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Content
2013
- 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
- 1302.3001 A Modern Approach to the Efficient-Market Hypothesis
by Gabriel Frahm
- 1302.2567 Technical report : Risk-neutral density recovery via spectral analysis
by Jean-Baptiste Monnier
- 1302.2544 Quality Control and Due Diligence in Project Management: Getting Decisions Right by Taking the Outside View
by Bent Flyvbjerg
- 1302.2534 Stationarity and ergodicity for an affine two factor model
by Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap
- 1302.2493 Evaluation on the Financial Competitiveness of Chinese Listed Real Estate Companies Based on Entropy Method
by Wei Lin & Linbo Shao
- 1302.2337 The Heston Riemannian distance function
by Archil Gulisashvili & Peter Laurence
- 1302.2312 Convergence of European Lookback Options with Floating Strike in the Binomial Model
by Fabien Heuwelyckx
- 1302.2231 On the optimal dividend problem for a spectrally positive Levy process
by Chuancun Yin & Yuzhen Wen & Yongxia Zhao
- 1302.2063 Early-warning signals of topological collapse in interbank networks
by Tiziano Squartini & Iman van Lelyveld & Diego Garlaschelli
- 1302.2009 Stochastic Local Intensity Loss Models with Interacting Particle Systems
by Aur'elien Alfonsi & C'eline Labart & J'er^ome Lelong
- 1302.1965 Variance optimal hedging for continuous time additive processes and applications
by St'ephane Goutte & Nadia Oudjane & Francesco Russo
- 1302.1850 On the Robust superhedging of measurable claims
by Dylan Possamai & Guillaume Royer & Nizar Touzi
- 1302.1564 Representing Aggregate Belief through the Competitive Equilibrium of a Securities Market
by David M. Pennock & Michael P. Wellman
- 1302.1405 Critical reflexivity in financial markets: a Hawkes process analysis
by Stephen J. Hardiman & Nicolas Bercot & Jean-Philippe Bouchaud
- 1302.1228 Efficient Markets, Behavioral Finance and a Statistical Evidence of the Validity of Technical Analysis
by Marco Antonio Penteado
- 1302.0926 Risks of Large Portfolios
by Jianqing Fan & Yuan Liao & Xiaofeng Shi
- 1302.0590 Robust Hedging with Proportional Transaction Costs
by Yan Dolinsky & H. Mete Soner
- 1302.0583 Efficient Importance Sampling for Rare Event Simulation with Applications
by Cheng-Der Fuh & Huei-Wen Teng & Ren-Her Wang
- 1302.0574 Inflation-rate Derivatives: From Market Model to Foreign Currency Analogy
by Lixin Wu
- 1302.0539 Behavioural present value
by Krzysztof Piasecki
- 1302.0538 On return rate implied by behavioural present value
by Krzysztof Piasecki
- 1302.0537 Basis of financial arithmetic from the viewpoint of the utility theory
by Krzysztof Piasecki
- 1302.0465 CVA and FVA to Derivatives Trades Collateralized by Cash
by Lixin Wu
- 1302.0361 Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
by Bruno Bouchard & Emmanuel Lepinette & Erik Taflin
- 1302.0134 Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models
by Laurence Carassus & Miklos Rasonyi
- 1301.7413 Switching Portfolios
by Yoram Singer
- 1301.7078 Markets Evolution After the Credit Crunch
by Marco Bianchetti & Mattia Carlicchi
- 1301.6638 On the relation between forecast precision and trading profitability of financial analysts
by Carlo Marinelli & Alex Weissensteiner
- 1301.6519 Ab initio analysis of all income society classes in the European Union
by Maciej Jagielski & Ryszard Kutner
- 1301.6506 Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach
by A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik
- 1301.6485 Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact
by Kensuke Ishitani & Takashi Kato
- 1301.6468 Stock Price Fluctuations in an Agent-Based Model with Market Liquidity
by Takashi Kato
- 1301.6415 A primer on reflexivity and price dynamics under systemic risk
by Tom Fischer
- 1301.6334 On Possible Influence of Space Weather on Agricultural Markets: Necessary Conditions and Probable Scenarios
by Lev Pustilnik & Gregory Yom Din
- 1301.6252 Option pricing with linear market impact and non-linear Black and Scholes equations
by Gregoire Loeper
- 1301.6141 Modelling systemic price cojumps with Hawkes factor models
by Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo
- 1301.6115 DebtRank-transparency: Controlling systemic risk in financial networks
by Stefan Thurner & Sebastian Poledna
- 1301.6114 Leverage-induced systemic risk under Basle II and other credit risk policies
by Sebastian Poledna & Stefan Thurner & J. Doyne Farmer & John Geanakoplos
- 1301.6069 Cross-Ownership as a Structural Explanation for Over- and Underestimation of Default Probability
by Sabine Karl & Tom Fischer
- 1301.5974 Conservation laws, financial entropy and the Eurozone crisis
by Paul Cockshott & David Zachariah
- 1301.5877 Pricing Using a Homogeneously Saturated Equation
by Daniel T. Cassidy
- 1301.5821 Ecosystems perspective on financial networks: diagnostic tools
by Eduardo Viegas & Misako Takayasu & Wataru Miura & Koutarou Tamura & Takaaki Ohnishi & Hideki Takayasu & Henrik Jeldtoft Jensen
- 1301.5568 A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
by Beatrice Acciaio & Mathias Beiglbock & Friedrich Penkner & Walter Schachermayer
- 1301.5504 Cash Flow Entropy
by Ulrich Kirchner & Simon Moolman
- 1301.5497 Suitability of Capital Allocations for Performance Measurement
by Eduard Kromer & Ludger Overbeck
- 1301.5467 Model-independent no-arbitrage conditions on American put options
by Alexander M. G. Cox & Christoph Hoeggerl
- 1301.5425 DVA for Assets
by Chris Kenyon & Richard David Kenyon
- 1301.5129 A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection
by Audrone Virbickaite & M. Concepci'on Aus'in & Pedro Galeano
- 1301.5007 Ergodicity and scaling limit of a constrained multivariate Hawkes process
by Ban Zheng & Franc{c}ois Roueff & Fr'ed'eric Abergel
- 1301.4881 On the optimal allocation of assets in investment portfolio with application of modern portfolio and nonlinear dynamic chaos theories in investment, commercial and central banks
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1301.4869 A simple time-consistent model for the forward density process
by Henrik Hult & Filip Lindskog & Johan Nykvist
- 1301.4832 Measuring Model Risk
by Thomas Breuer & Imre Csiszar
- 1301.4614 Ambiguous volatility and asset pricing in continuous time
by Larry G. Epstein & Shaolin Ji
- 1301.4519 Homogeneously Saturated Model for Development in Time of the Price of an Asset
by Daniel T. Cassidy
- 1301.4442 USLV: Unspanned Stochastic Local Volatility Model
by Igor Halperin & Andrey Itkin
- 1301.4207 Anticipatory Systems, Preferences, Averages: Inflation, Uncertain Phenomena, Management
by Leonid A. Shapiro
- 1301.4194 Financial Portfolio Optimization: Computationally guided agents to investigate, analyse and invest!?
by Ankit Dangi
- 1301.4173 Diversity and no arbitrage
by Attila Herczegh & Vilmos Prokaj & Mikl'os R'asonyi
- 1301.4160 Random cascade model in the limit of infinite integral scale as the exponential of a non-stationary $1/f$ noise. Application to volatility fluctuations in stock markets
by J. F. Muzy & R. Baile & E. Bacry
- 1301.3886 Compact Securities Markets for Pareto Optimal Reallocation of Risk
by David M. Pennock & Michael P. Wellman
- 1301.3826 Value-Based Inventory Management
by Grzegorz Michalski
- 1301.3825 Polish and Silesian Non-Profit Organizations Liquidity Strategies
by Grzegorz Michalski & Aleksander Mercik
- 1301.3824 Planning Optimal From the Firm Value Creation Perspective Levels of Operating Cash Investments
by Grzegorz Michalski
- 1301.3823 Portfolio Management Approach in Trade Credit Decision Making
by Grzegorz Michalski
- 1301.3531 On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
by Dilip Madan & Martijn Pistorius & Mitja Stadje
- 1301.3227 Superreplication under Model Uncertainty in Discrete Time
by Marcel Nutz
- 1301.3118 A parallel implementation of a derivative pricing model incorporating SABR calibration and probability lookup tables
by Qasim Nasar-Ullah
- 1301.3114 Estimating the efficient price from the order flow: a Brownian Cox process approach
by Sylvain Delattre & Christian Y. Robert & Mathieu Rosenbaum
- 1301.3100 On an Optimal Stopping Problem of an Insider
by Erhan Bayraktar & Zhou Zhou
- 1301.3096 On Bankruptcy Game Theoretic Interval Rules
by Rodica Branzei & Marco Dall'Aglio & Stef H. Tijs
- 1301.2964 L\'evy Information and the Aggregation of Risk Aversion
by Dorje C. Brody & Lane P. Hughston
- 1301.2728 Generalised central limit theorems for growth rate distribution of complex systems
by Misako Takayasu & Hayafumi Watanabe & Hideki Takayasu
- 1301.2535 Reinterpretation of Sieczka-Ho{\l}yst financial market model
by Mateusz Denys & Tomasz Gubiec & Ryszard Kutner
- 1301.2530 Structural and topological phase transitions on the German Stock Exchange
by M. Wili'nski & A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik
- 1301.2363 The Community Structure of the Global Corporate Network
by Stefania Vitali & Stefano Battiston
- 1301.2076 Modeling of income distribution in the European Union with the Fokker-Planck equation
by Maciej Jagielski & Ryszard Kutner
- 1301.1893 Dynamics of episodic transient correlations in currency exchange rate returns and their predictability
by Milan v{Z}ukoviv{c}
- 1301.1824 Trust in foreseeing neighbours - a novel threshold model of financial market
by Jan A. Lipski & Ryszard Kutner
- 1301.1496 Multivariate risk measures: a constructive approach based on selections
by Ignacio Cascos & Ilya Molchanov
- 1301.1471 The Foster-Hart Measure of Riskiness for General Gambles
by Frank Riedel & Tobias Hellmann
- 1301.1135 Hawkes model for price and trades high-frequency dynamics
by E. Bacry & J. F Muzy
- 1301.1090 Testing the Goodwin growth-cycle macroeconomic dynamics in Brazil
by N. J. Moura Jr & Marcelo B. Ribeiro
- 1301.1010 Coupling between time series: a network view
by Saeed Mehraban & Amirhossein Shirazi & Maryam Zamani & Gholamreza Jafari
- 1301.0907 On a dynamic adaptation of the Distribution Builder approach to investment decisions
by Phillip Monin
- 1301.0719 Gambling in contests with regret
by Han Feng & David Hobson
- 1301.0381 Optimal replication of random claims by ordinary integrals with applications in finance
by Nikolai Dokuchaev
- 1301.0280 Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
by Salvatore Federico & Paul Gassiat & Fausto Gozzi
- 1301.0186 On Infectious Model for Dependent Defaults
by Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng
- 1301.0109 On Reduced Form Intensity-based Model with Trigger Events
by Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng
- 1301.0091 On the Robust Optimal Stopping Problem
by Erhan Bayraktar & Song Yao
- 1301.0072 The effect of debt on corporate profitability : Evidence from French service sector
by Mazen Kebewar
2012
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