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Content
2012
- 1212.3137 Smooth Value Function with Applications in Wealth-CVaR Efficient Portfolio and Turnpike Property
by Baojun Bian & Harry Zheng
- 1212.2833 The Illusion of the Perpetual Money Machine
by D. Sornette & P. Cauwels
- 1212.2676 Mining the Web for the Voice of the Herd to Track Stock Market Bubbles
by Aaron Gerow & Mark Keane
- 1212.2473 A Linear Belief Function Approach to Portfolio Evaluation
by Liping Liu & Catherine Shenoy & Prakash P. Shenoy
- 1212.2189 Transition in the Waiting-Time Distribution of Price-Change Events in a Global Socioeconomic System
by Guannan Zhao & Mark McDonald & Dan Fenn & Stacy Williams & Neil F. Johnson
- 1212.2140 Optimal stopping under adverse nonlinear expectation and related games
by Marcel Nutz & Jianfeng Zhang
- 1212.2129 Online Portfolio Selection: A Survey
by Bin Li & Steven C. H. Hoi
- 1212.1946 Econophysics in Belgium. The first (?) 15 years
by Marcel Ausloos
- 1212.1919 Stochastic PDEs and Quantitative Finance: The Black-Scholes-Merton Model of Options Pricing and Riskless Trading
by Brandon Kaplowitz & Siddharth G. Reddy
- 1212.1877 Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage
by Winslow Strong
- 1212.1679 The Greek Public Debt Path: From Zero to Infinity
by Dimitris Sardelis
- 1212.1661 Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources
by Ivan Kitov
- 1212.1377 Multilevel Monte Carlo methods for applications in finance
by Mike Giles & Lukasz Szpruch
- 1212.1286 Predicting economic growth with classical physics and human biology
by Hans G. Danielmeyer & Thomas Martinetz
- 1212.1282 The physics of business cycles and inflation
by Hans G. Danielmeyer & Thomas Martinetz
- 1212.1061 Study of a Market Model with Conservative Exchanges on Complex Networks
by L. A. Braunstein & P. A. Macri & J. R. Iglesias
- 1212.1037 Modeling Movements in Oil, Gold, Forex and Market Indices using Search Volume Index and Twitter Sentiments
by Tushar Rao & Saket Srivastava
- 1212.0781 Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model
by Maria B. Chiarolla & Tiziano De Angelis
- 1212.0779 Asymptotics of forward implied volatility
by Antoine Jacquier & Patrick Roome
- 1212.0479 Modeling non-stationarities in high-frequency financial time series
by Linda Ponta & Mailan Trinh & Marco Raberto & Enrico Scalas & Silvano Cincotti
- 1212.0476 Second-order BSDEs with general reflection and game options under uncertainty
by Anis Matoussi & Lambert Piozin & Dylan Possamai
- 1212.0442 Some New Asymptotic Theory for Least Squares Series: Pointwise and Uniform Results
by Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Kengo Kato
- 1212.0440 Maximum Entropy distributions of correlated variables with prespecified marginals
by Hern'an Larralde
- 1212.0380 A note on estimating stochastic volatility and its volatility: a new simple method
by Moawia Alghalith
- 1212.0354 Effect of detrending on multifractal characteristics
by P. O'swik{e}cimka & S. Dro.zd.z & J. Kwapie'n & A. Z. G'orski
- 1212.0092 Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling
by J. L. van Velsen
- 1211.7365 On optimal dividends in the dual model
by Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki
- 1211.7172 Statistical Microeconomics
by Belal E. Baaquie
- 1211.6695 Unstable Price Dynamics as a Result of Information Absorption in Speculative Markets
by Felix Patzelt & Klaus R. Pawelzik
- 1211.6667 High Frequency Trading and Mini Flash Crashes
by Anton Golub & John Keane & Ser-Huang Poon
- 1211.6525 The Pricing Mechanism of Contingent Claims and its Generating Function
by Shige Peng
- 1211.6517 Momentum universe shrinkage effect in price momentum
by Jaehyung Choi & Sungsoo Choi & Wonseok Kang
- 1211.6349 Will Central Counterparties become the New Rating Agencies?
by Chris Kenyon & Andrew Green
- 1211.5867 An FBSDE Approach to American Option Pricing with an Interacting Particle Method
by Masaaki Fujii & Seisho Sato & Akihiko Takahashi
- 1211.5858 Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance
by Nikolai Dokuchaev
- 1211.5819 New stochastic calculus
by Moawia Alghalith
- 1211.5816 Relaxing the Differentiability Assumption in Taylor Theorem and Optimization: Applications to the HJB PDE and Finance
by Moawia Alghalith
- 1211.5726 Application of simplest random walk algorithms for pricing barrier options
by M. Krivko & M. V. Tretyakov
- 1211.5628 Optimal portfolio model based on WVAR
by Tianyu Hao
- 1211.5575 Heterogeneous Enterprises in a Macroeconomic Agent-Based Model
by Cornelia Metzig & Mirta Gordon
- 1211.5517 CDS pricing under Basel III: capital relief and default protection
by Chris Kenyon & Andrew Green
- 1211.5502 Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
by Wen-Jie Xie & Zhi-Qiang Jiang & Wei-Xing Zhou
- 1211.5235 Optimal portfolio for a robust financial system
by Yoshiharu Maeno & Kenji Nishiguchi & Satoshi Morinaga & Hirokazu Matsushima
- 1211.5035 Optimal hedging in discrete time
by Bruno R'emillard & Sylvain Rubenthaler
- 1211.4978 Can there be an explicit formula for implied volatility?
by Stefan Gerhold
- 1211.4946 The Calculus of Expected Loss: Backtesting Parameter-Based Expected Loss in a Basel II Framework
by Wolfgang Reitgruber
- 1211.4686 Testing the weak-form efficiency of the WTI crude oil futures market
by Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou
- 1211.4636 On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Ito processes
by Paul M. N. Feehan & Camelia Pop
- 1211.4598 How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related
by Tahir Choulli & Jun Deng & Junfeng Ma
- 1211.4416 An overview of the goodness-of-fit test problem for copulas
by Jean-David Fermanian
- 1211.4396 European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
by R. E. Caflisch & G. Gambino & M. Sammartino & C. Sgarra
- 1211.4282 Inference on Sets in Finance
by Victor Chernozhukov & Emre Kocatulum & Konrad Menzel
- 1211.4173 Closed form solutions of measures of systemic risk
by Manfred Jaeger-Ambrozewicz
- 1211.4157 Modeling First Line Of An Order Book With Multivariate Marked Point Processes
by Alexis Fauth & Ciprian A. Tudor
- 1211.4108 On the Risk Management with Application of Econophysics Analysis in Central Banks and Financial Institutions
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1211.3824 Les r\'eservations et les suspensions de cotation sont-elles un frein \`a l'efficience informationnelle des march\'es ?
by Karine Michalon
- 1211.3599 Network analysis of correlation strength between the most developed countries
by Janusz Mi'skiewicz
- 1211.3102 Can we predict long-run economic growth?
by Timothy J. Garrett
- 1211.3060 Analysis of short term price trends in daily stock-market index data
by H. F. Coronel-Brizio & A. R. Hern'andez Montoya & H. R Olivares S'anchez & E. Scalas
- 1211.2862 Hurst Exponents For Short Time Series
by Jingzhao Qi & Huijie Yang
- 1211.2754 Coal Enterprise Management and Asynchronism of Return
by Kenan Qiao
- 1211.2709 Can we explain unexpected fluctuations of long-term real interest rate?
by Barbora Voln'a
- 1211.2078 Market Liquidity and Convexity of Order Book (Evidence From China)
by Kenan Qiao
- 1211.1938 A quantum mechanical model for the rate of return
by Liviu-Adrian Cotfas
- 1211.1919 High-Frequency Trading Synchronizes Prices in Financial Markets
by Austin Gerig
- 1211.1897 On the new central bank strategy toward monetary and financial instabilities management in finances: Econophysical analysis of nonlinear dynamical financial systems
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1211.1564 Funded Bilateral Valuation Adjustment
by Lorenzo Giada & Claudio Nordio
- 1211.1286 Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets
by Salvatore Federico & Paul Gassiat
- 1211.1285 Impact of time illiquidity in a mixed market without full observation
by Salvatore Federico & Paul Gassiat & Fausto Gozzi
- 1211.0856 Heat Kernel Framework for Asset Pricing in Finite Time
by Andrea Macrina
- 1211.0707 Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
by Karolina Bujok & Ben Hambly & Christoph Reisinger
- 1211.0443 Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs
by Irene Klein & Emmanuel Lepinette & Lavinia Ostafe
- 1211.0412 On an integral equation for the free-boundary of stochastic, irreversible investment problems
by Giorgio Ferrari
- 1211.0225 The role of the Model Validation function to manage and mitigate model risk
by Alberto Elices
- 1211.0130 The full-tails gamma distribution applied to model extreme values
by Joan del castillo & Jalila Daoudi & Isabel Serra
- 1210.8380 Market structure explained by pairwise interactions
by Thomas Bury
- 1210.8175 A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation
by Ren'e Aid & Luciano Campi & Nicolas Langren'e & Huy^en Pham
- 1210.7721 Halton-type sequences from global function fields
by Harald Niederreiter & Anderson Siang Jing Yeo
- 1210.7642 Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables
by J. Martin van Zyl
- 1210.7608 Execution and block trade pricing with optimal constant rate of participation
by Olivier Gu'eant
- 1210.7510 Isobenefit Lines, Breaking Point of equal attraction, Uniformity Benefit, Variety Value and Proximity Value, Preference Gap Gain
by Luca D'Acci
- 1210.7329 The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
by Marco Bianchetti
- 1210.7257 Uniqueness of Kusuoka Representations
by Alois Pichler & Alexander Shapiro
- 1210.7230 A Model of Market Limit Orders By Stochastic PDE's, Parameter Estimation, and Investment Optimization
by Zhi Zheng & Richard B. Sowers
- 1210.7215 Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets
by Kylie-Anne Richards & Gareth W. Peters & William Dunsmuir
- 1210.7111 Generalised arbitrage-free SVI volatility surfaces
by Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt
- 1210.6958 Dual Regression
by Richard Spady & Sami Stouli
- 1210.6727 Schauder a priori estimates and regularity of solutions to boundary-degenerate elliptic linear second-order partial differential equations
by Paul M. N. Feehan & Camelia Pop
- 1210.6481 Complex Systems with Trivial Dynamics
by Ricardo Lopez-Ruiz
- 1210.6372 Optimal execution and block trade pricing: a general framework
by Olivier Gu'eant
- 1210.6321 High quality topic extraction from business news explains abnormal financial market volatility
by Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe
- 1210.6201 A case for FDI in Multi-brand retail in India
by Jatin Prasad & Dr Jyoti Singh
- 1210.6197 Game Theory in Oligopoly
by Marx Boopathi
- 1210.6080 Food for fuel: The price of ethanol
by Dominic K. Albino & Karla Z. Bertrand & Yaneer Bar-Yam
- 1210.6000 Solvency assessment within the ORSA framework: issues and quantitative methodologies
by Julien Vedani & Laurent Devineau
- 1210.5987 Stability analysis of financial contagion due to overlapping portfolios
by Fabio Caccioli & Munik Shrestha & Cristopher Moore & J. Doyne Farmer
- 1210.5859 Determination the Parameters of Markowitz Portfolio Optimization Model
by Ertugrul Bayraktar & Ayse Humeyra Bilge
- 1210.5781 High Frequency Market Making
by Rene Carmona & Kevin Webster
- 1210.5773 Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives
by Rene Carmona & Francois Delarue & Gilles-Edouard Espinosa & Nizar Touzi
- 1210.5479 Valuation of asset and volatility derivatives using decoupled time-changed L\'evy processes
by Lorenzo Torricelli
- 1210.5466 Optimal Investment with Stocks and Derivatives
by Pietro Siorpaes
- 1210.5392 High order splitting schemes with complex timesteps and their application in mathematical finance
by Philipp Doersek & Eskil Hansen
- 1210.5391 Simple arbitrage
by Christian Bender
- 1210.5390 Ethics and Finance: the role of mathematics
by Timothy C. Johnson
- 1210.5205 The Merton Problem with a Drawdown Constraint on Consumption
by T. Arun
- 1210.5152 A construction of (t,s)-sequences with finite-row generating matrices using global function fields
by Roswitha Hofer & Harald Niederreiter
- 1210.5111 Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters
by Belkacem Berdjane & Sergei Pergamenshchikov
- 1210.5046 Counterparty Risk and Funding: The Four Wings of the TVA
by St'ephane Cr'epey & R'emi Gerboud & Zorana Grbac & Nathalie Ngor
- 1210.4973 Cascading Failures in Bi-partite Graphs: Model for Systemic Risk Propagation
by Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley
- 1210.4901 An Approximate Solution Method for Large Risk-Averse Markov Decision Processes
by Marek Petrik & Dharmashankar Subramanian
- 1210.4900 Probability and Asset Updating using Bayesian Networks for Combinatorial Prediction Markets
by Wei Sun & Robin Hanson & Kathryn Blackmond Laskey & Charles Twardy
- 1210.4853 Weighted Sets of Probabilities and MinimaxWeighted Expected Regret: New Approaches for Representing Uncertainty and Making Decisions
by Joseph Y. Halpern & Samantha Leung
- 1210.4837 Designing Informative Securities
by Yiling Chen & Mike Ruberry & Jennifer Wortman Vaughan
- 1210.4713 Measuring and Analysing Marginal Systemic Risk Contribution using CoVaR: A Copula Approach
by Brice Hakwa & Manfred Jager-Ambro.zewicz & Barbara Rudiger
- 1210.4643 Econoinformatics meets Data-Centric Social Sciences
by Aki-Hiro Sato
- 1210.4461 Modeling Spatial Equilibrium in Cities: the Isobenefit Lines
by Luca D'Acci
- 1210.4129 Towards international E-stat for monitoring the socio-economic activities across the globe
by Aki-Hiro Sato & Ken Umeno
- 1210.4000 Price-Setting of Market Makers: A Filtering Problem with an Endogenous Filtration
by Christoph Kuhn & Matthias Riedel
- 1210.3865 Opinion Mining for Relating Subjective Expressions and Annual Earnings in US Financial Statements
by Chien-Liang Chen & Chao-Lin Liu & Yuan-Chen Chang & Hsiang-Ping Tsai
- 1210.3851 An introduction to particle integration methods: with applications to risk and insurance
by P. Del Moral & G. W. Peters & Ch. Verg'e
- 1210.3849 A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving
by Gareth W. Peters & Alice X. D. Dong & Robert Kohn
- 1210.3814 Russian interbank networks: main characteristics and stability with respect to contagion
by A. V. Leonidov & E. L. Rumyantsev
- 1210.3811 Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments
by Andrea Pallavicini & Daniele Perini & Damiano Brigo
- 1210.3800 A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance
by Nicole Bauerle & Erhan Bayraktar
- 1210.3716 Redistribution spurs growth by using a portfolio effect on human capital
by Jan Lorenz & Fabian Paetzel & Frank Schweitzer
- 1210.3678 Physical assets replacement: an analytical approach
by Igor Gimenes Cesca & Douglas Duarte Novaes
- 1210.3543 Characterizing the development of sectoral Gross Domestic Product composition
by Raphael Lutz & Michael Spies & Dominik E. Reusser & Jurgen P. Kropp & Diego Rybski
- 1210.3324 Strong random correlations in networks of heterogeneous agents
by Imre Kondor & Istv'an Csabai & G'abor Papp & Enys Mones & G'abor Czimbalmos & M'at'e Csaba S'andor
- 1210.3269 The role of distances in the World Trade Web
by Francesco Picciolo & Tiziano Squartini & Franco Ruzzenenti & Riccardo Basosi & Diego Garlaschelli
- 1210.3164 A Semi-Markov Modulated Interest Rate Model
by Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi
- 1210.2953 Characterization of Differentiable Copulas
by Saikat Mukherjee & Farhad Jafari & Jong-Min Kim
- 1210.2617 The solution of discretionary stopping problems with applications to the optimal timing of investment decisions
by Timothy C. Johnson
- 1210.2337 Local Risk-Minimization under the Benchmark Approach
by Francesca Biagini & Alessandra Cretarola & Eckhard Platen
- 1210.2132 Equalitarian Societies are Economically Impossible
by Bojin Zheng & Wenhua Du & Wanneng Shu & Jianmin Wang & Deyi Li
- 1210.2088 Mod\`eles de co\^uts en fonderie sable : les limites d'une approche g\'en\'erique
by Nicolas Perry & Magali Mauchand & Alain Bernard
- 1210.2043 Smooth Nonparametric Bernstein Vine Copulas
by Gregor Wei{ss} & Marcus Scheffer
- 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
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