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Content
2013
- 1309.0218 Exponential and power laws in public procurement markets
by Ladislav Kristoufek & Jiri Skuhrovec
- 1309.0110 ADI schemes for pricing American options under the Heston model
by Tinne Haentjens & Karel in 't Hout
- 1309.0046 The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations
by Xiaoshan Chen & Yu-Jui Huang & Qingshuo Song & Chao Zhu
- 1308.6759 Prospect Agents and the Feedback Effect on Price Fluctuations
by Yipeng Yang & Allanus Tsoi
- 1308.6756 Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
by Vladimir Filimonov & Didier Sornette
- 1308.6465 Optimal Payoffs under State-dependent Preferences
by Carole Bernard & Franck Moraux & Ludger Rueschendorf & Steven Vanduffel
- 1308.6387 Efficient hedging in general Black-Scholes model
by Kyong-Hui Kim & Myong-Guk Sin
- 1308.6256 G-consistent price system and bid-ask pricing for European contingent claims under Knightian uncertainty
by Wei Chen
- 1308.6148 Detrended Cross-Correlation Analysis Consistently Extended to Multifractality
by Pawe{l} O'swic{e}cimka & Stanis{l}aw Dro.zd.z & Marcin Forczek & Stanis{l}aw Jadach & Jaros{l}aw Kwapie'n
- 1308.6120 Can we still benefit from international diversification? The case of the Czech and German stock markets
by Krenar Avdulaj & Jozef Barunik
- 1308.5836 Semiparametric stochastic volatility modelling using penalized splines
by Roland Langrock & Th'eo Michelot & Alexander Sohn & Thomas Kneib
- 1308.5658 Following a Trend with an Exponential Moving Average: Analytical Results for a Gaussian Model
by D. S. Grebenkov & J. Serror
- 1308.5376 Energy, entropy, and arbitrage
by Soumik Pal & Ting-Kam Leonard Wong
- 1308.5152 Computation of ruin probabilities for general discrete-time Markov models
by Ilya Tkachev & Alessandro Abate
- 1308.5064 Analytical models of operational risk and new results on the correlation problem
by Vivien Brunel
- 1308.5019 A Taylor series approach to pricing and implied vol for LSV models
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci
- 1308.4363 Optimal robust bounds for variance options
by Alexander M. G. Cox & Jiajie Wang
- 1308.4276 Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
by Filip Zikes & Jozef Barunik
- 1308.3966 Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison
by Changki Kim & Yangho Choi & Woojoo Lee & Jae Youn Ahn
- 1308.3961 Portfolio return distributions: Sample statistics with non-stationary correlations
by Desislava Chetalova & Thilo A. Schmitt & Rudi Schafer & Thomas Guhr
- 1308.3892 Do the rich get richer? An empirical analysis of the BitCoin transaction network
by D'aniel Kondor & M'arton P'osfai & Istv'an Csabai & G'abor Vattay
- 1308.3668 Kinetic properties in inhomogeneous self-aware media
by A. Morozovskiy & A. A. Snarskii & I. V. Bezsudnov & V. A. Sevryukov & J. Malinsky
- 1308.3378 A pricing measure to explain the risk premium in power markets
by Fred Espen Benth & Salvador Ortiz-Latorre
- 1308.3331 Measuring risk with multiple eligible assets
by Walter Farkas & Pablo Koch-Medina & Cosimo Munari
- 1308.2957 Over-the-counter market models with several assets
by Alain B'elanger & Gaston Giroux & Miguel Moisan-Poisson
- 1308.2836 Regressions with Berkson errors in covariates - A nonparametric approach
by Susanne M. Schennach
- 1308.2732 A relative information approach to financial time series analysis using binary $N$-grams dictionaries
by Igor Borovikov & Michael Sadovsky
- 1308.2688 American options with gradual exercise under proportional transaction costs
by Alet Roux & Tomasz Zastawniak
- 1308.2608 On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix
by Taras Bodnar & Arjun K. Gupta & Nestor Parolya
- 1308.2572 Achieving Speedup in Aggregate Risk Analysis using Multiple GPUs
by A. K. Bahl & O. Baltzer & A. Rau-Chaplin & B. Varghese & A. Whiteway
- 1308.2326 Local Variance Gamma and Explicit Calibration to Option Prices
by Peter Carr & Sergey Nadtochiy
- 1308.2324 Optimal Dynamic Portfolio with Mean-CVaR Criterion
by Jing Li & Mingxin Xu
- 1308.2254 Optimal investment for all time horizons and Martin boundary of space-time diffusions
by Sergey Nadtochiy & Michael Tehranchi
- 1308.2250 Weak reflection principle for L\'evy processes
by Erhan Bayraktar & Sergey Nadtochiy
- 1308.2191 Econophysics Research in India in the last two Decades
by Asim Ghosh
- 1308.2172 Mean Field Games and Systemic Risk
by Rene Carmona & Jean-Pierre Fouque & Li-Hsien Sun
- 1308.1749 Fractality of profit landscapes and validation of time series models for stock prices
by Il Gu Yi & Gabjin Oh & Beom Jun Kim
- 1308.1704 A general Multidimensional Monte Carlo Approach for Dynamic Hedging under stochastic volatility
by Dorival Le~ao & Alberto Ohashi & Vinicius Siqueira
- 1308.1616 Complexity, Chaos, and the Duffing-Oscillator Model: An Analysis of Inventory Fluctuations in Markets
by Varsha S. Kulkarni
- 1308.1492 Admissible Trading Strategies under Transaction Costs
by Walter Schachermayer
- 1308.1321 Asset Allocation under the Basel Accord Risk Measures
by Zaiwen Wen & Xianhua Peng & Xin Liu & Xiaoling Sun & Xiaodi Bai
- 1308.1221 Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?
by Jozef Barunik & Evzen Kocenda & Lukas Vacha
- 1308.1154 Dynamic evolution of cross-correlations in the Chinese stock market
by Fei Ren & Wei-Xing Zhou
- 1308.0958 The Skin In The Game Heuristic for Protection Against Tail Events
by Nassim N. Taleb & Constantine Sandis
- 1308.0931 Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix
by Taras Bodnar & Arjun K. Gupta & Nestor Parolya
- 1308.0925 Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant
by Ming-Xia Li & Zhi-Qiang Jiang & Wen-Jie Xie & Xiong Xiong & Wei Zhang & Wei-Xing Zhou
- 1308.0889 The Financing of Innovative SMEs: a multicriteria credit rating model
by Silvia Angilella & Sebastiano Mazz`u
- 1308.0773 Network versus portfolio structure in financial systems
by Teruyoshi Kobayashi
- 1308.0669 Time-reversal asymmetry in financial systems
by X. F. Jiang & T. T. Chen & B. Zheng
- 1308.0665 Efficient valuation method for the SABR model
by Hyukjae Park
- 1308.0652 Efficient immunization strategies to prevent financial contagion
by Teruyoshi Kobayashi & Kohei Hasui
- 1308.0526 Detecting spatial homogeneity in the world trade web with Detrended Fluctuation Analysis
by Riccardo Chiarucci & Franco Ruzzenenti & Maria I. Loffredo
- 1308.0210 Gold, Oil, and Stocks
by Jozef Barunik & Evzen Kocenda & Lukas Vacha
- 1307.8308 Is it possible to predict long-term success with k-NN? Case Study of four market indices (FTSE100, DAX, HANGSENG, NASDAQ)
by Y. Shi & A. N. Gorban & T. Y. Yang
- 1307.8261 Liability-driven investment in longevity risk management
by Helena Aro & Teemu Pennanen
- 1307.8020 Systematic and non-systematic mortality risk in pension portfolios
by Helena Aro
- 1307.7244 Extracting information from the signature of a financial data stream
by Lajos Gergely Gyurk'o & Terry Lyons & Mark Kontkowski & Jonathan Field
- 1307.7178 A hybrid approach for the implementation of the Heston model
by Maya Briani & Lucia Caramellino & Antonino Zanette
- 1307.7070 An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
by Runhuan Feng & Hans W. Volkmer
- 1307.6974 Network Topologies of Financial Market During the Global Financial Crisis
by Ashadun Nobi & Seong Eun Maeng & Gyeong Gyun Ha & Jae Woo Lee
- 1307.6727 Quantum Tunneling of Stock Price in Range Bound Market Conditions
by Ovidiu Racorean
- 1307.6695 Where Do Thin Tails Come From?
by Nassim Nicholas Taleb
- 1307.6486 CVA for Bilateral Counterparty Risk under Alternative Settlement Conventions
by Cyril Durand & Marek Rutkowski
- 1307.6332 Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes
by Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart
- 1307.6322 Option pricing with non-Gaussian scaling and infinite-state switching volatility
by Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo
- 1307.6046 Mixed-correlated ARFIMA processes for power-law cross-correlations
by Ladislav Kristoufek
- 1307.6036 A Benchmark Approach to Risk-Minimization under Partial Information
by Claudia Ceci & Katia Colaneri & Alessandra Cretarola
- 1307.6020 When terminal facelift enforces Delta constraints
by Jean-Franc{c}ois Chassagneux & Romuald Elie & Idris Kharroubi
- 1307.5981 Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data
by Krenar Avdulaj & Jozef Barunik
- 1307.5975 Correct usage of transmission coefficient for timing the market
by Ovidiu Racorean
- 1307.5881 A Remark on the Structure of Expectiles
by Freddy Delbaen
- 1307.5617 Robust Quantitative Comparative Statics for a Multimarket Paradox
by Tobias Harks & Philipp von Falkenhausen
- 1307.5602 Uncertainty and absence of arbitrage opportunity
by Yaroslav Ivanenko & Illya Pasichnichenko
- 1307.5540 On the Pricing of Storable Commodities
by Dorje C. Brody & Lane P. Hughston & Xun Yang
- 1307.5440 Tick Size Reduction and Price Clustering in a FX Order Book
by Mehdi Lallouache & Fr'ed'eric Abergel
- 1307.5336 Good Debt or Bad Debt: Detecting Semantic Orientations in Economic Texts
by Pekka Malo & Ankur Sinha & Pyry Takala & Pekka Korhonen & Jyrki Wallenius
- 1307.5319 Tipping points in macroeconomic Agent-Based models
by Stanislao Gualdi & Marco Tarzia & Francesco Zamponi & Jean-Philippe Bouchaud
- 1307.5268 South African Riots: Repercussion of the Global Food Crisis and US Drought
by Yavni Bar-Yam & Marco Lagi & Yaneer Bar-Yam
- 1307.5163 Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures
by Gordan Zitkovic
- 1307.5122 Relativistic Black-Scholes model
by Maciej Trzetrzelewski
- 1307.4821 Power-law exponent of the Bouchaud-M\'ezard model on regular random network
by Takashi Ichinomiya
- 1307.4813 On utility maximization with derivatives under model uncertainty
by Erhan Bayraktar & Zhou Zhou
- 1307.4727 Testing power-law cross-correlations: Rescaled covariance test
by Ladislav Kristoufek
- 1307.4643 Predicting financial markets with Google Trends and not so random keywords
by Damien Challet & Ahmed Bel Hadj Ayed
- 1307.4591 Utility indifference valuation for non-smooth payoffs with an application to power derivatives
by Giuseppe Benedetti & Luciano Campi
- 1307.3672 Transformation Method for Solving Hamilton-Jacobi-Bellman Equation for Constrained Dynamic Stochastic Optimal Allocation Problem
by Sona Kilianova & Daniel Sevcovic
- 1307.3597 Utility Maximization under Model Uncertainty in Discrete Time
by Marcel Nutz
- 1307.3060 Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
by Ladislav Kristoufek & Miloslav Vosvrda
- 1307.2849 Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach
by Giorgio Ferrari & Frank Riedel & Jan-Henrik Steg
- 1307.2824 Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693
by Moshe A. Milevsky & Thomas S. Salisbury
- 1307.2562 Valuation Perspectives and Decompositions for Variable Annuities with GMWB riders
by Cody B. Hyndman & Menachem Wenger
- 1307.2493 On model-independent pricing/hedging using shortfall risk and quantiles
by Erhan Bayraktar & Zhou Zhou
- 1307.2465 Contraction or steady state? An analysis of credit risk management in Italy in the period 2008-2012
by Stefano Olgiati & Alessandro Danovi
- 1307.2436 Strict Local Martingales with Jumps
by Philip Protter
- 1307.2278 Collective Philanthropy: Describing and Modeling the Ecology of Giving
by William L. Gottesman & Andrew James Reagan & Peter Sheridan Dodds
- 1307.2218 Importance sampling for jump processes and applications to finance
by Laetitia Badouraly Kassim & J'er^ome Lelong & Imane Loumrhari
- 1307.2181 Geographical Variation in Project Cost Performance: The Netherlands versus Worldwide
by Chantal C. Cantarelli & Bent Flyvbjerg & S{o}ren L. Buhl
- 1307.2180 Explaining Cost Overruns of Large-Scale Transportation Infrastructure Projects using a Signalling Game
by Chantal C. Cantarelli & Caspar G. Chorus & Scott W. Cunningham
- 1307.2179 Different Cost Performance: Different Determinants? The Case of Cost Overruns in Dutch Transportation Infrastructure Projects
by Chantal C. Cantarelli & Bert van Wee & Eric J. E. Molin & Bent Flyvbjerg
- 1307.2178 Characteristics of Cost Overruns for Dutch Transport Infrastructure Projects and the Importance of the Decision to Build and Project Phases
by Chantal C. Cantarelli & Eric J. E. Molin & Bert van Wee & Bent Flyvbjerg
- 1307.2177 Lock-in and Its Influence on the Project Performance of Large-Scale Transportation Infrastructure Projects. Investigating the Way in Which Lock-in Can Emerge and Affect Cost Overruns
by Chantal C. Cantarelli & Bent Flybjerg & Bert van Wee & Eric J. E. Molin
- 1307.2176 Cost overruns in Large-Scale Transportation Infrastructure Projects: Explanations and Their Theoretical Embeddedness
by Chantal C. Cantarelli & Bent Flybjerg & Eric J. E. Molin & Bert van Wee
- 1307.2169 Random Market Models with an H-Theorem
by Ricardo Lopez-Ruiz & Elyas Shivanian & Jose-Luis Lopez
- 1307.2048 Modeling record-breaking stock prices
by Gregor Wergen
- 1307.2035 Periodic Strategies: A New Solution Concept and an Algorithm for NonTrivial Strategic Form Games
by V. K. Oikonomou & J. Jost
- 1307.2014 On the multifractal effects generated by monofractal signals
by Dariusz Grech & Grzegorz Pamu{l}a
- 1307.1685 Evolution of the distribution of wealth in an economic environment driven by local Nash equilibria
by Pierre Degond & Jian-Guo Liu & Christian Ringhofer
- 1307.1501 Heavy tailed time series with extremal independence
by Rafal Kulik & Philippe Soulier
- 1307.1320 Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem
by M. Basei & A. Cesaroni & T. Vargiolu
- 1307.0872 Maximization of recursive utilities under convex portfolio constraints
by Anis Matoussi & Hanen Mezghani & Mohamed Mnif
- 1307.0817 A Statistical Test of Walrasian Equilibrium by Means of Complex Networks Theory
by Leonardo Bargigli & Andrea Lionetto & Stefano Viaggiu
- 1307.0785 Explicit Description of HARA Forward Utilities and Their Optimal Portfolios
by Tahir Choulli & Junfeng Ma
- 1307.0684 Assessing Financial Model Risk
by Pauline Barrieu & Giacomo Scandolo
- 1307.0450 Portfolio Optimization in R
by M. Andrecut
- 1307.0444 Revisiting the Merit-Order Effect of Renewable Energy Sources
by Marcus Hildmann & Andreas Ulbig & Goran Andersson
- 1307.0190 D-Brane solutions under market panic
by R. Pincak
- 1307.0114 Risk Without Return
by Lisa R. Goldberg & Ola Mahmoud
- 1306.6715 The Meaning of Probability of Default for Asset-backed Loans
by David Chisholm & Graham Andersen
- 1306.6588 Moderate deviations for importance sampling estimators of risk measures
by Pierre Nyquist
- 1306.6583 A note on Keen's model: The limits of Schumpeter's "Creative Destruction"
by Glenn Ierley
- 1306.6402 On Modeling Economic Default Time: A Reduced-Form Model Approach
by Jia-Wen Gu & Bo Jiang & Wai-Ki Ching & Harry Zheng
- 1306.6267 Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity
by Stefan Tappe & Thorsten Schmidt
- 1306.5705 Computational Dynamic Market Risk Measures in Discrete Time Setting
by Babacar Seck & Robert J. Elliott & Jean-Pierre Gueyie
- 1306.5510 Compound Wishart Matrices and Noisy Covariance Matrices: Risk Underestimation
by Beno^it Collins & David McDonald & Nadia Saad
- 1306.5447 Explicit implied volatilities for multifactor local-stochastic volatility models
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci
- 1306.5302 Factorising equity returns in an emerging market through exogenous shocks and capital flows
by Diane Wilcox & Tim Gebbie
- 1306.5198 Dynamic Assessment Indices
by Tomasz R. Bielecki & Igor Cialenco & Samuel Drapeau & Martin Karliczek
- 1306.5145 Social Discounting and the Long Rate of Interest
by Dorje C. Brody & Lane P. Hughston
- 1306.5082 Non-Equivalent Beliefs and Subjective Equilibrium Bubbles
by Martin Larsson
- 1306.4994 Additive versus multiplicative parameters - applications in economics and finance
by Helena Jasiulewicz & Wojciech Kordecki
- 1306.4975 A Stochastic Feedback Model for Volatility
by Raoul Golan & Austin Gerig
- 1306.4958 Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model
by M. Hossein Partovi
- 1306.4769 Evolution of correlation structure of industrial indices of US equity markets
by Giuseppe Buccheri & Stefano Marmi & Rosario N. Mantegna
- 1306.4733 Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1
by Tomasz R. Bielecki & Marek Rutkowski
- 1306.4619 On the time spent in the red by a refracted L\'evy risk process
by Jean-Franc{c}ois Renaud
- 1306.4070 Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty
by Wei Chen
- 1306.3923 Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots
by Albert Ferreiro-Castilla & Kees van Schaik
- 1306.3856 From Text to Bank Interrelation Maps
by Samuel Ronnqvist & Peter Sarlin
- 1306.3704 How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network
by Fabio Caccioli & J. Doyne Farmer & Nick Foti & Daniel Rockmore
- 1306.3554 Thermodynamics of long-run economic innovation and growth
by Timothy J. Garrett
- 1306.3531 The convergence of regional house prices in the USA in the context of the stress testing of financial institutions
by Argyn Kuketayev
- 1306.3479 Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions
by Helena Jasiulewicz & Wojciech Kordecki
- 1306.3437 A cutting surface algorithm for semi-infinite convex programming with an application to moment robust optimization
by Sanjay Mehrotra & David Papp
- 1306.3422 Spontaneous centralization of control in a network of company ownerships
by Sebastian M. Krause & Tiago P. Peixoto & Stefan Bornholdt
- 1306.3395 Evolutionary Model of a Anonymous Consumer Durable Market
by Joachim Kaldasch
- 1306.3359 Making Mean-Variance Hedging Implementable in a Partially Observable Market
by Masaaki Fujii & Akihiko Takahashi
- 1306.3110 Some applications of first-passage ideas to finance
by R'emy Chicheportiche & Jean-Philippe Bouchaud
- 1306.2834 Bayesian inference for CoVaR
by Mauro Bernardi & Ghislaine Gayraud & Lea Petrella
- 1306.2832 VWAP execution and guaranteed VWAP
by Olivier Gu'eant & Guillaume Royer
- 1306.2831 Systemic risk and spatiotemporal dynamics of the US housing market
by Hao Meng & Wen-Jie Xie & Zhi-Qiang Jiang & Boris Podobnik & Wei-Xing Zhou & H. Eugene Stanley
- 1306.2820 Modeling and Solving Alternative Financial Solutions Seeking
by Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Tour'e
- 1306.2802 Asymptotics for Fixed Transaction Costs
by Albert Altarovici & Johannes Muhle-Karbe & H. Mete Soner
- 1306.2793 On the probability density function of baskets
by Christian Bayer & Peter Friz & Peter Laurence
- 1306.2751 Robust Portfolios and Weak Incentives in Long-Run Investments
by Paolo Guasoni & Johannes Muhle-Karbe & Hao Xing
- 1306.2728 Mean-Variance and Expected Utility: The Borch Paradox
by David Johnstone & Dennis Lindley
- 1306.2719 Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk
by M. H. A. Davis & M. R. Pistorius
- 1306.2508 Phase Transition in the S&P Stock Market
by Matthias Raddant & Friedrich Wagner
- 1306.2251 Some Possible Solution of Problem of Sovereign Debts: a short plan
by T. S. Kholupenko & E. E. Kholupenko & P. A. Guseva
- 1306.2245 Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process
by Vladimir Filimonov & Spencer Wheatley & Didier Sornette
- 1306.2188 Market-wide price co-movement around crashes in the Tokyo Stock Exchange
by Jun-ichi Maskawa & Joshin Murai & Koji Kuroda
- 1306.2073 A theoretical framework for trading experiments
by Maxence Soumare & J{o}rgen Vitting Andersen & Francis Bouchard & Alain Elkaim & Dominique Gu'egan & Justin Leroux & Michel Miniconi & Lars Stentoft
- 1306.1882 Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation
by Pavel V. Shevchenko & Gareth W. Peters
- 1306.1781 The Composition of Wage Differentials between Migrants and Natives
by Panagiotis Nanos & Christian Schluter
- 1306.1378 CORN: Correlation-Driven Nonparametric Learning Approach for Portfolio Selection -- an Online Appendix
by Bin Li & Dingjiang Huang & Steven C. H. Hoi
- 1306.1062 An alternative proof of a result of Takaoka
by Shiqi Song
- 1306.0995 B-spline techniques for volatility modeling
by Sylvain Corlay
- 1306.0980 Volatility in options formulae for general stochastic dynamics
by Kais Hamza & Fima Klebaner & Olivia Mah
- 1306.0966 A Financial Risk Analysis: Does the 2008 Financial Crisis Give Impact on Weekends Returns of the U.S. Movie Box Office?
by Novriana Sumarti & Rafki Hidayat
- 1306.0938 The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments
by Laszlo F. Korsos
- 1306.0887 Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization
by Damiano Brigo & Jan-Frederik Mai & Matthias Scherer
- 1306.0490 Multifractality and long memory of a financial index
by Pablo Su'arez-Garc'ia & David G'omez-Ullate
- 1306.0468 Reserve Requirement Analysis using a Dynamical System of a Bank based on Monti-Klein model of Bank's Profit Function
by Novriana Sumarti & Iman Gunadi
- 1306.0345 American option of stochastic volatility model with negative Fichera function on degenerate boundary
by Chen Xiaoshan & Song Qingshuo
- 1306.0215 Cross-border Portfolio Investment Networks and Indicators for Financial Crises
by Andreas Joseph & Stephan Joseph & Guanrong Chen
- 1306.0100 Are your data really Pareto distributed?
by Pasquale Cirillo
- 1305.7309 Optimization problem under change of regime of interest rate
by Bogdan Iftimie & Monique Jeanblanc & Thomas Lim & Hai-Nam Nguyen
- 1305.7092 Prices and Asymptotics for Discrete Variance Swaps
by Carole Bernard & Zhenyu Cui
- 1305.6988 Integrals of Higher Binary Options and Defaultable Bond with Discrete Default Information
by Hyong-Chol O & Dong-Hyok Kim & Jong-Jun Jo & Song-Hun Ri
- 1305.6868 Higher Order Binaries with Time Dependent Coefficients and Two Factors - Model for Defaultable Bond with Discrete Default Information
by Hyong-Chol O & Yong-Gon Kim & Dong-Hyok Kim
- 1305.6831 Optimal portfolios of a long-term investor with floor or drawdown constraints
by Vladimir Cherny & Jan Obloj
- 1305.6797 Continuous-Time Random Walk with multi-step memory: An application to market dynamics
by Tomasz Gubiec & Ryszard Kutner
- 1305.6765 Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]
by J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante
- 1305.6762 Hedging without sweat: a genetic programming approach
by Terje Lensberg & Klaus Reiner Schenk-Hopp'e
- 1305.6541 BSDEs with singular terminal condition and control problems with constraints
by Stefan Ankirchner & Monique Jeanblanc & Thomas Kruse
- 1305.6323 Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
by Aim'e Lachapelle & Jean-Michel Lasry & Charles-Albert Lehalle & Pierre-Louis Lions
- 1305.6148 Goodhart, Charles A.E. and Tsomocos, Dimitros P.: The challenge of financial stability: a new model and its applications
by Jean-Bernard Chatelain
- 1305.6099 Supplementary Appendix for "Inference on Treatment Effects After Selection Amongst High-Dimensional Controls"
by Alexandre Belloni & Victor Chernozhukov & Christian Hansen
- 1305.6037 Semi-bounded Rationality: A model for decision making
by Tshilidzi Marwala
- 1305.6023 A Robust Version of Convex Integral Functionals
by Keita Owari
- 1305.6008 Arbitrage and duality in nondominated discrete-time models
by Bruno Bouchard & Marcel Nutz
- 1305.5963 Note on multidimensional Breeden-Litzenberger representation for state price densities
by Jarno Talponen & Lauri Viitasaari
- 1305.5958 Fluctuation analysis of the three agent groups herding model
by Vygintas Gontis & Aleksejus Kononovicius
- 1305.5915 Model-free CPPI
by Alexander Schied
- 1305.5656 To the problem of turbulence in quantitative easing transmission channels and transactions network channels at quantitative easing policy implementation by central banks
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1305.5621 On a Heath-Jarrow-Morton approach for stock options
by Jan Kallsen & Paul Kruhner
- 1305.5575 Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios
by Lijun Bo & Agostino Capponi
- 1305.5373 Mathematical Analysis of Money in the Scope of Austerity
by Peter Stallinga
- 1305.5238 Risk Measure Estimation On Fiegarch Processes
by Taiane S. Prass & S'ilvia R. C. Lopes