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Content
2009
- 0911.1921 Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times
by Li Lin & Didier Sornette
- 0911.1834 Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model
by Vladimir G. Ivancevic
- 0911.1694 Regularizing Portfolio Optimization
by Susanne Still & Imre Kondor
- 0911.1662 A Dynamic Model for Credit Index Derivatives
by Louis Paulot
- 0911.1610 Pricing Fixed-Income Securities in an Information-Based Framework
by Lane P. Hughston & Andrea Macrina
- 0911.1575 Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups
by Hongzhong Zhang & Olympia Hadjiliadis
- 0911.1119 Bonds with volatilities proportional to forward rates
by Michal Baran & Jerzy Zabczyk
- 0911.0928 Empirical asset pricing with nonlinear risk premia
by Aleksandar Mijatovic & Paul Schneider
- 0911.0805 Market Implied Probability Distributions and Bayesian Skew Estimation
by Ulrich Kirchner
- 0911.0750 Discrete-Time Interest Rate Modelling
by Lane P. Hughston & Andrea Macrina
- 0911.0562 A remark on Gatheral's 'most-likely path approximation' of implied volatility
by Martin Keller-Ressel & Josef Teichmann
- 0911.0454 The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations
by Didier Sornette & Ryan Woodard & Maxim Fedorovsky & Stefan Reimann & Hilary Woodard & Wei-Xing Zhou
- 0911.0373 Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models
by Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon
- 0911.0223 Analytical Framework for Credit Portfolios. Part I: Systematic Risk
by Mikhail Voropaev
- 0911.0113 Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis
by Ljudmila A. Bordag
- 0911.0057 Scaling and memory in the non-poisson process of limit order cancelation
by Xiao-Hui Ni & Zhi-Qiang Jiang & Gao-Feng Gu & Fei Ren & Wei Chen & Wei-Xing Zhou
- 0910.5655 Dual Quantization for random walks with application to credit derivatives
by Gilles Pag`es & Benedikt Wilbertz
- 0910.5398 Inf-convolution of G-expectations
by Xuepeng Bai & Rainer Buckdahn
- 0910.5185 Nonparametric methods for volatility density estimation
by Bert van Es & Peter Spreij & Harry van Zanten
- 0910.5101 Optimal partial hedging in a discrete-time market as a knapsack problem
by Peter G. Lindberg
- 0910.5033 A Heat Kernel Approach to Interest Rate Models
by Jiro Akahori & Yuji Hishida & Josef Teichmann & Takahiro Tsuchiya
- 0910.4941 Old and new approaches to LIBOR modeling
by Antonis Papapantoleon
- 0910.4348 Complex Systems: From Nuclear Physics to Financial Markets
by J. Speth & S. Drozdz & F. Gruemmer
- 0910.4257 Obstacle problem for Arithmetic Asian options
by Laura Monti & Andrea Pascucci
- 0910.4177 Exact Simulation of Bessel Diffusions
by Roman N. Makarov & Devin Glew
- 0910.3936 Admissible Strategies in Semimartingale Portfolio Selection
by Sara Biagini & Alev{s} v{C}ern'y
- 0910.3695 Has the world economy reached its globalization limit?
by Janusz Miskiewicz & Marcel Ausloos
- 0910.3258 Hedging in an equilibrium-based model for a large investor
by David German
- 0910.2909 Compensating asynchrony effects in the calculation of financial correlations
by Michael C. Munnix & Rudi Schafer & Thomas Guhr
- 0910.2696 Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
by Igor Halperin
- 0910.2524 Universal and nonuniversal allometric scaling behaviors in the visibility graphs of world stock market indices
by Meng-Cen Qian & Zhi-Qiang Jiang & Wei-Xing Zhou
- 0910.2474 Multifractal analysis and instability index of prior-to-crash market situations
by M. Piacquadio & F. O. Redelico
- 0910.2465 Complete Characterization of Functions Satisfying the Conditions of Arrow's Theorem
by Elchanan Mossel & Omer Tamuz
- 0910.2447 Activity Dependent Branching Ratios in Stocks, Solar X-ray Flux, and the Bak-Tang-Wiesenfeld Sandpile Model
by Elliot Martin & Amer Shreim & Maya Paczuski
- 0910.2367 Risk Concentration and Diversification: Second-Order Properties
by Matthias Degen & Dominik D. Lambrigger & Johan Segers
- 0910.2309 Closed form asymptotics for local volatility models
by Wen Cheng & Nick Costanzino & John Liechty & Anna Mazzucato & Victor Nistor
- 0910.2091 BSDEs with random default time and their applications to default risk
by Shige Peng & Xiaoming Xu
- 0910.1671 Geometric Arbitrage Theory and Market Dynamics Reloaded
by Simone Farinelli
- 0910.1430 State price density estimation via nonparametric mixtures
by Ming Yuan
- 0910.1394 Statistical mixing and aggregation in Feller diffusion
by Celia Anteneodo & Silvio M. Duarte Queiros
- 0910.1205 Financial Applications of Random Matrix Theory: a short review
by J. P. Bouchaud & M. Potters
- 0910.1166 Optimal split of orders across liquidity pools: a stochastic algorithm approach
by Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es
- 0910.0545 A general "bang-bang" principle for predicting the maximum of a random walk
by Pieter C. Allaart
- 0910.0236 Joint Modelling of Gas and Electricity spot prices
by Noufel Frikha & Vincent Lemaire
- 0910.0137 Affine processes on positive semidefinite matrices
by Christa Cuchiero & Damir Filipovi'c & Eberhard Mayerhofer & Josef Teichmann
- 0910.0087 Wavelet Based Volatility Clustering Estimation of Foreign Exchange Rates
by A. N. Sekar Iyengar
- 0910.0064 Eroding market stability by proliferation of financial instruments
by Fabio Caccioli & Matteo Marsili & Pierpaolo Vivo
- 0909.5389 A Steady State Solution to a Mortgage Pricing Problem
by Dejun Xie
- 0909.4948 Optimal Stopping for Dynamic Convex Risk Measures
by Erhan Bayraktar & Ioannis Karatzas & Song Yao
- 0909.4815 Stability analysis with applications of a two-dimensional dynamical system arising from a stochastic model of an asset market
by Vladimir Belitsky & Antonio L. Pereira & Fernando P. de Almeida Prado
- 0909.4765 Linear stochastic volatility models
by Jacek Jakubowski & Maciej Wisniewolski
- 0909.4730 Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
by Wael Bahsoun & Igor V. Evstigneev & Michael I. Taksar
- 0909.4089 Defaultable bonds with an infinite number of Levy factors
by Jacek Jakubowski & Mariusz Nieweglowski
- 0909.3984 Weighted Trade Network in a Model of Preferential Bipartite Transactions
by Abhijit Chakraborty & S. S. Manna
- 0909.3978 A Generalized Fourier Transform Approach to Risk Measures
by G. Bormetti & V. Cazzola & G. Livan & G. Montagna & O. Nicrosini
- 0909.3891 Stock Market Trading Via Stochastic Network Optimization
by Michael J. Neely
- 0909.3890 The Building Blocks of Economic Complexity
by Cesar A. Hidalgo & Ricardo Hausmann
- 0909.3655 Utility Function and Optimum Consumption in the models with Habit Formation and Catching up with the Joneses
by Roman Naryshkin & Matt Davison
- 0909.3570 On the rates of convergence of simulation based optimization algorithms for optimal stopping problems
by Denis Belomestny
- 0909.3482 Schumpeterian economic dynamics as a quantifiable minimum model of evolution
by Stefan Thurner & Peter Klimek & Rudolf Hanel
- 0909.3441 Introduction into "Local Correlation Modelling"
by Alex Langnau
- 0909.3363 Optimal double stopping time
by Magdalena Kobylanski & Marie-Claire Quenez & Elisabeth Rouy-Mironescu
- 0909.3244 Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
by Fulvio Baldovin & Dario Bovina & Francesco Camana & Attilio L. Stella
- 0909.3219 Upper and lower bounds on dynamic risk indifference prices in incomplete markets
by Xavier De Scheemaekere
- 0909.2885 Financial bubbles analysis with a cross-sectional estimator
by Frederic Abergel & Nicolas Huth & Ioane Muni Toke
- 0909.2624 Double Kernel estimation of sensitivities
by Romuald Elie
- 0909.2341 Generalized integrands and bond portfolios: Pitfalls and counter examples
by Erik Taflin
- 0909.1974 Econophysics: Empirical facts and agent-based models
by Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel
- 0909.1690 The scale of market quakes
by T. Bisig & A. Dupuis & V. Impagliazzo & R. B. Olsen
- 0909.1478 Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme
by Tetsuya Takaishi
- 0909.1383 Hidden Noise Structure and Random Matrix Models of Stock Correlations
by Ivailo I. Dimov & Petter N. Kolm & Lee Maclin & Dan Y. C. Shiber
- 0909.1142 Optimal intervention in the foreign exchange market when interventions affect market dynamics
by Alec N. Kercheval & Juan F. Moreno
- 0909.1007 Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
by Zhi-Qiang Jiang & Wei-Xing Zhou & Didier Sornette & Ryan Woodard & Ken Bastiaensen & Peter Cauwels
- 0909.0418 World stock market: more sizeable trend reversal likely in February/March 2010
by Stanislaw Drozdz & Pawel Oswiecimka
- 0909.0123 Recurrence interval analysis of high-frequency financial returns and its application to risk estimation
by Fei Ren & Wei-Xing Zhou
- 0909.0065 Hybrid Atlas models
by Tomoyuki Ichiba & Vassilios Papathanakos & Adrian Banner & Ioannis Karatzas & Robert Fernholz
- 0908.4580 A Computational View of Market Efficiency
by Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola
- 0908.4538 Optimal reinsurance/investment problems for general insurance models
by Yuping Liu & Jin Ma
- 0908.4299 Correlation breakdown, copula credit default models and arbitrage
by Rodanthy Tzani & Alexios P. Polychronakos
- 0908.4028 Continuously monitored barrier options under Markov processes
by Aleksandar Mijatovic & Martijn Pistorius
- 0908.3661 Applications of weak convergence for hedging of game options
by Yan Dolinsky
- 0908.3196 A policyholder's utility indifference valuation model for the guaranteed annuity option
by Matheus R Grasselli & Sebastiano Silla
- 0908.3043 Gauge Invariance, Geometry and Arbitrage
by Samuel E. Vazquez & Simone Farinelli
- 0908.2982 Bayesian inference with an adaptive proposal density for GARCH models
by Tetsuya Takaishi
- 0908.2455 Second Order Risk
by Peter G. Shepard
- 0908.2086 The International-Trade Network: Gravity Equations and Topological Properties
by Giorgio Fagiolo
- 0908.1926 High order discretization schemes for stochastic volatility models
by Benjamin Jourdain & Mohamed Sbai
- 0908.1879 Multinetwork of international trade: A commodity-specific analysis
by Matteo Barigozzi & Giorgio Fagiolo & Diego Garlaschelli
- 0908.1677 Most Efficient Homogeneous Volatility Estimators
by A. Saichev & D. Sornette & V. Filimonov
- 0908.1555 Leverage Causes Fat Tails and Clustered Volatility
by Stefan Thurner & J. Doyne Farmer & John Geanakoplos
- 0908.1444 Portfolio Optimization Under Uncertainty
by Alex Dannenberg
- 0908.1211 Optimal execution of Portfolio transactions with geometric price process
by Gerardo Hernandez-del-Valle & Carlos Pacheco-Gonzalez
- 0908.1089 The components of empirical multifractality in financial returns
by Wei-Xing Zhou
- 0908.1086 On the uniqueness of classical solutions of Cauchy problems
by Erhan Bayraktar & Hao Xing
- 0908.1082 Strict Local Martingale Deflators and Pricing American Call-Type Options
by Erhan Bayraktar & Constantinos Kardaras & Hao Xing
- 0908.1014 Selling a stock at the ultimate maximum
by Jacques du Toit & Goran Peskir
- 0908.0949 A queueing theory description of fat-tailed price returns in imperfect financial markets
by H. Lamba
- 0908.0840 Robust mean-variance hedging in the single period model
by R. Tevzadze & T. Uzunashvili
- 0908.0682 Global risk minimization in financial markets
by Andreas Martin Lisewski
- 0908.0348 The Structure and Growth of Weighted Networks
by Massimo Riccaboni & Stefano Schiavo
- 0908.0202 Market impact and trading profile of large trading orders in stock markets
by Esteban Moro & Javier Vicente & Luis G. Moyano & Austin Gerig & J. Doyne Farmer & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna
- 0908.0111 Statistical Signatures in Times of Panic: Markets as a Self-Organizing System
by Lisa Borland
- 0907.5600 Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions
by Anca Gheorghiu & Ion Spanulescu
- 0907.5599 Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
by Denis Belomestny
- 0907.5363 Dynamical complexity and symplectic integrability
by Jean-Pierre Marco
- 0907.5325 Systemic Risk in a Unifying Framework for Cascading Processes on Networks
by Jan Lorenz & Stefano Battiston & Frank Schweitzer
- 0907.5276 Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme
by Tetsuya Takaishi
- 0907.4964 A note on heterogeneous beliefs with CRRA utilities
by A. A. Brown
- 0907.4953 Heterogeneous Beliefs with Finite-Lived Agents
by A. A. Brown & L. C. G. Rogers
- 0907.4950 Heterogeneous Beliefs with Partial Observations
by A. A. Brown
- 0907.4136 Binomial Approximations for Barrier Options of Israeli Style
by Yan Dolinsky & Yuri Kifer
- 0907.4093 Preferences Yielding the "Precautionary Effect"
by Michel De Lara
- 0907.3301 A stochastic reachability approach to portfolio construction in finance industry
by Giordano Pola & Gianni Pola
- 0907.3284 Modified detrended fluctuation analysis based on empirical mode decomposition
by Xi-Yuan Qian & Wei-Xing Zhou & Gao-Feng Gu
- 0907.3282 An Optimal Execution Problem with Market Impact
by Takashi Kato
- 0907.3273 New procedures for testing whether stock price processes are martingales
by Kei Takeuchi & Akimichi Takemura & Masayuki Kumon
- 0907.3231 Phenomenology of minority games in efficient regime
by Karol Wawrzyniak & Wojciech Wislicki
- 0907.3092 Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
by Nicola Cufaro Petroni & Piergiacomo Sabino
- 0907.2926 Dual Stochastic Transformations of Solvable Diffusions
by Giuseppe Campolieti & Roman N. Makarov
- 0907.2866 Quantitative features of multifractal subtleties in time series
by Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka & Rafal Rak
- 0907.2541 Perfect and partial hedging for swing game options in discrete time
by Y. Dolinsky & Y. Iron & Y. Kifer
- 0907.2531 A quantum statistical approach to simplified stock markets
by Fabio Bagarello
- 0907.2203 Optimal investment on finite horizon with random discrete order flow in illiquid markets
by Paul Gassiat & Huyen Pham & Mihai Sirbu
- 0907.1853 Housing Market Microstructure
by Hazer Inaltekin & Robert Jarrow & Mehmet Saglam & Yildiray Yildirim
- 0907.1827 The Chinese Equity Bubble: Ready to Burst
by K. Bastiaensen & P. Cauwels & D. Sornette & R. Woodard & W. -X. Zhou
- 0907.1221 Credit risk premia and quadratic BSDEs with a single jump
by Stefan Ankirchner & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel
- 0907.0941 Differentiability of quadratic BSDEs generated by continuous martingales
by Peter Imkeller & Anthony R'eveillac & Anja Richter
- 0907.0645 An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
by Giorgia Callegaro & Abass Sagna
- 0907.0554 Temporal structure and gain/loss asymmetry for real and artificial stock indices
by Johannes Vitalis Siven & Jeffrey Todd Lins
- 0906.5581 Strong Taylor approximation of stochastic differential equations and application to the L\'evy LIBOR model
by Antonis Papapantoleon & Maria Siopacha
- 0906.5489 Improved and Developed Upper Bound of Price of Anarchy in Two Echelon Case
by T. Shinzato & I. Kaku
- 0906.5249 Universal Correlations and Power-Law Tails in Financial Covariance Matrices
by Gernot Akemann & Jonit Fischmann & Pierpaolo Vivo
- 0906.4853 Shaping tail dependencies by nesting box copulas
by Christoph Hummel
- 0906.4838 Forecasting Model for Crude Oil Price Using Artificial Neural Networks and Commodity Futures Prices
by Siddhivinayak Kulkarni & Imad Haidar
- 0906.4456 Path integral approach to Asian options in the Black-Scholes model
by Jeroen P. A. Devreese & Damiaan Lemmens & Jacques Tempere
- 0906.4316 Constructive Decision Theory
by Lawrence Blume & David Easley & Joseph Y. Halpern
- 0906.4112 Gravity Dual for Reggeon Field Theory and Non-linear Quantum Finance
by Yu Nakayama
- 0906.4092 Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
by Daniel T. Cassidy & Michael J. Hamp & Rachid Ouyed
- 0906.3968 A Bayesian Networks Approach to Operational Risk
by V. Aquaro & M. Bardoscia & R. Bellotti & A. Consiglio & F. De Carlo & G. Ferri
- 0906.3841 Model for Non-Gaussian Intraday Stock Returns
by Austin Gerig & Javier Vicente & Miguel A. Fuentes
- 0906.3425 Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
by Laetitia Andrieu & Michel De Lara & Babacar Seck
- 0906.2271 Portfolio optimization when expected stock returns are determined by exposure to risk
by Carl Lindberg
- 0906.2100 De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process
by Irmina Czarna & Zbigniew Palmowski
- 0906.1899 Money Distributions in Chaotic Economies
by Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz
- 0906.1512 Economic interactions and the distribution of wealth
by Davide Fiaschi & Matteo Marsili
- 0906.1462 Spiraling toward market completeness and financial instability
by Matteo Marsili
- 0906.1444 High frequency market microstructure noise estimates and liquidity measures
by Yacine Ait-Sahalia & Jialin Yu
- 0906.1387 Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement
by A. Zaccaria & M. Cristelli & V. Alfi & F. Ciulla & L. Pietronero
- 0906.0999 The premium of dynamic trading
by Chun Hung Chiu & Xun Yu Zhou
- 0906.0702 Optimal Redeeming Strategy of Stock Loans
by Min Dai & Zuo Quan Xu
- 0906.0678 Continuous-Time Markowitz's Model with Transaction Costs
by Min Dai & Zuo Quan Xu & Xun Yu Zhou
- 0906.0658 Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
by Louis Paulot
- 0906.0480 Analysis of a network structure of the foreign currency exchange market
by Jaroslaw Kwapien & Sylwia Gworek & Stanislaw Drozdz & Andrzej Gorski
- 0906.0394 Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
by A. Gulisashvili
- 0906.0392 Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
by A. Gulisashvili & E. M. Stein
- 0906.0208 An example of a stochastic equilibrium with incomplete markets
by Gordan Zitkovic
- 0905.4912 Dynamical Clustering of Exchange Rates
by Daniel J. Fenn & Mason A. Porter & Peter J. Mucha & Mark McDonald & Stacy Williams & Neil F. Johnson & Nick S. Jones
- 0905.4815 Trading leads to scale-free self-organization
by M. Ebert & W. Paul
- 0905.4793 Class formation in a social network with asset exchange
by Christian H. Sanabria & R. Huerta-Quintanilla & M. Rodriguez-Achach
- 0905.4740 Jump-Diffusion Risk-Sensitive Asset Management
by Mark H. A. Davis & Sebastien Lleo
- 0905.4657 Indifference price with general semimartingales
by Sara Biagini & Marco Frittelli & Matheus R. Grasselli
- 0905.4450 Stock Market and Motion of a Variable Mass Spring
by Enrique Canessa
- 0905.4272 Complementarity between private and public investment in R&D: A Dynamic Panel Data analysis
by Sadraoui Tarek & Naceur Ben Zina
- 0905.4237 Statistical Properties of Fluctuations: A Method to Check Market Behavior
by Prasanta K. Panigrahi & Sayantan Ghosh & P. Manimaran & Dilip P. Ahalpara
- 0905.4171 A Prediction Market for Toxic Assets Prices
by Alan Holland
- 0905.3928 Estimating discriminatory power and PD curves when the number of defaults is small
by Dirk Tasche
- 0905.3891 La prime de risque dans un cadre international : le risque de change est-il appr\'eci\'e ?
by Mohamed El Hedi Arouri
- 0905.3875 Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects
by Mohamed El Hedi Arouri
- 0905.3874 Stock market integration in the Latin American markets: further evidence from nonlinear modeling
by Fredj Jawadi & Nicolas Million & Mohamed El Hedi Arouri
- 0905.3873 Structural Breaks in the Mexico's Integration into the World Stock Market
by Mohamed El Hedi Arouri & Jamel Jouini
- 0905.3871 A la Recherche des Facteurs D\'eterminants de l'Int\'egration Internationale des March\'es Boursiers : une Analyse sur Donn\'ees de Panel
by Mohamed El Hedi Arouri
- 0905.3870 On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
by Mohamed El Hedi Arouri & Julien Fouquau
- 0905.3808 Simulation and Use of Heuristics for Peripheral Economic Policy
by Mattheos K. Protopapas & Elias B. Kosmatopoulos
- 0905.3803 Income and Poverty in a Developing Economy
by Amit K Chattopadhyay & Graeme J Ackland & Sushanta K Mallick
- 0905.3701 On the Martingale Property of Certain Local Martingales
by Aleksandar Mijatovic & Mikhail Urusov
- 0905.3601 Optimal Stopping for Non-linear Expectations
by Erhan Bayraktar & Song Yao
- 0905.3326 Volatility derivatives in market models with jumps
by A. Mijatovic & H. Lo
- 0905.2926 One-Dimensional Pricing of CPPI
by Louis Paulot & Xavier Lacroze
- 0905.2770 Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
by Marco Bianchetti
- 0905.2546 Presentation Du Nouvel Accord De Bale Sur Les Fonds Propres
by Hamza Fekir
- 0905.2366 Emergence of Price Divergence in a Model Short-Term Electric Power Market
by Randall A. LaViolette & Lory A. Ellebracht & Kevin L. Stamber & Charles J. Gieseler & Benjamin K. Cook
- 0905.2091 Spectral methods for volatility derivatives
by Claudio Albanese & Harry Lo & Aleksandar Mijatovi'c
- 0905.2043 The effect of a market factor on information flow between stocks using minimal spanning tree
by Cheoljun Eom & Okyu Kwon & Woo-Sung Jung & Seunghwan Kim
- 0905.1882 Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
by Giacomo Bormetti & Valentina Cazzola & Danilo Delpini
- 0905.1518 Colloquium: Statistical mechanics of money, wealth, and income
by Victor M. Yakovenko & J. Barkley Rosser
- 0905.0781 Variance-covariance based risk allocation in credit portfolios: analytical approximation
by Mikhail Voropaev
- 0905.0582 Empirical regularities of opening call auction in Chinese stock market
by Gao-Feng Gu & Fei Ren & Xiao-Hui Ni & Wei Chen & Wei-Xing Zhou
- 0905.0468 A Markovian Model Market - Akerlof's Lemmons and the Asymmetry of Information
by Paulo F. C. Tilles & Fernando F. Ferreira & Gerson Francisco & Carlos de B. Pereira & Flavia Mori Sarti
- 0905.0220 Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
by Didier Sornette & Ryan Woodard
- 0905.0155 Weakly nonlinear analysis of the Hamilton-Jacobi-Bellman equation arising from pension savings management
by Zuzana Macova & Daniel Sevcovic
- 0905.0129 Correlations, Risk and Crisis: From Physiology to Finance
by A. N. Gorban & E. V. Smirnova & T. A. Tyukina
- 0905.0128 A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals
by L. Lin & Ren R. E & D. Sornette
- 0905.0072 Information of Interest
by Dorje C. Brody & Robyn L. Friedman
- 0904.4822 Implied Correlation for Pricing multi-FX options
by Pavel V. Shevchenko
- 0904.4620 Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses
by Josep J. Masdemont & Luis Ortiz-Gracia
- 0904.4430 Collective firm bankruptcies and phase transition in rating dynamics
by Pawe{l} Sieczka & Janusz A. Ho{l}yst
- 0904.4364 Continuous-time trading and the emergence of probability
by Vladimir Vovk
- 0904.4131 Executing large orders in a microscopic market model
by Alexander Weiss
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