, Duke University - The Fuqua School of Business and University of California, Los Angeles (UCLA) - Department of Economics
Date Posted: October 24, 2016
Working Paper Series

Option Pricing Theory And Its Unintended Consequences
The Journal of Investing, Vol. 7, No. 1, pp. 12-14, Spring 1998
Bruce I. Jacobs, Ph.D.
Jacobs Levy Equity Management
Date Posted: October 24, 2016
Accepted Paper Series

Momentum Trading: The New Alchemy
The Journal of Investing, Vol. 9, No. 4, pp. 6-8, Winter 2000
Bruce I. Jacobs, Ph.D.
Jacobs Levy Equity Management
Date Posted: October 24, 2016
Accepted Paper Series

Incl. Electronic Paper Lifetime PD Analytics for Credit Portfolios: A Survey
Vivien Brunel
Société Générale
Date Posted: October 24, 2016
Last Revised: November 10, 2016
Working Paper Series
207 downloads

When Seemingly Infallible Arbitrage Strategies Fail
The Journal of Investing, Vol. 8, No. 1, pp. 9-10, Spring 1999
Bruce I. Jacobs, Ph.D.
Jacobs Levy Equity Management
Date Posted: October 24, 2016
Accepted Paper Series

Incl. Electronic Paper Pricing Options with Complex Fourier Series
Ron Chan
University of East London - Royal Docks Business School
Date Posted: October 22, 2016
Last Revised: November 21, 2016
Working Paper Series
40 downloads

The Financialization of Food?
American Journal of Agricultural Economics, Forthcoming
Valentina Bruno, Bahattin Buyuksahin and Michel A. Robe
American University - Department of Finance and Real Estate, Bank of Canada and American University - Kogod School of Business
Date Posted: October 22, 2016
Accepted Paper Series


 

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