Printed from https://ideas.repec.org/s/arx/papers126.html
Content
2010
- 1003.4797 Hedging under arbitrage
by Johannes Ruf - 1003.4382 The Problem of Modeling of Economic Dynamics (new version)
by S. I. Chernyshov & A. V. Voronin & S. A. Razumovsky - 1003.4299 Ruin probability with Parisian delay for a spectrally negative L\'evy risk process
by Irmina Czarna & Zbigniew Palmowski - 1003.4216 Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
by Erhan Bayraktar & Xueying Hu & Virginia R. Young - 1003.4118 Indifference of Defaultable Bonds with Stochastic Intensity models
by Regis Houssou & Olivier Besson - 1003.3796 "Market making" behaviour in an order book model and its impact on the bid-ask spread
by Ioane Muni Toke - 1003.3582 Risk Aversion Asymptotics for Power Utility Maximization
by Marcel Nutz - 1003.3316 Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
by L. Spadafora & G. P. Berman & F. Borgonovi - 1003.3114 Self-organized model of cascade spreading
by Stanislao Gualdi & Matus Medo & Yi-Cheng Zhang - 1003.2981 Statistical identification with hidden Markov models of large order splitting strategies in an equity market
by Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna - 1003.2930 Utility Maximization of an Indivisible Market with Transaction Costs
by Qingshuo Song & G. Yin & Chao Zhu - 1003.2920 Computational LPPL Fit to Financial Bubbles
by Vincenzo Liberatore - 1003.2692 Modeling share prices of banks and bankrupts
by Ivan O. Kitov - 1003.2688 WARNING: Physics Envy May Be Hazardous To Your Wealth!
by Andrew W. Lo & Mark T. Mueller - 1003.2539 Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
by Sayantan Ghosh & P. Manimaran & Prasanta K. Panigrahi - 1003.2521 Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
by Mark Davis & Sebastien Lleo - 1003.2459 Complex stock trading network among investors
by Zhi-Qiang Jiang & Wei-Xing Zhou - 1003.2321 Micro-Macro Relation of Production - The Double Scaling Law for Statistical Physics of Economy -
by Hideaki Aoyama & Yoshi Fujiwara & Mauro Gallegati - 1003.1848 Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method
by Guoping Xu & Harry Zheng - 1003.1802 A simple model of mortality trends aiming at universality: Lee Carter + Cohort
by Edouard Debonneuil - 1003.1344 Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae
by Daniel T. Cassidy & Michael J. Hamp & Rachid Ouyed - 1003.0889 Credit Default Swaps Liquidity modeling: A survey
by Damiano Brigo & Mirela Predescu & Agostino Capponi - 1003.0793 Boolean delay equations on networks: An application to economic damage propagation
by B. Coluzzi & M. Ghil & S. Hallegatte & G. Weisbuch - 1003.0764 Outsider Trading
by Dorje C. Brody & Julian Brody & Bernhard K. Meister & Matthew F. Parry - 1003.0709 Tracking errors from discrete hedging in exponential L\'evy models
by Mats Brod'en & Peter Tankov - 1003.0168 Order flow dynamics around extreme price changes on an emerging stock market
by Guo-Hua Mu & Wei-Xing Zhou & Wei Chen & Janos Kertesz - 1003.0135 A proof of a conjecture in the Cram\'er-Lundberg model with investments
by Shimao Fan & Sheng Xiong & Wei-Shih Yang - 1003.0041 Perturbed Copula: Introducing the skew effect in the co-dependence
by Alberto Elices & Jean-Pierre Fouque - 1002.5041 Arbitrage Opportunities in Misspecified Stochastic volatility Models
by Rudra P. Jena & Peter Tankov - 1002.5031 Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems
by Christian Fries & Joerg Kampen - 1002.4817 Accounting for risk of non linear portfolios: a novel Fourier approach
by Giacomo Bormetti & Valentina Cazzola & Danilo Delpini & Giacomo Livan - 1002.4744 Market behavior and performance of different strategy evaluation schemes
by Yongjoo Baek & Sang Hoon Lee & Hawoong Jeong - 1002.4641 Sensitivity of the Performance of a Simple Exchange Model to its Topology
by Vitus J. Leung & Randall A. LaViolette - 1002.4592 Is It Real, or Is It Randomized?: A Financial Turing Test
by Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola - 1002.3794 Dynamic risk measures
by Beatrice Acciaio & Irina Penner - 1002.3747 Large-volatility dynamics in financial markets
by X. F. Jiang & B. Zheng & J. Shen - 1002.3689 Explicit equilibria in a kinetic model of gambling
by Federico Bassetti & Giuseppe Toscani - 1002.3681 Optimal investment with bounded VaR for power utility functions
by B'enamar Chouaf & Serguei Pergamenchtchikov - 1002.3633 Convergence of Heston to SVI
by Jim Gatheral & Antoine Jacquier - 1002.3627 Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
by Beatrice Acciaio & Hans Foellmer & Irina Penner - 1002.3560 Spin Glass Model of Operational Risk
by M. Bardoscia & P. Facchi & S. Pascazio & A. Trullo - 1002.3432 Adaptive financial networks with static and dynamic thresholds
by Tian Qiu & Bo Zheng & Guang Chen - 1002.3256 Information Asymmetry in Pricing of Credit Derivatives
by Caroline Hillairet & Ying Jiao - 1002.2909 Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
by Yuri A. Katz & Nikolai V. Shokhirev - 1002.2741 Free Lunch
by Constantinos Kardaras - 1002.2740 Arbitrage strategy
by Constantinos Kardaras - 1002.2604 The two defaults scenario for stressing credit portfolio loss distributions
by Dirk Tasche - 1002.2573 A model-insensitive determination of First-hitting-time densities with Application to Equity default-swaps
by Alex Langnau - 1002.2491 Scale invariant properties of public debt growth
by Alexander M. Petersen & Boris Podobnik & Davor Horvatic & H. Eugene Stanley - 1002.2487 Optimal consumption and investment with bounded downside risk for power utility functions
by Claudia Kluppelberg & Serguei Pergamenchtchikov - 1002.2486 Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
by Claudia Kluppelberg & Serguei Pergamenchtchikov - 1002.2284 Markets are efficient if and only if P = NP
by Philip Maymin - 1002.2282 The Hazards of Propping Up: Bubbles and Chaos
by Philip Maymin - 1002.2281 Regulation Simulation
by Philip Maymin - 1002.2269 What is Fair Pay for Executives? An Information Theoretic Analysis of Wage Distributions
by Venkat Venkatasubramanian - 1002.2265 Sequential optimizing investing strategy with neural networks
by Ryo Adachi & Akimichi Takemura - 1002.2171 Reverse Engineering Financial Markets with Majority and Minority Games using Genetic Algorithms
by J. Wiesinger & D. Sornette & J. Satinover - 1002.2086 Contr\^ole impulsionnel appliqu\'e \`a la gestion de changement de technologie dans une entreprise
by Rim Amami - 1002.1995 Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
by Andrey Itkin & Peter Carr - 1002.1889 Forward-convex convergence in probability of sequences of nonnegative random variables
by Constantinos Kardaras & Gordan Zitkovic - 1002.1653 Recurrence interval analysis of trading volumes
by Fei Ren & Wei-Xing Zhou - 1002.1070 The Lehman Brothers Effect and Bankruptcy Cascades
by Pawe{l} Sieczka & Didier Sornette & Janusz A. Ho{l}yst - 1002.1010 Testing for financial crashes using the Log Periodic Power Law mode
by David S. Bree & Nathan Lael Joseph - 1002.0979 Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
by Martin Lauko & Daniel Sevcovic - 1002.0934 A Random Matrix Approach to VARMA Processes
by Zdzis{l}aw Burda & Andrzej Jarosz & Maciej A. Nowak & Ma{l}gorzata Snarska - 1002.0917 Statistical properties of agent-based models in markets with continuous double auction mechanism
by Jie-Jun Tseng & Chih-Hao Lin & Chih-Ting Lin & Sun-Chong Wang & Sai-Ping Li - 1002.0864 Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
by Ljudmila A. Bordag - 1002.0609 A new space-time model for volatility clustering in the financial market
by Maria Boguta & Eric Jarpe - 1002.0571 Exit times in non-Markovian drifting continuous-time random walk processes
by Miquel Montero & Javier Villarroel - 1002.0567 A New Approximation to the Normal Distribution Quantile Function
by Paul M. Voutier - 1002.0377 Universal Laws and Economic Phenomena
by Austin Gerig - 1002.0321 Cross-Correlation Dynamics in Financial Time Series
by Thomas Conlon & Heather J. Ruskin & Martin Crane - 1002.0284 Asset returns and volatility clustering in financial time series
by Jie-Jun Tseng & Sai-Ping Li - 1002.0277 Inflation and unemployment in Japan: from 1980 to 2050
by Ivan O. Kitov - 1001.5421 A note on evolutionary stochastic portfolio optimization and probabilistic constraints
by Ronald Hochreiter - 1001.5202 The impact of uncertainties on the pricing of contingent claims
by Simone Scotti - 1001.5124 Impact of the tick-size on financial returns and correlations
by Michael C. Munnix & Rudi Schafer & Thomas Guhr - 1001.5058 Hidden Regular Variation: Detection and Estimation
by Abhimanyu Mitra & Sidney I. Resnick - 1001.4889 Modelling and predicting labor force productivity
by Ivan O. Kitov - 1001.4762 A Spectral Analysis of Business Cycle Patterns in UK Sectoral Output
by Peijie Wang & Trefor Jones - 1001.4401 The level crossing and inverse statistic analysis of German stock market index (DAX) and daily oil price time series
by F. Shayeganfar & M. Holling & J. Peinke & M. Reza Rahimi Tabar - 1001.4270 Optimal Reversible Annuities to Minimize the Probability of Lifetime Ruin
by Ting Wang & Virginia R. Young - 1001.4151 New Financial Research Program: General Option-Price Wave Modeling
by Vladimir G. Ivancevic - 1001.4098 Extra-Dimensional Approach to Option Pricing and Stochastic Volatility
by Minh Q. Truong - 1001.4031 Is the minimum value of an option on variance generated by local volatility?
by Mathias Beiglboeck & Peter Friz & Stephan Sturm - 1001.3972 Martingale representation for Poisson processes with applications to minimal variance hedging
by Guenter Last & Mathew D. Penrose - 1001.3731 Experimental evidence for the interplay between individual wealth and transaction network
by Jie-Jun Tseng & Sai-Ping Li & Sun-Chong Wang - 1001.3728 Jump-diffusion modeling in emission markets
by K. Borovkov & G. Decrouez & J. Hinz - 1001.3644 Dual Representation of Quasiconvex Conditional Maps
by Marco Frittelli & Marco Maggis - 1001.3570 Security Pricing with Information-Sensitive Discounting
by Andrea Macrina & Priyanka A. Parbhoo - 1001.3551 A framework for adaptive Monte-Carlo procedures
by Bernard Lapeyre & J'er^ome Lelong - 1001.3492 Chaos Models in Economics
by Sorin Vlad & Paul Pascu & Nicolae Morariu - 1001.3455 Stochastic Switching Games and Duopolistic Competition in Emissions Markets
by Michael Ludkovski - 1001.3308 A comprehensive method for exotic option pricing
by Rossella Agliardi - 1001.3289 Optimal stopping of expected profit and cost yields in an investment under uncertainty
by Boualem Djehiche & Said Hamad`ene & Marie Am'elie Morlais - 1001.3223 Option Pricing in Multivariate Stochastic Volatility Models of OU Type
by Johannes Muhle-Karbe & Oliver Pfaffel & Robert Stelzer - 1001.3213 Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture
by Jean-Philippe Chancelier & J'er^ome Lelong & Bernard Lapeyre - 1001.3176 Analyzing the prices of the most expensive sheet iron all over the world: Modeling, prediction and regime change
by Fu-Tie Song & Wei-Xing Zhou - 1001.3054 Reflected Backward Stochastic Difference Equations with Finite State and their applications
by Lifen An & Shaolin Ji - 1001.3006 Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
by Markus Reiss - 1001.3003 On refined volatility smile expansion in the Heston model
by P. Friz & S. Gerhold & A. Gulisashvili & S. Sturm - 1001.2831 Quantum Model of Bertrand Duopoly
by Salman Khan & M. Ramzan & M. K. Khan - 1001.2678 Arbitrage Bounds for Prices of Weighted Variance Swaps
by Mark H. A. Davis & Jan Obloj & Vimal Raval - 1001.2639 Point Processes Modeling of Time Series Exhibiting Power-Law Statistics
by B. Kaulakys & M. Alaburda & V. Gontis - 1001.2549 Segmentation algorithm for non-stationary compound Poisson processes
by Bence Toth & Fabrizio Lillo & J. Doyne Farmer - 1001.2173 Consistency properties of a simulation-based estimator for dynamic processes
by Manuel S. Santos - 1001.2131 Asymptotics of the probability minimizing a "down-side" risk
by Hiroaki Hata & Hideo Nagai & Shuenn-Jyi Sheu - 1001.1922 Etude du risque syst\'ematique de mortalit\'e
by Fr'ed'eric Planchet & Laurent Faucillon & Marc Juillard - 1001.1921 Mesure de l'incertitude tendancielle sur la mortalit\'e ? application \`a un r\'egime de rentes
by Fr'ed'eric Planchet & Marc Juillard - 1001.1916 Utilisation des m\'ethodes de Lee-Carter et Log-Poisson pour l'ajustement de tables de mortalit\'e dans le cas de petits \'echantillons
by Fr'ed'eric Planchet & Vincent Lelieur - 1001.1914 Rentes en cours de service : un nouveau crit\`ere d'allocation d'actif
by Fr'ed'eric Planchet & Pierre-Emanuel Th'erond - 1001.1909 Simulation de trajectoires de processus continus
by Fr'ed'eric Planchet & Pierre-Emanuel Th'erond - 1001.1908 Mesure des risques de march\'e et de souscription vie en situation d'information incompl\`ete pour un portefeuille de pr\'evoyance
by Jean-Paul F'elix & Fr'ed'eric Planchet - 1001.1907 L'utilisation des splines bidimensionnels pour l'estimation de lois de maintien en arr\^et de travail
by Fr'ed'eric Planchet & Pascal Winter - 1001.1867 Allocation d'actifs selon le crit\`ere de maximisation des fonds propres \'economiques en assurance non-vie
by Fr'ed'eric Planchet & Pierre-Emanuel Th'erond - 1001.1847 An Economic analogy to Electrodynamics
by Sanjay Dasari & Anindya Kumar Biswas - 1001.1616 A Subjective and Probabilistic Approach to Derivatives
by Ulrich Kirchner - 1001.1450 Diverse Beliefs
by Angus A Brown & L C G Rogers - 1001.1446 Using Financial Ratios to Identify Romanian Distressed Companies
by Madalina Ecaterina Andreica & Mugurel Ionut Andreica & Marin Andreica - 1001.1380 Forward equations for option prices in semimartingale models
by Rama Cont & Amel Bentata - 1001.1379 Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
by Mark Davis & Sebastien Lleo - 1001.1184 Stochastic discount factors
by Constantinos Kardaras - 1001.0880 Does Security Transaction Volume-Price Behavior Resemble a Probability Wave?
by Leilei Shi - 1001.0786 The Underlying Dynamics of Credit Correlations
by Arthur M. Berd & Robert F. Engle & Artem Voronov - 1001.0783 Recovery Swaps
by Arthur M. Berd - 1001.0656 A Security Price Volatile Trading Conditioning Model
by Leilei Shi & Yiwen Wang & Ding Chen & Liyan Han & Yan Piao & Chengling Gou - 1001.0615 Adaptive Wave Models for Option Pricing Evolution: Nonlinear and Quantum Schr\"odinger Approaches
by Vladimir G. Ivancevic - 1001.0497 Multiscaled Cross-Correlation Dynamics in Financial Time-Series
by Thomas Conlon & Heather J. Ruskin & Martin Crane - 1001.0265 Diagnosis and Prediction of Tipping Points in Financial Markets: Crashes and Rebounds
by Wanfeng Yan & Ryan Woodard & Didier Sornette
2009
- 1001.0024 Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
by Tetsuya Takaishi - 0912.5448 Universal Behavior of Extreme Price Movements in Stock Markets
by Miguel A. Fuentes & Austin Gerig & Javier Vicente - 0912.5427 Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti - 0912.5420 Consumer Expenditure Distribution in India, 1983-2007: Evidence of a Long Pareto Tail
by Abhik Ghosh & Kausik Gangopadhyay & B. Basu - 0912.5013 Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks
by Victor Chernozhukov & Ivan Fernandez-Val - 0912.4973 Probabilities of Positive Returns and Values of Call Options
by Guanghui Huang & Jianping Wan - 0912.4898 Universal patterns of inequality
by Anand Banerjee & Victor M. Yakovenko - 0912.4782 Finite-size effect and the components of multifractality in financial volatility
by Wei-Xing Zhou - 0912.4723 Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior
by David Morton de Lachapelle & Damien Challet - 0912.4623 A Guide to Modeling Credit Term Structures
by Arthur M. Berd - 0912.4621 Dynamic Estimation of Credit Rating Transition Probabilities
by Arthur M. Berd - 0912.4618 Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis
by Arthur M. Berd & Roy Mashal & Peili Wang - 0912.4614 Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures
by Arthur M. Berd & Roy Mashal & Peili Wang - 0912.4609 Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures
by Arthur M. Berd & Roy Mashal & Peili Wang - 0912.4533 Truncated Variation, Upward Truncated Variation and Downward Truncated Variation of Brownian Motion with Drift - their Characteristics and Applications
by Rafa{l} {L}ochowski - 0912.4404 Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
by Damiano Brigo & Massimo Morini & Marco Tarenghi - 0912.4312 From the decompositions of a stopping time to risk premium decompositions
by Delia Coculescu - 0912.3771 Tremor price dynamics in the world's network of stock exchanges
by Jorgen Vitting Andersen & Andrzej Nowak & Giulia Rotundo & Lael Parrott - 0912.3652 Levy Random Bridges and the Modelling of Financial Information
by Edward Hoyle & Lane P. Hughston & Andrea Macrina - 0912.3516 Tails of correlation mixtures of elliptical copulas
by Hans Manner & Johan Segers - 0912.3390 Multifractal dynamics of stock markets
by Dariusz Grech & Lukasz Czarnecki - 0912.3362 Asymptotic Power Utility-Based Pricing and Hedging
by Jan Kallsen & Johannes Muhle-Karbe & Richard Vierthauer - 0912.3132 Multiple defaults and contagion risks
by Ying Jiao - 0912.3031 Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
by Damiano Brigo & Marco Tarenghi - 0912.3028 Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
by Damiano Brigo & Marco Tarenghi - 0912.2816 The Bivariate Normal Copula
by Christian Meyer - 0912.2595 Exotic derivatives under stochastic volatility models with jumps
by Aleksandar Mijatovi'c & Martijn Pistorius - 0912.2016 Superfamily classification of nonstationary time series based on DFA scaling exponents
by Chuang Liu & Wei-Xing Zhou - 0912.1985 Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations
by Hiroshi Iyetomi & Yasuhiro Nakayama & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma - 0912.1925 The first passage event for sums of dependent L\'evy processes with applications to insurance risk
by Irmingard Eder & Claudia Kluppelberg - 0912.1885 Power Utility Maximization in Constrained Exponential L\'evy Models
by Marcel Nutz - 0912.1883 The Bellman equation for power utility maximization with semimartingales
by Marcel Nutz - 0912.1879 The Opportunity Process for Optimal Consumption and Investment with Power Utility
by Marcel Nutz - 0912.1841 A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances
by Brice Franke & Michael Stolz - 0912.1617 Homogeneous Volatility Bridge Estimators
by Alexander Saichev & Didier Sornette & Vladimir Filimonov & Fulvio Corsi - 0912.1534 Evolutionary multi-stage financial scenario tree generation
by Ronald Hochreiter - 0912.1396 Time consistency and moving horizons for risk measures
by Samuel N. Cohen & Robert J. Elliott - 0912.1321 Early exercise boundary for American type of floating strike Asian option and its numerical approximation
by Tomas Bokes & Daniel Sevcovic - 0912.1037 About Some Applications of Kolmogorov Equations to the Simulation of Financial Institutions Activity
by Mikhail I. Rumyantsev - 0912.0857 What Causes Business Cycles? Analysis of the Japanese Industrial Production Data
by Hiroshi Iyetomi & Yasuhiro Nakayama & Hiroshi Yoshikawa & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma - 0912.0434 Appraisal of a contour integral method for the Black-Scholes and Heston equations
by K. J. in 't Hout & J. A. C. Weideman - 0912.0372 Variance Optimal Hedging for continuous time processes with independent increments and applications
by St'ephane Goutte & Nadia Oudjane & Francesco Russo - 0911.5579 Asymptotic behavior of prices of path dependent options
by Yuji Hishida & Kenji Yasutomi - 0911.5503 Finitely additive probabilities and the Fundamental Theorem of Asset Pricing
by Constantinos Kardaras - 0911.5117 Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
by Benjamin Jourdain & Michel Vellekoop - 0911.5048 Resilience of Volatility
by Sergey S. Stepanov - 0911.4859 On the Performance of Delta Hedging Strategies in Exponential L\'evy Models
by Stephan Denkl & Martina Goy & Jan Kallsen & Johannes Muhle-Karbe & Arnd Pauwels - 0911.4801 Existence of Shadow Prices in Finite Probability Spaces
by Jan Kallsen & Johannes Muhle-Karbe - 0911.4763 Causal Links Between US Economic Sectors
by Gladys Hui Ting Lee & Yiting Zhang & Jian Cheng Wong & Manamohan Prusty & Siew Ann Cheong - 0911.4679 Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect
by Johannes Vitalis Siven & Jeffrey Todd Lins - 0911.4259 Financial rogue waves
by Zhenya Yan - 0911.4258 Statistical Regularities of Equity Market Activity
by Fengzhong Wang & Kazuko Yamasaki & Shlomo Havlin & H. Eugene Stanley - 0911.4207 An information theoretic approach to statistical dependence: copula information
by Rafael S. Calsaverini & Renato Vicente - 0911.4039 Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities
by Nathalie Rey - 0911.4030 The StressVaR: A New Risk Concept for Superior Fund Allocation
by Cyril Coste & Raphael Douady & Ilija I. Zovko - 0911.3802 A Coupled Markov Chain Approach to Credit Risk Modeling
by David Wozabal & Ronald Hochreiter - 0911.3789 On the Existence of Consistent Price Systems
by Erhan Bayraktar & Mikko S. Pakkanen & Hasanjan Sayit - 0911.3608 Utility maximization in models with conditionally independent increments
by Jan Kallsen & Johannes Muhle-Karbe - 0911.3472 Les G\'en\'erateurs de Sc\'enarios \'Economiques : quelle utilisation en assurance?
by Alaeddine Faleh & Fr'ed'eric Planchet & Didier Rulli`ere - 0911.3331 Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
by Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou - 0911.3194 Mutual Fund Theorem for continuous time markets with random coefficients
by Nikolai Dokuchaev - 0911.3117 Optimal investment with inside information and parameter uncertainty
by Albina Danilova & Michael Monoyios & Andrew Ng - 0911.3099 Financial crises and the evaporation of trust
by Kartik Anand & Prasanna Gai & Matteo Marsili - 0911.3045 Sign and amplitude representation of the forex networks
by Sylwia Gworek & Jaroslaw Kwapien & Stanislaw Drozdz - 0911.3043 Robust utility maximization for diffusion market model with misspecified coefficients
by R. Tevzadze & T. Toronjadze - 0911.2992 Asymptotic formulae for implied volatility in the Heston model
by Martin Forde & Antoine Jacquier & Aleksandar Mijatovic - 0911.2834 Coupling Index and Stocks
by Benjamin Jourdain & Mohamed Sbai - 0911.2757 On affine interest rate models
by Paul Lescot - 0911.2229 Bernstein processes, Euclidean Quantum Mechanics and Interest Rate Models
by Paul Lescot