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Content
2012
- 1210.2021 Fostering Project Scheduling and Controlling Risk Management
by Abdul Razaque & Christian Bach & Nyembo salama & Aziz Alotaibi
- 1210.1966 How We Tend To Overestimate Powerlaw Tail Exponents
by Nassim N. Taleb
- 1210.1866 On parameter estimation for critical affine processes
by Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap
- 1210.1848 On random convex analysis -- the analytic foundation of the module approach to conditional risk measures
by Tiexin Guo & Shien Zhao & Xiaolin Zeng
- 1210.1838 Three-state herding model of the financial markets
by Aleksejus Kononovicius & Vygintas Gontis
- 1210.1625 Optimal order placement in limit order markets
by Rama Cont & Arseniy Kukanov
- 1210.1598 Portfolio Choice in Markets with Contagion
by Yacine Ait-Sahalia & T. R. Hurd
- 1210.1588 A New Kind of Finance
by Philip Z. Maymin
- 1210.0968 A New Trinomial Recombination Tree Algorithm and Its Applications
by Peter C. L. Lin
- 1210.0898 Spontaneous Economic Order
by Yong Tao
- 1210.0670 Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method
by Hideyuki Tanaka & Toshihiro Yamada
- 1210.0570 A Stochastic Delay Model For Pricing Debt And Loan Guarantees: Theoretical Results
by Elisabeth Kemajou & Salah-Eldin Mohammed & Antoine Tambue
- 1210.0259 Systems of Brownian particles with asymmetric collisions
by Ioannis Karatzas & Soumik Pal & Mykhaylo Shkolnikov
- 1210.0057 Consumer finance data generator - a new approach to Credit Scoring technique comparison
by Karol Przanowski & Jolanta Mamczarz
- 1209.6497 Malliavin calculus method for asymptotic expansion of dual control problems
by Michael Monoyios
- 1209.6459 Bootstrapping topology and systemic risk of complex network using the fitness model
by Nicol'o Musmeci & Stefano Battiston & Guido Caldarelli & Michelangelo Puliga & Andrea Gabrielli
- 1209.6439 The best gain-loss ratio is a poor performance measure
by Sara Biagini & Mustafa Pinar
- 1209.6385 Maximising Survival, Growth, and Goal Reaching Under Borrowing Constraints
by Haluk Yener
- 1209.6376 UPDATE July 2012 | The Food Crises: The US Drought
by Marco Lagi & Yavni Bar-Yam & Yaneer Bar-Yam
- 1209.6369 The European debt crisis: Defaults and market equilibrium
by Marco Lagi & Yaneer Bar-Yam
- 1209.5976 Quadratic hedging schemes for non-Gaussian GARCH models
by Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega
- 1209.5953 Optimization problem and mean variance hedging on defaultable claims
by Stephane Goutte & Armand Ngoupeyou
- 1209.5881 The beneficial role of random strategies in social and financial systems
by Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda
- 1209.5527 Strategic Learning and the Topology of Social Networks
by Elchanan Mossel & Allan Sly & Omer Tamuz
- 1209.5190 The Reactive Volatility Model
by Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu
- 1209.5175 Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process
by Christian Bayer & Bezirgen Veliyev
- 1209.4849 Iterated Function Systems with Economic Applications
by Shilei Wang
- 1209.4787 A generalized statistical model for the size distribution of wealth
by F. Clementi & M. Gallegati & G. Kaniadakis
- 1209.4718 Stock Price Dynamics and Option Valuations under Volatility Feedback Effect
by Juho Kanniainen & Robert Pich'e
- 1209.4695 On statistical indistinguishability of the complete and incomplete markets
by Nikolai Dokuchaev
- 1209.4629 The Transition from Brownian Motion to Boom-and-Bust Dynamics in Financial and Economic Systems
by Harbir Lamba
- 1209.4608 Performance Analysis of Hybrid Forecasting Model In Stock Market Forecasting
by Mahesh S. Khadka & K. M. George & N. Park & J. B. Kim
- 1209.4517 Ergodicity breaking in geometric Brownian motion
by Ole Peters & William Klein
- 1209.4449 Diffusion-based models for financial markets without martingale measures
by Claudio Fontana & Wolfgang J. Runggaldier
- 1209.4175 Hierarchical structure of stock price fluctuations in financial markets
by Ya-Chun Gao & Shi-Min Cai & Bing-Hong Wang
- 1209.3982 Sparsifying Defaults: Optimal Bailout Policies for Financial Networks in Distress
by Zhang Li & Ilya Pollak
- 1209.3570 Spectral Risk Measures, With Adaptions For Stochastic Optimization
by Alois Pichler
- 1209.3513 Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model
by Gechun Liang & Eva Lutkebohmert & Wei Wei
- 1209.3503 Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging
by I. Halperin & A. Itkin
- 1209.3399 Coupled effects of market impact and asymmetric sensitivity in financial markets
by Li-Xin Zhong & Wen-Juan Xu & Fei Ren & Yong-Dong Shi
- 1209.2817 Preferential Attachment in the Interaction between Dynamically Generated Interdependent Networks
by Boris Podobnik & Davor Horvatic & Mark Dickison & H. Eugene Stanley
- 1209.2813 The competitiveness versus the wealth of a country
by Boris Podobnik & Davor Horvatic & Dror Y. Kenett & H. Eugene Stanley
- 1209.2781 Wealth distribution on complex networks
by Takashi Ichinomiya
- 1209.2555 Option Pricing and Hedging with Small Transaction Costs
by Jan Kallsen & Johannes Muhle-Karbe
- 1209.2467 Bouchaud-M\'ezard model on a random network
by Takashi Ichinomiya
- 1209.2298 The Future Has Thicker Tails than the Past: Model Error As Branching Counterfactuals
by Nassim N. Taleb
- 1209.2204 How is non-knowledge represented in economic theory?
by Ekaterina Svetlova & Henk van Elst
- 1209.1909 Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions
by Christoph Reisinger & Rasmus Wissmann
- 1209.1903 Roles of discount rate, risk premium, and device performance in estimating the cost of energy for photovoltaics
by Sergei Manzhos
- 1209.1893 Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering
by Masaaki Fujii
- 1209.1791 Dynkin Games and Israeli Options
by Yuri Kifer
- 1209.1705 General Equilibrium as a Topological Field Theory
by Eric Kemp-Benedict
- 1209.1544 On Geometric Ergodicity of Skewed - SVCHARME models
by Jerzy P. Rydlewski & Ma{l}gorzata Snarska
- 1209.1321 Entanglement between Demand and Supply in Markets with Bandwagon Goods
by Mirta B. Gordon & Jean-Pierre Nadal & Denis Phan & Viktoriya Semeshenko
- 1209.0959 How big is too big? Critical Shocks for Systemic Failure Cascades
by Claudio J. Tessone & Antonios Garas & Beniamino Guerra & Frank Schweitzer
- 1209.0900 Time-Frequency Dynamics of Biofuels-Fuels-Food System
by Lukas Vacha & Karel Janda & Ladislav Kristoufek & David Zilberman
- 1209.0708 On the global economic potentials and marginal costs of non-renewable resources and the price of energy commodities
by Jean-Francois Mercure & Pablo Salas
- 1209.0697 Variance Swaps on Defaultable Assets and Market Implied Time-Changes
by Matthew Lorig & Oriol Lozano Carbasse & Rafael Mendoza-Arriaga
- 1209.0646 Scenarios and their Aggregation in the Regulatory Risk Measurement Environment
by Andreas Haier & Thorsten Pfeiffer
- 1209.0453 Crises and collective socio-economic phenomena: simple models and challenges
by Jean-Philippe Bouchaud
- 1209.0424 On the changeover timescales of technology transitions and induced efficiency changes: an overarching theory
by Jean-Francois Mercure
- 1209.0390 First order strong approximations of scalar SDEs with values in a domain
by Andreas Neuenkirch & Lukasz Szpruch
- 1209.0305 Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs
by Soren Christensen & Marc Wittlinger
- 1208.6486 Superreplication under Volatility Uncertainty for Measurable Claims
by Ariel Neufeld & Marcel Nutz
- 1208.6305 Kinetic models for the trading of goods
by G. Toscani & C. Brugna & S. Demichelis
- 1208.6146 Finite quantum mechanical model for the stock market
by Liviu-Adrian Cotfas
- 1208.5896 Benford's law and Theil transform of financial data
by Paulette Clippe & Marcel Ausloos
- 1208.5802 Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
by Jean-Pierre Fouque & Matthew Lorig & Ronnie Sircar
- 1208.5581 Quadratic BSDEs with jumps: a fixed-point approach
by M. Nabil Kazi-Tani & Dylan Possamai & Chao Zhou
- 1208.5520 High-order short-time expansions for ATM option prices of exponential L\'evy models
by Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e
- 1208.5398 Portfolio optimization with insider's initial information and counterparty risk
by Caroline Hillairet & Ying Jiao
- 1208.5382 Wrong-way risk in credit and funding valuation adjustments
by Mihail Turlakov
- 1208.5316 How Non-linearity will Transform Information Systems
by Paolo Magrassi
- 1208.5303 Hedging Swing contract on gas markets
by Xavier Warin
- 1208.4831 Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression
by Jozef Barunik & Michaela Barunikova
- 1208.4799 Hedge and Mutual Funds' Fees and the Separation of Private Investments
by Paolo Guasoni & Gu Wang
- 1208.4429 Common Mistakes when Applying Computational Intelligence and Machine Learning to Stock Market modelling
by E. Hurwitz & T. Marwala
- 1208.4409 Yard-Sale exchange on networks: Wealth sharing and wealth appropriation
by R. Bustos-Guajardo & Cristian F. Moukarzel
- 1208.4282 Small time central limit theorems for semimartingales with applications
by Stefan Gerhold & Max Kleinert & Piet Porkert & Mykhaylo Shkolnikov
- 1208.4158 Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series
by Ying-Hui Shao & Gao Feng Gu & Zhi-Qiang Jiang & Wei-Xing Zhou & Didier Sornette
- 1208.3789 On Global Stability of Financial Networks
by Bhaskar DasGupta & Lakshmi Kaligounder
- 1208.3785 Large liquidity expansion of super-hedging costs
by Dylan Possamai & Nizar Touzi & H. Mete Soner
- 1208.3460 Inverse Thinking in Economic Theory: A Radical Approach to Economic Thinking
by Jaime Gomez-Ramirez
- 1208.3087 Modeling and Forecasting Persistent Financial Durations
by Filip Zikes & Jozef Barunik & Nikhil Shenai
- 1208.3083 Investor's sentiment in multi-agent model of the continuous double auction
by A. Lykov & S. Muzychka & K. Vaninsky
- 1208.2878 Interest Rate Manipulation Detection using Time Series Clustering Approach
by Murphy Choy & Enoch Chng & Koo Ping Shung
- 1208.2775 Physical approach to price momentum and its application to momentum strategy
by Jaehyung Choi
- 1208.2696 Distribution Of Wealth In A Network Model Of The Economy
by Tao Ma & John G. Holden & R. A. Serota
- 1208.2658 Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations
by Paul M. N. Feehan & Camelia A. Pop
- 1208.2589 Why, when, and how fast innovations are adopted
by Sebastian Goncalves & M. F. Laguna & J. R. Iglesias
- 1208.2068 Risk minimizing of derivatives via dynamic g-expectation and related topics
by Tianxiao Wang
- 1208.1479 General Balance Functions in the Theory of Interest
by David Spring
- 1208.1298 Measuring capital market efficiency: Global and local correlations structure
by Ladislav Kristoufek & Miloslav Vosvrda
- 1208.1277 Economic decision making: application of the theory of complex systems
by Robert Kitt
- 1208.1189 Mathematical Definition, Mapping, and Detection of (Anti)Fragility
by Nassim N. Taleb & Raphael Douady
- 1208.1188 Relations between allometric scalings and fluctuations in complex systems: The case of Japanese firms
by Hayafumi Watanabe & Hideki Takayasu & Misako Takayasu
- 1208.1123 Evolutionary Model of the Growth and Size of Firms
by Joachim Kaldasch
- 1208.0763 Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs
by M. Nabil Kazi-Tani & Dylan Possamai & Chao Zhou
- 1208.0642 Does GDP measure growth in the economy or simply growth in the money supply?
by Jacky Mallett & Charles Keen
- 1208.0451 Directed Random Markets: Connectivity determines Money
by Ismael Martinez-Martinez & Ricardo Lopez-Ruiz
- 1208.0371 Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust
by John Cotter & Stuart Gabriel & Richard Roll
- 1208.0317 Scaling, stability and distribution of the high-frequency returns of the IBEX35 index
by Pablo Su'arez-Garc'ia & David G'omez-Ullate
- 1207.7330 Portfolio Choice with Transaction Costs: a User's Guide
by Paolo Guasoni & Johannes Muhle-Karbe
- 1207.7308 Weighted Kolmogorov-Smirnov test: Accounting for the tails
by R'emy Chicheportiche & Jean-Philippe Bouchaud
- 1207.6759 Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach
by Alessandro Ramponi
- 1207.6566 Conditional sampling for barrier option pricing under the Heston model
by Nico Achtsis & Ronald Cools & Dirk Nuyens
- 1207.6423 Adaptive Execution: Exploration and Learning of Price Impact
by Beomsoo Park & Benjamin Van Roy
- 1207.6325 Large tick assets: implicit spread and optimal tick size
by Khalil Dayri & Mathieu Rosenbaum
- 1207.6281 A note on asymptotic exponential arbitrage with exponentially decaying failure probability
by Kai Du & Ariel David Neufeld
- 1207.6278 The financial framework of the sustainability of health universal coverage in Italy. A quantitative financial model for the assessment of the italian stability and reform program of public health financing
by Stefano Olgiati & Alessandro Danovi
- 1207.6205 Option prices with call prices
by Lauri Viitasaari
- 1207.6186 A Dynamical Model for Operational Risk in Banks
by Marco Bardoscia
- 1207.6091 Entangled Economy: an ecosystems approach to modeling systemic level dynamics
by Juan David Robalino & Henrik Jeldtoft Jensen
- 1207.6081 Exploiting the flexibility of a family of models for taxation and redistribution
by Maria Letizia Bertotti & Giovanni Modanese
- 1207.6049 Pricing credit default swaps with bilateral value adjustments
by Alexander Lipton & Ioana Savescu
- 1207.5895 Social learning equilibria
by Elchanan Mossel & Manuel Mueller-Frank & Allan Sly & Omer Tamuz
- 1207.5809 A control problem with fuel constraint and Dawson-Watanabe superprocesses
by Alexander Schied
- 1207.5269 Structural distortions in the Euro interbank market: The role of 'key players' during the recent market turmoil
by Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa
- 1207.4860 Inference of Extreme Synchrony with an Entropy Measure on a Bipartite Network
by Aki-Hiro Sato
- 1207.4749 Do arbitrage-free prices come from utility maximization?
by Pietro Siorpaes
- 1207.4608 Digital double barrier options: Several barrier periods and structure floors
by Suhan Altay & Stefan Gerhold & Karin Hirhager
- 1207.4309 Vine Constructions of Levy Copulas
by Oliver Grothe & Stephan Nicklas
- 1207.4300 A higher order correlation unscented Kalman filter
by Oliver Grothe
- 1207.4069 Global Inflation Dynamics: regularities & forecasts
by Askar Akaev & Andrey Korotayev & Alexey Fomin
- 1207.4028 Signal processing with Levy information
by Dorje C. Brody & Lane P. Hughston & Xun Yang
- 1207.3464 On dependence consistency of CoVaR and some other systemic risk measures
by Georg Mainik & Eric Schaanning
- 1207.3412 A quantum mechanical model for the relationship between stock price and stock ownership
by Liviu-Adrian Cotfas
- 1207.3300 How news affect the trading behavior of different categories of investors in a financial market
by Fabrizio Lillo & Salvatore Miccich`e & Michele Tumminello & Jyrki Piilo & Rosario Nunzio Mantegna
- 1207.3118 The Long Neglected Critically Leveraged Portfolio
by M. Hossein Partovi
- 1207.2946 Microscopic understanding of heavy-tailed return distributions in an agent-based model
by Thilo A. Schmitt & Rudi Schafer & Michael C. Munnix & Thomas Guhr
- 1207.2452 A new approach to unbiased estimation for SDE's
by Chang-han Rhee & Peter W. Glynn
- 1207.2316 Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
by Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu
- 1207.2010 Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
by Frederik Herzberg & Frank Riedel
- 1207.1932 Optimization Method for Interval Portfolio Selection Based on Satisfaction Index of Interval inequality Relation
by Yunchol Jong
- 1207.1842 A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan
by Akihiko Noda
- 1207.1771 The Keynesian theory and the manufactured industry in Portugal
by Vitor Joao Pereira Domingues Martinho
- 1207.1759 On arbitrages arising from honest times
by Claudio Fontana & Monique Jeanblanc & Shiqi Song
- 1207.1630 The Smile of certain L\'evy-type Models
by Antoine Jacquier & Matthew Lorig
- 1207.1463 Statistical Basis for Predicting Technological Progress
by Bela Nagy & J. Doyne Farmer & Quan M. Bui & Jessika E. Trancik
- 1207.1202 How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market
by Tanya Ara'ujo & Jo~ao Dias & Samuel Eleut'erio & Francisco Louc{c}~a
- 1207.1037 On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
by Taras Bodnar & Nestor Parolya & Wolfgang Schmid
- 1207.1029 On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory
by Taras Bodnar & Nestor Parolya & Wolfgang Schmid
- 1207.1003 A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
by Taras Bodnar & Nestor Parolya & Wolfgang Schmid
- 1207.0843 A new look at short-term implied volatility in asset price models with jumps
by Aleksandar Mijatovi'c & Peter Tankov
- 1207.0750 The Exact Smile of some Local Volatility Models
by Matthew Lorig
- 1207.0356 Financial instability from local market measures
by Marco Bardoscia & Giacomo Livan & Matteo Marsili
- 1207.0233 From characteristic functions to implied volatility expansions
by Antoine Jacquier & Matthew Lorig
- 1206.7000 On the role of backauditing for tax evasion in an agent-based Econophysics model
by G. Seibold & M. Pickhardt
- 1206.6998 Interest Rate Risk of Bond Prices on Macedonian Stock Exchange - Empirical Test of the Duration, Modified Duration and Convexity and Bonds Valuation
by Zoran Ivanovski & Toni Draganov Stojanovski & Nadica Ivanovska
- 1206.6972 Record statistics and persistence for a random walk with a drift
by Satya N. Majumdar & Gregory Schehr & Gregor Wergen
- 1206.6787 Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results
by Leif Andersen & Alexander Lipton
- 1206.6325 Stochastic target games with controlled loss
by Bruno Bouchard & Ludovic Moreau & Marcel Nutz
- 1206.6283 Inventory Management with Partially Observed Nonstationary Demand
by Erhan Bayraktar & Mike Ludkovski
- 1206.6268 Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin
by Erhan Bayraktar & Virginia R. Young
- 1206.5983 On a Symmetrization of Diffusion Processes
by Jiro Akahori & Yuri Imamura
- 1206.5756 On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
by Nils Chr. Framstad
- 1206.5393 Numerical methods for the quadratic hedging problem in Markov models with jumps
by Carmine De Franco & Peter Tankov & Xavier Warin
- 1206.5324 Effective Trade Execution
by Riccardo Cesari & Massimiliano Marzo & Paolo Zagaglia
- 1206.5252 A Utility Framework for Bounded-Loss Market Makers
by Yiling Chen & David M Pennock
- 1206.5224 Stock prices assessment: proposal of a new index based on volume weighted historical prices through the use of computer modeling
by Tiago Colliri & Fernando F. Ferreira
- 1206.5046 Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach
by Dongjae Lim & Lingfei Li & Vadim Linetsky
- 1206.4917 A shorter proof of Lemma A.6 (arXiv:1005.0768)
by Tom Fischer
- 1206.4810 High-frequency market-making with inventory constraints and directional bets
by Pietro Fodra & Mauricio Labadie
- 1206.4804 A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets
by David German & Henry Schellhorn
- 1206.4766 A CB (corporate bond) pricing probabilities and recovery rates model for deriving default probabilities and recovery rates
by Takeaki Kariya
- 1206.4626 On-Line Portfolio Selection with Moving Average Reversion
by Bin Li & Steven C. H. Hoi
- 1206.4562 Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM
by G. Charles-Cadogan
- 1206.4506 Hedging of game options in discrete markets with transaction costs
by Yuri Kifer
- 1206.4420 Statistical pairwise interaction model of stock market
by Thomas Bury
- 1206.3390 State-independent Importance Sampling for Random Walks with Regularly Varying Increments
by Karthyek R. A. Murthy & Sandeep Juneja & Jose Blanchet
- 1206.3387 Import and export of horticultural products in Portugal
by Vitor Joao Pereira Domingues Martinho
- 1206.3385 International trade of fruits between Portugal and the world
by Vitor Joao Pereira Domingues Martinho
- 1206.3384 International trade of flowers. Tendencies and policies
by Vitor Joao Pereira Domingues Martinho
- 1206.3220 Valuation and parities for exchange options
by Constantinos Kardaras
- 1206.3104 A structural approach to pricing credit default swaps with credit and debt value adjustments
by Alexander Lipton & Ioana Savescu
- 1206.2966 Panel Data Models with Nonadditive Unobserved Heterogeneity: Estimation and Inference
by Ivan Fernandez-Val & Joonhwah Lee
- 1206.2934 A Numerical Scheme Based on Semi-Static Hedging Strategy
by Yuri Imamura & Yuta Ishigaki & Takuya Kawagoe & Toshiki Okumura
- 1206.2778 Designing the new architecture of international financial system in era of great changes by globalization
by Viktor O. Ledenyov & Dimitri O. Ledenyov
- 1206.2665 Representation Theory for Risk On Markowitz-Tversky-Kahneman Topology
by Godfrey Charles-Cadogan
- 1206.2662 Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets
by Godfrey Charles-Cadogan
- 1206.2494 A physical theory of economic growth
by Hans G. Danielmeyer & Thomas Martinetz
- 1206.2333 An algorithm for the orthogonal decomposition of financial return data
by Vic Norton
- 1206.2305 The numeraire property and long-term growth optimality for drawdown-constrained investments
by Constantinos Kardaras & Jan Obloj & Eckhard Platen
- 1206.2153 The fine-structure of volatility feedback I: multi-scale self-reflexivity
by R'emy Chicheportiche & Jean-Philippe Bouchaud
- 1206.2112 Pricing joint claims on an asset and its realized variance under stochastic volatility models
by Lorenzo Torricelli
- 1206.2022 Shaping the international financial system in century of globalization
by Viktor O. Ledenyov & Dimitri O. Ledenyov
- 1206.1504 Preliminary remarks on option pricing and dynamic hedging
by Michel Fliess & C'edric Join
- 1206.1400 Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework
by K. Milanov & O. Kounchev
- 1206.1380 Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
by A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu
- 1206.1272 Negative Kelvin temperatures in stock markets
by J. L. Subias
- 1206.1007 On the scaling ranges of detrended fluctuation analysis for long-memory correlated short series of data
by Dariusz Grech & Zygmunt Mazur
- 1206.0831 C^{1,1} regularity for degenerate elliptic obstacle problems
by Panagiota Daskalopoulos & Paul M. N. Feehan
- 1206.0715 Robust utility maximization for L\'evy processes: Penalization and solvability
by Daniel Hern'andez-Hern'andez & Leonel P'erez-Hern'andez
- 1206.0682 Calibration of optimal execution of financial transactions in the presence of transient market impact
by Enzo Busseti & Fabrizio Lillo
- 1206.0496 A Compact Mathematical Model of the World System Economic and Demographic Growth, 1 CE - 1973 CE
by Andrey Korotayev & Artemy Malkov
- 1206.0482 The Wronskian parameterizes the class of diffusions with a given distribution at a random time
by Martin Klimmek
- 1206.0478 Beyond cash-additive risk measures: when changing the num\'{e}raire fails
by Walter Farkas & Pablo Koch-Medina & Cosimo Munari
- 1206.0450 Why price inflation in developed countries is systematically underestimated
by Ivan Kitov