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Content
2007
- 0708.1627 Rearranging Edgeworth-Cornish-Fisher Expansions
by Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon - 0708.1568 Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions
by Ljudmila A. Bordag & Ruediger Frey - 0708.1146 Stochastic Knapsack Problem Revisited: Switch-Over Policies and Dynamic Pricing
by Grace Lin & Yingdong Lu & David Yao - 0708.0998 Fine-tune your smile: Correction to Hagan et al
by Jan Obloj - 0708.0588 Investment and Consumption without Commitment
by Ivar Ekeland & Traian A. Pirvu - 0708.0562 Group dynamics of the Japanese market
by Woo-Sung Jung & Okyu Kwon & Fengzhong Wang & Taisei Kaizoji & Hie-Tae Moon & H. Eugene Stanley - 0708.0544 Perpetual American options within CTRW's
by Miquel Montero - 0708.0353 The Local Fractal Properties of the Financial Time Series on the Polish Stock Exchange Market
by D. Grech & G. Pamu{l}a - 0708.0275 A new formulation of asset trading games in continuous time with essential forcing of variation exponent
by Kei Takeuchi & Masayuki Kumon & Akimichi Takemura - 0708.0209 Models of Financial Markets with Extensive Participation Incentives
by C. H. Yeung & K. Y. Michael Wong & Y. -C. Zhang - 0708.0132 Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii
by Sara van de Geer - 0708.0124 Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii
by A. B. Tsybakov - 0708.0121 Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii
by Xiaotong Shen & Lifeng Wang - 0708.0098 Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii
by St'ephan Cl'emenc{c}on & G'abor Lugosi & Nicolas Vayatis - 0708.0089 Discussion of "2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization" by V. Koltchinskii
by Peter L. Bartlett & Shahar Mendelson - 0708.0063 Information flow between composite stock index and individual stocks
by Okyu Kwon & Jae-Suk Yang - 0708.0046 Sparse and stable Markowitz portfolios
by Joshua Brodie & Ingrid Daubechies & Christine De Mol & Domenico Giannone & Ignace Loris - 0707.4638 Indication of multiscaling in the volatility return intervals of stock markets
by Fengzhong Wang & Kazuko Yamasaki & Shlomo Havlin & H. Eugene Stanley - 0707.4347 The International Trade Network
by K. Bhattacharya & G. Mukherjee & S. S. Manna - 0707.4343 The International Trade Network: weighted network analysis and modelling
by K. Bhattacharya & G. Mukherjee & J. Saramaki & K. Kaski & S. S. Manna - 0707.3703 Economic Amplifier - A New Econophysics Model
by Ion Spanulescu & Anca Gheorghiu - 0707.3482 A Bayesian Framework for Combining Valuation Estimates
by Kenton K. Yee - 0707.3478 Credit risk - A structural model with jumps and correlations
by Rudi Schafer & Markus Sjolin & Andreas Sundin & Michal Wolanski & Thomas Guhr - 0707.3321 Multi-scale correlations in different futures markets
by M. Bartolozzi & C. Mellen & T. Di Matteo & T. Aste - 0707.3198 Growth-optimal portfolios under transaction costs
by Jan Palczewski & Lukasz Stettner - 0707.2341 A Cultural Market Model
by Amac Herdagdelen & Haluk Bingol - 0707.2284 Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests
by Xi-Yuan Qian & Fu-Tie Song & Wei-Xing Zhou - 0707.1897 Maximum Entropy, the Collective Welfare Principle and the Globalization Process
by Esteban Guevara Hidalgo - 0707.0854 Adaptation and Coevolution on an Emergent Global Competitive Landscape
by Philip V. Fellman & Jonathan Vos Post & Roxana Wright & Usha Dasari - 0707.0385 Specialization of strategies and herding behavior of trading firms in a financial market
by Fabrizio Lillo & Esteban Moro & Gabriella Vaglica & Rosario N. Mantegna - 0707.0324 Quantum Nash Equilibria and Quantum Computing
by Philip V. Fellman & Jonathan Vos Post - 0706.4432 The minority game: An economics perspective
by Willemien Kets - 0706.3827 The fractional volatility model: An agent-based interpretation
by R. Vilela Mendes - 0706.3331 A Model for Counterparty Risk with Geometric Attenuation Effect and the Valuation of CDS
by Yunfen Bai & Xinhua Hu & Zhongxing Ye - 0706.3122 Effects of payoff functions and preference distributions in an adaptive population
by H. M. Yang & Y. S. Ting & K. Y. Michael Wong - 0706.2140 Multifractality in stock indexes: Fact or fiction?
by Zhi-Qiang Jiang & Wei-Xing Zhou - 0706.1839 Nurturing Breakthroughs: Lessons from Complexity Theory
by Didier Sornette - 0706.1836 Long Memory in Nonlinear Processes
by Rohit Deo & Meng-Chen Hsieh & Clifford M. Hurvich & Philippe Soulier - 0706.1460 Uncertainty in the Fluctuations of the Price of Stocks
by G. R. Jafari & M. Sadegh Movahed & P. Noroozzadeh & A. Bahraminasab & Muhammad Sahimi & F. Ghasemi & M. Reza Rahimi Tabar - 0706.1454 Heterogeneity and Increasing Returns May Drive Socio-Economic Transitions
by G'erard Weisbuch & Vincent Buskens & Luat Vuong - 0706.1300 The Quantum Black-Scholes Equation
by Luigi Accardi & Andreas Boukas - 0706.1247 Are all highly liquid securities within the same class?
by Silvio M. Duarte Queiros - 0706.1028 Hiking the hypercube: producers and consumers
by Tanya Ara'ujo & G'erard Weisbuch - 0706.0664 Rent seeking games with tax evasion
by O. Bundau & M. Neamtu & D. Opris - 0706.0482 Stability of the utility maximization problem with random endowment in incomplete markets
by Constantinos Kardaras & Gordan Zitkovic - 0706.0480 Maximizing the Growth Rate under Risk Constraints
by Traian A. Pirvu & Gordan Zitkovic - 0706.0478 Optimal Investment with an Unbounded Random Endowment and Utility-Based Pricing
by Mark Owen & Gordan Zitkovic - 0706.0474 Stability of utility-maximization in incomplete markets
by Kasper Larsen & Gordan Zitkovic - 0706.0468 On the semimartingale property via bounded logarithmic utility
by Kasper Larsen & Gordan Zitkovic - 0706.0462 Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints
by Gordan Zitkovic - 0706.0168 Kullback-Leibler distance as a measure of the information filtered from multivariate data
by Michele Tumminello & Fabrizio Lillo & Rosario Nunzio Mantegna - 0706.0051 Optimal consumption from investment and random endowment in incomplete semimartingale markets
by Ioannis Karatzas & Gordan Zitkovic - 0705.4487 Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment
by Gordan Zitkovic - 0705.4329 Scale-free avalanches in the multifractal random walk
by M. Bartolozzi - 0705.4112 Microscopic Origin of Non-Gaussian Distributions of Financial Returns
by T. S. Biro & R. Rosenfeld - 0705.4025 Stochastic analysis of an agent-based model
by A. Veglio & M. Marsili - 0705.4023 The limit order book on different time scales
by Zoltan Eisler & Janos Kertesz & Fabrizio Lillo - 0705.3760 Optimal cross hedging for insurance derivatives
by Stefan Ankirchner & Peter Imkeller & Alexandre Popier - 0705.3430 The Macro Model of the Inequality Process and The Surging Relative Frequency of Large Wage Incomes
by John Angle - 0705.3319 Detecting anchoring in financial markets
by Jorgen Vitting Andersen - 0705.3248 On a generalised model for time-dependent variance with long-term memory
by Silvio M. Duarte Queiros - 0705.2820 Entropy Oriented Trading: A Trading Strategy Based on the Second Law of Thermodynamics
by Yoichi Hirai - 0705.2551 Network Topology of an Experimental Futures Exchange
by S. C. Wang & J. J. Tseng & C. C. Tai & K. H. Lai & W. S. Wu & S. H. Chen & S. P. Li - 0705.2110 Optimal quantization for the pricing of swing options
by Olivier Aj Bardou & Sandrine Bouthemy & Gilles Pag`es - 0705.2098 Kolkata Restaurant Problem as a generalised El Farol Bar Problem
by Bikas K. Chakrabarti - 0705.2097 A simple algorithm based on fluctuations to play the market
by L. Gil - 0705.1949 Correlated multi-asset portfolio optimisation with transaction cost
by Siu Lung Law & Chiu Fan Lee & Sam Howison & Jeff N. Dewynne - 0705.1302 Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments
by Moshe A. Milevsky & S. David Promislow & Virginia R. Young - 0705.1297 Pricing Life Insurance under Stochastic Mortality via the Instantaneous Sharpe Ratio: Theorems and Proofs
by Virginia R. Young - 0705.1056 The log-normal distribution from Non-Gibrat's law in the middle scale region of profits
by Atushi Ishikawa - 0705.0503 Change point estimation for the telegraph process observed at discrete times
by Alessandro De Gregorio & Stefano M. Iacus - 0705.0161 Quantitative relations between corruption and economic factors
by Jia Shao & Plamen Ch. Ivanov & Boris Podobnik & H. Eugene Stanley - 0705.0076 Deterministic Factors of Stock Networks based on Cross-correlation in Financial Market
by Cheoljun Eom & Gabjin Oh & Seunghwan Kim - 0705.0053 Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin
by Erhan Bayraktar & Virginia R. Young - 0705.0029 EGT through Quantum Mechanics & from Statistical Physics to Economics
by Esteban Guevara - 0704.3798 Modeling the Epps effect of cross correlations in asset prices
by Bence Toth & Balint Toth & Janos Kertesz - 0704.3686 Improving Estimates of Monotone Functions by Rearrangement
by Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon - 0704.3649 Quantile and Probability Curves Without Crossing
by Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon - 0704.2865 Classical and quantum randomness and the financial market
by Andrei Khrennikov - 0704.2244 Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control
by Erhan Bayraktar & Virginia R. Young - 0704.2139 Why only few are so successful ?
by P. K. Mohanty - 0704.2115 Uncovering the Internal Structure of the Indian Financial Market: Cross-correlation behavior in the NSE
by Sitabhra Sinha & Raj Kumar Pan - 0704.2003 Scaling laws of strategic behaviour and size heterogeneity in agent dynamics
by Gabriella Vaglica & Fabrizio Lillo & Esteban Moro & Rosario N. Mantegna - 0704.1976 Information-Based Asset Pricing
by Dorje C. Brody & Lane P. Hughston & Andrea Macrina - 0704.1738 Financial time-series analysis: A brief overview
by A. Chakraborti & M. Patriarca & M. S. Santhanam - 0704.1433 Exact retrospective Monte Carlo computation of arithmetic average Asian options
by Benjamin Jourdain & Mohamed Sbai - 0704.1348 Large portfolio losses: A dynamic contagion model
by Paolo Dai Pra & Wolfgang J. Runggaldier & Elena Sartori & Marco Tolotti - 0704.1338 True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence
by Ruipeng Liu & T. Di Matteo & Thomas Lux - 0704.1225 Patterns of dominant flows in the world trade web
by M. Angeles Serrano & Marian Boguna & Alessandro Vespignani - 0704.1099 The Epps effect revisited
by Bence Toth & Janos Kertesz - 0704.0773 Collective behavior of stock price movements in an emerging market
by Raj Kumar Pan & Sitabhra Sinha - 0704.0745 Weak and Strong Taylor methods for numerical solutions of stochastic differential equations
by Maria Siopacha & Josef Teichmann - 0704.0664 Stock market return distributions: from past to present
by S. Drozdz & M. Forczek & J. Kwapien & P. Oswiecimka & R. Rak - 0704.0589 Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indexes
by Wei-Xing Zhou & Didier Sornette - 0704.0567 Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models
by Martin Keller-Ressel & Thomas Steiner - 0704.0394 Average optimality for risk-sensitive control with general state space
by Anna Ja'skiewicz - 0704.0335 Approximation of the distribution of a stationary Markov process with application to option pricing
by Gilles Pag`es & Fabien Panloup - math/0703862 Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin
by Erhan Bayraktar & Virginia R. Young - math/0703850 Minimizing the Probability of Lifetime Ruin under Borrowing Constraints
by Erhan Bayraktar & Virginia R. Young - math/0703834 Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
by Erhan Bayraktar & H. Vincent Poor & Ronnie Sircar - math/0703833 The Effects of Implementation Delay on Decision-Making Under Uncertainty
by Erhan Bayraktar & Masahiko Egami - math/0703832 Queueing Theoretic Approaches to Financial Price Fluctuations
by Erhan Bayraktar & Ulrich Horst & Ronnie Sircar - math/0703831 A Limit Theorem for Financial Markets with Inert Investors
by Erhan Bayraktar & Ulrich Horst & Ronnie Sircar - math/0703828 Optimal Time to Change Premiums
by Erhan Bayraktar & H. Vincent Poor - math/0703827 Interacting Agent Feedback Finance Model
by Biao Wu - math/0703825 A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays
by Erhan Bayraktar & Masahiko Egami - math/0703824 Minimizing the Lifetime Shortfall or Shortfall at Death
by Erhan Bayraktar - math/0703823 Optimizing Venture Capital Investments in a Jump Diffusion Model
by Erhan Bayraktar & Masahiko Egami - math/0703820 Correspondence between Lifetime Minimum Wealth and Utility of Consumption
by Erhan Bayraktar & Virginia R. Young - math/0703811 Suboptimality of Penalized Empirical Risk Minimization in Classification
by Guillaume Lecu'e - math/0703782 A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
by Erhan Bayraktar - math/0703743 Implications of contrarian and one-sided strategies for the fair-coin game
by Yasunori Horikoshi & Akimichi Takemura - math/0703714 Delta Hedging without the Black-Scholes Formula
by Yukio Hirashita - math/0703538 On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps
by Erhan Bayraktar - math/0703424 Mean-variance Hedging Under Partial Information
by M. Mania & R. Tevzadze & T. Toronjadze - physics/0703217 Properties of a simple bilinear stochastic model: estimation and predictability
by D. Sornette & V. F. Pisarenko - physics/0703208 Statistical properties of short term price trends in high frequency stock market data
by Pawe{l} Sieczka & Janusz A. Ho{l}yst - physics/0703201 Economic Inequality: Is it Natural?
by Arnab Chatterjee & Sitabhra Sinha & Bikas K. Chakrabarti - physics/0703181 Least Squares Importance Sampling for Monte Carlo Security Pricing
by Luca Capriotti - physics/0703180 A Closed-Form Approximation of Likelihood Functions for Discretely Sampled Diffusions: the Exponent Expansion
by Luca Capriotti - physics/0703156 Strategy bifurcation and spatial inhomogeneity in a simple model of competing sellers
by L. Mitchell & G. J. Ackland - cs/0703148 Computer Science and Game Theory: A Brief Survey
by Joseph Y. Halpern - physics/0703128 Fluctuation scaling versus gap scaling
by Zoltan Eisler & Janos Kertesz - math/0703085 Donsker theorem for the Rosenblatt process and a binary market model
by Ciprian Tudor & Soledad Torres - math/0703079 Least-Squares Prices of Games
by Yukio Hirashita - math/0703074 Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk
by Jocelyne Bion-Nadal - physics/0703023 A transactional theory of fluctuations in company size
by A. O. Schweiger & S. V. Buldyrev & H. E. Stanley - math/0703022 Tails of random sums of a heavy-tailed number of light-tailed terms
by Christian Y. Robert & Johan Segers - math/0702893 On the optimal dividend problem for a spectrally negative L\'{e}vy process
by Florin Avram & Zbigniew Palmowski & Martijn R. Pistorius - math/0702849 Asymptotic arbitrage and num\'eraire portfolios in large financial markets
by Dmitry B. Rokhlin - math/0702828 Price systems for markets with transaction costs and control problems for some finance problems
by Tzuu-Shuh Chiang & Shang-Yuan Shiu & Shuenn-Jyi Sheu - math/0702815 Multivariate volatility models
by Ruey S. Tsay - math/0702814 Combining domain knowledge and statistical models in time series analysis
by Tze Leung Lai & Samuel Po-Shing Wong - math/0702812 Estimation errors of the Sharpe ratio for long-memory stochastic volatility models
by Hwai-Chung Ho - math/0702810 Fractional constant elasticity of variance model
by Ngai Hang Chan & Chi Tim Ng - math/0702727 On Robust Utility Maximization
by Traian A Pirvu & Ulrich G Haussmann - math/0702726 A Portfolio Decomposition Formula
by Traian A Pirvu & Ulrich G Haussmann - cond-mat/0702607 Geometrical Brownian Motion Driven by Color Noise
by Ryszard Zygad{l}o - cond-mat/0702517 Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory
by Joseph L. McCauley - math/0702473 Some applications and methods of large deviations in finance and insurance
by Huyen Pham - math/0702435 Convexity theory for the term structure equation
by Erik Ekstrom & Johan Tysk - math/0702423 Correction. Error estimates for binomial approximations of game options
by Yuri Kifer - math/0702413 Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
by Dmitry Kramkov & Mihai S^{{i}}rbu - math/0702409 Market free lunch and large financial markets
by Irene Klein - math/0702405 Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging
by Dirk Becherer - math/0702249 Continuous-time mean-variance efficiency: the 80% rule
by Xun Li & Xun Yu Zhou - physics/0702248 The uniqueness of company size distribution function from tent-shaped growth rate distribution
by Atushi Ishikawa - physics/0702240 Bayesian estimation of GARCH model by hybrid Monte Carlo
by Tetsuya Takaishi - physics/0702210 The tick-by-tick dynamical consistency of price impact in limit order books
by Damien Challet - physics/0702185 Yet on statistical properties of traded volume: correlation and mutual information at different value magnitudes
by Silvio M. Duarte Queiros & Luis G. Moyano - math/0702173 Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
by A. M. G. Cox & David Hobson & Jan Ob{l}'oj - physics/0702106 Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode
by Christian Borghesi & Matteo Marsili & Salvatore Miccich`e - math/0702058 Mixtures in non stable Levy processes
by Nicola Cufaro Petroni - physics/0702035 Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market
by Zhi-Qiang Jiang & Liang Guo & Wei-Xing Zhou - physics/0702029 Correlation of coming limit price with order book in stock markets
by Jun-ichi Maskawa - physics/0702027 A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes
by Y. Malevergne & D. Sornette - physics/0702003 Waiting time analysis of foreign currency exchange rates: Beyond the renewal-reward theorem
by Naoya Sazuka & Jun-ichi Inoue - math/0701650 Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio
by Erhan Bayraktar & Virginia R. Young - physics/0701335 Diffusive behavior and the modeling of characteristic times in limit order executions
by Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario N. Mantegna - physics/0701302 Power Law in Firms Bankruptcy
by Byoung Hee Hong & Kyoung Eun Lee & Jae Woo Lee - physics/0701264 Martingales, Detrending Data, and the Efficient Market Hypothesis
by Joseph L. McCauley & Kevin E. Bassler & Gemunu H. Gunaratne - physics/0701189 Assessing symmetry of financial returns series
by H. F. Coronel-Brizio & A. R. Hernandez-Montoya & Huerta-Quintanilla & M. Rodriguez-Achach & . - physics/0701179 The market efficiency in the stock markets
by Jae-Suk Yang & Wooseop Kwak & Taisei Kaizoji & In-mook Kim - physics/0701171 A case study of speculative financial bubbles in the South African stock market 2003-2006
by Wei-Xing Zhou & Didier Sornette - physics/0701158 Market Mill Dependence Pattern in the Stock Market: Modeling of Predictability and Asymmetry via Multi-Component Conditional Distribution
by Andrei Leonidov & Vladimir Trainin & Alexander Zatsev & Sergey Zaitsev - physics/0701156 Structurally dynamic spin market networks
by D. Horvath & Z. Kuscsik - physics/0701140 Agent-based Models of Financial Markets
by E. Samanidou & E. Zschischang & D. Stauffer & T. Lux - physics/0701110 On the origin of the Epps effect
by Bence Toth & Janos Kertesz - physics/0701062 Long Term Economic Relationships From Cointegration Maps
by Renato Vicente & Carlos de B. Pereira & Vitor B. P. Leite & Nestor Caticha - physics/0701030 Interplay between topology and dynamics in the World Trade Web
by D. Garlaschelli & T. Di Matteo & T. Aste & G. Caldarelli & M. I. Loffredo - physics/0701025 Random, but not so much: A parameterization for the returns and correlation matrix of financial time series
by Andre C. R. Martins - nlin/0701016 A model of coupled maps with Pareto behavior
by J. R. Sanchez & J. Gonzalez-Estevez & R. Lopez-Ruiz & M. G. Cosenza - nlin/0701014 Nonlinear Dynamical Model of Regime Switching Between Conventions and Business Cycles
by V. I. Yukalov & D. Sornette & E. P. Yukalova - 0801.0195 An optimal life insurance policy in the investment-consumption problem in an incomplete market
by Masahiko Egami & Hideki Iwaki - 0801.0108 Note on two phase phenomena in financial markets
by Shi-Mei Jiang & Shi-Min Cai & Tao Zhou & Pei-Ling Zhou - 0801.0003 Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents
by Gunter M. Schutz & Fernando Pigeard de Almeida Prado & Rosemary J. Harris & Vladimir Belitsky
2006
- physics/0701017 Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature
by Gao-Feng Gu & Wei Chen & Wei-Xing Zhou - physics/0701008 Fluctuations in time intervals of financial data from the view point of the Gini index
by Naoya Sazuka & Jun-ichi Inoue - math/0612691 Option pricing with log-stable L\'{e}vy processes
by Przemys{l}aw Repetowicz & Peter Richmond - math/0612649 General Duality for Perpetual American Options
by Aur'elien Alfonsi & Benjamin Jourdain - math/0612648 A Call-Put Duality for Perpetual American Options
by Aur'elien Alfonsi & Benjamin Jourdain - math/0612470 Capital allocation for credit portfolios with kernel estimators
by Dirk Tasche - math/0612341 What is the natural scale for a L\'evy process in modelling term structure of interest rates?
by Jir^o Akahori & Takahiro Tsuchiya - physics/0612231 A mechanism to derive multi-power law functions: an application in the econophysics framework
by A. M. Scarfone - physics/0612221 Characterizing and modeling cyclic behavior in non-stationary time series through multi-resolution analysis
by Dilip P. Ahalpara & Amit Verma & Prasanta K. Panigrahi & Jitendra C. Parikh - math/0612212 A filtering approach to tracking volatility from prices observed at random times
by Jakv{s}a Cvitani'c & Robert Liptser & Boris Rozovskii - math/0612181 Utility Maximization in a jump market model
by Marie-Amelie Morlais - physics/0612170 Volatility Dynamics of Wavelet-Filtered Stock Prices
by I. M. Dremin & A. V. Leonidov - physics/0612091 A Probability Density Function for Google's stocks
by V. Dorobantu - physics/0612084 Volatility: a hidden Markov process in financial time series
by Zoltan Eisler & Josep Perello & Jaume Masoliver - cond-mat/0612077 Mean Escape Time in a System with Stochastic Volatility
by Giovanni Bonanno & Davide Valenti & Bernardo Spagnolo - math/0612075 Option Pricing without Price Dynamics: A Probabilistic Approach
by Dimitris Bertsimas & Natasha Bushueva - physics/0612068 Topological Properties of the Minimal Spanning Tree in Korean and American Stock Markets
by Cheoljun Eom & Gabjin Oh & Seunghwan Kim - cs/0612065 An equilibrium model for matching impatient demand and patient supply over time
by Garud Iyengar & Anuj Kumar - physics/0612059 Risk evaluation with enhaced covariance matrix
by Krzysztof Urbanowicz & Peter Richmond & Janusz A. Holyst - math/0612035 One-Factor Term Structure without Forward Rates
by Victor Goodman & Kyounghee Kim - math/0612034 Exponential Martingales and Time integrals of Brownian Motion
by Victor Goodman & Kyounghee Kim - physics/0612016 Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
by Fabrizio Lillo