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Content
2010
- 1012.1188 Equilibrium notions and framing effects
by Christian Hilbe
- 1012.1037 Pricing of barrier options by marginal functional quantization
by Abass Sagna
- 1012.0843 The economic default time and the Arcsine law
by Xin Guo & Robert A Jarrow & Adrien de Larrard
- 1012.0754 Pricing and Hedging in Affine Models with Possibility of Default
by Patrick Cheridito & Alexander Wugalter
- 1012.0475 The Impossible Trio in CDO Modeling
by Emmanuel Schertzer & Yadong Li & Umer Khan
- 1012.0349 Limit Order Books
by Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison
- 1012.0348 A unified approach to determining the early exercise boundary position at expiry for American style of general class of derivatives
by Tomas Bokes
- 1012.0249 Robust Estimation of Operational Risk
by Nataliya Horbenko & Peter Ruckdeschel & Taehan Bae
- 1012.0199 Zipf's law and maximum sustainable growth
by Y. Malevergne & A. Saichev & D. Sornette
- 1011.6532 Stability of central finite difference schemes for the Heston PDE
by K. J. in 't Hout & K. Volders
- 1011.6402 The Price Impact of Order Book Events
by Rama Cont & Arseniy Kukanov & Sasha Stoikov
- 1011.6284 Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?
by Stefan Kerbl
- 1011.6097 Currency Forecasting using Multiple Kernel Learning with Financially Motivated Features
by Tristan Fletcher & Zakria Hussain & John Shawe-Taylor
- 1011.5986 Set-valued risk measures for conical market models
by Andreas H. Hamel & Frank Heyde & Birgit Rudloff
- 1011.5983 Minimal model of financial stylized facts
by Danilo Delpini & Giacomo Bormetti
- 1011.5978 Comprehending environmental and economic sustainability: Comparative analysis of stability principles in the biosphere and free market economy
by Victor G. Gorshkov & Anastassia M. Makarieva & Bai-Lian Li
- 1011.5810 Principal Regression Analysis and the index leverage effect
by Pierre-Alain Reigneron & Romain Allez & Jean-Philippe Bouchaud
- 1011.5792 On fair pricing of emission-related derivatives
by Juri Hinz & Alex Novikov
- 1011.5716 Costs Models in Design and Manufacturing of Sand Casting Products
by Nicolas Perry & Magali Mauchand & Alain Bernard
- 1011.5715 Quotation for the Value Added Assessment during Product Development and Production Processes
by Alain Bernard & Nicolas Perry & Jean-Charles Delplace & Serge Gabriel
- 1011.5714 Cost objective PLM and CE
by Nicolas Perry & Alain Bernard
- 1011.5650 A Numerical Study of Radial Basis Function Based Methods for Options Pricing under the One Dimension Jump-diffusion Model
by Ron T. L. Chan & Simon Hubbert
- 1011.5343 Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration
by Wanfeng Yan & Ryan Woodard & Didier Sornette
- 1011.5187 Transition from Exponential to Power Law Distributions in a Chaotic Market
by Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz
- 1011.5020 Wavelet-Based Prediction for Governance, Diversification and Value Creation Variables
by Ines Kahloul & Anouar Ben Mabrouk & Slah-Eddine Hallara
- 1011.4991 Optimal mean-variance investment strategy under value-at-risk constraints
by Jun Ye & Tiantian Li
- 1011.4830 The Hartman-Watson Distribution revisited: Asymptotics for Pricing Asian Options
by Stefan Gerhold
- 1011.4795 Static replications with traffic light options
by Michael Schmutz & Thomas Zurcher
- 1011.4732 Solving Optimal Dividend Problems via Phase-type Fitting Approximation of Scale Functions
by Masahiko Egami & Kazutoshi Yamazaki
- 1011.4547 Calibration of One- and Two-Factor Models For Valuation of Energy Multi-Asset Derivative Contracts
by Josh Gray & Konstantin Palamarchuk
- 1011.4499 A Functional Approach to FBSDEs and Its Application in Optimal Portfolios
by G. Liang & T. Lyons & Z. Qian
- 1011.4404 The time resolution of the St. Petersburg paradox
by Ole Peters
- 1011.4336 Impact of the topology of global macroeconomic network on the spreading of economic crises
by Kyu-Min Lee & Jae-Suk Yang & Gunn Kim & Jaesung Lee & Kwang-Il Goh & In-mook Kim
- 1011.3975 Cumulant Expansion and Monthly Sum Derivative
by V. M. Belyaev
- 1011.3834 Ising-like agent-based technology diffusion model: adoption patterns vs. seeding strategies
by Carlos E. Laciana & Santiago L. Rovere
- 1011.3736 Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach
by Sam Howison & Daniel Schwarz
- 1011.3707 Networks of Economic Market Interdependence and Systemic Risk
by Dion Harmon & Blake Stacey & Yavni Bar-Yam & Yaneer Bar-Yam
- 1011.3685 Multidimensional dynamic risk measure via conditional g-expectation
by Yuhong Xu
- 1011.3599 A finite dimensional approximation for pricing moving average options
by Marie Bernhart & Peter Tankov & Xavier Warin
- 1011.3355 Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions
by Damiano Brigo & Massimo Morini
- 1011.3247 A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing
by Chantal Labb'e & Bruno R'emillard & Jean-Franc{c}ois Renaud
- 1011.3246 Reduced form models of bond portfolios
by Matti Koivu & Teemu Pennanen
- 1011.3225 Temporal Evolution of Financial Market Correlations
by Daniel J. Fenn & Mason A. Porter & Stacy Williams & Mark McDonald & Neil F. Johnson & Nick S. Jones
- 1011.2958 Superhedging and Dynamic Risk Measures under Volatility Uncertainty
by Marcel Nutz & H. Mete Soner
- 1011.2882 The Financial Bubble Experiment: Advanced Diagnostics and Forecasts of Bubble Terminations, Volume III
by Ryan Woodard & Didier Sornette & Maxim Fedorovsky
- 1011.2827 Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor
by Xiaolin Luo & Pavel V. Shevchenko
- 1011.2674 Cross-correlations between volume change and price change
by Boris Podobnik & Davor Horvatic & Alexander M. Petersen & H. Eugene Stanley
- 1011.2670 Bankruptcy risk model and empirical tests
by Boris Podobnik & Davor Horvatic & Alexander M. Petersen & Branko Urov{s}evi'c & H. Eugene Stanley
- 1011.2651 A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations
by Philipp Doersek & Josef Teichmann
- 1011.2385 The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect
by Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka & Rafal Rak
- 1011.1796 Using The Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default
by Fabio Sigrist & Werner A. Stahel
- 1011.1475 Applications of the quadratic covariation differentiation theory: variants of the Clark-Ocone and Stroock's formulas
by Hassan Allouba & Ramiro Fontes
- 1011.1329 Ruin probability in the presence of risky investments
by Serguei Pergamenchtchikov & Zeitouny Omar
- 1011.1234 Storage option an Analytic approach
by Dmitry Lesnik
- 1011.1175 Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
by L. Z. J. Liang & D. Lemmens & J. Tempere
- 1011.1011 Financial correlations at ultra-high frequency: theoretical models and empirical estimation
by Iacopo Mastromatteo & Matteo Marsili & Patrick Zoi
- 1011.0828 Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics
by Nicola Moreni & Andrea Pallavicini
- 1011.0748 Response of double-auction markets to instantaneous Selling-Buying signals with stochastic Bid-Ask spread
by Takero Ibuki & Jun-ichi Inoue
- 1011.0458 Leverage Bubble
by Wanfeng Yan & Ryan Woodard & Didier Sornette
- 1011.0423 A note comprising a negative resolution of the Efficient Market Hypothesis
by Robert Viragh
- 1011.0248 Hedging Pure Endowments with Mortality Derivatives
by Ting Wang & Virginia R. Young
- 1010.6050 Entering New Markets-a Challenge in Times of Crisis
by Anca Gheorghiu & Anda Gheorghiu
- 1010.6026 Statistical properties of derivatives: a journey in term structures
by Delphine Lautier & Franck Raynaud
- 1010.5810 Quantile hedging for basket derivatives
by Micha{l} Barski
- 1010.5808 Heath-Jarrow-Morton-Musiela equation with linear volatility
by Michal Barski & Jerzy Zabczyk
- 1010.5653 Topology of the correlation networks among major currencies using hierarchical structure methods
by Mustafa Keskin & Bayram Deviren & Yusuf Kocakaplan
- 1010.5648 The additive property of the inconsistency degree in intertemporal decision making through the generalization of psychophysical laws
by Natalia Destefano & Alexandre Souto Martinez
- 1010.5203 Time-Changed Fast Mean-Reverting Stochastic Volatility Models
by Matthew Lorig
- 1010.5171 Ordering of multivariate probability distributions with respect to extreme portfolio losses
by Georg Mainik & Ludger Ruschendorf
- 1010.5154 How to predict and avert economic crisis
by Yong Tao
- 1010.5136 A Mathematical Approach to Order Book Modeling
by Frederic Abergel & Aymen Jedidi
- 1010.4990 Do price and volatility jump together?
by Jean Jacod & Viktor Todorov
- 1010.4989 On using shadow prices in portfolio optimization with transaction costs
by J. Kallsen & J. Muhle-Karbe
- 1010.4988 Optimal investment policy and dividend payment strategy in an insurance company
by Pablo Azcue & Nora Muler
- 1010.4987 On optimal arbitrage
by Daniel Fernholz & Ioannis Karatzas
- 1010.4917 Market panic on different time-scales
by Lisa Borland & Yoan Hassid
- 1010.4831 Replicating financial market dynamics with a simple self-organized critical lattice model
by B. Dupoyet & H. R. Fiebig & D. P. Musgrove
- 1010.4406 Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses?
by Gareth W. Peters & Aaron D. Byrnes & Pavel V. Shevchenko
- 1010.4384 Conditional Density Models for Asset Pricing
by Damir Filipovi'c & Lane P. Hughston & Andrea Macrina
- 1010.4345 Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain
by Alexandre Belloni & Daniel Chen & Victor Chernozhukov & Christian Hansen
- 1010.4339 Dynamic Coherent Acceptability Indices and their Applications to Finance
by Tomasz R. Bielecki & Igor Cialenco & Zhao Zhang
- 1010.4322 On the Stability of Utility Maximization Problems
by Erhan Bayraktar & Ross Kravitz
- 1010.4226 The nature of price returns during periods of high market activity
by Khalil al Dayri & Emmanuel Bacry & Jean-Francois Muzy
- 1010.4055 Constrained NonSmooth Utility Maximization on the Positive Real Line
by Nicholas Westray & Harry Zheng
- 1010.4053 A la Carte of Correlation Models: Which One to Choose?
by Harry Zheng
- 1010.3820 Morse Potential, Contour Integrals, and Asian Options
by Peng Zhang
- 1010.3401 Fifteen Years of Econophysics Research
by Bikas K. Chakrabarti & Anirban Chakraborti
- 1010.3225 Socio-economic utility and chemical potential
by R'emi Lemoy & Eric Bertin & Pablo Jensen
- 1010.2981 Hermitian and non-Hermitian covariance estimators for multivariate Gaussian and non-Gaussian assets from random matrix theory
by Andrzej Jarosz
- 1010.2865 Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
by Rudra P. Jena & Kyoung-Kuk Kim & Hao Xing
- 1010.2576 On detecting the dependence of time series
by Nikolai Dokuchaev
- 1010.2184 Do your volatility smiles take care of extreme events?
by L. Spadafora & G. P. Berman & F. Borgonovi
- 1010.2110 Stock loans in incomplete markets
by Matheus R. Grasselli & Cesar G. Velez
- 1010.2061 Brownian markets
by R. Tsekov
- 1010.2048 Statistical Properties of Cross-Correlation in the Korean Stock Market
by Gabjin Oh & Cheoljun Eom & Fengzhong Wang & Woo-Sung Jung & H. Eugene Stanley & Seunghwan Kim
- 1010.1994 The Gompertz-Pareto Income Distribution
by F. Chami Figueira & N. J. Moura Jr & Marcelo B. Ribeiro
- 1010.1961 A time before which insiders would not undertake risk
by Constantinos Kardaras
- 1010.1689 An Efficient, Distributable, Risk Neutral Framework for CVA Calculation
by Dongsheng Lu & Frank Juan
- 1010.1617 FX Smile in the Heston Model
by Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup
- 1010.1413 Competitive market for multiple firms and economic crisis
by Yong Tao
- 1010.1372 Sequential Monte Carlo pricing of American-style options under stochastic volatility models
by Bhojnarine R. Rambharat & Anthony E. Brockwell
- 1010.1212 On Calibrating Stochastic Volatility Models with time-dependent Parameters
by Wolfgang Putschoegl
- 1010.0854 On low-sampling-rate Kramers-Moyal coefficients
by C. Anteneodo & S. M. Duarte Queiros
- 1010.0829 Information-based models for finance and insurance
by Edward Hoyle
- 1010.0627 Asymptotics and Duality for the Davis and Norman Problem
by Stefan Gerhold & Johannes Muhle-Karbe & Walter Schachermayer
- 1010.0410 Structure and Response in the World Trade Network
by Jiankui He & Michael W. Deem
- 1010.0208 Equilibrium distributions and relaxation times in gas-like economic models: an analytical derivation
by Xavier Calbet & Jose-Luis Lopez & Ricardo Lopez-Ruiz
- 1010.0090 Holder-extendible European option: corrections and extensions
by Pavel V. Shevchenko
- 1010.0080 Optimal consumption and investment in incomplete markets with general constraints
by Patrick Cheridito & Ying Hu
- 1010.0027 How sensitive are equilibrium pricing models to real-world distortions?
by Harbir Lamba
- 1009.6157 Statistical causes for the Epps effect in microstructure noise
by Michael C. Munnix & Rudi Schafer & Thomas Guhr
- 1009.5973 On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
by Daniel Sevcovic
- 1009.5830 Self-organized criticality in a network of economic agents with finite consumption
by Jo~ao P. da Cruz & Pedro G. Lind
- 1009.5806 Density quantization method in the optimal portfolio choice with partial observation of stochastic volatility
by Grzegorz Ha{l}aj
- 1009.5800 Will the US Economy Recover in 2010? A Minimal Spanning Tree Study
by Yiting Zhang & Gladys Hui Ting Lee & Jian Cheng Wong & Jun Liang Kok & Manamohan Prusty & Siew Ann Cheong
- 1009.5499 Kinetic models for socio-economic dynamics of speculative markets
by D. Maldarella & L. Pareschi
- 1009.5495 American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations
by Yu. A. Kuperin & P. A. Poloskov
- 1009.5401 Capital allocation for credit portfolios under normal and stressed market conditions
by Norbert Jobst & Dirk Tasche
- 1009.5129 A certain estimate of volatility through return for stochastic volatility models
by Mikhail Martynov & Olga Rozanova
- 1009.5075 Adaptive Expectations, Confirmatory Bias, and Informational Efficiency
by Gani Aldashev & Timoteo Carletti & Simone Righi
- 1009.4886 Error bounds for small jumps of L\'evy processes
by El Hadj Aly Dia
- 1009.4884 Connecting discrete and continuous lookback or hindsight options in exponential L\'evy models
by El Hadj Aly Dia & Damien Lamberton
- 1009.4843 A quantum model for the stock market
by Chao Zhang & Lu Huang
- 1009.4835 Financial LPPL Bubbles with Mean-Reverting Noise in the Frequency Domain
by Vincenzo Liberatore
- 1009.4818 Semi-Closed Form Cubature and Applications to Financial Diffusion Models
by Christian Bayer & Peter Friz & Ronnie Loeffen
- 1009.4785 Individual and collective stock dynamics: intra-day seasonalities
by Romain Allez & Jean-Philippe Bouchaud
- 1009.4683 Efficient Computation of Optimal Trading Strategies
by Victor Boyarshinov & Malik Magdon-Ismail
- 1009.4587 Analytical and Numerical Approaches to Pricing the Path-Dependent Options with Stochastic Volatility
by Yu. A. Kuperin & P. A. Poloskov
- 1009.4489 Complex Networks and Symmetry II: Reciprocity and Evolution of World Trade
by Franco Ruzzenenti & Diego Garlaschelli & Riccardo Basosi
- 1009.4211 Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with L\'evy jumps
by J. E. Figueroa-L'opez & R. Gong & C. Houdr'e
- 1009.4146 A three dimensional stochastic Model for Claim Reserving
by Magda Schiegl
- 1009.4143 On the Savety Loading for Chain Ladder Estimates: A Monte Carlo Simulation Study
by Magda Schiegl
- 1009.4142 About the Justification of Experience Rating: Bonus Malus System and a new Poisson Mixture Model
by Magda Schiegl
- 1009.3810 Asset pricing with random information flow
by Dorje C. Brody & Yan Tai Law
- 1009.3760 Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
by Damiano Brigo & Claudio Nordio
- 1009.3753 Transaction fees and optimal rebalancing in the growth-optimal portfolio
by Yu Feng & Matus Medo & Liang Zhang & Yi-Cheng Zhang
- 1009.3638 Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations
by Nikolaus Rab & Richard Warnung
- 1009.3556 Perpetual Cancellable American Call Option
by Thomas J. Emmerling
- 1009.3550 Exponential wealth distribution in different discrete economic models
by Ricardo Lopez-Ruiz
- 1009.3479 Incomplete Continuous-time Securities Markets with Stochastic Income Volatility
by Peter Ove Christensen & Kasper Larsen
- 1009.3361 Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades
by Chris Kenyon
- 1009.3247 Optimal control of risk process in a regime-switching environment
by Chao Zhu
- 1009.2973 On a free boundary problem for an American put option under the CEV process
by Miao Xu & Charles Knessl
- 1009.2928 The endogenous dynamics of markets: price impact and feedback loops
by Jean-Philippe Bouchaud
- 1009.2896 On the nature of financial leverage
by Yaroslav Ivanenko
- 1009.2782 Small-time asymptotics for fast mean-reverting stochastic volatility models
by Jin Feng & Jean-Pierre Fouque & Rohini Kumar
- 1009.2743 Mesoscopic modelling of financial markets
by S. Cordier & L. Pareschi & C. Piatecki
- 1009.2721 Convergence of Income Growth Rates in Evolutionary Agent-Based Economics
by Volker Nannen
- 1009.2696 A contribution to the systematics of stochastic volatility models
by Frantisek Slanina
- 1009.2631 Google matrix of business process management
by M. Abel & D. L. Shepelyansky
- 1009.2329 Tick size and price diffusion
by Gabriele La Spada & J. Doyne Farmer & Fabrizio Lillo
- 1009.2168 Random G-expectations
by Marcel Nutz
- 1009.1446 Comparing Prediction Market Structures, With an Application to Market Making
by Aseem Brahma & Sanmay Das & Malik Magdon-Ismail
- 1009.1269 Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk
by Zongxia Liang & Lin He & Jiaoling Wu
- 1009.1105 Coherent Patterns in Nuclei and in Financial Markets
by S. Drozdz & J. Kwapien & J. Speth
- 1009.1100 The joint distribution of stock returns is not elliptical
by R'emy Chicheportiche & Jean-Philippe Bouchaud
- 1009.0972 Are large complex economic systems unstable ?
by Sitabhra Sinha
- 1009.0932 On the Multi-Dimensional Controller and Stopper Games
by Erhan Bayraktar & Yu-Jui Huang
- 1009.0769 Chaos and Unraveling in Matching Markets
by Songzi Du & Yair Livne
- 1009.0635 Numerical methods for optimal insurance demand under marked point processes shocks
by Mohamed Mnif
- 1009.0299 A simple model for asset price bubble formation and collapse
by Alexander Kiselev & Lenya Ryzhik
- 1008.5373 Penalty Decomposition Methods for Rank Minimization
by Zhaosong Lu & Yong Zhang
- 1008.5058 Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach
by Mohamed Mnif
- 1008.5055 Normalization for Implied Volatility
by Masaaki Fukasawa
- 1008.4841 Path Integral and Asian Options
by Peng Zhang
- 1008.4611 Large systems of diffusions interacting through their ranks
by Mykhaylo Shkolnikov
- 1008.3880 Analysis of the sensitivity to discrete dividends : A new approach for pricing vanillas
by Arnaud Gocsei & Fouad Sahel
- 1008.3840 Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game
by Yu. A. Kuperin & M. M. Morozova
- 1008.3746 Belief Propagation Algorithm for Portfolio Optimization Problems
by Takashi Shinzato & Muneki Yasuda
- 1008.3722 BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences
by {L}ukasz Delong
- 1008.3718 Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios
by William T. Shaw
- 1008.3650 Optimal Timing to Purchase Options
by Tim Leung & Michael Ludkovski
- 1008.3427 Log-supermodularity of weight functions and the loading monotonicity of weighted insurance premiums
by Hristo S. Sendov & Ying Wang & Ricardas Zitikis
- 1008.3276 No-arbitrage of second kind in countable markets with proportional transaction costs
by Bruno Bouchard & Erik Taflin
- 1008.2663 Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
by Ljudmila A. Bordag & Anna Mikaelyan
- 1008.2421 Maximum penalized quasi-likelihood estimation of the diffusion function
by Jeff Hamrick & Yifei Huang & Constantinos Kardaras & Murad Taqqu
- 1008.2292 Sibuya copulas
by Marius Hofert & Frederic Vrins
- 1008.2226 Non-existence of Markovian time dynamics for graphical models of correlated default
by Steven N. Evans & Alexandru Hening
- 1008.2179 Statistical mechanics of money, debt, and energy consumption
by Victor M. Yakovenko
- 1008.2104 Moment Explosion in the LIBOR Market Model
by Stefan Gerhold
- 1008.1960 Is an historical economic crisis upcoming?
by Caglar Tuncay
- 1008.1846 An algorithmic information-theoretic approach to the behaviour of financial markets
by Hector Zenil & Jean-Paul Delahaye
- 1008.1108 Calculation of aggregate loss distributions
by Pavel V. Shevchenko
- 1008.1032 Modeling total expenditure on warranty claims
by Abhimanyu Mitra & Sidney I. Resnick
- 1008.0836 The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options
by Sam Howison & Christoph Reisinger & Jan Hendrik Witte
- 1008.0758 A Chaotic Approach to Market Dynamics
by Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz
- 1008.0401 A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
by Jan Hendrik Witte & Christoph Reisinger
- 1008.0160 Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
by Yong-Ping Ruan & Wei-Xing Zhou
- 1008.0149 Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation
by Gareth W. Peters & Balakrishnan B. Kannan & Ben Lasscock & Chris Mellen & Simon Godsill
- 1008.0126 Asymptotics of Random Contractions
by Enkelejd Hashorva & Anthony G. Pakes & Qihe Tang
- 1007.5433 Analytical Framework for Credit Portfolios
by Mikhail Voropaev
- 1007.5413 Optimization of Financial Instrument Parcels in Stochastic Wavelet Model
by A. M. Avdeenko
- 1007.5376 Optimal control of a big financial company with debt liability under bankrupt probability constraints
by Zongxia Liang & Bin Sun
- 1007.5353 Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture
by Archil Gulisashvili
- 1007.5274 Volatilities That Change with Time: The Temporal Behavior of the Distribution of Stock-Market Prices
by Achilles D. Speliotopoulos
- 1007.5074 Statistical mechanics approach to the probability distribution of money
by Victor M. Yakovenko
- 1007.4372 Approximations and asymptotics of upper hedging prices in multinomial models
by Ryuichi Nakajima & Masayuki Kumon & Akimichi Takemura & Kei Takeuchi
- 1007.4366 A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
by Jean-Pierre Fouque & Matthew Lorig