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Content
2010
- 1008.2104 Moment Explosion in the LIBOR Market Model
by Stefan Gerhold - 1008.1960 Is an historical economic crisis upcoming?
by Caglar Tuncay - 1008.1846 An algorithmic information-theoretic approach to the behaviour of financial markets
by Hector Zenil & Jean-Paul Delahaye - 1008.1108 Calculation of aggregate loss distributions
by Pavel V. Shevchenko - 1008.1032 Modeling total expenditure on warranty claims
by Abhimanyu Mitra & Sidney I. Resnick - 1008.0836 The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options
by Sam Howison & Christoph Reisinger & Jan Hendrik Witte - 1008.0758 A Chaotic Approach to Market Dynamics
by Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz - 1008.0401 A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
by Jan Hendrik Witte & Christoph Reisinger - 1008.0160 Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
by Yong-Ping Ruan & Wei-Xing Zhou - 1008.0149 Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation
by Gareth W. Peters & Balakrishnan B. Kannan & Ben Lasscock & Chris Mellen & Simon Godsill - 1008.0126 Asymptotics of Random Contractions
by Enkelejd Hashorva & Anthony G. Pakes & Qihe Tang - 1007.5433 Analytical Framework for Credit Portfolios
by Mikhail Voropaev - 1007.5413 Optimization of Financial Instrument Parcels in Stochastic Wavelet Model
by A. M. Avdeenko - 1007.5376 Optimal control of a big financial company with debt liability under bankrupt probability constraints
by Zongxia Liang & Bin Sun - 1007.5353 Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture
by Archil Gulisashvili - 1007.5274 Volatilities That Change with Time: The Temporal Behavior of the Distribution of Stock-Market Prices
by Achilles D. Speliotopoulos - 1007.5074 Statistical mechanics approach to the probability distribution of money
by Victor M. Yakovenko - 1007.4372 Approximations and asymptotics of upper hedging prices in multinomial models
by Ryuichi Nakajima & Masayuki Kumon & Akimichi Takemura & Kei Takeuchi - 1007.4366 A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
by Jean-Pierre Fouque & Matthew Lorig - 1007.4361 Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
by Jean-Pierre Fouque & Sebastian Jaimungal & Matthew Lorig - 1007.4264 Lowest Unique Bid Auctions
by Marco Scarsini & Eilon Solan & Nicolas Vieille - 1007.3601 Strategic Insights From Playing the Quantum Tic-Tac-Toe
by J. N. Leaw & S. A. Cheong - 1007.3362 Picard approximation of stochastic differential equations and application to LIBOR models
by Antonis Papapantoleon & David Skovmand - 1007.3347 On-line trading as a renewal process: Waiting time and inspection paradox
by Jun-ichi Inoue & Naoya Sazuka & Enrico Scalas - 1007.3316 Pricing in an equilibrium based model for a large investor
by David German - 1007.2968 Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model
by Leunglung Chan & Eckhard Platen - 1007.2817 The fractional volatility model: No-arbitrage, leverage and risk measures
by R. Vilela Mendes & Maria Jo~ao Oliveira - 1007.2593 Empirical Limitations on High Frequency Trading Profitability
by Michael Kearns & Alex Kulesza & Yuriy Nevmyvaka - 1007.2352 Automated Liquidity Provision and the Demise of Traditional Market Making
by Austin Gerig & David Michayluk - 1007.1908 Target market risk evaluation
by Anda Gheorghiu & Anca Gheorghiu & Ion Spanulescu - 1007.1706 CDO term structure modelling with Levy processes and the relation to market models
by Thorsten Schmidt & Jerzy Zabczyk - 1007.1631 Price dynamics in financial markets: a kinetic approach
by Dario Maldarella & Lorenzo Pareschi - 1007.0691 Phase transition in a log-normal Markov functional model
by Dan Pirjol - 1007.0610 What risk measures are time consistent for all filtrations?
by Samuel N. Cohen - 1007.0515 Liquidity in Credit Networks: A Little Trust Goes a Long Way
by Pranav Dandekar & Ashish Goel & Ramesh Govindan & Ian Post - 1007.0472 Georg de Buquoy - Founder of Mathematical Economy with South Bohemian Roots
by Dalibor Stys & Miroslav Valcihova - 1007.0461 How simple regulations can greatly reduce inequality
by J. R. Iglesias - 1007.0199 Optimal execution strategy in the presence of permanent price impact and fixed transaction cost
by Mauricio Junca - 1007.0026 A Dynamical Model for Forecasting Operational Losses
by Marco Bardoscia & Roberto Bellotti - 1006.5847 Estimating correlation and covariance matrices by weighting of market similarity
by Michael C. Munnix & Rudi Schafer & Oliver Grothe - 1006.5587 Econophysics on Real Economy -The First Decade of the Kyoto Econophysics Group-
by Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Hiroshi Iyetomi & Wataru Souma - 1006.5490 Is high-frequency trading inducing changes in market microstructure and dynamics?
by Reginald D. Smith - 1006.5473 Alarm System for Insurance Companies: A Strategy for Capital Allocation
by Shubhabrata Das & Marie Kratz - 1006.5230 Optimizing a basket against the efficient market hypothesis
by Fr'ed'eric Abergel & Mauro Politi - 1006.5057 Horizon dependence of utility optimizers in incomplete models
by Kasper Larsen & Hang Yu - 1006.5044 Modelling savings behavior of agents in the kinetic exchange models of market
by Anindya S. Chakrabarti - 1006.4968 Validation of credit default probabilities via multiple testing procedures
by Sebastian Dohler - 1006.4767 Interest-Rate Modeling with Multiple Yield Curves
by Andrea Pallavicini & Marco Tarenghi - 1006.4595 Wealth Distributions in Asset Exchange Models
by P. L. Krapivsky & S. Redner - 1006.4517 Reduced form modeling of limit order markets
by Pekka Malo & Teemu Pennanen - 1006.4382 Fairness Is an Emergent Self-Organized Property of the Free Market for Labor
by Venkat Venkatasubramanian - 1006.4083 Convex duality in stochastic programming and mathematical finance
by Teemu Pennanen - 1006.4070 Computation of vector sublattices and minimal lattice-subspaces of R^k. Applications in finance
by V. N. Katsikis & I. A. Polyrakis - 1006.3956 Econophysics: A new discipline
by Sonia R. Bentes - 1006.3923 Complex Networks and Symmetry I: A Review
by Diego Garlaschelli & Franco Ruzzenenti & Riccardo Basosi - 1006.3708 Econophysics studies in Estonia
by M. Patriarca & E. Heinsalu & R. Kitt & J. Kalda - 1006.3521 Business fluctuations in a credit-network economy
by Domenico Delli Gatti & Mauro Gallegati & Bruce Greenwald & Alberto Russo & Joseph E. Stiglitz - 1006.3340 Numerical methods for the L\'evy LIBOR model
by Antonis Papapantoleon & David Skovmand - 1006.3337 Bounds on Stock Price probability distributions in Local-Stochastic Volatility models
by Vlad Bally & Stefano De Marco - 1006.3224 Outperforming the market portfolio with a given probability
by Erhan Bayraktar & Yu-Jui Huang & Qingshuo Song - 1006.3096 Non-Hermitean Wishart random matrices (I)
by Eugene Kanzieper & Navinder Singh - 1006.2909 Credit Risk, Market Sentiment and Randomly-Timed Default
by Dorje C. Brody & Lane P. Hughston & Andrea Macrina - 1006.2862 A note on the theory of fast money flow dynamics
by Andrey Sokolov & Tien Kieu & Andrew Melatos - 1006.2712 Absolute ruin in the Ornstein-Uhlenbeck type risk model
by Ronnie L. Loeffen & Pierre Patie - 1006.2711 Recovery Rates in investment-grade pools of credit assets: A large deviations analysis
by Konstantinos Spiliopoulos & Richard B. Sowers - 1006.2555 Price as a matter of choice and nonstochastic randomness
by Yaroslav Ivanenko - 1006.2489 Cumulant Approach of Arbitrary Truncated Levy Flight
by Dmitry V. Vinogradov - 1006.2294 Small-Time Asymptotics of Option Prices and First Absolute Moments
by Johannes Muhle-Karbe & Marcel Nutz - 1006.2281 Exact and high order discretization schemes for Wishart processes and their affine extensions
by Abdelkoddousse Ahdida & Aur'elien Alfonsi - 1006.2273 Good-deal bounds in a regime-switching diffusion market
by Catherine Donnelly - 1006.2057 The individual income distribution in Argentina in the period 2000-2009. A unique source of non stationary data
by Juan C. Ferrero - 1006.2012 Discrete tenor models for credit risky portfolios driven by time-inhomogeneous L\'evy processes
by Ernst Eberlein & Zorana Grbac & Thorsten Schmidt - 1006.2010 Prediction accuracy and sloppiness of log-periodic functions
by David Br'ee & Damien Challet & Pier Paolo Peirano - 1006.1996 Functionals of Exponential Brownian Motion and Divided Differences
by Brad Baxter & Raymond Brummelhuis - 1006.1882 Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws
by Alexander M. Petersen & Fengzhong Wang & Shlomo Havlin & H. Eugene Stanley - 1006.1791 Investigating Causal Relationships in Stock Returns with Temporal Logic Based Methods
by Samantha Kleinberg & Petter N. Kolm & Bud Mishra - 1006.1350 Copula Processes
by Andrew Gordon Wilson & Zoubin Ghahramani - 1006.0863 A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk
by Luis H. R. Alvarez & Jani Sainio - 1006.0768 Numerical methods for an optimal order execution problem
by Fabien Guilbaud & Mohamed Mnif & Huy^en Pham - 1006.0697 Recent progress in random metric theory and its applications to conditional risk measures
by Tiexin Guo - 1006.0628 Emergence of universal scaling in financial markets from mean-field dynamics
by S. V. Vikram & Sitabhra Sinha - 1006.0469 Certifiably Pseudorandom Financial Derivatives
by David Zuckerman - 1006.0310 On the strategic use of risk and undesirable goods in multidimensional screening
by Aim'e Lachapelle & Filippo Santambrogio - 1006.0155 Scaling and multiscaling in financial series: a simple model
by Alessandro Andreoli & Francesco Caravenna & Paolo Dai Pra & Gustavo Posta - 1005.5675 The Financial Bubble Experiment: Advanced Diagnostics and Forecasts of Bubble Terminations Volume II-Master Document
by Didier Sornette & Ryan Woodard & Maxim Fedorovsky & Stefan Reimann & Hilary Woodard & Wei-Xing Zhou - 1005.5538 The Impact of Credit Risk and Implied Volatility on Stock Returns
by Florian Steiger - 1005.5105 The dual optimizer for the growth-optimal portfolio under transaction costs
by Stefan Gerhold & Johannes Muhle-Karbe & Walter Schachermayer - 1005.5082 A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms
by Yu-Min Yen - 1005.5021 Random Matrix Theory and Fund of Funds Portfolio Optimisation
by Thomas Conlon & Heather J. Ruskin & Martin Crane - 1005.5006 Boltzmann legacy and wealth distribution
by Giuseppe Toscani - 1005.4976 An empirical study of the tails of mutual fund size
by Yonathan Schwarzkopf & J. Doyne Farmer - 1005.4456 Some Remarks on T-copulas
by Volf Frishling & David G Maher - 1005.4417 Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management
by Lukasz Delong - 1005.3956 Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
by Baojun Bian & Sheng Miao & Harry Zheng - 1005.3799 Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
by Hassan Allouba & Victor Goodman - 1005.3565 Quadratic Reflected BSDEs with Unbounded Obstacles
by Erhan Bayraktar & Song Yao - 1005.3535 Intraday Patterns in the Cross-section of Stock Returns
by Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka - 1005.3518 Inequality reversal: effects of the savings propensity and correlated returns
by Anindya S. Chakrabarti & Bikas K. Chakrabarti - 1005.3454 Robust maximization of asymptotic growth
by Constantinos Kardaras & Scott Robertson - 1005.2979 Robust and Adaptive Algorithms for Online Portfolio Selection
by Theodoros Tsagaris & Ajay Jasra & Niall Adams - 1005.2862 Multivariate heavy-tailed models for Value-at-Risk estimation
by Carlo Marinelli & Stefano d'Addona & Svetlozar T. Rachev - 1005.2661 Statistically Optimal Strategy Analysis of a Competing Portfolio Market with a Polyvariant Profit Function
by Bohdan Yu. Kyshakevych & Anatoliy K. Prykarpatsky & Denis Blackmore & Ivan P. Tverdokhlib - 1005.2228 A general method for debiasing a Monte Carlo estimator
by Don McLeish - 1005.2044 Note on log-periodic description of 2008 financial crash
by Katarzyna Bolonek-Lason & Piotr Kosinski - 1005.1917 Two-sided estimates for stock price distribution densities in jump-diffusion models
by Archil Gulisashvili & Josep Vives - 1005.1862 On the estimation of integrated covariance matrices of high dimensional diffusion processes
by Xinghua Zheng & Yingying Li - 1005.1861 Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
by Aleksandar Mijatovi'c & Mikhail Urusov - 1005.1811 Insuring against loss of evidence in game-theoretic probability
by A. Philip Dawid & Steven de Rooij & Glenn Shafer & Alexander Shen & Nikolai Vereshchagin & Vladimir Vovk - 1005.1760 Two stock options at the races: Black-Scholes forecasts
by Gleb Oshanin & Gregory Schehr - 1005.1705 A Short Tale of Long Tail Integration
by Xiaolin Luo & Pavel V. Shevchenko - 1005.1476 Robust Estimators in Generalized Pareto Models
by Peter Ruckdeschel & Nataliya Horbenko - 1005.1361 Optimization of dividend and reinsurance strategies under ruin probability constraint
by Zongxia Liang & Jicheng Yao - 1005.1360 Optimal dividend and investing control of a insurance company with higher solvency constraints
by Zongxia Liang & Jianping Huang - 1005.1358 Variational inequality method in stock loans
by Zongxia Liang & Weiming Wu - 1005.1357 Stock loan with Automatic termination clause, cap and margin
by Shuqing Jiang & Zongxia Liang & Weiming Wu - 1005.1356 Theoretical and numerical Analysis on Optimal dividend policy of an insurance company with positive transaction cost and higher solvency
by Zongxia Liang & Jicheng Yao - 1005.1326 GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries
by Periklis Gogas & Ioannis Pragidis - 1005.0877 Detrending moving average algorithm for multifractals
by Gao-Feng Gu & Wei-Xing Zhou - 1005.0768 No-arbitrage pricing under cross-ownership
by Tom Fischer - 1005.0728 The Euler-Maruyama approximations for the CEV model
by V. Abramov & F. Klebaner & R. Liptser - 1005.0496 Stable-1/2 Bridges and Insurance
by Edward Hoyle & Lane P. Hughston & Andrea Macrina - 1005.0378 Persistent collective trend in stock markets
by Emeric Balogh & Ingve Simonsen & Balint Zs. Nagy & Zoltan Neda - 1005.0313 An Econophysics Model for the Currency Exchange with Commission
by Ion Spanulescu & Victor A. Stoica & Ion Popescu - 1005.0279 Rough paths in idealized financial markets
by Vladimir Vovk - 1005.0221 A discussion of stock market speculation by Pierre-Joseph Proudhon
by Jean-Claude Juhel & Dominique Dufour - 1005.0211 On the fractional Black-Scholes market with transaction costs
by Ehsan Azmoodeh - 1005.0194 Delta Hedging in Financial Engineering: Towards a Model-Free Approach
by Michel Fliess & C'edric Join - 1005.0182 A Multi Agent Model for the Limit Order Book Dynamics
by Marco Bartolozzi - 1005.0051 Crude oil and motor fuel: Fair price revisited
by Ivan O. Kitov & Oleg I. Kitov - 1004.5559 A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage
by Mathias Beiglbock & Walter Schachermayer & Bezirgen Veliyev - 1004.5547 Memory effect and multifractality of cross-correlations in financial markets
by Tian Qiu & Guang Chen & Li-Xin Zhong & Xiao-Wei Lei - 1004.5524 Risk measuring under model uncertainty
by Jocelyne Bion-Nadal & Magali Kervarec - 1004.5192 Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
by N. El Karoui & Mohamed M'Rad - 1004.5169 Laplace transform analysis of a multiplicative asset transfer model
by Andrey Sokolov & Andrew Melatos & Tien Kieu - 1004.5109 Wealth distribution: To be or not to be a Gamma?
by Mehdi Lallouache & Aymen Jedidi & Anirban Chakraborti - 1004.5037 Convenient Multiple Directions of Stratification
by Benjamin Jourdain & Bernard Lapeyre & Piergiacomo Sabino - 1004.5014 On information efficiency and financial stability
by Fabio Caccioli & Matteo Marsili - 1004.4956 Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
by Jianqing Fan & Yingying Li & Ke Yu - 1004.4822 Modelling Information Flows in Financial Markets
by Dorje C. Brody & Lane P. Hughston & Andrea Macrina - 1004.4592 Schizophrenic Representative Investors
by Philip Z. Maymin - 1004.4526 Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy
by Mats Brod'en & Magnus Wiktorsson - 1004.4522 Toy Model for Large Non-Symmetric Random Matrices
by Ma{l}gorzata Snarska - 1004.4402 Characteristics of Real Futures Trading Networks
by Junjie Wang & Shuigeng Zhou & Jihong Guan - 1004.4400 Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
by Vladimir Nikulin - 1004.4272 When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
by Ester Pantaleo & Michele Tumminello & Fabrizio Lillo & Rosario N. Mantegna - 1004.4169 Optimal Liquidation Strategies Regularize Portfolio Selection
by Fabio Caccioli & Susanne Still & Matteo Marsili & Imre Kondor - 1004.4153 Improved Frechet bounds and model-free pricing of multi-asset options
by Peter Tankov - 1004.3939 Price Trackers Inspired by Immune Memory
by William Wilson & Phil Birkin & Uwe Aickelin - 1004.3830 Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
by Gareth W. Peters & Balakrishnan Kannan & Ben Lasscock & Chris Mellen - 1004.3758 A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
by Yadong Li - 1004.3577 Fractional smoothness and applications in finance
by Stefan Geiss & Emmanuel Gobet - 1004.3525 $F$-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point
by S. Cawston & L. Vostrikova - 1004.3310 Dividend problem with Parisian delay for a spectrally negative L\'evy risk process
by Irmina Czarna & Zbigniew Palmowski - 1004.3299 Valuation equations for stochastic volatility models
by Erhan Bayraktar & Constantinos Kardaras & Hao Xing - 1004.3229 Fifteen years of econophysics: worries, hopes and prospects
by Bertrand M. Roehner - 1004.3106 Fractional processes as models in stochastic finance
by Christian Bender & Tommi Sottinen & Esko Valkeila - 1004.3093 Transversality Conditions for Higher Order Infinite Horizon Discrete Time Optimization Problems
by Dapeng Cai & Takashi Gyoshin Nitta - 1004.3067 Fundamental defect of the macroeconomic thinking as one of the main causes of the crisis endured
by Eugen Perchik - 1004.2947 Optimal closing of a pair trade with a model containing jumps
by Stig Larsson & Carl Lindberg & Marcus Warfheimer - 1004.2865 A Top-down Model for Cash CLO
by Yadong Li & Ziyu Zheng - 1004.2548 Chain ladder method: Bayesian bootstrap versus classical bootstrap
by Gareth W. Peters & Mario V. Wuthrich & Pavel V. Shevchenko - 1004.2248 Results on numerics for FBSDE with drivers of quadratic growth
by Peter Imkeller & Gonc{c}alo dos Reis & Jianing Zhang - 1004.2206 A maximum principle for forward-backward stochastic Volterra integral equations and applications in finance
by Tianxiao Wang & Yufeng Shi - 1004.2107 Discretization error of Stochastic Integrals
by Masaaki Fukasawa - 1004.2106 Asymptotic analysis for stochastic volatility: Edgeworth expansion
by Masaaki Fukasawa - 1004.1855 Fast Correlation Greeks by Adjoint Algorithmic Differentiation
by Luca Capriotti & Mike Giles - 1004.1804 Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics
by Fredrick Michael - 1004.1759 Valuation Bound of Tranche Options
by Yadong Li & Ariye Shater - 1004.1758 Consistent Valuation of Bespoke CDO Tranches
by Yadong Li - 1004.1726 Dynamic Bertrand Oligopoly
by Andrew Ledvina & Ronnie Sircar - 1004.1670 Any Regulation of Risk Increases Risk
by Philip Z. Maymin & Zakhar G. Maymin - 1004.1576 Limit Theorems for Partial Hedging Under Transaction Costs
by Yan Dolinsky - 1004.1575 Error Estimates for Multinomial Approximations of American Options in Merton's Model
by Yan Dolinsky - 1004.1574 Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
by Yan Dolinsky - 1004.1522 Dynamics on/in financial markets: dynamical decoupling and stylized facts
by Stefan Reimann & Andreas Tupak - 1004.1489 Illiquidity Effects in Optimal Consumption-Investment Problems
by Michael Ludkovski & Hyekyung Min - 1004.1210 Universal Fluctuations of AEX index
by Rui Gonc{c}alves & Helena Ferreira & Alberto Pinto - 1004.1138 Universal Fluctuations of the FTSE100
by Rui Gonc{c}alves & Helena Ferreira & Alberto Pinto - 1004.1136 Universality in DAX index returns fluctuations
by Rui Gonc{c}alves & Helena Ferreira & Alberto Pinto - 1004.1053 Managing Derivative Exposure
by Ulrich Kirchner - 1004.0844 Quantum Portfolios of Observables and the Risk Neutral Valuation Model
by Fredrick Michael - 1004.0685 Simple Fuzzy Score for Russian Public Companies Risk of Default
by Sergey Ivliev - 1004.0682 L'effet de levier de tr\'esorerie
by Jean-Claude Juhel - 1004.0595 Precautionary Measures for Credit Risk Management in Jump Models
by Masahiko Egami & Kazutoshi Yamazaki - 1004.0561 Sequences of Arbitrages
by Victor Kozyakin & Brian O'Callaghan & Alexei Pokrovskii - 1004.0417 The Anderson-Darling test of fit for the power law distribution from left censored samples
by H. F. Coronel-Brizio & A. R. Hernandez-Montoya - 1004.0213 S&P 500 returns revisited
by Ivan O. Kitov & Oleg I. Kitov - 1004.0125 Variance dispersion and correlation swaps
by Antoine Jacquier & Saad Slaoui - 1003.6042 Continuous time Ehrenfest process in term structure modelling
by Alexander Kaplun - 1003.6002 Portfolio optimization in a default model under full/partial information
by Thomas Lim & Marie-Claire Quenez - 1003.5984 Nonuniversal distributions of stock returns in an emerging market
by Guo-Hua Mu & Wei-Xing Zhou - 1003.5926 Diagnosis and Prediction of Market Rebounds in Financial Markets
by Wanfeng Yan & Ryan Woodard & Didier Sornette - 1003.5712 Overview of utility-based valuation
by David German - 1003.5650 Diversity and Arbitrage in a Regulatory Breakup Model
by Winslow Strong & Jean-Pierre Fouque - 1003.5514 Asymptotic and Exact Pricing of Options on Variance
by Martin Keller-Ressel & Johannes Muhle-Karbe - 1003.5356 Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges
by V. Gontis & A. Kononovicius - 1003.4917 Explicit solutions for the exit problem for a class of L\'evy processes. Applications to the pricing of double barrier options
by Sonia Fourati - 1003.4881 The Validity of Company Valuation Using Discounted Cash Flow Methods
by Florian Steiger