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Content
2013
- 1305.5220 Pricing bonds with optional sinking feature using Markov Decision Processes
by Jan-Frederik Mai & Marc Wittlinger
- 1305.4879 Reducing the debt : is it optimal to outsource an investment?
by Gilles Edouard Espinosa & Caroline Hillairet & Benjamin Jourdain & Monique Pontier
- 1305.4874 The Query Complexity of Correlated Equilibria
by Sergiu Hart & Noam Nisan
- 1305.4719 Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model
by Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e
- 1305.4321 Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes
by Helin Zhu & Fan Ye & Enlu Zhou
- 1305.4173 A Model for Stock Returns and Volatility
by Tao Ma & R. A. Serota
- 1305.4132 Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE
by Jacek Jakubowski & Mariusz Niewk{e}g{l}owski
- 1305.4078 Economics 2.0: The Natural Step towards A Self-Regulating, Participatory Market Society
by Dirk Helbing
- 1305.4013 A market impact game under transient price impact
by Alexander Schied & Tao Zhang
- 1305.3988 A First-Order BSPDE for Swing Option Pricing
by Christian Bender & Nikolai Dokuchaev
- 1305.3433 Monte Carlo approximation to optimal investment
by L C G Rogers & Pawel Zaczkowski
- 1305.3243 Scaling symmetry, renormalization, and time series modeling
by Marco Zamparo & Fulvio Baldovin & Michele Caraglio & Attilio L. Stella
- 1305.3184 Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm
by Tetsuya Takaishi
- 1305.2824 The Statistical and Econometric Analysis of Asylum Application Trends and their relationship to GDP in the EEA
by Gerard Keogh
- 1305.2716 Ergodic transition in a simple model of the continuous double auction
by Tijana Radivojevi'c & Jonatha Anselmi & Enrico Scalas
- 1305.2693 Markov switching quadratic term structure models
by St'ephane Goutte
- 1305.2655 An Exactly Solvable Discrete Stochastic Process with Correlated Properties
by Jongwook Kim & Junghyo Jo
- 1305.2271 On the Lebesgue Property of Monotone Convex Functions
by Keita Owari
- 1305.2263 Direct Evidence for Synchronization in Japanese Business Cycle
by Yuichi Ikeda & Hideaki Aoyama & Hiroshi Iyetomi & Hiroshi Yoshikawa
- 1305.2151 A comparison of techniques for dynamic multivariate risk measures
by Zachary Feinstein & Birgit Rudloff
- 1305.2121 Statistical Mechanics of Competitive Resource Allocation using Agent-based Models
by Anirban Chakraborti & Damien Challet & Arnab Chatterjee & Matteo Marsili & Yi-Cheng Zhang & Bikas K. Chakrabarti
- 1305.1868 A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation
by Jiang-Lun Wu & Wei Yang
- 1305.1747 Optimal dividend problem for a generalized compound Poisson risk model
by Chuancun Yin
- 1305.1559 Are Financial Markets an aspect of Quantum World?
by Ovidiu Racorean
- 1305.0794 The Effect of Growth On Equality in Models of the Economy
by Kang Liu & N. Lubbers & W. Klein & J. Tobochnik & B. Boghosian & Harvey Gould
- 1305.0768 Kinetic exchange models: From molecular physics to social science
by Marco Patriarca & Anirban Chakraborti
- 1305.0741 Delusions of Success: Comment on Dan Lovallo and Daniel Kahneman
by Bent Flyvbjerg
- 1305.0639 Exact record and order statistics of random walks via first-passage ideas
by Gregory Schehr & Satya N. Majumdar
- 1305.0479 A robust tree method for pricing American options with CIR stochastic interest rate
by Elisa Appolloni & Lucia Caramellino & Antonino Zanette
- 1305.0436 Multivariate high-frequency financial data via semi-Markov processes
by Guglielmo D'Amico & Filippo Petroni
- 1305.0413 Permanent market impact can be nonlinear
by Olivier Gu'eant
- 1305.0239 Uncovering the network structure of the world currency market: Cross-correlations in the fluctuations of daily exchange rates
by Sitabhra Sinha & Uday Kovur
- 1305.0144 Relative Robust Portfolio Optimization
by Raphael Hauser & Vijay Krishnamurthy & Reha Tutuncu
- 1305.0105 Semi Markov model for market microstructure
by Pietro Fodra & Huy^en Pham
- 1305.0101 Bubbles are rational
by Pierre Lescanne
- 1305.0040 A note on replicating a CDS through a repo and an asset swap
by Lorenzo Giada & Claudio Nordio
- 1304.7934 Maximum Lebesgue Extension of Monotone Convex Functions
by Keita Owari
- 1304.7882 Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion
by Qian Zhao & Jiaqin Wei & Rongming Wang
- 1304.7878 On the Dividend Strategies with Non-Exponential Discounting
by Qian Zhao & Jiaqin Wei & Rongming Wang
- 1304.7563 Pricing TARN Using a Finite Difference Method
by Xiaolin Luo & Pavel Shevchenko
- 1304.7562 Balancing small fixed and proportional transaction cost in trading strategies
by Jose V. Alcala & Arash Fahim
- 1304.7535 Elasticity theory of structuring
by Andrei N. Soklakov
- 1304.7533 Deriving Derivatives
by Andrei N. Soklakov
- 1304.7330 Government Solvency, Austerity and Fiscal Consolidation in the OECD: A Keynesian Appraisal of Transversality and No Ponzi Game Conditions
by Karim Azizi & Nicolas Canry & Jean-Bernard Chatelain & Bruno Tinel
- 1304.6846 Time-independent pricing of options in range bound markets
by Ovidiu Racorean
- 1304.6819 A Fokker-Planck description for the queue dynamics of large tick stocks
by A. Gareche & G. Disdier & J. Kockelkoren & J. -P. Bouchaud
- 1304.6165 Hedging in bond markets by the Clark-Ocone formula
by Nicolas Privault & Timothy Robin Teng
- 1304.6116 Selling Multiple Correlated Goods: Revenue Maximization and Menu-Size Complexity (old title: "The Menu-Size Complexity of Auctions")
by Sergiu Hart & Noam Nisan
- 1304.6006 Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market
by Tetsuya Takaishi & Ting Ting Chen & Zeyu Zheng
- 1304.5962 The pricing formula for cancellable European options
by Hsuan-Ku Liu
- 1304.5380 Survey data and Bayesian analysis: a cost-efficient way to estimate customer equity
by Juha Karvanen & Ari Rantanen & Lasse Luoma
- 1304.5337 The Convexity of the Free Boundary for the American put option
by Hsuan-Ku Liu
- 1304.5156 Option pricing, Bayes risks and Applications
by Yannis G. Yatracos
- 1304.5130 Non-Stationarity in Financial Time Series and Generic Features
by Thilo A. Schmitt & Desislava Chetalova & Rudi Schafer & Thomas Guhr
- 1304.5065 Central Clearing of OTC Derivatives: bilateral vs multilateral netting
by Rama Cont & Thomas Kokholm
- 1304.5040 Dynamic robust duality in utility maximization
by Bernt {O}ksendal & Agn`es Sulem
- 1304.4995 Schr\"odinger group and quantum finance
by Juan M. Romero & Ulises Lavana & Elio Mart'inez
- 1304.4929 A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role
by Yannis G. Yatracos
- 1304.4853 Risk measures for processes and BSDEs
by Irina Penner & Anthony Reveillac
- 1304.4852 Firm's Information Environment and Stock Liquidity : Evidence from Tunisian Context
by Nadia Loukil & Ouidad Yousfi
- 1304.4807 On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1304.4690 On option pricing in illiquid markets with jumps
by Youssef El-Khatib & Abdulnasser Hatemi-J
- 1304.4688 On the pricing and hedging of options for highly volatile periods
by Youssef El-Khatib & Abdulnasser Hatemi-J
- 1304.4623 Cubature on Wiener space: pathwise convergence
by Christian Bayer & Peter K. Friz
- 1304.4590 Double Whammy - How ICT Projects are Fooled by Randomness and Screwed by Political Intent
by Alexander Budzier & Bent Flyvbjerg
- 1304.4534 A variation of the Canadisation algorithm for the pricing of American options driven by L\'evy processes
by Florian Kleinert & Kees van Schaik
- 1304.4525 Overspend? Late? Failure? What the Data Say About IT Project Risk in the Public Sector
by Alexander Budzier & Bent Flyvbjerg
- 1304.4476 What Causes Cost Overrun in Transport Infrastructure Projects?"
by Bent Flyvbjerg & Mette K. Skamris Holm & S{o}ren L. Buhl
- 1304.4311 A Model for Scaling in Firms' Size and Growth Rate Distribution
by Cornelia Metzig & Mirta B. Gordon
- 1304.3969 Post-Selection Inference for Generalized Linear Models with Many Controls
by Alexandre Belloni & Victor Chernozhukov & Ying Wei
- 1304.3824 Pricing and Valuation under the Real-World Measure
by Gabriel Frahm
- 1304.3814 Measuring the default risk of sovereign debt from the perspective of network
by Hongwei Chuang & Hwai-Chung Ho
- 1304.3722 Hierarchy of Frustrations as Supplementary Indices in Complex System Dynamics, Applied to the U.S. Intermarket
by Krzysztof Sokalski
- 1304.3602 An age structured demographic theory of technological change
by J. -F. Mercure
- 1304.3574 Hedging of Game Options under Model Uncertainty in Discrete Time
by Yan Dolinsky
- 1304.3516 Existence of an endogenously complete equilibrium driven by a diffusion
by Dmitry Kramkov
- 1304.3350 Return on net sales from three companies in the manufacturing of fabricated metal products (except machinery and equipment)
by Marta Tomczak & Anna Ziolkowska & Martyna Rosik
- 1304.3284 Existence and uniqueness of Arrow-Debreu equilibria with consumptions in $\mathbf{L}^0_+$
by Dmitry Kramkov
- 1304.3252 Jan Tinbergen's legacy for economic networks: from the gravity model to quantum statistics
by Tiziano Squartini & Diego Garlaschelli
- 1304.3159 Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials
by Andrey Itkin
- 1304.3135 Maximizing Matching in Double-sided Auctions
by Jinzhong Niu & Simon Parsons
- 1304.2942 Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions
by Damiano Brigo & Giuseppe Di Graziano
- 1304.2141 Robust price bounds for the forward starting straddle
by David Hobson & Martin Klimmek
- 1304.2069 Robustification of Elliott's on-line EM algorithm for HMMs
by Christina Erlwein & Peter Ruckdeschel
- 1304.1999 Mirror and Synchronous Couplings of Geometric Brownian Motions
by Saul D. Jacka & Aleksandar Mijatovic & Dejan Siraj
- 1304.1940 Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims
by Lingjiong Zhu
- 1304.1849 Pricing approximations and error estimates for local L\'evy-type models with default
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci
- 1304.1821 Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
by H. Huang & M. A. Milevsky & T. S. Salisbury
- 1304.1783 A convolution method for numerical solution of backward stochastic differential equations
by Cody Blaine Hyndman & Polynice Oyono Ngou
- 1304.1665 Why Mass Media Matter to Planning Research: The Case of Megaprojects
by Bent Flyvbjerg
- 1304.1420 Fluctuation Analysis for the Loss From Default
by Konstantinos Spiliopoulos & Justin A. Sirignano & Kay Giesecke
- 1304.1397 Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs
by Andrea Pallavicini & Damiano Brigo
- 1304.1186 Five Misunderstandings About Case-Study Research
by Bent Flyvbjerg
- 1304.0923 Information, no-arbitrage and completeness for asset price models with a change point
by Claudio Fontana & Zorana Grbac & Monique Jeanblanc & Qinghua Li
- 1304.0718 A Peer-based Model of Fat-tailed Outcomes
by Ben Klemens
- 1304.0490 Premiums And Reserves, Adjusted By Distortions
by Alois Pichler
- 1304.0368 An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals
by Jan Ob{l}'oj & Peter Spoida
- 1304.0353 An Information-Theoretic Test for Dependence with an Application to the Temporal Structure of Stock Returns
by Galen Sher & Pedro Vitoria
- 1304.0282 Uniform Post Selection Inference for LAD Regression and Other Z-estimation problems
by Alexandre Belloni & Victor Chernozhukov & Kengo Kato
- 1304.0265 Why Your IT Project Might Be Riskier Than You Think
by Bent Flyvbjerg & Alexander Budzier
- 1304.0212 Do wealth distributions follow power laws? Evidence from "rich lists"
by Michal Brzezinski
- 1303.7445 Agent-based modeling of a price information trading business
by Saad Ahmad Khan & Ladislau Boloni
- 1303.7405 How Planners Deal with Uncomfortable Knowledge: The Dubious Ethics of the American Planning Association
by Bent Flyvbjerg
- 1303.7404 Megaprojects and Risk: An Anatomy of Ambition
by Bent Flyvbjerg & Nils Bruzelius & Werner Rothengatter
- 1303.7403 Delusion and Deception in Large Infrastructure Projects: Two Models for Explaining and Preventing Executive Disaster
by Bent Flyvbjerg & Massimo Garbuio & Dan Lovallo
- 1303.7402 Cost Overruns and Demand Shortfalls in Urban Rail and Other Infrastructure
by Bent Flyvbjerg
- 1303.7401 Measuring Inaccuracy in Travel Demand Forecasting: Methodological Considerations Regarding Ramp Up and Sampling
by Bent Flyvbjerg
- 1303.7400 Policy and Planning for Large Infrastructure Projects: Problems, Causes, Cures
by Bent Flyvbjerg
- 1303.7177 High-frequency market-making for multi-dimensional Markov processes
by Pietro Fodra & Mauricio Labadie
- 1303.7092 Pivotal estimation in high-dimensional regression via linear programming
by Eric Gautier & Alexandre Tsybakov
- 1303.7050 Quantile Models with Endogeneity
by Victor Chernozhukov & Christian Hansen
- 1303.6654 How (In)accurate Are Demand Forecasts in Public Works Projects? The Case of Transportation
by Bent Flyvbjerg & Mette Skamris Holm & S{o}ren L. Buhl
- 1303.6604 Underestimating Costs in Public Works Projects: Error or Lie?
by Bent Flyvbjerg & Mette K. Skamris Holm & S{o}ren L. Buhl
- 1303.6571 Survival of the Unfittest: Why the Worst Infrastructure Gets Built, And What We Can Do about It
by Bent Flyvbjerg
- 1303.6569 Comparison of Capital Costs per Route-Kilometre in Urban Rail
by Bent Flyvbjerg & Nils Bruzelius & Bert van Wee
- 1303.6340 Barrier Options under L\'evy Processes: a Simple Short-Cut
by Jos'e Fajardo
- 1303.6192 Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance: Comparing Alternative Exchange Rate Regimes in Eastern Europe
by Muhammad Khan & Mazen Kebewar & Nikolay Nenovsky
- 1303.6183 Quantitative easing is an incomplete strategy that must be accompanied by the nullification of debt
by Karl Svozil
- 1303.6090 Volatility Swap Under the SABR Model
by Simon Bossoney
- 1303.5882 Feedback models and stability analysis of three economic paradigms
by Harris V. Georgiou
- 1303.5809 Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
by Yingying Li & Zhiyuan Zhang & Xinghua Zheng
- 1303.5703 ARCO1: An Application of Belief Networks to the Oil Market
by Bruce Abramson
- 1303.5552 Quantifying the Impact of Leveraging and Diversification on Systemic Risk
by Paolo Tasca & Pavlin Mavrodiev & Frank Schweitzer
- 1303.5290 Nanotechnology and Innovation, Recent status and the strategic implication for the formation of high tech clusters in Greece, in between a global economic crisis
by Evangelos I. Gkanas & Vasso MagkouKriticou & Sofoklis S. Makridis & Athanasios K. Stubos & Ioannis Bakouros
- 1303.4867 The Identification of Thresholds and Time Delay in Self-Exciting Threshold AR Model by Wavelet
by Song-Yon Kim & Mun-Chol Kim
- 1303.4849 A Solution to Kolmogorov-Feller Equation and Pricing of Options
by Ju-Gyong Kim & Il-Su Choe
- 1303.4847 Two unconditionally implied parameters and volatility smiles and skews
by Nikolai Dokuchaev
- 1303.4607 Exact Statistics of the Gap and Time Interval Between the First Two Maxima of Random Walks
by Satya N. Majumdar & Philippe Mounaix & Gregory Schehr
- 1303.4514 Is There A Real Estate Bubble in Switzerland?
by Diego Ardila & Peter Cauwels & Dorsa Sanadgol & Didier Sornette
- 1303.4351 Are random trading strategies more successful than technical ones?
by A. E. Biondo & A. Pluchino & A. Rapisarda & D. Helbing
- 1303.4314 Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades
by Matthew Ames & Guillaume Bagnarosa & Gareth W. Peters
- 1303.4274 A note on pricing of contingent claims under G-expectation
by Mingshang Hu & Shaolin Ji
- 1303.4268 The Small-Maturity Heston Forward Smile
by Antoine Jacquier & Patrick Roome
- 1303.4082 Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims
by {L}ukasz Delong & Antoon Pelsser
- 1303.3956 A liability tracking approach to long term management of pension funds
by Masashi Ieda & Takashi Yamashita & Yumiharu Nakano
- 1303.3693 Agent-based and macroscopic modeling of the complex socio-economic systems
by Aleksejus Kononovicius & Valentas Daniunas
- 1303.3391 US Corporate Bond Yield Spread : A default risk debate
by Syed Muhammad Noaman Ahmed Shah & Mazen Kebewar
- 1303.3148 The General Structure of Optimal Investment and Consumption with Small Transaction Costs
by Jan Kallsen & Johannes Muhle-Karbe
- 1303.3133 Dynamical Trading Mechanism in Limit Order Markets
by Shilei Wang
- 1303.2950 Dynamic Credit Investment in Partially Observed Markets
by Agostino Capponi & Jose Enrique Figueroa Lopez & Andrea Pascucci
- 1303.2910 Understanding Operational Risk Capital Approximations: First and Second Orders
by Gareth W. Peters & Rodrigo S. Targino & Pavel V. Shevchenko
- 1303.2901 Dynamics and Spatial Distribution of Global Nighttime Lights
by Nicola Pestalozzi & Peter Cauwels & Didier Sornette
- 1303.2513 Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach
by Rudiger Frey & Abdelali Gabih & Ralf Wunderlich
- 1303.2110 Econophysics of adaptive power markets: When a market does not dampen fluctuations but amplifies them
by Sebastian M. Krause & Stefan Boerries & Stefan Bornholdt
- 1303.2044 Bubbles, Jumps, and Scaling from Properly Anticipated Prices
by Felix Patzelt & Klaus Pawelzik
- 1303.1690 Coherence and elicitability
by Johanna F. Ziegel
- 1303.1672 A new approach for an unitary risk theory
by Nicolae Popoviciu & Floarea Baicu
- 1303.1663 Impact Analysis for Risks in Informatics Systems
by Floarea Baicu & Maria Alexandra Baches
- 1303.1334 Pricing American options via multi-level approximation methods
by Denis Belomestny & Fabian Dickmann & Tigran Nagapetyan
- 1303.1298 Analytical Pricing of Defaultable Bond with Stochastic Default Intensity
by Hyong-Chol O & Ning Wan
- 1303.1296 The Pricing of A Moving Barrier Option
by Hyong-chol O
- 1303.1248 Investment and Consumption with Regime-Switching Discount Rates
by Traian Pirvu & Huayue Zhang
- 1303.1134 Utility maximisation and utility indifference price for exponential semi-martingale models with random factor
by Anastasia Ellanskaya & Lioudmila Vostrikova
- 1303.1064 Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection
by Xiangyu Cui & Xun Li & Duan Li
- 1303.0283 Inverse Signal Classification for Financial Instruments
by Uri Kartoun
- 1303.0237 Optimal investment and price dependence in a semi-static market
by Pietro Siorpaes
- 1303.0073 A Method for Comparing Hedge Funds
by Uri Kartoun
- 1302.7246 An analytic multi-currency model with stochastic volatility and stochastic interest rates
by Alessandro Gnoatto & Martino Grasselli
- 1302.7238 On the Preference Relations with Negatively Transitive Asymmetric Part. I
by Maria Viktorovna Droganova & Valentin Vankov Iliev
- 1302.7192 Weak and strong no-arbitrage conditions for continuous financial markets
by Claudio Fontana
- 1302.7036 Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility
by Jozef Barunik & Jiri Kukacka
- 1302.7010 The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles
by Damiano Brigo & Francesco Rapisarda & Abir Sridi
- 1302.6762 The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
by Chuancun Yin & Yuzhen Wen & Zhaojun Zong & Ying Shen
- 1302.6757 An extension of Paulsen-Gjessing's risk model with stochastic return on investments
by Chuancun Yin & Yuzhen Wen
- 1302.6721 On the theory of firm in nonlinear dynamic financial and economic systems
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1302.6669 Continuous-time Mean-Variance Portfolio Selection with Stochastic Parameters
by Wan-Kai Pang & Yuan-Hua Ni & Xun Li & Ka-Fai Cedric Yiu
- 1302.6629 CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models
by Damiano Brigo & Jo~ao Garcia & Nicola Pede
- 1302.6491 Asymptotic arbitrage in the Heston model
by Fatma Haba & Antoine Jacquier
- 1302.6477 Signal amplification in an agent-based herding model
by Adri'an Carro & Ra'ul Toral & Maxi San Miguel
- 1302.6399 Swing options in commodity markets: A multidimensional L\'evy diffusion model
by Marcus Eriksson & Jukka Lempa & Trygve Kastberg Nilssen
- 1302.6363 Realtime market microstructure analysis: online Transaction Cost Analysis
by Robert Azencott & Arjun Beri & Yutheeka Gadhyan & Nicolas Joseph & Charles-Albert Lehalle & Matthew Rowley
- 1302.6305 Random Matrix Theory and Cross-correlations in Global Financial Indices and Local Stock Market Indices
by Ashadun Nobi & Seong Eun Maeng & Gyeong Gyun Ha & Jae Woo Lee
- 1302.6212 On The EU and Euro-zone Stability
by Dimitris Sardelis
- 1302.6120 An Optimal Pairs-Trading Rule
by Qingshuo Song & Qing Zhang
- 1302.6011 Optimal dividends problem with a terminal value for spectrally positive Levy processes
by Chuancun Yin & Yuzhen Wen
- 1302.5966 Information Transmission Between Financial Markets in Chicago and New York
by Gregory Laughlin & Anthony Aguirre & Joseph Grundfest
- 1302.5548 How to make Dupire's local volatility work with jumps
by Peter K. Friz & Stefan Gerhold & Marc Yor
- 1302.5339 Theory of Performance Participation Strategies
by Julia Kraus & Philippe Bertrand & Rudi Zagst
- 1302.4854 An Explicit Martingale Version of Brenier's Theorem
by Pierre Henry-Labordere & Nizar Touzi
- 1302.4679 Rationalizing Investors Choice
by Carole Bernard & Jit Seng Chen & Steven Vanduffel
- 1302.4676 Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
by Michael B. Giles & Kristian Debrabant & Andreas Ro{ss}ler
- 1302.4595 Collateral-Enhanced Default Risk
by Chris Kenyon & Andrew Green
- 1302.4592 Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process
by Charles-Albert Lehalle
- 1302.4254 Market viability and martingale measures under partial information
by Claudio Fontana & Bernt {O}ksendal & Agn`es Sulem
- 1302.4181 A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
by Luis H. R. Alvarez E. & Pekka Matomaki & Teppo A. Rakkolainen
- 1302.4112 An examination of the effect on the Icelandic Banking System of Ver{\dh}trygg{\dh} L\'{a}n (Indexed-Linked Loans)
by Jacky Mallett
- 1302.3958 Cross-diffusion Modeling in Macroeconomics
by Laszlo Balazsi & Krisztina Kiss
- 1302.3870 A second-order stock market model
by Robert Fernholz & Tomoyuki Ichiba & Ioannis Karatzas
- 1302.3818 Bimodality in the firm size distributions: a kinetic exchange model approach
by Anindya S. Chakrabarti
- 1302.3771 Pricing Step Options under the CEV and other Solvable Diffusion Models
by Giuseppe Campolieti & Roman N. Makarov & Karl Wouterloot
- 1302.3704 A model-free characterization of recurrences in stationary time series
by R'emy Chicheportiche & Anirban Chakraborti
- 1302.3654 Pricing Corporate Defaultable Bond using Declared Firm Value
by Hyong-Chol O & Jong-Jun Jo & Chol-Ho Kim
- 1302.3642 From Nobel Prize to Project Management: Getting Risks Right
by Bent Flyvbjerg
- 1302.3451 Parameter estimation for a subcritical affine two factor model
by Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap
- 1302.3319 The Pricing of Multiple-Expiry Exotics
by Hyong-Chol O & Mun-Chol KiM
- 1302.3306 An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model
by Takashi Kato & Akihiko Takahashi & Toshihiro Yamada
- 1302.3197 Bridging stylized facts in finance and data non-stationarities
by Sabrina Camargo & Silvio M. Duarte Queiros & Celia Anteneodo
- 1302.3169 Volatility polarization of non-specialized investors' heterogeneous activity
by Mario Guti'errez-Roig & Josep Perell'o