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Content
2009
- 0904.4099 Local Risk Decomposition for High-frequency Trading Systems
by M. Bartolozzi & C. Mellen
- 0904.4075 Modeling operational risk data reported above a time-varying threshold
by Pavel V. Shevchenko & Grigory Temnov
- 0904.4074 Dynamic operational risk: modeling dependence and combining different sources of information
by Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich
- 0904.3929 La Loi organique relative aux lois de finances (LOLF) dans les institutions culturelles publiques du spectacle vivant en France
by Ammar Kessab
- 0904.3213 Simplified stock markets described by number operators
by F. Bagarello
- 0904.3210 Stock markets and quantum dynamics: a second quantized description
by F. Bagarello
- 0904.3132 Posterior Inference in Curved Exponential Families under Increasing Dimensions
by Alexandre Belloni & Victor Chernozhukov
- 0904.3004 Macroeconomic Phase Transitions Detected from the Dow Jones Industrial Average Time Series
by Wong Jian Cheng & Lian Heng & Cheong Siew Ann
- 0904.3000 Law of the exponential functional of one-sided L\'evy processes and Asian options
by Pierre Patie
- 0904.2931 L1-Penalized Quantile Regression in High-Dimensional Sparse Models
by Alexandre Belloni & Victor Chernozhukov
- 0904.2913 Generalized supermartingale deflators under limited information
by Constantinos Kardaras
- 0904.2910 Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
by Xiaolin Luo & Pavel V. Shevchenko & John B. Donnelly
- 0904.2731 An Introduction to Hedge Funds
by Sovan Mitra
- 0904.2376 Credit risk modeling using time-changed Brownian motion
by T. R. Hurd
- 0904.2113 Doves and hawks in economics revisited. An evolutionary quantum game theory-based analysis of financial crises
by Matthias Hanauske & Jennifer Kunz & Steffen Bernius & Wolfgang Konig
- 0904.1990 Average and Quantile Effects in Nonseparable Panel Models
by Victor Chernozhukov & Ivan Fernandez-Val & Jinyong Hahn & Whitney Newey
- 0904.1903 Minimizing the expected market time to reach a certain wealth level
by Constantinos Kardaras & Eckhard Platen
- 0904.1805 Implementing Loss Distribution Approach for Operational Risk
by Pavel V. Shevchenko
- 0904.1798 Market viability via absence of arbitrage of the first kind
by Constantinos Kardaras
- 0904.1772 A "Toy" Model for Operational Risk Quantification using Credibility Theory
by Hans Buhlmann & Pavel V. Shevchenko & Mario V. Wuthrich
- 0904.1771 Estimation of Operational Risk Capital Charge under Parameter Uncertainty
by Pavel V. Shevchenko
- 0904.1756 Regime Switching Stochastic Volatility with Perturbation Based Option Pricing
by Sovan Mitra
- 0904.1653 An extension of Davis and Lo's contagion model
by Didier Rulli`ere & Diana Dorobantu & Areski Cousin
- 0904.1500 Regime Switching Volatility Calibration by the Baum-Welch Method
by Sovan Mitra
- 0904.1483 Model uncertainty in claims reserving within Tweedie's compound Poisson models
by Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich
- 0904.1426 What are the limits on Commercial Bank Lending?
by Jacky Mallett
- 0904.1404 The Size Variance Relationship of Business Firm Growth Rates
by Massimo Riccaboni & Fabio Pammolli & Sergey V. Buldyrev & Linda Ponta & H. Eugene Stanley
- 0904.1402 Perturbation theory in a pure exchange non-equilibrium economy
by Samuel E. Vazquez & Simone Severini
- 0904.1361 The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions
by Dominik D. Lambrigger & Pavel V. Shevchenko & Mario V. Wuthrich
- 0904.1292 A Review of Volatility and Option Pricing
by Sovan Mitra
- 0904.1157 Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
by P. V. Shevchenko
- 0904.1131 Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation
by Sovan Mitra
- 0904.1107 Scaling and memory in the return intervals of realized volatility
by Fei Ren & Gao-Feng Gu & Wei-Xing Zhou
- 0904.1078 GARCH options via local risk minimization
by Juan-Pablo Ortega
- 0904.1074 Vanna-Volga methods applied to FX derivatives : from theory to market practice
by Fr'ed'eric Bossens & Gr'egory Ray'ee & Nikos S. Skantzos & Griselda Deelstra
- 0904.1067 The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions
by P. V. Shevchenko & M. V. Wuthrich
- 0904.1042 Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
by Guo-Hua Mu & Wei Chen & J'anos Kert'esz & Wei-Xing Zhou
- 0904.0951 Inference on Counterfactual Distributions
by Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly
- 0904.0900 The price impact of order book events: market orders, limit orders and cancellations
by Zoltan Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren
- 0904.0896 An operatorial approach to stock markets
by F. Bagarello
- 0904.0870 Risk Measures in Quantitative Finance
by Sovan Mitra
- 0904.0830 Computing Tails of Compound Distributions Using Direct Numerical Integration
by Xiaolin Luo & Pavel V. Shevchenko
- 0904.0805 The (unfortunate) complexity of the economy
by Jean-Philippe Bouchaud
- 0904.0756 The Problem of Modeling of Economic Dynamics
by S. I. Chernyshov & A. V. Voronin & S. A. Razumovsky
- 0904.0729 Does economics need a scientific revolution?
by Ivan O. Kitov
- 0904.0624 A new approach for scenario generation in Risk management
by Juan-Pablo Ortega & Rainer Pullirsch & Josef Teichmann & Julian Wergieluk
- 0904.0555 The affine LIBOR models
by Martin Keller-Ressel & Antonis Papapantoleon & Josef Teichmann
- 0904.0344 Introducing Chaos in Economic Gas-like Models
by C. Pellicer-Lostao & R. Lopez-Ruiz
- 0903.5064 Unemployment and inflation in Western Europe: solution by the boundary element method
by Ivan Kitov & Oleg Kitov
- 0903.4833 Recovering a time-homogeneous stock price process from perpetual option prices
by Erik Ekstrom & David Hobson
- 0903.4783 Threshold levels in Economics
by V. P. Maslov
- 0903.4542 Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
by C. Neri & L. Schneider
- 0903.4478 Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool
by Richard B. Sowers
- 0903.4475 Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
by Richard B. Sowers
- 0903.4216 Statistical thermodynamics of economic systems
by H. Quevedo & M. N. Quevedo
- 0903.3736 Num\'{e}raire-invariant preferences in financial modeling
by Constantinos Kardaras
- 0903.3657 Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets
by Lampros Boukas & Diogo Pinheiro & Alberto Pinto & Stylianos Xanthopoulos & Athanasios Yannacopoulos
- 0903.3346 The Transfer Pricing Problem with Non-Linearities
by S. Zverovich
- 0903.3254 Mapping markets to the statistical mechanics: the derivatives act against the self-regulation of stock market
by David B. Saakian
- 0903.2910 Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes
by Yingdong Lv & Bernhard K. Meister
- 0903.2428 Price Impact
by J. P. Bouchaud
- 0903.2243 Pragmatic Information Rates, Generalizations of the Kelly Criterion, and Financial Market Efficiency
by Edward D. Weinberger
- 0903.2099 Financial Atoms and Molecules
by Yik Wen Goo & Tong Wei Lian & Wei Guang Ong & Wen Ting Choi & Siew-Ann Cheong
- 0903.1643 A Simplified Approach to modeling the credit-risk of CMO
by K. Rajaratnam
- 0903.1629 Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
by Mauro Politi & Enrico Scalas & Daniel Fulger & Guido Germano
- 0903.1592 Monte Carlo sampling given a Characteristic Function: Quantile Mechanics in Momentum Space
by William T. Shaw & Jonathan McCabe
- 0903.1531 Inference on multivariate ARCH processes with large sizes
by Gilles Zumbach
- 0903.1525 The empirical properties of large covariance matrices
by Gilles Zumbach
- 0903.0993 Statistical analysis of the overnight and daytime return
by Fengzhong Wang & Shwu-Jane Shieh & Shlomo Havlin & H. Eugene Stanley
- 0903.0680 Quantum Neural Computation for Option Price Modelling
by Vladimir G. Ivancevic
- 0903.0286 What is the best firm size to invest?
by Ivan O. Kitov
- 0903.0282 A dynamic nonlinear model for saturation in industrial growth
by Arnab K. Ray
- 0903.0203 Mechanical Model of Personal Income Distribution
by Ivan O. Kitov
- 0903.0010 Quantitative law describing market dynamics before and after interest-rate change
by Alexander M. Petersen & Fengzhong Wang & Shlomo Havlin & H. Eugene Stanley
- 0902.4684 Quantized Interest Rate at the Money for American Options
by L. M. Dieng
- 0902.4274 Time and symmetry in models of economic markets
by Lee Smolin
- 0902.4245 T-Systems and the lower Snell envelope
by Erick Trevino Aguilar
- 0902.4159 Liquidity Crisis, Granularity of the Order Book and Price Fluctuations
by M. Cristelli & V. Alfi & L. Pietronero & A. Zaccaria
- 0902.3840 Scale Invariance, Bounded Rationality and Non-Equilibrium Economics
by Samuel E. Vazquez
- 0902.3836 The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets
by Cheoljun Eom & Jongwon Park & Woo-Sung Jung & Taisei Kaizoji & Yong H. Kim
- 0902.3643 A Fourier transform method for spread option pricing
by T. R. Hurd & Zhuowei Zhou
- 0902.3456 On the valuation of compositions in L\'evy term structure models
by Wolfgang Kluge & Antonis Papapantoleon
- 0902.2965 Optimal leverage from non-ergodicity
by Ole Peters
- 0902.2756 Monitoring dates of maximal risk
by Erick Trevino Aguilar
- 0902.2735 First-passage and risk evaluation under stochastic volatility
by Jaume Masoliver & Josep Perello
- 0902.2516 Optimal Trade Execution in Illiquid Markets
by Erhan Bayraktar & Mike Ludkovski
- 0902.2479 Regularity of the Optimal Stopping Problem for Jump Diffusions
by Erhan Bayraktar & Hao Xing
- 0902.2429 A Unified Framework for Dynamic Pari-Mutuel Information Market Design
by Shipra Agrawal & Erick Delage & Mark Peters & Zizhuo Wang & Yinyu Ye
- 0902.2070 Effects of introduction of new resources and fragmentation of existing resources on limiting wealth distribution in asset exchange models
by M. Ali Saif & Prashant M. Gade
- 0902.2065 Emergence of Power Law in a Market with Mixed Models
by M. Ali Saif & Prashant M. Gade
- 0902.1721 Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives
by Rasoul Behboudi & You-Lan Zhu
- 0902.1576 A Paradigm Shift from Production Function to Production Copula: Statistical Description of Production Activity of Firms
by H. Iyetomi & H. Aoyama & Y. Fujiwara & Y. Ikeda & W. Souma
- 0902.1328 On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation
by Laurent Carraro & Nicole El Karoui & Jan Ob{l}'oj
- 0902.0878 Backbone of complex networks of corporations: The flow of control
by J. B. Glattfelder & S. Battiston
- 0902.0713 Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]
by Amparo Baillo
- 0902.0504 The role of a matchmaker in buyer-vendor interactions
by Linyuan Lu & Matus Medo & Yi-Cheng Zhang
- 0902.0188 A Conceptual Model for Bidirectional Service, Information and Product Quality in an IS Outsourcing Collaboration Environment
by Subrata Chakrabarty
- 0902.0100 The Reality Game
by Dmitriy Cherkashin & J. Doyne Farmer & Seth Lloyd
- 0902.0075 A k-generalized statistical mechanics approach to income analysis
by F. Clementi & M. Gallegati & G. Kaniadakis
- 0901.4914 Exchangeability type properties of asset prices
by Ilya Molchanov & Michael Schmutz
- 0901.4793 Structure and evolution of the foreign exchange networks
by Jaroslaw Kwapien & Sylwia Gworek & Stanislaw Drozdz
- 0901.4604 Laplace transformation method for the Black-Scholes equation
by Hyoseop Lee & Dongwoo Sheen
- 0901.4447 Mathematical analysis of Soros's theory of reflexivity
by C. P. Kwong
- 0901.3812 The Minimal Model of Financial Complexity
by Philip Maymin
- 0901.3404 Climbing Down from the Top: Single Name Dynamics in Credit Top Down Models
by Igor Halperin & Pascal Tomecek
- 0901.3398 BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
by Matthias Arnsdorf & Igor Halperin
- 0901.3318 Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability
by Michail Anthropelos & Gordan Zitkovic
- 0901.3003 Timed tuplix calculus and the Wesseling and van den Bergh equation
by J. A. Bergstra & C. A. Middelburg
- 0901.2857 Kinetic models for wealth exchange on directed networks
by Arnab Chatterjee
- 0901.2826 Optimal systems of subalgebras for a nonlinear Black-Scholes equation
by Maxim Bobrov
- 0901.2586 Information geometries and Microeconomic Theories
by Richard Nock & Brice Magdalou & Nicolas Sanz & Eric Briys & Fred Celimene & Frank Nielsen
- 0901.2484 Consumption and Portfolio Rules for Time-Inconsistent Investors
by Jesus Marin-Solano & Jorge Navas
- 0901.2384 An Analysis of the Japanese Credit Network
by G. De Masi & Y. Fujiwara & M. Gallegati & B. Greenwald & J. E. Stiglitz
- 0901.2381 Visualizing a large-scale structure of production network by N-body simulation
by Yoshi Fujiwara
- 0901.2377 Structure and temporal change of the credit network between banks and large firms in Japan
by Yoshi Fujiwara & Hideaki Aoyama & Yuichi Ikeda & Hiroshi Iyetomi & Wataru Souma
- 0901.2275 Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models
by Gilles Zumbach
- 0901.2271 Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence
by Erik Van der Straeten & Christian Beck
- 0901.2080 On the Dybvig-Ingersoll-Ross Theorem
by Constantinos Kardaras & Eckhard Platen
- 0901.2070 State-dependent utility maximization in L\'evy markets
by Jose E. Figueroa-Lopez & Jin Ma
- 0901.1945 A mathematical proof of the existence of trends in financial time series
by Michel Fliess & C'edric Join
- 0901.1794 Agent-Based Model Approach to Complex Phenomena in Real Economy
by Hiroshi Iyetomi & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma
- 0901.1776 Efficient swaptions price in Hull-White one factor model
by Marc Henrard
- 0901.1500 Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors
by Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Hiroshi Iyetomi & Wataru Souma
- 0901.1392 The Spread of the Credit Crisis: View from a Stock Correlation Network
by Reginald D. Smith
- 0901.1315 Stochastic Volatility Models Including Open, Close, High and Low Prices
by Abel Rodriguez & Henryk Gzyl & German Molina & Enrique ter Horst
- 0901.1218 Efficient Pricing of CPPI using Markov Operators
by Louis Paulot & Xavier Lacroze
- 0901.1099 Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation
by Damiano Brigo & Kyriakos Chourdakis & Imane Bakkar
- 0901.1038 Economic Models with Chaotic Money Exchange
by Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz
- 0901.0992 An Adaptive Markov Chain Monte Carlo Method for GARCH Model
by Tetsuya Takaishi
- 0901.0903 A long-range memory stochastic model of the return in financial markets
by V. Gontis & J. Ruseckas & A. Kononovicius
- 0901.0674 Robust pricing and hedging of double no-touch options
by Alexander M. G. Cox & Jan Obloj
- 0901.0638 Quantile Mechanics II: Changes of Variables in Monte Carlo methods and GPU-Optimized Normal Quantiles
by William T. Shaw & Thomas Luu & Nick Brickman
- 0901.0495 Studies of the limit order book around large price changes
by Bence Toth & Janos Kertesz & J. Doyne Farmer
- 0901.0447 Evaluating the performance of adapting trading strategies with different memory lengths
by Andreas Krause
- 0901.0434 The alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map
by William T. Shaw & Ian R. C. Buckley
- 0901.0401 From Physics to Economics: An Econometric Example Using Maximum Relative Entropy
by Adom Giffin
2008
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