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2012
- 1210.6201 A case for FDI in Multi-brand retail in India
by Jatin Prasad & Dr Jyoti Singh - 1210.6197 Game Theory in Oligopoly
by Marx Boopathi - 1210.6080 Food for fuel: The price of ethanol
by Dominic K. Albino & Karla Z. Bertrand & Yaneer Bar-Yam - 1210.6000 Solvency assessment within the ORSA framework: issues and quantitative methodologies
by Julien Vedani & Laurent Devineau - 1210.5987 Stability analysis of financial contagion due to overlapping portfolios
by Fabio Caccioli & Munik Shrestha & Cristopher Moore & J. Doyne Farmer - 1210.5859 Determination the Parameters of Markowitz Portfolio Optimization Model
by Ertugrul Bayraktar & Ayse Humeyra Bilge - 1210.5781 High Frequency Market Making
by Rene Carmona & Kevin Webster - 1210.5773 Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives
by Rene Carmona & Francois Delarue & Gilles-Edouard Espinosa & Nizar Touzi - 1210.5479 Valuation of asset and volatility-dependent derivatives using decoupled time-changed L\'evy processes
by Lorenzo Torricelli - 1210.5466 Optimal Investment with Stocks and Derivatives
by Pietro Siorpaes - 1210.5392 High order splitting schemes with complex timesteps and their application in mathematical finance
by Philipp Doersek & Eskil Hansen - 1210.5391 Simple arbitrage
by Christian Bender - 1210.5390 Ethics and Finance: the role of mathematics
by Timothy C. Johnson - 1210.5205 The Merton Problem with a Drawdown Constraint on Consumption
by T. Arun - 1210.5152 A construction of (t,s)-sequences with finite-row generating matrices using global function fields
by Roswitha Hofer & Harald Niederreiter - 1210.5111 Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters
by Belkacem Berdjane & Sergei Pergamenshchikov - 1210.5046 Counterparty Risk and Funding: The Four Wings of the TVA
by St\'ephane Cr\'epey & R\'emi Gerboud & Zorana Grbac & Nathalie Ngor - 1210.4973 Cascading Failures in Bi-partite Graphs: Model for Systemic Risk Propagation
by Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley - 1210.4901 An Approximate Solution Method for Large Risk-Averse Markov Decision Processes
by Marek Petrik & Dharmashankar Subramanian - 1210.4900 Probability and Asset Updating using Bayesian Networks for Combinatorial Prediction Markets
by Wei Sun & Robin Hanson & Kathryn Blackmond Laskey & Charles Twardy - 1210.4853 Weighted Sets of Probabilities and MinimaxWeighted Expected Regret: New Approaches for Representing Uncertainty and Making Decisions
by Joseph Y. Halpern & Samantha Leung - 1210.4837 Designing Informative Securities
by Yiling Chen & Mike Ruberry & Jennifer Wortman Vaughan - 1210.4713 Measuring and Analysing Marginal Systemic Risk Contribution using CoVaR: A Copula Approach
by Brice Hakwa & Manfred J\"ager-Ambro\.zewicz & Barbara R\"udiger - 1210.4643 Econoinformatics meets Data-Centric Social Sciences
by Aki-Hiro Sato - 1210.4461 Modeling Spatial Equilibrium in Cities: the Isobenefit Lines
by Luca D'Acci - 1210.4129 Towards international E-stat for monitoring the socio-economic activities across the globe
by Aki-Hiro Sato & Ken Umeno - 1210.4000 Price-Setting of Market Makers: A Filtering Problem with an Endogenous Filtration
by Christoph K\"uhn & Matthias Riedel - 1210.3865 Opinion Mining for Relating Subjective Expressions and Annual Earnings in US Financial Statements
by Chien-Liang Chen & Chao-Lin Liu & Yuan-Chen Chang & Hsiang-Ping Tsai - 1210.3851 An introduction to particle integration methods: with applications to risk and insurance
by P. Del Moral & G. W. Peters & Ch. Verg\'e - 1210.3849 A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving
by Gareth W. Peters & Alice X. D. Dong & Robert Kohn - 1210.3814 Russian interbank networks: main characteristics and stability with respect to contagion
by A. V. Leonidov & E. L. Rumyantsev - 1210.3811 Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments
by Andrea Pallavicini & Daniele Perini & Damiano Brigo - 1210.3800 A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance
by Nicole Bauerle & Erhan Bayraktar - 1210.3716 Redistribution spurs growth by using a portfolio effect on human capital
by Jan Lorenz & Fabian Paetzel & Frank Schweitzer - 1210.3678 Physical assets replacement: an analytical approach
by Igor Gimenes Cesca & Douglas Duarte Novaes - 1210.3543 Characterizing the development of sectoral Gross Domestic Product composition
by Raphael Lutz & Michael Spies & Dominik E. Reusser & J\"urgen P. Kropp & Diego Rybski - 1210.3324 Strong random correlations in networks of heterogeneous agents
by Imre Kondor & Istv\'an Csabai & G\'abor Papp & Enys Mones & G\'abor Czimbalmos & M\'at\'e Csaba S\'andor - 1210.3269 The role of distances in the World Trade Web
by Francesco Picciolo & Tiziano Squartini & Franco Ruzzenenti & Riccardo Basosi & Diego Garlaschelli - 1210.3164 A Semi-Markov Modulated Interest Rate Model
by Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi - 1210.2953 Characterization of Differentiable Copulas
by Saikat Mukherjee & Farhad Jafari & Jong-Min Kim - 1210.2617 The solution of discretionary stopping problems with applications to the optimal timing of investment decisions
by Timothy C. Johnson - 1210.2337 Local Risk-Minimization under the Benchmark Approach
by Francesca Biagini & Alessandra Cretarola & Eckhard Platen - 1210.2132 Equalitarian Societies are Economically Impossible
by Bojin Zheng & Wenhua Du & Wanneng Shu & Jianmin Wang & Deyi Li - 1210.2088 Mod\`eles de co\^uts en fonderie sable : les limites d'une approche g\'en\'erique
by Nicolas Perry & Magali Mauchand & Alain Bernard - 1210.2043 Smooth Nonparametric Bernstein Vine Copulas
by Gregor Wei{\ss} & Marcus Scheffer - 1210.2021 Fostering Project Scheduling and Controlling Risk Management
by Abdul Razaque & Christian Bach & Nyembo salama & Aziz Alotaibi - 1210.1966 How We Tend To Overestimate Powerlaw Tail Exponents
by Nassim N. Taleb - 1210.1866 On parameter estimation for critical affine processes
by Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap - 1210.1848 On random convex analysis--the analytic foundation of the module approach to conditional risk measures
by Tiexin Guo & Shien Zhao & Xiaolin Zeng - 1210.1838 Three-state herding model of the financial markets
by Aleksejus Kononovicius & Vygintas Gontis - 1210.1625 Optimal order placement in limit order markets
by Rama Cont & Arseniy Kukanov - 1210.1598 Portfolio Choice in Markets with Contagion
by Yacine A\"it-Sahalia & T. R. Hurd - 1210.1588 A New Kind of Finance
by Philip Z. Maymin - 1210.0968 A New Trinomial Recombination Tree Algorithm and Its Applications
by Peter C. L. Lin - 1210.0898 Spontaneous order and macroeconomic behaviour
by Yong Tao - 1210.0670 Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method
by Hideyuki Tanaka & Toshihiro Yamada - 1210.0570 A Stochastic Delay Model For Pricing Debt And Loan Guarantees: Theoretical Results
by Elisabeth Kemajou & Salah-Eldin Mohammed & Antoine Tambue - 1210.0259 Systems of Brownian particles with asymmetric collisions
by Ioannis Karatzas & Soumik Pal & Mykhaylo Shkolnikov - 1210.0057 Consumer finance data generator - a new approach to Credit Scoring technique comparison
by Karol Przanowski & Jolanta Mamczarz - 1209.6497 Malliavin calculus method for asymptotic expansion of dual control problems
by Michael Monoyios - 1209.6459 Bootstrapping topology and systemic risk of complex network using the fitness model
by Nicol\'o Musmeci & Stefano Battiston & Guido Caldarelli & Michelangelo Puliga & Andrea Gabrielli - 1209.6439 The best gain-loss ratio is a poor performance measure
by Sara Biagini & Mustafa Pinar - 1209.6385 Maximising Survival, Growth, and Goal Reaching Under Borrowing Constraints
by Haluk Yener - 1209.6376 UPDATE July 2012 | The Food Crises: The US Drought
by Marco Lagi & Yavni Bar-Yam & Yaneer Bar-Yam - 1209.6369 The European debt crisis: Defaults and market equilibrium
by Marco Lagi & Yaneer Bar-Yam - 1209.5976 Quadratic hedging schemes for general GARCH models
by Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega - 1209.5953 Optimization problem and mean variance hedging on defaultable claims
by Stephane Goutte & Armand Ngoupeyou - 1209.5881 The beneficial role of random strategies in social and financial systems
by Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda - 1209.5190 The Reactive Volatility Model
by Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu - 1209.5175 Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process
by Christian Bayer & Bezirgen Veliyev - 1209.4849 Iterated Function Systems with Economic Applications
by Shilei Wang - 1209.4787 A generalized statistical model for the size distribution of wealth
by F. Clementi & M. Gallegati & G. Kaniadakis - 1209.4718 Stock Price Dynamics and Option Valuations under Volatility Feedback Effect
by Juho Kanniainen & Robert Pich\'e - 1209.4695 On statistical indistinguishability of the complete and incomplete markets
by Nikolai Dokuchaev - 1209.4629 The Transition from Brownian Motion to Boom-and-Bust Dynamics in Financial and Economic Systems
by Harbir Lamba - 1209.4608 Performance Analysis of Hybrid Forecasting Model In Stock Market Forecasting
by Mahesh S. Khadka & K. M. George & N. Park & J. B. Kim - 1209.4517 Ergodicity breaking in geometric Brownian motion
by Ole Peters & William Klein - 1209.4449 Diffusion-based models for financial markets without martingale measures
by Claudio Fontana & Wolfgang J. Runggaldier - 1209.4175 Hierarchical structure of stock price fluctuations in financial markets
by Ya-Chun Gao & Shi-Min Cai & Bing-Hong Wang - 1209.3982 Sparsifying Defaults: Optimal Bailout Policies for Financial Networks in Distress
by Zhang Li & Ilya Pollak - 1209.3570 Spectral Risk Measures, With Adaptions For Stochastic Optimization
by Alois Pichler - 1209.3513 A Continuous Time Structural Model for Insolvency, Recovery, and Rollover Risks
by Gechun Liang & Eva L\"utkebohmert & Wei Wei - 1209.3503 Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging
by I. Halperin & A. Itkin - 1209.3399 Coupled effects of market impact and asymmetric sensitivity in financial markets
by Li-Xin Zhong & Wen-Juan Xu & Fei Ren & Yong-Dong Shi - 1209.2817 Preferential Attachment in the Interaction between Dynamically Generated Interdependent Networks
by Boris Podobnik & Davor Horvatic & Mark Dickison & H. Eugene Stanley - 1209.2813 The competitiveness versus the wealth of a country
by Boris Podobnik & Davor Horvatic & Dror Y. Kenett & H. Eugene Stanley - 1209.2781 Wealth distribution on complex networks
by Takashi Ichinomiya - 1209.2555 Option Pricing and Hedging with Small Transaction Costs
by Jan Kallsen & Johannes Muhle-Karbe - 1209.2467 Bouchaud-M\'ezard model on a random network
by Takashi Ichinomiya - 1209.2298 The Future Has Thicker Tails than the Past: Model Error As Branching Counterfactuals
by Nassim N. Taleb - 1209.2204 How is non-knowledge represented in economic theory?
by Ekaterina Svetlova & Henk van Elst - 1209.1909 Numerical Valuation of Bermudan and Path-Dependent Interest Rate Derivatives via PDE Expansions
by Christoph Reisinger & Rasmus Wissmann - 1209.1903 Roles of discount rate, risk premium, and device performance in estimating the cost of energy for photovoltaics
by Sergei Manzhos - 1209.1893 Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering
by Masaaki Fujii - 1209.1791 Dynkin Games and Israeli Options
by Yuri Kifer - 1209.1705 General Equilibrium as a Topological Field Theory
by Eric Kemp-Benedict - 1209.1544 On Geometric Ergodicity of Skewed - SVCHARME models
by Jerzy P. Rydlewski & Ma{\l}gorzata Snarska - 1209.1321 Entanglement between Demand and Supply in Markets with Bandwagon Goods
by Mirta B. Gordon & Jean-Pierre Nadal & Denis Phan & Viktoriya Semeshenko - 1209.0959 How big is too big? Critical Shocks for Systemic Failure Cascades
by Claudio J. Tessone & Antonios Garas & Beniamino Guerra & Frank Schweitzer - 1209.0900 Time-Frequency Dynamics of Biofuels-Fuels-Food System
by Lukas Vacha & Karel Janda & Ladislav Kristoufek & David Zilberman - 1209.0708 On the global economic potentials and marginal costs of non-renewable resources and the price dynamics of energy commodities
by Jean-Francois Mercure & Pablo Salas - 1209.0697 Pricing of Variance Swaps under a Credit-Equity Modeling Framework
by Matthew Lorig & Rafael Mendoza-Arriaga - 1209.0646 Scenarios and their Aggregation in the Regulatory Risk Measurement Environment
by Andreas Haier & Thorsten Pfeiffer - 1209.0453 Crises and collective socio-economic phenomena: simple models and challenges
by Jean-Philippe Bouchaud - 1209.0424 On the changeover timescales of technology transitions and induced efficiency changes: an overarching theory
by Jean-Francois Mercure - 1209.0390 First order strong approximations of scalar SDEs with values in a domain
by Andreas Neuenkirch & Lukasz Szpruch - 1209.0305 Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs
by S\"oren Christensen & Marc Wittlinger - 1208.6486 Superreplication under Volatility Uncertainty for Measurable Claims
by Ariel Neufeld & Marcel Nutz - 1208.6305 Kinetic models for the trading of goods
by G. Toscani & C. Brugna & S. Demichelis - 1208.6146 Finite quantum mechanical model for the stock market
by Liviu-Adrian Cotfas - 1208.5896 Benford's law and Theil transform of financial data
by Paulette Clippe & Marcel Ausloos - 1208.5802 Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
by Jean-Pierre Fouque & Matthew Lorig & Ronnie Sircar - 1208.5581 Quadratic BSDEs with Jumps and Related Non-linear Expectations: a Fixed-point Approach
by M. Nabil Kazi-Tani & Dylan Possama\"i & Chao Zhou - 1208.5520 High-order short-time expansions for ATM option prices under a tempered stable L\'{e}vy model
by Jos\'e E. Figueroa-L\'opez & Ruoting Gong & Christian Houdr\'e - 1208.5398 Portfolio optimization with insider's initial information and counterparty risk
by Caroline Hillairet & Ying Jiao - 1208.5382 Wrong-way risk in credit and funding valuation adjustments
by Mihail Turlakov - 1208.5316 How Non-linearity will Transform Information Systems
by Paolo Magrassi - 1208.5303 Hedging Swing contract on gas markets
by Xavier Warin - 1208.4831 Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression
by Jozef Barunik & Michaela Barunikova - 1208.4799 High-Water Marks and Separation of Private Investments
by Paolo Guasoni & Gu Wang - 1208.4429 Common Mistakes when Applying Computational Intelligence and Machine Learning to Stock Market modelling
by E. Hurwitz & T. Marwala - 1208.4409 Yard-Sale exchange on networks: Wealth sharing and wealth appropriation
by R. Bustos-Guajardo & Cristian F. Moukarzel - 1208.4282 Small time central limit theorems for semimartingales with applications
by Stefan Gerhold & Max Kleinert & Piet Porkert & Mykhaylo Shkolnikov - 1208.4158 Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series
by Ying-Hui Shao & Gao Feng Gu & Zhi-Qiang Jiang & Wei-Xing Zhou & Didier Sornette - 1208.3789 Contagion in Financial Networks: Measure, Evaluation and Implications
by Bhaskar DasGupta & Lakshmi Kaligounder - 1208.3785 Large liquidity expansion of super-hedging costs
by Dylan Possamai & Nizar Touzi & H. Mete Soner - 1208.3460 Inverse Thinking in Economic Theory: A Radical Approach to Economic Thinking
by Jaime Gomez-Ramirez - 1208.3087 Modeling and Forecasting Persistent Financial Durations
by Filip Zikes & Jozef Barunik & Nikhil Shenai - 1208.3083 A multi-agent nonlinear Markov model of the order book
by Kirill Vaninsky & Stepan Myzuchka & Alexander Lukov - 1208.2878 Interest Rate Manipulation Detection using Time Series Clustering Approach
by Murphy Choy & Enoch Chng & Koo Ping Shung - 1208.2775 Physical approach to price momentum and its application to momentum strategy
by Jaehyung Choi - 1208.2696 Distribution Of Wealth In A Network Model Of The Economy
by Tao Ma & John G. Holden & R. A. Serota - 1208.2658 Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations
by Paul M. N. Feehan & Camelia Pop - 1208.2589 Why, when, and how fast innovations are adopted
by Sebastian Goncalves & M. F. Laguna & J. R. Iglesias - 1208.2068 Risk minimizing of derivatives via dynamic g-expectation and related topics
by Tianxiao Wang - 1208.1479 General Balance Functions in the Theory of Interest
by David Spring - 1208.1298 Measuring capital market efficiency: Global and local correlations structure
by Ladislav Kristoufek & Miloslav Vosvrda - 1208.1277 Economic decision making: application of the theory of complex systems
by Robert Kitt - 1208.1189 Mathematical Definition, Mapping, and Detection of (Anti)Fragility
by Nassim N. Taleb & Raphael Douady - 1208.1188 Relations between allometric scalings and fluctuations in complex systems: The case of Japanese firms
by Hayafumi Watanabe & Hideki Takayasu & Misako Takayasu - 1208.1123 Evolutionary Model of the Growth and Size of Firms
by Joachim Kaldasch - 1208.0763 Second Order BSDEs with Jumps, Part II: Existence and Applications
by M. Nabil Kazi-Tani & Dylan Possamai & Chao Zhou - 1208.0642 Does GDP measure growth in the economy or simply growth in the money supply?
by Jacky Mallett & Charles Keen - 1208.0451 Directed Random Markets: Connectivity determines Money
by Ismael Martinez-Martinez & Ricardo Lopez-Ruiz - 1208.0371 Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust
by John Cotter & Stuart Gabriel & Richard Roll - 1208.0317 Scaling, stability and distribution of the high-frequency returns of the IBEX35 index
by Pablo Su\'arez-Garc\'ia & David G\'omez-Ullate - 1207.7330 Portfolio Choice with Transaction Costs: a User's Guide
by Paolo Guasoni & Johannes Muhle-Karbe - 1207.7308 Weighted Kolmogorov-Smirnov test: Accounting for the tails
by R\'emy Chicheportiche & Jean-Philippe Bouchaud - 1207.6759 Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach
by Alessandro Ramponi - 1207.6566 Conditional sampling for barrier option pricing under the Heston model
by Nico Achtsis & Ronald Cools & Dirk Nuyens - 1207.6423 Adaptive Execution: Exploration and Learning of Price Impact
by Beomsoo Park & Benjamin Van Roy - 1207.6325 Large tick assets: implicit spread and optimal tick size
by Khalil Dayri & Mathieu Rosenbaum - 1207.6281 A note on asymptotic exponential arbitrage with exponentially decaying failure probability
by Kai Du & Ariel David Neufeld - 1207.6278 The financial framework of the sustainability of health universal coverage in Italy. A quantitative financial model for the assessment of the italian stability and reform program of public health financing
by Stefano Olgiati & Alessandro Danovi - 1207.6205 Option prices with call prices
by Lauri Viitasaari - 1207.6186 A Dynamical Model for Operational Risk in Banks
by Marco Bardoscia - 1207.6091 Entangled Economy: an ecosystems approach to modeling systemic level dynamics
by Juan David Robalino & Henrik Jeldtoft Jensen - 1207.6081 Exploiting the flexibility of a family of models for taxation and redistribution
by Maria Letizia Bertotti & Giovanni Modanese - 1207.6049 Pricing credit default swaps with bilateral value adjustments
by Alexander Lipton & Ioana Savescu - 1207.5809 A control problem with fuel constraint and Dawson-Watanabe superprocesses
by Alexander Schied - 1207.5269 Structural distortions in the Euro interbank market: The role of 'key players' during the recent market turmoil
by Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa - 1207.4860 Inference of Extreme Synchrony with an Entropy Measure on a Bipartite Network
by Aki-Hiro Sato - 1207.4749 Do arbitrage-free prices come from utility maximization?
by Pietro Siorpaes - 1207.4608 Digital double barrier options: Several barrier periods and structure floors
by S\"uhan Altay & Stefan Gerhold & Karin Hirhager - 1207.4309 Vine Constructions of Levy Copulas
by Oliver Grothe & Stephan Nicklas - 1207.4300 A higher order correlation unscented Kalman filter
by Oliver Grothe - 1207.4069 Global Inflation Dynamics: regularities & forecasts
by Askar Akaev & Andrey Korotayev & Alexey Fomin - 1207.4028 Signal processing with Levy information
by Dorje C. Brody & Lane P. Hughston & Xun Yang - 1207.3464 On dependence consistency of CoVaR and some other systemic risk measures
by Georg Mainik & Eric Schaanning - 1207.3412 A quantum mechanical model for the relationship between stock price and stock ownership
by Liviu-Adrian Cotfas - 1207.3300 How news affect the trading behavior of different categories of investors in a financial market
by Fabrizio Lillo & Salvatore Miccich\`e & Michele Tumminello & Jyrki Piilo & Rosario Nunzio Mantegna - 1207.3118 The Long Neglected Critically Leveraged Portfolio
by M. Hossein Partovi - 1207.2946 Microscopic understanding of heavy-tailed return distributions in an agent-based model
by Thilo A. Schmitt & Rudi Sch\"afer & Michael C. M\"unnix & Thomas Guhr - 1207.2452 A new approach to unbiased estimation for SDE's
by Chang-han Rhee & Peter W. Glynn - 1207.2316 Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
by Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu - 1207.2010 Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
by Frederik Herzberg & Frank Riedel - 1207.1932 Optimization Method for Interval Portfolio Selection Based on Satisfaction Index of Interval inequality Relation
by Yunchol Jong - 1207.1842 A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan
by Akihiko Noda - 1207.1771 The Keynesian theory and the manufactured industry in Portugal
by Vitor Joao Pereira Domingues Martinho - 1207.1759 On arbitrages arising from honest times
by Claudio Fontana & Monique Jeanblanc & Shiqi Song - 1207.1630 The Smile of certain L\'evy-type Models
by Antoine Jacquier & Matthew Lorig - 1207.1463 Statistical Basis for Predicting Technological Progress
by Bela Nagy & J. Doyne Farmer & Quan M. Bui & Jessika E. Trancik - 1207.1202 How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market
by Tanya Ara\'ujo & Jo\~ao Dias & Samuel Eleut\'erio & Francisco Lou\c{c}\~a - 1207.1037 On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
by Taras Bodnar & Nestor Parolya & Wolfgang Schmid - 1207.1029 On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory
by Taras Bodnar & Nestor Parolya & Wolfgang Schmid - 1207.1003 A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
by Taras Bodnar & Nestor Parolya & Wolfgang Schmid - 1207.0843 A new look at short-term implied volatility in asset price models with jumps
by Aleksandar Mijatovi\'c & Peter Tankov - 1207.0750 The Exact Smile of some Local Volatility Models
by Matthew Lorig - 1207.0356 Financial instability from local market measures
by Marco Bardoscia & Giacomo Livan & Matteo Marsili - 1207.0233 The Exact Implied Volatility Smile for Exponential L\'evy Models
by Matthew Lorig - 1206.7000 On the role of backauditing for tax evasion in an agent-based Econophysics model
by G. Seibold & M. Pickhardt - 1206.6998 Interest Rate Risk of Bond Prices on Macedonian Stock Exchange - Empirical Test of the Duration, Modified Duration and Convexity and Bonds Valuation
by Zoran Ivanovski & Toni Draganov Stojanovski & Nadica Ivanovska - 1206.6972 Record statistics and persistence for a random walk with a drift
by Satya N. Majumdar & Gregory Schehr & Gregor Wergen - 1206.6787 Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results
by Leif Andersen & Alexander Lipton - 1206.6325 Stochastic Target Games with Controlled Loss
by Bruno Bouchard & Ludovic Moreau & Marcel Nutz - 1206.6283 Inventory Management with Partially Observed Nonstationary Demand
by Erhan Bayraktar & Mike Ludkovski - 1206.6268 Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin
by Erhan Bayraktar & Virginia R. Young - 1206.5983 On a Symmetrization of Diffusion Processes
by Jiro Akahori & Yuri Imamura - 1206.5756 On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
by Nils Chr. Framstad - 1206.5393 Numerical methods for the quadratic hedging problem in Markov models with jumps
by Carmine De Franco & Peter Tankov & Xavier Warin