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Content
2012
- 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
- 1206.0384 The Effect of Market Power on Risk-Sharing
by Michail Anthropelos
- 1206.0243 Cone-Constrained Continuous-Time Markowitz Problems
by Christoph Czichowsky & Martin Schweizer
- 1206.0153 Error estimates for binomial approximations of game put options
by Y. Iron & Y. Kifer
- 1206.0026 Stochastic Volatility with Heterogeneous Time Scales
by Danilo Delpini & Giacomo Bormetti
- 1205.6542 Collateralized CVA Valuation with Rating Triggers and Credit Migrations
by Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler
- 1205.6254 No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs
by Tomasz R. Bielecki & Igor Cialenco & Rodrigo Rodriguez
- 1205.6193 A Multi Period Equilibrium Pricing Model
by Traian A. Pirvu & Huayue Zhang
- 1205.6160 Stability of the exponential utility maximization problem with respect to preferences
by Hao Xing
- 1205.5958 Life Insurance Purchasing to Maximize Utility of Household Consumption
by Erhan Bayraktar & Virginia R. Young
- 1205.5821 Toward A Normative Theory of Normative Marketing Theory
by Ian Wilkinson & Louise Young
- 1205.5820 A Multi-Level Lorentzian Analysis of the Basic Structures of the Daily DJIA
by Frank W. K. Firk
- 1205.5675 Interlinkages and structural changes in cross-border liabilities: a network approach
by Alessandro Spelta & Tanya Ara'ujo
- 1205.5671 Real GDP per capita since 1870
by Ivan Kitov & Oleg Kitov
- 1205.5565 Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
by Giovanni Salvi & Anatoliy V. Swishchuk
- 1205.5369 Two Models of Stochastic Loss Given Default
by Simone Farinelli & Mykhaylo Shkolnikov
- 1205.4790 Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices
by Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler & Rodrigo Rodriguez
- 1205.4748 Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time
by Christoph Czichowsky
- 1205.4693 An assessement of global energy resource economic potentials
by J. F. Mercure & P. Salas
- 1205.4643 Transaction Costs, Shadow Prices, and Duality in Discrete Time
by Christoph Czichowsky & Johannes Muhle-Karbe & Walter Schachermayer
- 1205.4589 Structural Hamiltonian of the international trade network
by Agata Fronczak
- 1205.4588 Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
by Johannes Muhle-Karbe & Ren Liu
- 1205.4358 Point process bridges and weak convergence of insider trading models
by Umut c{C}etin & Hao Xing
- 1205.4345 Involving copula functions in Conditional Tail Expectation
by Brahim Brahimi
- 1205.4089 Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
by St'ephane Goutte & Nadia Oudjane & Francesco Russo
- 1205.4008 Price manipulation in a market impact model with dark pool
by Florian Klock & Alexander Schied & Yuemeng Sun
- 1205.3767 Universal Algorithm for Online Trading Based on the Method of Calibration
by Vladimir V'yugin & Vladimir Trunov
- 1205.3763 Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
by Jiri Kukacka & Jozef Barunik
- 1205.3686 Valuation and hedging of the ruin-contingent life annuity (RCLA)
by Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury
- 1205.3671 Arbitrary Truncated Levy Flight: Asymmetrical Truncation and High-Order Correlations
by Dmitry V. Vinogradov
- 1205.3555 Approximating stochastic volatility by recombinant trees
by Erd.inc{c} Aky{i}ld{i}r{i}m & Yan Dolinsky & H. Mete Soner
- 1205.3550 New solvable stochastic volatility models for pricing volatility derivatives
by Andrey Itkin
- 1205.3519 Restructuring the Italian NHS: a case study of the regional hospital network
by Carlo Castellana
- 1205.3507 Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
by Igor Halperin & Andrey Itkin
- 1205.3482 Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall
by Mauricio Labadie & Charles-Albert Lehalle
- 1205.3405 Generalized Gaussian Bridges
by Tommi Sottinen & Adil Yazigi
- 1205.3051 Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
by Fabien Guilbaud & Huy^en Pham
- 1205.2999 Towards a new brain science: lessons from the economic collapse
by Jaime Gomez-Ramirez & Manuel G. Bedia
- 1205.2915 Universality class of balanced flows with bottlenecks: granular flows, pedestrian fluxes and financial price dynamics
by Daniel R. Parisi & Didier Sornette & Dirk Helbing
- 1205.2878 Asymmetric R&D Alliances and Coopetitive Games
by Daniela Baglieri & David Carf`i & Giovanni Battista Dagnino
- 1205.2872 Global Green Economy and Environmental Sustainability: a Coopetitive Model
by David Carf`i & Daniele Schilir`o
- 1205.2866 The fractional volatility model: No-arbitrage, leverage and completeness
by R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues
- 1205.2863 Impact of the economic crisis on the Italian public healthcare expenditure
by Carlo Castellana
- 1205.2551 Weighted-indexed semi-Markov models for modeling financial returns
by Guglielmo D'Amico & Filippo Petroni
- 1205.2521 From Minority Game to Black & Scholes pricing
by Matteo Ortisi & Valerio Zuccolo
- 1205.2513 A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA)
by Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury
- 1205.2501 Tobit Bayesian Model Averaging and the Determinants of Foreign Direct Investment
by Alexander Jordan & Alex Lenkoski
- 1205.2470 Equilibrium Distribution of Labor Productivity: A Theoretical Model
by Hideaki Aoyama & Hiroshi Iyetomi & Hiroshi Yoshikawa
- 1205.2415 Constructing Sublinear Expectations on Path Space
by Marcel Nutz & Ramon van Handel
- 1205.2398 Exponential L\'evy-type models with stochastic volatility and stochastic jump-intensity
by Matthew Lorig & Oriol Lozano-Carbass'e
- 1205.2302 The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
by Rene Carmona & Michael Coulon & Daniel Schwarz
- 1205.2299 Electricity price modeling and asset valuation: a multi-fuel structural approach
by Rene Carmona & Michael Coulon & Daniel Schwarz
- 1205.2295 Optimal retirement consumption with a stochastic force of mortality
by Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury
- 1205.2013 Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause
by Lorenzo Giada & Claudio Nordio
- 1205.1966 Optimal multiple stopping with random waiting times
by Soren Christensen & Albrecht Irle & Stephan Jurgens
- 1205.1861 Carbon-dioxide emissions trading and hierarchical structure in worldwide finance and commodities markets
by Zeyu Zheng & Kazuko Yamasaki & Joel N. Tenenbaum & H. Eugene Stanley
- 1205.1711 Characterizing price index behavior through fluctuation dynamics
by Prasanta K. Panigrahi & Sayantan Ghosh & Arjun Banerjee & Jainendra Bahadur & P. Manimaran
- 1205.1710 Singularity strength based characterization of financial networks
by Sayantan Ghosh & Uwe Jaekel & Francesco Petruccione
- 1205.1617 A multivariate piecing-together approach with an application to operational loss data
by Stefan Aulbach & Verena Bayer & Michael Falk
- 1205.1533 Central Counterparty Risk
by Matthias Arnsdorf
- 1205.1364 Statistical Outliers and Dragon-Kings as Bose-Condensed Droplets
by V. I. Yukalov & D. Sornette
- 1205.1163 Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms
by Karel in 't Hout & Chittaranjan Mishra
- 1205.1154 On absolutely continuous compensators and nonlinear filtering equations in default risk models
by Umut c{C}etin
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