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arXiv.org Quantitative Finance Papers Contact information of
arXiv.org: http://arxiv.org/
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(arXiv administrators) Series handle: repec:arx:papers
More pages of listings: 0 |1 |2 |3 |4 |5 |6 |7 |8 |9 |10 2009
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 & Maxim Fedorovsky & Stefan Reimann & Hilary Woodard & Ryan 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!]
0906.1899 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!]
0906.0678 Continuous-Time Markowitz's Model with Transaction Costs by Min Dai & Zuo Quan Xu & Xun Yu Zhou [Downloadable!]
0906.0658 Asymptotic Implied Volatility at the Second Order with Application to the SABR Model by Louis Paulot [Downloadable!]
0906.0480 Analysis of a network structure of the foreign currency exchange market by Jaroslaw Kwapien & Sylwia Gworek & Stanislaw Drozdz & Andrzej Gorski [Downloadable!]
0906.0394 Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes by A. Gulisashvili [Downloadable!]
0906.0392 Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models by A. Gulisashvili & E. M. Stein [Downloadable!]
0906.0208 Stochastic equilibria and stability in a class of incomplete continuous-time financial environments by Gordan Zitkovic [Downloadable!]
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 [Downloadable!]
0905.4815 Trading leads to scale-free self-organization by M. Ebert & W. Paul [Downloadable!]
0905.4793 Class formation in a social network with asset exchange by Christian H. Sanabria & R. Huerta-Quintanilla & M. Rodriguez-Achach [Downloadable!]
0905.4740 Jump-Diffusion Risk-Sensitive Asset Management by Mark H. A. Davis & Sebastien Lleo [Downloadable!]
0905.4657 Indifference price with general semimartingales by Sara Biagini & Marco Frittelli & Matheus R. Grasselli [Downloadable!]
0905.4450 Stock Market and Motion of a Variable Mass Spring by Enrique Canessa [Downloadable!]
0905.4272 Complementarity between private and public investment in R&D: A Dynamic Panel Data analysis by Sadraoui Tarek & Naceur Ben Zina [Downloadable!]
0905.4237 Statistical Properties of Fluctuations: A Method to Check Market Behavior by Prasanta K. Panigrahi & Sayantan Ghosh & P. Manimaran & Dilip P. Ahalpara [Downloadable!]
0905.4171 A Prediction Market for Toxic Assets Prices by Alan Holland [Downloadable!]
0905.3928 Estimating discriminatory power and PD curves when the number of defaults is small by Dirk Tasche [Downloadable!]
0905.3891 La prime de risque dans un cadre international : le risque de change est-il appr\'eci\'e ? by Mohamed El Hedi Arouri [Downloadable!]
0905.3875 Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects by Mohamed El Hedi Arouri [Downloadable!]
0905.3874 Stock market integration in the Latin American markets: further evidence from nonlinear modeling by Fredj Jawadi & Nicolas Million & Mohamed El Hedi Arouri [Downloadable!]
0905.3873 Structural Breaks in the Mexico's Integration into the World Stock Market by Mohamed El Hedi Arouri & Jamel Jouini [Downloadable!]
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 [Downloadable!]
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 [Downloadable!]
0905.3808 Simulation and Use of Heuristics for Peripheral Economic Policy by Mattheos K. Protopapas & Elias B. Kosmatopoulos [Downloadable!]
0905.3803 Income and Poverty in a Developing Economy by Amit K Chattopadhyay & Graeme J Ackland & Sushanta K Mallick [Downloadable!]
0905.3326 Volatility derivatives in market models with jumps by A. Mijatovic & H. Lo [Downloadable!]
0905.2926 One-Dimensional Pricing of CPPI by Louis Paulot & Xavier Lacroze [Downloadable!]
0905.2770 Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves by Marco Bianchetti [Downloadable!]
0905.2546 Presentation Du Nouvel Accord De Bale Sur Les Fonds Propres by Hamza Fekir [Downloadable!]
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 [Downloadable!]
0905.2091 Spectral methods for volatility derivatives by Claudio Albanese & Harry Lo & Aleksandar Mijatovi\'c [Downloadable!]
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 [Downloadable!]
0905.1882 Option Pricing Under Ornstein-Uhlenbeck Stochastic Volatility by Giacomo Bormetti & Valentina Cazzola & Danilo Delpini [Downloadable!]
0905.1518 Colloquium: Statistical Mechanics of Money, Wealth, and Income by Victor M. Yakovenko & J. Barkley Rosser [Downloadable!]
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This page was last updated on 2009-11-26.
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