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Content
2011
- 1105.1694 Anomalous price impact and the critical nature of liquidity in financial markets
by Bence Toth & Yves Lemperiere & Cyril Deremble & Joachim de Lataillade & Julien Kockelkoren & Jean-Philippe Bouchaud
- 1105.1488 The structure of optimal portfolio strategies for continuous time markets
by Nikolai Dokuchaev
- 1105.1267 Don't stay local - extrapolation analytics for Dupire's local volatility
by Peter Friz & Stefan Gerhold
- 1105.0934 Stochastic programs without duality gaps
by Teemu Pennanen & Ari-Pekka Perkkio
- 1105.0819 Equilibrium strategy and population-size effects in lowest unique bid auctions
by Simone Pigolotti & Sebastian Bernhardsson & Jeppe Juul & Gorm Galster & Pierpaolo Vivo
- 1105.0745 Weak Dynamic Programming for Generalized State Constraints
by Bruno Bouchard & Marcel Nutz
- 1105.0284 Exercise Boundary of the American Put Near Maturity in an Exponential L\'evy Model
by Damien Lamberton & Mohammed Mikou
- 1105.0247 Liquidation in Limit Order Books with Controlled Intensity
by Erhan Bayraktar & Michael Ludkovski
- 1105.0238 Default Swap Games Driven by Spectrally Negative Levy Processes
by Masahiko Egami & Tim S. T. Leung & Kazutoshi Yamazaki
- 1105.0068 Power Series Representations for European Option Prices under Stochastic Volatility Models
by Lucia Caramellino & Giorgio Ferrari & Roberta Piersimoni
- 1105.0042 Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching
by Agostino Capponi & Jose E. Figueroa-Lopez
- 1104.5393 Notional portfolios and normalized linear returns
by Vic Norton
- 1104.5326 Density Approximations for Multivariate Affine Jump-Diffusion Processes
by Damir Filipovi'c & Eberhard Mayerhofer & Paul Schneider
- 1104.5272 Credit contagion and risk management with multiple non-ordered defaults
by Younes Kchia & Martin Larsson
- 1104.5131 American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods
by Lokman Abbas-Turki & Bernard Lapeyre
- 1104.4716 From the currency rate quotations onto strings and brane world scenarios
by D. Horvath & R. Pincak
- 1104.4596 Price dynamics in a Markovian limit order market
by Rama Cont & Adrien De Larrard
- 1104.4580 Quantile Regression with Censoring and Endogeneity
by Victor Chernozhukov & Ivan Fernandez-Val & Amanda Kowalski
- 1104.4548 Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
by Yuri Imamura & Katsuya Takagi
- 1104.4380 Stability of the World Trade Web over Time - An Extinction Analysis
by N. Foti & S. Pauls & Daniel N. Rockmore
- 1104.4249 Robustness and Contagion in the International Financial Network
by Tilman Dette & Scott Pauls & Daniel N. Rockmore
- 1104.4234 Full characterization of the fractional Poisson process
by Mauro Politi & Taisei Kaizoji & Enrico Scalas
- 1104.4010 Model independent hedging strategies for variance swaps
by David Hobson & Martin Klimmek
- 1104.3616 Strategies used as spectroscopy of financial markets reveal new stylized facts
by Wei-Xing Zhou & Guo-Hua Mu & Wei Chen & Didier Sornette
- 1104.3583 Root's barrier: Construction, optimality and applications to variance options
by Alexander M. G. Cox & Jiajie Wang
- 1104.3328 A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process
by Bernard Bercu & Frederic Proia
- 1104.2625 Counterparty Risk and the Impact of Collateralization in CDS Contracts
by Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler
- 1104.2606 Statistical mechanics of the international trade network
by Agata Fronczak & Piotr Fronczak
- 1104.2471 Interest prohibition and financial product innovation
by J. A. Bergstra & C. A. Middelburg
- 1104.2344 Interest Rates and Inflation
by Michael Coopersmith
- 1104.2308 Non - Randomness Stock Market Price Model (Amended)
by Aleksey Kharevsky
- 1104.2187 A Generalized Continuous Model for Random Markets
by R. Lopez-Ruiz & E. Shivanian & S. Abbasbandy & J. L. Lopez
- 1104.2124 Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un mod\`ele probabiliste en ing\'enierie financi\`ere ?
by Michel Fliess & C'edric Join & Fr'ed'eric Hatt
- 1104.1855 Collateralized CDS and Default Dependence
by Masaaki Fujii & Akihiko Takahashi
- 1104.1773 Default clustering in large portfolios: Typical events
by Kay Giesecke & Konstantinos Spiliopoulos & Richard B. Sowers
- 1104.0777 If Entry Strategy and Money go Together, What is the Right Side of the Coin?
by Jean-Philippe Timsit & Annick Castiaux
- 1104.0761 Utility Maximization, Risk Aversion, and Stochastic Dominance
by Mathias Beiglboeck & Johannes Muhle-Karbe & Johannes Temme
- 1104.0587 How does the market react to your order flow?
by Bence Toth & Zoltan Eisler & Fabrizio Lillo & Julien Kockelkoren & Jean-Philippe Bouchaud & J. Doyne Farmer
- 1104.0508 Concave Distortion Semigroups
by Alexander Cherny & Damir Filipovi'c
- 1104.0359 Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
by Takashi Kato
- 1104.0322 Explosive behavior in a log-normal interest rate model
by Dan Pirjol
- 1104.0308 An Application Specific Informal Logic for Interest Prohibition Theory
by J. A. Bergstra & C. A. Middelburg
- 1103.6143 A semi-Markov model for price returns
by Guglielmo D'Amico & Filippo Petroni
- 1103.5994 A win-win monetary policy in Canada
by Oleg Kitov & Ivan Kitov
- 1103.5978 Financial Risks and the Pension Protection Fund: Can it Survive Them?
by David Blake & John Cotter & Kevin Dowd
- 1103.5976 Absolute Return Volatility
by John Cotter
- 1103.5973 A Utility Based Approach to Energy Hedging
by John Cotter & Jim Hanly
- 1103.5972 A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics
by John Cotter & Richard Roll
- 1103.5971 Housing risk and return: Evidence from a housing asset-pricing model
by Karl Case & John Cotter & Stuart Gabriel
- 1103.5968 Time Varying Risk Aversion: An Application to Energy Hedging
by John Cotter & Jim Hanly
- 1103.5966 Hedging: Scaling and the Investor Horizon
by John Cotter & Jim Hanly
- 1103.5965 Scaling conditional tail probability and quantile estimators
by John Cotter
- 1103.5962 Extreme Measures of Agricultural Financial Risk
by John Cotter & Kevin Dowd & Wyn Morgan
- 1103.5722 Multidimensional Quasi-Monte Carlo Malliavin Greeks
by Nicola Cufaro Petroni & Piergiacomo Sabino
- 1103.5703 Exponential wealth distribution in a random market. A rigorous explanation
by Jose-Luis Lopez & Ricardo Lopez-Ruiz & Xavier Calbet
- 1103.5674 Spectral Risk Measures: Properties and Limitations
by Kevin Dowd & John Cotter & Ghulam Sorwar
- 1103.5672 How Unlucky is 25-Sigma?
by Kevin Dowd & John Cotter & Chris Humphrey & Margaret Woods
- 1103.5668 Spectral Risk Measures and the Choice of Risk Aversion Function
by kevin dowd & john cotter
- 1103.5666 Estimating financial risk measures for futures positions: a non-parametric approach
by john cotter & kevin dowd
- 1103.5665 Evaluating the Precision of Estimators of Quantile-Based Risk Measures
by Kevin Dowd & John Cotter
- 1103.5664 Intra-Day Seasonality in Foreign Exchange Market Transactions
by john cotter & kevin dowd
- 1103.5661 The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
by john cotter & kevin dowd
- 1103.5660 Multivariate Modeling of Daily REIT Volatility
by John Cotter & Simon Stevenson
- 1103.5659 U.S. Core Inflation: A Wavelet Analysis
by kevin dowd & john cotter
- 1103.5656 Modelling catastrophic risk in international equity markets: An extreme value approach
by john cotter
- 1103.5655 Implied correlation from VaR
by John Cotter & Franc{c}ois Longin
- 1103.5653 Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements
by John Cotter & Kevin Dowd
- 1103.5651 Uncovering Long Memory in High Frequency UK Futures
by John Cotter
- 1103.5649 Varying the VaR for Unconditional and Conditional Environments
by John Cotter
- 1103.5575 Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models
by Johannes Temme
- 1103.5555 Evolution of worldwide stock markets, correlation structure and correlation based graphs
by Dong-Ming Song & Michele Tumminello & Wei-Xing Zhou & Rosario N. Mantegna
- 1103.5418 Tail Behaviour of the Euro
by John Cotter
- 1103.5417 Uncovering Volatility Dynamics in Daily REIT Returns
by John Cotter & Simon Stevenson
- 1103.5416 Minimum Capital Requirement Calculations for UK Futures
by John Cotter
- 1103.5414 Modeling Long Memory in REITs
by John Cotter & Simon Stevenson
- 1103.5412 Margin setting with high-frequency data1
by John Cotter & Franc{c}ois Longin
- 1103.5411 Hedging Effectiveness under Conditions of Asymmetry
by John Cotter & Jim Hanly
- 1103.5409 Exponential Spectral Risk Measures
by Kevin Dowd & John Cotter
- 1103.5408 Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements
by John Cotter & Kevin Dowd
- 1103.5345 Spin models as microfoundation of macroscopic financial market models
by Sebastian M. Krause & Stefan Bornholdt
- 1103.5189 On interrelations of recurrences and connectivity trends between stock indices
by B. Goswami & G. Ambika & N. Marwan & J. Kurths
- 1103.5027 Google matrix of the world trade network
by Leonardo Ermann & Dima L. Shepelyansky
- 1103.4965 A Note on Delta Hedging in Markets with Jumps
by Aleksandar Mijatovi'c & Mikhail Urusov
- 1103.4947 Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products
by Nick Bush & Ben M. Hambly & Helen Haworth & Lei Jin & Christoph Reisinger
- 1103.4943 An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition
by Thomas Conlon & John Cotter
- 1103.4934 Mean Reversion Pays, but Costs
by Richard Martin & Torsten Schoneborn
- 1103.4541 Defaultable Bonds via HKA
by Yuta Inoue & Takahiro Tsuchiya
- 1103.4483 A method for pricing American options using semi-infinite linear programming
by Soren Christensen
- 1103.3639 Option Pricing from Wavelet-Filtered Financial Series
by V. T. X. de Almeida & L. Moriconi
- 1103.3482 Stochastic impulse control on optimal execution with price impact and transaction cost
by Mauricio Junca
- 1103.3206 Noise, risk premium, and bubble
by Grzegorz Andruszkiewicz & Dorje C. Brody
- 1103.2914 Pollution permits, Strategic Trading and Dynamic Technology Adoption
by Santiago Moreno-Bromberg & Luca Taschini
- 1103.2670 Constrained Mixture Models for Asset Returns Modelling
by Iead Rezek
- 1103.2577 Multifractal detrending moving average cross-correlation analysis
by Zhi-Qiang Jiang & Wei-Xing Zhou
- 1103.2567 Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
by Marco Bianchetti & Mattia Carlicchi
- 1103.2310 Convex order of discrete, continuous and predictable quadratic variation & applications to options on variance
by Martin Keller-Ressel & Claus Griessler
- 1103.2234 Do firms share the same functional form of their growth rate distribution? A new statistical test
by Jos`e T. Lunardi & Salvatore Miccich`e & Fabrizio Lillo & Rosario N. Mantegna & Mauro Gallegati
- 1103.2214 The slippage paradox
by Steffen Bohn
- 1103.2013 Conservative delta hedging under transaction costs
by Masaaki Fukasawa
- 1103.2001 Emergence of double scaling law in complex system
by D. D. Han & J. H. Qian & Y. G. Ma
- 1103.1992 Shocks in financial markets, price expectation, and damped harmonic oscillators
by Leonidas Sandoval Junior & Italo De Paula Franca
- 1103.1755 Optimal stopping under probability distortion
by Zuo Quan Xu & Xun Yu Zhou
- 1103.1729 Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation
by Damir Filipovi'c & Robert Kremslehner & Alexander Muermann
- 1103.1689 Information Theoretic Limits on Learning Stochastic Differential Equations
by Jos'e Bento & Morteza Ibrahimi & Andrea Montanari
- 1103.1652 Ambiguous Volatility, Possibility and Utility in Continuous Time
by Larry Epstein & Shaolin Ji
- 1103.1526 Analysis of trade packages in Chinese stock market
by Fei Ren & Wei-Xing Zhou
- 1103.1501 Exponential wealth distribution: a new approach from functional iteration theory
by Ricardo Lopez-Ruiz & Jose-Luis Lopez & Xavier Calbet
- 1103.1460 On the drawdown of completely asymmetric Levy processes
by Aleksandar Mijatovic & Martijn R. Pistorius
- 1103.1249 Randomizing world trade. II. A weighted network analysis
by Tiziano Squartini & Giorgio Fagiolo & Diego Garlaschelli
- 1103.1243 Randomizing world trade. I. A binary network analysis
by Tiziano Squartini & Giorgio Fagiolo & Diego Garlaschelli
- 1103.1165 Hedging of Game Options With the Presence of Transaction Costs
by Yan Dolinsky
- 1103.1050 Inf-convolution of g_\Gamma-solution and its applications
by Yuanyuan Sui & Helin Wu
- 1103.1006 Arbitrage and Hedging in a non probabilistic framework
by Alexander Alvarez & Sebastian Ferrando & Pablo Olivares
- 1103.0894 Inside Trading, Public Disclosure and Imperfect Competition
by Fuzhou Gong & Hong Liu
- 1103.0893 Record statistics for biased random walks, with an application to financial data
by Gregor Wergen & Miro Bogner & Joachim Krug
- 1103.0717 The dynamics of financial stability in complex networks
by Jo~ao P. da Cruz & Pedro G. Lind
- 1103.0647 A class of CTRWs: Compound fractional Poisson processes
by Enrico Scalas
- 1103.0606 Bayesian Model Choice of Grouped t-copula
by Xiaolin Luo & Pavel V. Shevchenko
- 1102.5752 A Theoretical Approach for Dynamic Modelling of Sustainable Development
by Corina-Maria Ene & Anda Gheorghiu & Anca Gheorghiu
- 1102.5747 The Conflict between Economic Development and Planetary Ecosystem in the Context of Sustainable Development
by Corina-Maria Ene & Anda Gheorghiu & Cristina Burghelea & Anca Gheorghiu
- 1102.5665 Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
by William T. Shaw
- 1102.5525 Arbitrage hedging strategy and one more explanation of the volatility smile
by Mikhail Martynov & Olga Rozanova
- 1102.5501 Extension theorems for linear operators on $L_\infty$ and application to price systems
by Jocelyne Bion-Nadal & Giulia Di Nunno
- 1102.5457 How efficiency shapes market impact
by J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck
- 1102.5431 Testing for change in mean of heteroskedastic time series
by Mohamed Boutahar
- 1102.5405 Inflation and unemployment in Switzerland: from 1970 to 2050
by Oleg Kitov & Ivan Kitov
- 1102.5287 Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces
by Samuel N. Cohen
- 1102.5126 Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
by Mark Davis & Sebastien Lleo
- 1102.5078 On Mean-Variance Analysis
by Yang Li & Traian A Pirvu
- 1102.5075 Utility Indifference Pricing: A Time Consistent Approach
by Traian A Pirvu & Huayue Zhang
- 1102.4864 Calibration of structural and reduced-form recovery models
by Alexander F. R. Koivusalo & Rudi Schafer
- 1102.4819 Minding impacting events in a model of stochastic variance
by Silvio M. Duarte Queiros & Evaldo M. F. Curado & Fernando D. Nobre
- 1102.4722 Measuring Portfolio Diversification
by Ulrich Kirchner & Caroline Zunckel
- 1102.4489 Portfolio Insurance under a risk-measure constraint
by Carmine De Franco & Peter Tankov
- 1102.4230 Cooperation amongst competing agents in minority games
by Deepak Dhar & V. Sasidevan & Bikas K. Chakrabarti
- 1102.4132 Optimal dividend control for a generalized risk model with investment incomes and debit interest
by Jinxia Zhu
- 1102.4076 The fine structure of spectral properties for random correlation matrices: an application to financial markets
by G. Livan & S. Alfarano & E. Scalas
- 1102.4055 Parisian ruin probability for spectrally negative L\'{e}vy processes
by Ronnie Loeffen & Irmina Czarna & Zbigniew Palmowski
- 1102.3956 Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution
by Ph. Barbe & W. P. McCormick
- 1102.3928 Integral representations of risk functions for basket derivatives
by Micha{l} Barski
- 1102.3900 A Random Matrix Approach to Credit Risk
by Michael C. Munnix & Rudi Schafer & Thomas Guhr
- 1102.3857 Transition Probability Matrix Methodology for Incremental Risk Charge
by Tzahi Yavin & Hu Zhang & Eugene Wang & Michael A. Clayton
- 1102.3712 Black swans or dragon kings? A simple test for deviations from the power law
by Joanna Janczura & Rafal Weron
- 1102.3702 A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation
by Olfa Zaafrane & Anouar Ben Mabrouk
- 1102.3582 Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
by Gareth W. Peters & Pavel Shevchenko & Mark Young & Wendy Yip
- 1102.3541 Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition
by Alberto Elices & Eduard Gim'enez
- 1102.3534 Applying hedging strategies to estimate model risk and provision calculation
by Alberto Elices & Eduard Gim'enez
- 1102.3218 On the Stability the Least Squares Monte Carlo
by Oleksii Mostovyi
- 1102.3150 Dependence of defaults and recoveries in structural credit risk models
by Rudi Schafer & Alexander F. R. Koivusalo
- 1102.3009 Non - Randomness Stock Market Price Model
by Aleksey Kharevsky
- 1102.2620 Predicting economic market crises using measures of collective panic
by Dion Harmon & Marcus A. M. de Aguiar & David D. Chinellato & Dan Braha & Irving R. Epstein & Yaneer Bar-Yam
- 1102.2515 Adelic theory of stock market
by V. Zharkov
- 1102.2412 Statistical Inference for Time-changed Brownian Motion Credit Risk Models
by T. R. Hurd & Zhuowei Zhou
- 1102.2285 Approximating Functional of Local Martingale Under the Lack of Uniqueness of Black-Scholes PDE
by Qingshuo Song
- 1102.2263 Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms
by I. Duarte & D. Pinheiro & A. A. Pinto & S. R. Pliska
- 1102.2240 Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
by Duan Wang & Boris Podobnik & Davor Horvati'c & H. Eugene Stanley
- 1102.2138 The US stock market leads the Federal funds rate and Treasury bond yields
by Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette
- 1102.2050 On stochastic calculus related to financial assets without semimartingales
by Rosanna Coviello & Cristina Di Girolami & Francesco Russo
- 1102.1851 The Australian Phillips curve and more
by Ivan Kitov & Oleg Kitov
- 1102.1713 Gaussian Noise Effects on the Evolution of Wealth in a Closed System of n-Economies
by J. M. Pellon-Diaz & A. Aragones-Munoz & A. Sandoval-Villalbazo & A. Diaz-Reynoso
- 1102.1624 On the criticality of inferred models
by Iacopo Mastromatteo & Matteo Marsili
- 1102.1348 The computation of Greeks with multilevel Monte Carlo
by Sylvestre Burgos & M. B. Giles
- 1102.1339 Correlation of financial markets in times of crisis
by Leonidas Sandoval Junior & Italo De Paula Franca
- 1102.1186 Optimal consumption and investment for markets with random coefficients
by Berdjane Belkacem & Serguei Pergamenchtchikov
- 1102.1099 A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
by Michael C. Munnix & Rudi Schafer
- 1102.0938 Minimizing Shortfall
by Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud
- 1102.0687 Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
by Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna
- 1102.0683 Volatility made observable at last
by Michel Fliess & C'edric Join & Fr'ed'eric Hatt
- 1102.0346 On utility maximization under convex portfolio constraints
by Kasper Larsen & Gordan v{Z}itkovi'c
- 1102.0312 Dynamics of a Service Economy Driven by Random Transactions
by Robert W. Easton
- 1102.0224 A Family of Maximum Entropy Densities Matching Call Option Prices
by Cassio Neri & Lorenz Schneider
- 1101.5849 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
by Masaaki Fujii & Akihiko Takahashi
- 1101.5475 Multivariate GARCH estimation via a Bregman-proximal trust-region method
by St'ephane Chr'etien & Juan-Pablo Ortega
- 1101.4680 An Econophysics Model for the Stock-Markets' Analysis and Diagnosis
by Ion Spanulescu & Ion Popescu & Victor Stoica & Anca Gheorghiu & Victor Velter
- 1101.4675 Econophysical Approaches for the Direct Foreign Investments
by Anca Gheorghiu & Ion Spanulescu & Anda Gheorghiu
- 1101.4674 Macrostate Parameter and Investment Risk Diagrams for 2008 and 2009
by Anca Gheorghiu & Ion Sp^anulescu
- 1101.4548 Leverage efficiency
by Ole Peters & Alexander Adamou
- 1101.4437 Ruin probabilities in tough times - Part 1 - Heavy-traffic approximation for fractionally integrated random walks in the domain of attraction of a nonGaussian stable distribution
by Ph. Barbe & W. P. McCormick
- 1101.4093 Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks
by Rui Menezes & Andreia Dioniso
- 1101.3974 An Active Margin System and its Application in Chinese Margin Lending Market
by Guanghui Huang & Jianping Wan & Cheng Chen
- 1101.3926 Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting
by Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou
- 1101.3713 Path integral approach to the pricing of timer options with the Duru-Kleinert time transformation
by Ling Zhi Liang & Damiaan Lemmens & Jacques Tempere
- 1101.3617 An almost linear stochastic map related to the particle system models of social sciences
by Anindya S. Chakrabarti
- 1101.3572 Utility theory front to back - inferring utility from agents' choices
by Alexander M. G. Cox & David Hobson & Jan Obloj
- 1101.3422 Modeling microstructure noise with mutually exciting point processes
by E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy
- 1101.3228 GPGPUs in computational finance: Massive parallel computing for American style options
by Gilles Pag`es & Benedikt Wilbertz
- 1101.3107 Financial Rogue Waves Appearing in the Coupled Nonlinear Volatility and Option Pricing Model
by Zhenya Yan
- 1101.3071 Sensitivity analysis of the early exercise boundary for American style of Asian options
by Daniel Sevcovic & Martin Takac
- 1101.2968 Duality in Robust Utility Maximization with Unbounded Claim via a Robust Extension of Rockafellar's Theorem
by Keita Owari
- 1101.1847 Critical Overview of Agent-Based Models for Economics
by M. Cristelli & L. Pietronero & A. Zaccaria
- 1101.1707 The Network Structure of Economic Output
by Ricardo Hausmann & Cesar A. Hidalgo
- 1101.1148 A Mispricing Model of Stocks Under Asymmetric Information
by Winston Buckley & Garfield Brown & Mario Marshall
- 1101.0975 Swing Options Valuation: a BSDE with Constrained Jumps Approach
by Marie Bernhart & Huy^en Pham & Peter Tankov & Xavier Warin
- 1101.0945 Abstract, Classic, and Explicit Turnpikes
by Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing
- 1101.0446 Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes
by Ying Shen & Chuancun Yin & Kam Chuen Yuen
2010
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