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Series handle: repec:arx:papers

2009

• 0912.4404 Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
  by Damiano Brigo & Massimo Morini & Marco Tarenghi [Downloadable!]
• 0912.4312 From the decompositions of a stopping time to risk premium decompositions
  by Delia Coculescu [Downloadable!]
• 0912.3771 Tremor price dynamics in the world's network of stock exchanges
  by Jorgen Vitting Andersen & Andrzej Nowak & Giulia & Lael Parrott [Downloadable!]
• 0912.3652 Levy Random Bridges and the Modelling of Financial Information
  by Edward Hoyle & Lane P. Hughston & Andrea Macrina [Downloadable!]
• 0912.3516 Tails of correlation mixtures of elliptical copulas
  by Hans Manner & Johan Segers [Downloadable!]
• 0912.3390 Multifractal dynamics of stock markets
  by Dariusz Grech & Lukasz Czarnecki [Downloadable!]
• 0912.3362 On Asymptotic Power Utility-Based Pricing and Hedging
  by Jan Kallsen & Johannes Muhle-Karbe & Richard Vierthauer [Downloadable!]
• 0912.3132 Multiple defaults and contagion risks
  by Ying Jiao [Downloadable!]
• 0912.3031 Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
  by Damiano Brigo & Marco Tarenghi [Downloadable!]
• 0912.3028 Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
  by Damiano Brigo & Marco Tarenghi [Downloadable!]
• 0912.2816 The Bivariate Normal Copula
  by Christian Meyer [Downloadable!]
• 0912.2595 Exotic derivatives in a dense class of stochastic volatility models with jumps
  by Aleksandar Mijatovi\'c & Martijn Pistorius [Downloadable!]
• 0912.2016 Superfamily classification of nonstationary time series based on DFA scaling exponents
  by Chuang Liu & Wei-Xing Zhou [Downloadable!]
• 0912.1985 Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations
  by Hiroshi Iyetomi & Yasuhiro Nakayama & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma [Downloadable!]
• 0912.1925 The first passage event for sums of dependent L\'evy processes with applications to insurance risk
  by Irmingard Eder & Claudia Kl\"uppelberg [Downloadable!]
• 0912.1885 Power Utility Maximization in Constrained Exponential L\'evy Models
  by Marcel Nutz [Downloadable!]
• 0912.1883 The Bellman Equation for Power Utility Maximization with Semimartingales
  by Marcel Nutz [Downloadable!]
• 0912.1879 The Opportunity Process for Optimal Consumption and Investment with Power Utility
  by Marcel Nutz [Downloadable!]
• 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 [Downloadable!]
• 0912.1617 Homogeneous Volatility Bridge Estimators
  by Alexander Saichev & Didier Sornette & Vladimir Filimonov & Fulvio Corsi [Downloadable!]
• 0912.1534 Evolutionary multi-stage financial scenario tree generation
  by Ronald Hochreiter [Downloadable!]
• 0912.1396 Time consistency and moving horizons for risk measures
  by Samuel N. Cohen & Robert J. Elliott [Downloadable!]
• 0912.1321 Early exercise boundary for American type of floating strike Asian option and its numerical approximation
  by Tomas Bokes & Daniel Sevcovic [Downloadable!]
• 0912.1037 About Some Applications of Kolmogorov Equations to the Simulation of Financial Institutions Activity
  by Mikhail I. Rumyantsev [Downloadable!]
• 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 [Downloadable!]
• 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 [Downloadable!]
• 0912.0372 Variance Optimal Hedging for continuous time processes with independent increments and applications
  by St\'ephane Goutte & Nadia Oudjane & Francesco Russo [Downloadable!]
• 0911.5579 Asymptotic behavior of prices of path dependent options
  by Yuji Hishida & Kenji Yasutomi [Downloadable!]
• 0911.5503 Finitely additive probabilities and the Fundamental Theorem of Asset Pricing
  by Constantinos Kardaras [Downloadable!]
• 0911.5117 Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
  by Benjamin Jourdain & Michel Vellekoop [Downloadable!]
• 0911.5048 Resilience of Volatility
  by Sergey S. Stepanov [Downloadable!]
• 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 [Downloadable!]
• 0911.4801 On the Existence of Shadow Prices in Finite Discrete Time
  by Jan Kallsen & Johannes Muhle-Karbe [Downloadable!]
• 0911.4763 Causal Links Between US Economic Sectors
  by Gladys Hui Ting Lee & Yiting Zhang & Jian Cheng Wong & Manamohan Prusty & Siew Ann Cheong [Downloadable!]
• 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 [Downloadable!]
• 0911.4259 Financial rogue waves
  by Zhenya Yan [Downloadable!]
• 0911.4258 Statistical Regularities of Equity Market Activity
  by Fengzhong Wang & Kazuko Yamasaki & Shlomo Havlin & H. Eugene Stanley [Downloadable!]
• 0911.4207 An information theoretic approach to statistical dependence: copula information
  by Rafael S. Calsaverini & Renato Vicente [Downloadable!]
• 0911.4039 Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities
  by Nathalie Rey [Downloadable!]
• 0911.4030 The StressVaR: A New Risk Concept for Superior Fund Allocation
  by Cyril Coste & Raphael Douady & Ilija I. Zovko [Downloadable!]
• 0911.3802 A Coupled Markov Chain approach to risk analysis of credit default swap index products
  by Ronald Hochreiter & David Wozabal [Downloadable!]
• 0911.3789 On the Existence of Consistent Price Systems
  by Erhan Bayraktar & Hasanjan Sayit [Downloadable!]
• 0911.3608 Utility maximization in models with conditionally independent increments
  by Jan Kallsen & Johannes Muhle-Karbe [Downloadable!]
• 0911.3472 Les G\'en\'erateurs de Sc\'enarios \'Economiques : quelle utilisation en assurance?
  by Alaeddine Faleh & Fr\'ed\'eric Planchet & Didier Rulli\`ere [Downloadable!]
• 0911.3331 Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
  by Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou [Downloadable!]
• 0911.3194 Mutual Fund Theorem for continuous time markets with random coefficients
  by Nikolai Dokuchaev [Downloadable!]
• 0911.3117 Optimal investment with inside information and parameter uncertainty
  by Albina Danilova & Michael Monoyios & Andrew Ng [Downloadable!]
• 0911.3099 Financial crises and the evaporation of trust
  by Kartik Anand & Prasanna Gai & Matteo Marsili [Downloadable!]
• 0911.3045 Sign and amplitude representation of the forex networks
  by Sylwia Gworek & Jaroslaw Kwapien & Stanislaw Drozdz [Downloadable!]
• 0911.3043 Robust utility maximization for diffusion market model with misspecified coefficients
  by R. Tevzadze & T. Toronjadze [Downloadable!]
• 0911.2992 Asymptotic formulae for implied volatility in the Heston model
  by Martin Forde & Antoine Jacquier & Aleksandar Mijatovic [Downloadable!]
• 0911.2834 Coupling Index and Stocks
  by Benjamin Jourdain & Mohamed Sbai [Downloadable!]
• 0911.2229 Bernstein processes, Euclidean Quantum Mechanics and Interest Rate Models
  by Paul Lescot [Downloadable!]
• 0911.1921 Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times
  by Li Lin & Didier Sornette [Downloadable!]
• 0911.1834 Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model
  by Vladimir G. Ivancevic [Downloadable!]
• 0911.1694 Regularizing Portfolio Optimization
  by Susanne Still & Imre Kondor [Downloadable!]
• 0911.1662 A Dynamic Model for Credit Index Derivatives
  by Louis Paulot [Downloadable!]
• 0911.1610 Pricing Fixed-Income Securities in an Information-Based Framework
  by Lane P. Hughston & Andrea Macrina [Downloadable!]
• 0911.1575 Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups
  by Hongzhong Zhang & Olympia Hadjiliadis [Downloadable!]
• 0911.1119 Bonds with volatilities proportional to forward rates
  by Michal Baran & Jerzy Zabczyk [Downloadable!]
• 0911.0928 Empirical asset pricing with nonlinear risk premia
  by Aleksandar Mijatovic & Paul Schneider [Downloadable!]
• 0911.0805 Market Implied Probability Distributions and Bayesian Skew Estimation
  by Ulrich Kirchner [Downloadable!]
• 0911.0750 Discrete-Time Interest Rate Modelling
  by Lane P. Hughston & Andrea Macrina [Downloadable!]
• 0911.0562 A remark on Gatheral's 'most-likely path approximation' of implied volatility
  by Martin Keller-Ressel & Josef Teichmann [Downloadable!]
• 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 [Downloadable!]
• 0911.0373 Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models
  by Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon [Downloadable!]
• 0911.0223 Analytical Framework for Credit Portfolios. Part I: Systematic Risk
  by Mikhail Voropaev [Downloadable!]
• 0911.0113 Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis
  by Ljudmila A. Bordag [Downloadable!]
• 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 [Downloadable!]
• 0910.5655 Dual Quantization for random walks with application to credit derivatives
  by Gilles Pag\`es & Benedikt Wilbertz [Downloadable!]
• 0910.5398 Inf-convolution of G-expectations
  by Xuepeng Bai & Rainer Buckdahn [Downloadable!]
• 0910.5185 Nonparametric methods for volatility density estimation
  by Bert van Es & Peter Spreij & Harry van Zanten [Downloadable!]
• 0910.5101 Optimal partial hedging in a discrete-time market as a knapsack problem
  by Peter G. Lindberg [Downloadable!]
• 0910.5033 A Heat Kernel Approach to Interest Rate Models
  by Jiro Akahori & Yuji Hishida & Josef Teichmann & Takahiro Tsuchiya [Downloadable!]
• 0910.4941 Old and new approaches to LIBOR modeling
  by Antonis Papapantoleon [Downloadable!]
• 0910.4348 Complex Systems: From Nuclear Physics to Financial Markets
  by J. Speth & S. Drozdz & F. Gruemmer [Downloadable!]
• 0910.4257 Obstacle problem for Arithmetic Asian options
  by Laura Monti & Andrea Pascucci [Downloadable!]
• 0910.4177 Exact Simulation of Bessel Diffusions
  by Roman N. Makarov & Devin Glew [Downloadable!]
• 0910.3936 Admissible Strategies in Semimartingale Portfolio Selection
  by Sara Biagini & Ale\v{s} \v{C}ern\'y [Downloadable!]
• 0910.3695 Has the world economy reached its globalization limit?
  by Janusz Miskiewicz & Marcel Ausloos [Downloadable!]
• 0910.3258 Hedging in an equilibrium-based model for a large investor
  by David German [Downloadable!]
• 0910.2909 Compensating asynchrony effects in the calculation of financial correlations
  by Michael C. M\"unnix & Rudi Sch\"afer & Thomas Guhr [Downloadable!]
• 0910.2696 Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
  by Igor Halperin [Downloadable!]
• 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 [Downloadable!]
• 0910.2474 Multifractal analysis and instability index of prior-to-crash market situations
  by M. Piacquadio & F. O. Redelico [Downloadable!]
• 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 [Downloadable!]
• 0910.2367 Risk Concentration and Diversification: Second-Order Properties
  by Matthias Degen & Dominik D. Lambrigger & Johan Segers [Downloadable!]
• 0910.2309 Closed form asymptotics for local volatility models
  by Wen Cheng & Nick Costanzino & John Liechty & Anna Mazzucato & Victor Nistor [Downloadable!]
• 0910.2091 BSDEs with random default time and their applications to default risk
  by Shige Peng & Xiaoming Xu [Downloadable!]
• 0910.1671 Geometric Arbitrage Theory and Market Dynamics
  by Simone Farinelli [Downloadable!]
• 0910.1430 State price density estimation via nonparametric mixtures
  by Ming Yuan [Downloadable!]
• 0910.1394 Statistical mixing and aggregation in Feller diffusion
  by Celia Anteneodo & Silvio M. Duarte Queiros [Downloadable!]
• 0910.1205 Financial Applications of Random Matrix Theory: a short review
  by J. P. Bouchaud & M. Potters [Downloadable!]
• 0910.1166 Optimal split of orders across liquidity pools: a stochastic algorithm approach
  by Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag\`es [Downloadable!]
• 0910.0545 A general "bang-bang" principle for predicting the maximum of a random walk
  by Pieter C. Allaart [Downloadable!]
• 0910.0236 Joint Modelling of Gas and Electricity spot prices
  by Noufel Frikha & Vincent Lemaire [Downloadable!]
• 0910.0137 Affine processes on positive semidefinite matrices
  by Christa Cuchiero & Damir Filipovi\'c & Eberhard Mayerhofer & Josef Teichmann [Downloadable!]
• 0910.0087 Wavelet Based Volatility Clustering Estimation of Foreign Exchange Rates
  by A. N. Sekar Iyengar [Downloadable!]
• 0910.0064 Eroding market stability by proliferation of financial instruments
  by Fabio Caccioli & Matteo Marsili & Pierpaolo Vivo [Downloadable!]
• 0909.5389 A Steady State Solution to a Mortgage Pricing Problem
  by Dejun Xie [Downloadable!]
• 0909.4948 Optimal Stopping for Dynamic Convex Risk Measures
  by Erhan Bayraktar & Ioannis Karatzas & Song Yao [Downloadable!]
• 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 [Downloadable!]
• 0909.4765 Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models
  by Jacek Jakubowski & Maciej Wisniewolski [Downloadable!]
• 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 [Downloadable!]
• 0909.4089 Defaultable bonds with an infinite number of Levy factors
  by Jacek Jakubowski & Mariusz Nieweglowski [Downloadable!]
• 0909.3984 Weighted Trade Network in a Model of Preferential Bipartite Transactions
  by Abhijit Chakraborty & S. S. Manna [Downloadable!]
• 0909.3978 A Generalized Fourier Transform Approach to Risk Measures
  by G. Bormetti & V. Cazzola & G. Livan & G. Montagna & O. Nicrosini [Downloadable!]
• 0909.3891 Stock Market Trading Via Stochastic Network Optimization
  by Michael J. Neely [Downloadable!]
• 0909.3890 The Building Blocks of Economic Complexity
  by Cesar A. Hidalgo & Ricardo Hausmann [Downloadable!]
• 0909.3655 Utility Function and Optimum Consumption in the models with Habit Formation and Catching up with the Joneses
  by Roman Naryshkin & Matt Davison [Downloadable!]
• 0909.3570 On the rates of convergence of simulation based optimization algorithms for optimal stopping problems
  by Denis Belomestny [Downloadable!]
• 0909.3482 Schumpeterian economic dynamics as a quantifiable minimum model of evolution
  by Stefan Thurner & Peter Klimek & Rudolf Hanel [Downloadable!]
• 0909.3441 Introduction into "Local Correlation Modelling"
  by Alex Langnau [Downloadable!]
• 0909.3363 Optimal double stopping time
  by Magdalena Kobylanski & Marie-Claire Quenez & Elisabeth Rouy-Mironescu [Downloadable!]
• 0909.3244 Modeling non-Markovian, nonstationary scaling dynamics
  by Fulvio Baldovin & Dario Bovina & Attilio L. Stella [Downloadable!]
• 0909.3219 Dynamic risk indifference pricing in incomplete markets
  by Xavier De Scheemaekere [Downloadable!]
• 0909.2885 Financial bubbles analysis with a cross-sectional estimator
  by Frederic Abergel & Nicolas Huth & Ioane Muni Toke [Downloadable!]
• 0909.2624 Double Kernel estimation of sensitivities
  by Romuald Elie [Downloadable!]
• 0909.2341 Generalized Integrands and Bond Portfolios: Pitfalls and Counter Examples
  by Erik Taflin [Downloadable!]
• 0909.1974 Econophysics: Empirical facts and agent-based models
  by Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel [Downloadable!]
• 0909.1690 The scale of market quakes
  by T. Bisig & A. Dupuis & V. Impagliazzo & R. B. Olsen [Downloadable!]
• 0909.1490 Disentangling collective trends from local dynamics
  by Marc Barthelemy & Jean-Pierre Nadal & Henri Berestycki [Downloadable!]
• 0909.1478 Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme
  by Tetsuya Takaishi [Downloadable!]
• 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 [Downloadable!]
• 0909.1142 Optimal intervention in the foreign exchange market when interventions affect market dynamics
  by Alec N. Kercheval & Juan F. Moreno [Downloadable!]
• 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 [Downloadable!]
• 0909.0418 World stock market: more sizeable trend reversal likely in February/March 2010
  by Stanislaw Drozdz & Pawel Oswiecimka [Downloadable!]
• 0909.0123 Recurrence interval analysis of high-frequency financial returns and its application to risk estimation
  by Fei Ren & Wei-Xing Zhou [Downloadable!]
• 0909.0065 Hybrid Atlas Models
  by Tomoyuki Ichiba & Vassilios Papathanakos & Adrian Banner & Ioannis Karatzas & Robert Fernholz [Downloadable!]
• 0908.4580 A Computational View of Market Efficiency
  by Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola [Downloadable!]
• 0908.4538 Optimal reinsurance/investment problems for general insurance models
  by Yuping Liu & Jin Ma [Downloadable!]
• 0908.4299 Correlation breakdown, copula credit default models and arbitrage
  by Rodanthy Tzani & Alexios P. Polychronakos [Downloadable!]
• 0908.4028 Continuously monitored barrier options under Markov processes
  by Aleksandar Mijatovic & Martijn Pistorius [Downloadable!]
• 0908.3196 A policyholder's utility indifference valuation model for the guaranteed annuity option
  by Matheus R Grasselli & Sebastiano Silla [Downloadable!]
• 0908.3043 Gauge Invariance, Geometry and Arbitrage
  by Samuel E. Vazquez & Simone Farinelli [Downloadable!]
• 0908.2982 Bayesian inference with an adaptive proposal density for GARCH models
  by Tetsuya Takaishi [Downloadable!]
• 0908.2455 Second Order Risk
  by Peter G. Shepard [Downloadable!]
• 0908.2086 The International-Trade Network: Gravity Equations and Topological Properties
  by Giorgio Fagiolo [Downloadable!]
• 0908.1926 High order discretization schemes for stochastic volatility models
  by Benjamin Jourdain & Mohamed Sbai [Downloadable!]
• 0908.1879 The Multi-Network of International Trade: A Commodity-Specific Analysis
  by Matteo Barigozzi & Giorgio Fagiolo & Diego Garlaschelli [Downloadable!]
• 0908.1677 Most Efficient Homogeneous Volatility Estimators
  by A. Saichev & D. Sornette & V. Filimonov [Downloadable!]
• 0908.1555 Leverage Causes Fat Tails and Clustered Volatility
  by Stefan Thurner & J. Doyne Farmer & John Geanakoplos [Downloadable!]
• 0908.1444 Portfolio Optimization Under Uncertainty
  by Alex Dannenberg [Downloadable!]
• 0908.1211 Optimal execution of Portfolio transactions with geometric price process
  by Gerardo Hernandez-del-Valle & Carlos Pacheco-Gonzalez [Downloadable!]
• 0908.1089 The components of empirical multifractality in financial returns
  by Wei-Xing Zhou [Downloadable!]
• 0908.1086 On the uniqueness of classical solutions of Cauchy problems
  by Erhan Bayraktar & Hao Xing [Downloadable!]
• 0908.1082 Strict Local Martingale Deflators and Pricing American Call-Type Options
  by Erhan Bayraktar & Constantinos Kardaras & Hao Xing [Downloadable!]
• 0908.1014 Selling a stock at the ultimate maximum
  by Jacques du Toit & Goran Peskir [Downloadable!]
• 0908.0949 A queueing theory description of cascades in financial markets and fat-tailed price returns
  by H. Lamba [Downloadable!]
• 0908.0840 Robust mean-variance hedging in the single period model
  by R. Tevzadze & T. Uzunashvili [Downloadable!]
• 0908.0682 Global risk minimization in financial markets
  by Andreas Martin Lisewski [Downloadable!]
• 0908.0348 The Structure and Growth of Weighted Networks
  by Massimo Riccaboni & Stefano Schiavo [Downloadable!]
• 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 [Downloadable!]
• 0908.0111 Statistical Signatures in Times of Panic: Markets as a Self-Organizing System
  by Lisa Borland [Downloadable!]
• 0907.5600 Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions
  by Anca Gheorghiu & Ion Spanulescu [Downloadable!]
• 0907.5599 Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
  by Denis Belomestny [Downloadable!]
• 0907.5363 Dynamical complexity and symplectic integrability
  by Jean-Pierre Marco [Downloadable!]
• 0907.5325 Systemic Risk in a Unifying Framework for Cascading Processes on Networks
  by Jan Lorenz & Stefano Battiston & Frank Schweitzer [Downloadable!]
• 0907.5276 Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme
  by Tetsuya Takaishi [Downloadable!]
• 0907.4964 A note on heterogeneous beliefs with CRRA utilities
  by A. A. Brown [Downloadable!]
• 0907.4953 Heterogeneous Beliefs with Finite-Lived Agents
  by A. A. Brown & L. C. G. Rogers [Downloadable!]
• 0907.4950 Heterogeneous Beliefs with Partial Observations
  by A. A. Brown [Downloadable!]
• 0907.4136 Binomial Approximations for Barrier Options of Israeli Style
  by Yan Dolinsky & Yuri Kifer [Downloadable!]
• 0907.4093 Preferences Yielding the "Precautionary Effect"
  by Michel De Lara [Downloadable!]
• 0907.3301 A stochastic reachability approach to portfolio construction in finance industry
  by Giordano Pola & Gianni Pola [Downloadable!]
• 0907.3284 Modified detrended fluctuation analysis based on empirical mode decomposition
  by Xi-Yuan Qian & Wei-Xing Zhou & Gao-Feng Gu [Downloadable!]
• 0907.3282 Optimal Execution Problem with Market Impact
  by Takashi Kato [Downloadable!]
• 0907.3273 New procedures for testing whether stock price processes are martingales
  by Kei Takeuchi & Akimichi Takemura & Masayuki Kumon [Downloadable!]
• 0907.3231 Phenomenology of minority games in efficient regime
  by Karol Wawrzyniak & Wojciech Wislicki [Downloadable!]
• 0907.3092 Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
  by Nicola Cufaro Petroni & Piergiacomo Sabino [Downloadable!]
• 0907.2926 Solvable Nonlinear Volatility Diffusion Models with Affine Drift
  by Giuseppe Campolieti & Roman N. Makarov [Downloadable!]
• 0907.2866 Quantitative features of multifractal subtleties in time series
  by Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka & Rafal Rak [Downloadable!]
• 0907.2541 Perfect and partial hedging for swing game options in discrete time
  by Y. Dolinsky & Y. Iron & Y. Kifer [Downloadable!]
• 0907.2531 A quantum statistical approach to simplified stock markets
  by Fabio Bagarello [Downloadable!]
• 0907.2203 Optimal investment on finite horizon with random discrete order flow in illiquid markets
  by Paul Gassiat & Huyen Pham & Mihai Sirbu [Downloadable!]
• 0907.1853 Housing Market Microstructure
  by Hazer Inaltekin & Robert Jarrow & Mehmet Saglam & Yildiray Yildirim [Downloadable!]
• 0907.1827 The Chinese Equity Bubble: Ready to Burst
  by K. Bastiaensen & P. Cauwels & D. Sornette & R. Woodard & W. -X. Zhou [Downloadable!]
• 0907.1221 Credit Risk Premia and Quadratic Bsdes with a Single Jump
  by Stefan Ankirchner & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel [Downloadable!]
• 0907.0645 An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
  by Giorgia Callegaro & Abass Sagna [Downloadable!]
• 0907.0554 Temporal structure and gain/loss asymmetry for real and artificial stock indices
  by Johannes Vitalis Siven & Jeffrey Todd Lins [Downloadable!]
• 0906.5581 Strong Taylor approximation of Stochastic Differential Equations and application to the L\'evy LIBOR model
  by Antonis Papapantoleon & Maria Siopacha [Downloadable!]
• 0906.5489 Improved and Developed Upper Bound of Price of Anarchy in Two Echelon Case
  by T. Shinzato & I. Kaku [Downloadable!]
• 0906.5249 Universal Correlations and Power-Law Tails in Financial Covariance Matrices
  by Gernot Akemann & Jonit Fischmann & Pierpaolo Vivo [Downloadable!]
• 0906.4853 Shaping tail dependencies by nesting box copulas
  by Christoph Hummel [Downloadable!]
• 0906.4838 Forecasting Model for Crude Oil Price Using Artificial Neural Networks and Commodity Futures Prices
  by Siddhivinayak Kulkarni & Imad Haidar [Downloadable!]
• 0906.4456 Path integral approach to Asian options in the Black-Scholes model
  by J. A. Devreese & D. Lemmens & J. Tempere [Downloadable!]
• 0906.4112 Gravity Dual for Reggeon Field Theory and Non-linear Quantum Finance
  by Yu Nakayama [Downloadable!]
• 0906.4092 Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
  by Daniel T. Cassidy & Michael J. Hamp & Rachid Ouyed [Downloadable!]
• 0906.3968 A Bayesian Networks Approach to Operational Risk
  by V. Aquaro & M. Bardoscia & R. Bellotti & A. Consiglio & F. De Carlo & G. Ferri [Downloadable!]
• 0906.3841 On the Origin of Non-Gaussian Intraday Stock Returns
  by Austin Gerig & Javier Vicente & Miguel A. Fuentes [Downloadable!]
• 0906.3425 Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
  by Laetitia Andrieu & Michel De Lara & Babacar Seck [Downloadable!]
• 0906.2271 Portfolio optimization when expected stock returns are determined by exposure to risk
  by Carl Lindberg [Downloadable!]
• 0906.2100 De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process
  by Irmina Czarna & Zbigniew Palmowski [Downloadable!]
• 0906.1899 Money Distributions in Chaotic Economies
  by Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz [Downloadable!]
• 0906.1512 Economic interactions and the distribution of wealth
  by Davide Fiaschi & Matteo Marsili [Downloadable!]
• 0906.1462 Spiraling toward market completeness and financial instability
  by Matteo Marsili [Downloadable!]
• 0906.1444 High frequency market microstructure noise estimates and liquidity measures
  by Yacine A\"it-Sahalia & Jialin Yu [Downloadable!]
• 0906.1387 The asymmetric statistics of order books: The role of discreteness and non-uniform limit order deposition
  by A. Zaccaria & M. Cristelli & V. Alfi & F. Ciulla & L. Pietronero [Downloadable!]
• 0906.0999 The premium of dynamic trading
  by Chun Hung Chiu & Xun Yu Zhou [Downloadable!]
• 0906.0702 Optimal Redeeming Strategy of Stock Loans
  by Min Dai & Zuo Quan Xu [Downloadable!]

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This page was last updated on 2009-12-23.