arXiv.org
Papers
Contact information of arXiv.org:
Web page: http://arxiv.org/
For corrections or technical questions regarding this series, please contact
(arXiv administrators)
Series handle: repec:arx:papers
Citations RSS feed: at CitEc
Impact factors:
Simple,
Recursive,
Discounted,
Recursive discounted,
H-Index,
Aggregate
Access and download statistics
Top item: By citations. By downloads (last 12 months).
More pages of listings: 0| 1| 2| 3| 4| 5| 6| 7| 8| 9| 10| 11| 12| 13| 14| 15| 16| 17| 18| 19| 20
2011
- 1103.0717 The dynamics of financial stability in complex networks
by Jo\~ao P. da Cruz & Pedro G. Lind - 1103.0647 A class of CTRWs: Compound fractional Poisson processes
by Enrico Scalas - 1103.0606 Bayesian Model Choice of Grouped t-copula
by Xiaolin Luo & Pavel V. Shevchenko - 1102.5752 A Theoretical Approach for Dynamic Modelling of Sustainable Development
by Corina-Maria Ene & Anda Gheorghiu & Anca Gheorghiu - 1102.5747 The Conflict between Economic Development and Planetary Ecosystem in the Context of Sustainable Development
by Corina-Maria Ene & Anda Gheorghiu & Cristina Burghelea & Anca Gheorghiu - 1102.5665 Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
by William T. Shaw - 1102.5525 Arbitrage hedging strategy and one more explanation of the volatility smile
by Mikhail Martynov & Olga Rozanova - 1102.5501 Extension theorems for linear operators on $L_\infty$ and application to price systems
by Jocelyne Bion-Nadal & Giulia Di Nunno - 1102.5457 How efficiency shapes market impact
by J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck - 1102.5431 Testing for change in mean of heteroskedastic time series
by Mohamed Boutahar - 1102.5405 Inflation and unemployment in Switzerland: from 1970 to 2050
by Oleg Kitov & Ivan Kitov - 1102.5287 Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces
by Samuel N. Cohen - 1102.5126 Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
by Mark Davis & Sebastien Lleo - 1102.5078 On Mean-Variance Analysis
by Yang Li & Traian A Pirvu - 1102.5075 Utility Indifference Pricing: A Time Consistent Approach
by Traian A Pirvu & Huayue Zhang - 1102.4864 Calibration of structural and reduced-form recovery models
by Alexander F. R. Koivusalo & Rudi Sch\"afer - 1102.4819 Minding impacting events in a model of stochastic variance
by Silvio M. Duarte Queiros & Evaldo M. F. Curado & Fernando D. Nobre - 1102.4722 Measuring Portfolio Diversification
by Ulrich Kirchner & Caroline Zunckel - 1102.4489 Portfolio Insurance under a risk-measure constraint
by Carmine De Franco & Peter Tankov - 1102.4230 Cooperation amongst competing agents in minority games
by Deepak Dhar & V. Sasidevan & Bikas K. Chakrabarti - 1102.4132 Optimal dividend control for a generalized risk model with investment incomes and debit interest
by Jinxia Zhu - 1102.4076 The fine structure of spectral properties for random correlation matrices: an application to financial markets
by G. Livan & S. Alfarano & E. Scalas - 1102.4055 Parisian ruin probability for spectrally negative L\'{e}vy processes
by Ronnie Loeffen & Irmina Czarna & Zbigniew Palmowski - 1102.3956 Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution
by Ph. Barbe & W. P. McCormick - 1102.3928 Minimizing shortfall risk for multiple assets derivatives
by Michal Barski - 1102.3900 A Random Matrix Approach to Credit Risk
by Michael C. M\"unnix & Rudi Sch\"afer & Thomas Guhr - 1102.3857 Transition Probability Matrix Methodology for Incremental Risk Charge
by Tzahi Yavin & Hu Zhang & Eugene Wang & Michael A. Clayton - 1102.3712 Black swans or dragon kings? A simple test for deviations from the power law
by Joanna Janczura & Rafal Weron - 1102.3702 A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation
by Olfa Zaafrane & Anouar Ben Mabrouk - 1102.3582 Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
by Gareth W. Peters & Pavel Shevchenko & Mark Young & Wendy Yip - 1102.3541 Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition
by Alberto Elices & Eduard Gim\'enez - 1102.3534 Applying hedging strategies to estimate model risk and provision calculation
by Alberto Elices & Eduard Gim\'enez - 1102.3218 On the Stability the Least Squares Monte Carlo
by Oleksii Mostovyi - 1102.3150 Dependence of defaults and recoveries in structural credit risk models
by Rudi Sch\"afer & Alexander F. R. Koivusalo - 1102.3009 Non - Randomness Stock Market Price Model
by Aleksey Kharevsky - 1102.2620 Predicting economic market crises using measures of collective panic
by Dion Harmon & Marcus A. M. de Aguiar & David D. Chinellato & Dan Braha & Irving R. Epstein & Yaneer Bar-Yam - 1102.2515 Adelic theory of stock market
by V. Zharkov - 1102.2412 Statistical Inference for Time-changed Brownian Motion Credit Risk Models
by T. R. Hurd & Zhuowei Zhou - 1102.2285 Approximating Functional of Local Martingale Under the Lack of Uniqueness of Black-Scholes PDE
by Qingshuo Song - 1102.2263 Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms
by I. Duarte & D. Pinheiro & A. A. Pinto & S. R. Pliska - 1102.2240 Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
by Duan Wang & Boris Podobnik & Davor Horvati\'c & H. Eugene Stanley - 1102.2138 The US stock market leads the Federal funds rate and Treasury bond yields
by Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette - 1102.2050 On stochastic calculus related to financial assets without semimartingales
by Rosanna Coviello & Cristina Di Girolami & Francesco Russo - 1102.1851 The Australian Phillips curve and more
by Ivan Kitov & Oleg Kitov - 1102.1713 Gaussian Noise Effects on the Evolution of Wealth in a Closed System of n-Economies
by J. M. Pellon-Diaz & A. Aragones-Munoz & A. Sandoval-Villalbazo & A. Diaz-Reynoso - 1102.1624 On the criticality of inferred models
by Iacopo Mastromatteo & Matteo Marsili - 1102.1348 The computation of Greeks with multilevel Monte Carlo
by Sylvestre Burgos & M. B. Giles - 1102.1339 Correlation of financial markets in times of crisis
by Leonidas Sandoval Junior & Italo De Paula Franca - 1102.1186 Optimal consumption and investment for markets with random coefficients
by Berdjane Belkacem & Serguei Pergamenchtchikov - 1102.1099 A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
by Michael C. M\"unnix & Rudi Sch\"afer - 1102.0938 Minimizing Shortfall
by Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud - 1102.0687 Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
by Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna - 1102.0683 Volatility made observable at last
by Michel Fliess & C\'edric Join & Fr\'ed\'eric Hatt - 1102.0346 On utility maximization under convex portfolio constraints
by Kasper Larsen & Gordan \v{Z}itkovi\'c - 1102.0312 Dynamics of a Service Economy Driven by Random Transactions
by Robert W. Easton - 1102.0224 A Family of Maximum Entropy Densities Matching Call Option Prices
by Cassio Neri & Lorenz Schneider - 1101.5849 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
by Masaaki Fujii & Akihiko Takahashi - 1101.5475 Multivariate GARCH estimation via a Bregman-proximal trust-region method
by St\'ephane Chr\'etien & Juan-Pablo Ortega - 1101.4680 An Econophysics Model for the Stock-Markets' Analysis and Diagnosis
by Ion Spanulescu & Ion Popescu & Victor Stoica & Anca Gheorghiu & Victor Velter - 1101.4675 Econophysical Approaches for the Direct Foreign Investments
by Anca Gheorghiu & Ion Spanulescu & Anda Gheorghiu - 1101.4674 Macrostate Parameter and Investment Risk Diagrams for 2008 and 2009
by Anca Gheorghiu & Ion Sp\^anulescu - 1101.4548 Stochastic Market Efficiency
by Ole Peters & Alexander Adamou - 1101.4437 Ruin probabilities in tough times - Part 1 - Heavy-traffic approximation for fractionally integrated random walks in the domain of attraction of a nonGaussian stable distribution
by Ph. Barbe & W. P. McCormick - 1101.4093 Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks
by Rui Menezes & Andreia Dioniso - 1101.3974 An Active Margin System and its Application in Chinese Margin Lending Market
by Guanghui Huang & Jianping Wan & Cheng Chen - 1101.3926 Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting
by Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou - 1101.3713 Path integral approach to the pricing of timer options with the Duru-Kleinert time transformation
by Ling Zhi Liang & Damiaan Lemmens & Jacques Tempere - 1101.3617 An almost linear stochastic map related to the particle system models of social sciences
by Anindya S. Chakrabarti - 1101.3572 Utility theory front to back - inferring utility from agents' choices
by Alexander M. G. Cox & David Hobson & Jan Obloj - 1101.3422 Modeling microstructure noise with mutually exciting point processes
by E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy - 1101.3228 GPGPUs in computational finance: Massive parallel computing for American style options
by Gilles Pag\`es & Benedikt Wilbertz - 1101.3107 Financial Rogue Waves Appearing in the Coupled Nonlinear Volatility and Option Pricing Model
by Zhenya Yan - 1101.3071 Sensitivity analysis of the early exercise boundary for American style of Asian options
by Daniel Sevcovic & Martin Takac - 1101.2968 Duality in Robust Utility Maximization with Unbounded Claim via a Robust Extension of Rockafellar's Theorem
by Keita Owari - 1101.1847 Critical Overview of Agent-Based Models for Economics
by M. Cristelli & L. Pietronero & A. Zaccaria - 1101.1707 The Network Structure of Economic Output
by Ricardo Hausmann & Cesar A. Hidalgo - 1101.1148 A Mispricing Model of Stocks Under Asymmetric Information
by Winston Buckley & Garfield Brown & Mario Marshall - 1101.0975 Swing Options Valuation: a BSDE with Constrained Jumps Approach
by Marie Bernhart & Huy\^en Pham & Peter Tankov & Xavier Warin - 1101.0945 Abstract, Classic, and Explicit Turnpikes
by Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing - 1101.0446 Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes
by Chuancun Yin & Ying Shen & Kam Chuen Yuen
2010
- 1101.0240 Generalised Wishart Processes
by Andrew Gordon Wilson & Zoubin Ghahramani - 1101.0184 Testing the Capital Asset Pricing Model (CAPM) on the Uganda Stock Exchange
by David Wakyiku - 1101.0079 Market-consistent valuation of insurance liabilities by cost of capital
by Christoph Moehr - 1012.5986 Bayesian estimation of GARCH model with an adaptive proposal density
by Tetsuya Takaishi - 1012.5932 An statistical analysis of stratification and inequity in the income distribution
by Juan C. Ferrero - 1012.5896 Punctuated Equilibrium and Power Law in Economic Dynamics
by Abhijit Kar Gupta - 1012.5832 On the Existence of Bertrand-Nash Equilibrium Prices Under Logit Demand
by W. Ross Morrow & Steven J. Skerlos - 1012.4976 On the Use of Policy Iteration as an Easy Way of Pricing American Options
by Christoph Reisinger & Jan Hendrik Witte - 1012.4674 Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets
by Alex Langnau & Daniel Cangemi - 1012.4446 Fundamental and Real-World Challenges in Economics
by Dirk Helbing & Stefano Balietti - 1012.4291 Preliminaries to an investigation of reduced product set finance
by J. A. Bergstra & C. A. Middelburg - 1012.4118 Log-Periodic Oscillation Analysis and Possible Burst of the "Gold Bubble" in April - June 2011
by Sergey V. Tsirel & Askar Akaev & Alexey Fomin & Andrey V. Korotayev - 1012.3234 American Step-Up and Step-Down Default Swaps under Levy Models
by Tim Siu-Tang Leung & Kazutoshi Yamazaki - 1012.3102 The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
by Sergio Pulido - 1012.2848 Fully Flexible Views: Theory and Practice
by Attilio Meucci - 1012.2279 Size-Dependency of Income Distributions and Its Implications
by Jiang Zhang & You-Gui Wang - 1012.2160 Insider Trading in the Market with Rational Expected Price
by Fuzhou Gong & Deqing Zhou - 1012.1878 Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
by Jiro Akahori & Andrea Macrina - 1012.1793 Rational term structure models with geometric Levy martingales
by Dorje C. Brody & Lane P. Hughston & Ewan Mackie - 1012.1535 Financial markets with volatility uncertainty
by Joerg Vorbrink - 1012.1412 Controlled options: derivatives with added flexibility
by Nikolai Dokuchaev - 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 Z\"urcher - 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-Fran\c{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 MCMC 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 Uro\v{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 multiple assets derivatives
by Michal 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 R\"uschendorf - 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 - 1010.4339 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 Roumen 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