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Content
2013
- 1302.2063 Early-warning signals of topological collapse in interbank networks
by Tiziano Squartini & Iman van Lelyveld & Diego Garlaschelli
- 1302.2009 Stochastic Local Intensity Loss Models with Interacting Particle Systems
by Aur'elien Alfonsi & C'eline Labart & J'er^ome Lelong
- 1302.1965 Variance optimal hedging for continuous time additive processes and applications
by St'ephane Goutte & Nadia Oudjane & Francesco Russo
- 1302.1850 On the Robust superhedging of measurable claims
by Dylan Possamai & Guillaume Royer & Nizar Touzi
- 1302.1564 Representing Aggregate Belief through the Competitive Equilibrium of a Securities Market
by David M. Pennock & Michael P. Wellman
- 1302.1405 Critical reflexivity in financial markets: a Hawkes process analysis
by Stephen J. Hardiman & Nicolas Bercot & Jean-Philippe Bouchaud
- 1302.1228 Efficient Markets, Behavioral Finance and a Statistical Evidence of the Validity of Technical Analysis
by Marco Antonio Penteado
- 1302.0926 Risks of Large Portfolios
by Jianqing Fan & Yuan Liao & Xiaofeng Shi
- 1302.0590 Robust Hedging with Proportional Transaction Costs
by Yan Dolinsky & H. Mete Soner
- 1302.0583 Efficient Importance Sampling for Rare Event Simulation with Applications
by Cheng-Der Fuh & Huei-Wen Teng & Ren-Her Wang
- 1302.0574 Inflation-rate Derivatives: From Market Model to Foreign Currency Analogy
by Lixin Wu
- 1302.0539 Behavioural present value
by Krzysztof Piasecki
- 1302.0538 On return rate implied by behavioural present value
by Krzysztof Piasecki
- 1302.0537 Basis of financial arithmetic from the viewpoint of the utility theory
by Krzysztof Piasecki
- 1302.0465 CVA and FVA to Derivatives Trades Collateralized by Cash
by Lixin Wu
- 1302.0361 Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
by Bruno Bouchard & Emmanuel Lepinette & Erik Taflin
- 1302.0134 Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models
by Laurence Carassus & Miklos Rasonyi
- 1301.7413 Switching Portfolios
by Yoram Singer
- 1301.7078 Markets Evolution After the Credit Crunch
by Marco Bianchetti & Mattia Carlicchi
- 1301.6638 On the relation between forecast precision and trading profitability of financial analysts
by Carlo Marinelli & Alex Weissensteiner
- 1301.6519 Ab initio analysis of all income society classes in the European Union
by Maciej Jagielski & Ryszard Kutner
- 1301.6506 Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach
by A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik
- 1301.6485 Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact
by Kensuke Ishitani & Takashi Kato
- 1301.6468 Stock Price Fluctuations in an Agent-Based Model with Market Liquidity
by Takashi Kato
- 1301.6415 A primer on reflexivity and price dynamics under systemic risk
by Tom Fischer
- 1301.6334 On Possible Influence of Space Weather on Agricultural Markets: Necessary Conditions and Probable Scenarios
by Lev Pustilnik & Gregory Yom Din
- 1301.6252 Option pricing with linear market impact and non-linear Black and Scholes equations
by Gregoire Loeper
- 1301.6141 Modelling systemic price cojumps with Hawkes factor models
by Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo
- 1301.6115 DebtRank-transparency: Controlling systemic risk in financial networks
by Stefan Thurner & Sebastian Poledna
- 1301.6114 Leverage-induced systemic risk under Basle II and other credit risk policies
by Sebastian Poledna & Stefan Thurner & J. Doyne Farmer & John Geanakoplos
- 1301.6069 Cross-Ownership as a Structural Explanation for Over- and Underestimation of Default Probability
by Sabine Karl & Tom Fischer
- 1301.5974 Conservation laws, financial entropy and the Eurozone crisis
by Paul Cockshott & David Zachariah
- 1301.5877 Pricing Using a Homogeneously Saturated Equation
by Daniel T. Cassidy
- 1301.5821 Ecosystems perspective on financial networks: diagnostic tools
by Eduardo Viegas & Misako Takayasu & Wataru Miura & Koutarou Tamura & Takaaki Ohnishi & Hideki Takayasu & Henrik Jeldtoft Jensen
- 1301.5568 A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
by Beatrice Acciaio & Mathias Beiglbock & Friedrich Penkner & Walter Schachermayer
- 1301.5504 Cash Flow Entropy
by Ulrich Kirchner & Simon Moolman
- 1301.5497 Suitability of Capital Allocations for Performance Measurement
by Eduard Kromer & Ludger Overbeck
- 1301.5467 Model-independent no-arbitrage conditions on American put options
by Alexander M. G. Cox & Christoph Hoeggerl
- 1301.5425 DVA for Assets
by Chris Kenyon & Richard David Kenyon
- 1301.5129 A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection
by Audrone Virbickaite & M. Concepci'on Aus'in & Pedro Galeano
- 1301.5007 Ergodicity and scaling limit of a constrained multivariate Hawkes process
by Ban Zheng & Franc{c}ois Roueff & Fr'ed'eric Abergel
- 1301.4881 On the optimal allocation of assets in investment portfolio with application of modern portfolio and nonlinear dynamic chaos theories in investment, commercial and central banks
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1301.4869 A simple time-consistent model for the forward density process
by Henrik Hult & Filip Lindskog & Johan Nykvist
- 1301.4832 Measuring Model Risk
by Thomas Breuer & Imre Csiszar
- 1301.4614 Ambiguous volatility and asset pricing in continuous time
by Larry G. Epstein & Shaolin Ji
- 1301.4519 Homogeneously Saturated Model for Development in Time of the Price of an Asset
by Daniel T. Cassidy
- 1301.4442 USLV: Unspanned Stochastic Local Volatility Model
by Igor Halperin & Andrey Itkin
- 1301.4207 Anticipatory Systems, Preferences, Averages: Inflation, Uncertain Phenomena, Management
by Leonid A. Shapiro
- 1301.4194 Financial Portfolio Optimization: Computationally guided agents to investigate, analyse and invest!?
by Ankit Dangi
- 1301.4173 Diversity and no arbitrage
by Attila Herczegh & Vilmos Prokaj & Mikl'os R'asonyi
- 1301.4160 Random cascade model in the limit of infinite integral scale as the exponential of a non-stationary $1/f$ noise. Application to volatility fluctuations in stock markets
by J. F. Muzy & R. Baile & E. Bacry
- 1301.3886 Compact Securities Markets for Pareto Optimal Reallocation of Risk
by David M. Pennock & Michael P. Wellman
- 1301.3826 Value-Based Inventory Management
by Grzegorz Michalski
- 1301.3825 Polish and Silesian Non-Profit Organizations Liquidity Strategies
by Grzegorz Michalski & Aleksander Mercik
- 1301.3824 Planning Optimal From the Firm Value Creation Perspective Levels of Operating Cash Investments
by Grzegorz Michalski
- 1301.3823 Portfolio Management Approach in Trade Credit Decision Making
by Grzegorz Michalski
- 1301.3531 On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
by Dilip Madan & Martijn Pistorius & Mitja Stadje
- 1301.3227 Superreplication under Model Uncertainty in Discrete Time
by Marcel Nutz
- 1301.3118 A parallel implementation of a derivative pricing model incorporating SABR calibration and probability lookup tables
by Qasim Nasar-Ullah
- 1301.3114 Estimating the efficient price from the order flow: a Brownian Cox process approach
by Sylvain Delattre & Christian Y. Robert & Mathieu Rosenbaum
- 1301.3100 On an Optimal Stopping Problem of an Insider
by Erhan Bayraktar & Zhou Zhou
- 1301.3096 On Bankruptcy Game Theoretic Interval Rules
by Rodica Branzei & Marco Dall'Aglio & Stef H. Tijs
- 1301.2964 L\'evy Information and the Aggregation of Risk Aversion
by Dorje C. Brody & Lane P. Hughston
- 1301.2728 Generalised central limit theorems for growth rate distribution of complex systems
by Misako Takayasu & Hayafumi Watanabe & Hideki Takayasu
- 1301.2535 Reinterpretation of Sieczka-Ho{\l}yst financial market model
by Mateusz Denys & Tomasz Gubiec & Ryszard Kutner
- 1301.2530 Structural and topological phase transitions on the German Stock Exchange
by M. Wili'nski & A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik
- 1301.2363 The Community Structure of the Global Corporate Network
by Stefania Vitali & Stefano Battiston
- 1301.2076 Modeling of income distribution in the European Union with the Fokker-Planck equation
by Maciej Jagielski & Ryszard Kutner
- 1301.1893 Dynamics of episodic transient correlations in currency exchange rate returns and their predictability
by Milan v{Z}ukoviv{c}
- 1301.1824 Trust in foreseeing neighbours - a novel threshold model of financial market
by Jan A. Lipski & Ryszard Kutner
- 1301.1496 Multivariate risk measures: a constructive approach based on selections
by Ignacio Cascos & Ilya Molchanov
- 1301.1471 The Foster-Hart Measure of Riskiness for General Gambles
by Frank Riedel & Tobias Hellmann
- 1301.1135 Hawkes model for price and trades high-frequency dynamics
by E. Bacry & J. F Muzy
- 1301.1090 Testing the Goodwin growth-cycle macroeconomic dynamics in Brazil
by N. J. Moura Jr & Marcelo B. Ribeiro
- 1301.1010 Coupling between time series: a network view
by Saeed Mehraban & Amirhossein Shirazi & Maryam Zamani & Gholamreza Jafari
- 1301.0907 On a dynamic adaptation of the Distribution Builder approach to investment decisions
by Phillip Monin
- 1301.0719 Gambling in contests with regret
by Han Feng & David Hobson
- 1301.0381 Optimal replication of random claims by ordinary integrals with applications in finance
by Nikolai Dokuchaev
- 1301.0280 Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
by Salvatore Federico & Paul Gassiat & Fausto Gozzi
- 1301.0186 On Infectious Model for Dependent Defaults
by Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng
- 1301.0109 On Reduced Form Intensity-based Model with Trigger Events
by Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng
- 1301.0091 On the Robust Optimal Stopping Problem
by Erhan Bayraktar & Song Yao
- 1301.0072 The effect of debt on corporate profitability : Evidence from French service sector
by Mazen Kebewar
2012
- 1301.2196 The Role of Social Feedback in Financing of Technology Ventures
by Aleksandar Bradic
- 1301.2169 Consumers behavior of Portuguese wine
by Vitor Joao Pereira Domingues Martinho
- 1301.0594 Modelling Information Incorporation in Markets, with Application to Detecting and Explaining Events
by David M Pennock & Sandip Debnath & Eric Glover & C. Lee Giles
- 1301.0007 Trading networks, abnormal motifs and stock manipulation
by Zhi-Qiang Jiang & Wen-Jie Xie & Xiong Xiong & Wei Zhang & Yong-Jie Zhang & W. -X. Zhou
- 1212.6906 Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors
by Victor Chernozhukov & Denis Chetverikov & Kengo Kato
- 1212.6795 La structure du capital et la profitabilit\'e: Le cas des entreprises industrielles fran\c{c}aises
by Mazen Kebewar
- 1212.6791 The normaly distributed daily returns in stock trading
by Younes Ben-Ghabrit
- 1212.6732 A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents
by Samuel Drapeau & Michael Kupper & Antonis Papapantoleon
- 1212.6601 Strategy switches and co-action equilibria in a minority game
by V. Sasidevan & Deepak Dhar
- 1212.6300 The Kinetics of Wealth and the Origin of the Pareto Law
by Bruce M. Boghosian
- 1212.6275 Homogenization and asymptotics for small transaction costs: the multidimensional case
by Dylan Possamai & H. Mete Soner & Nizar Touzi
- 1212.6016 Modeling Financial Volatility in the Presence of Abrupt Changes
by Gordon J. Ross
- 1212.5563 Multiportfolio time consistency for set-valued convex and coherent risk measures
by Zachary Feinstein & Birgit Rudloff
- 1212.5395 A unified approach to pricing and risk management of equity and credit risk
by Claudio Fontana & Juan Miguel A. Montes
- 1212.5070 On the scaling range of power-laws originated from fluctuation analysis
by Grech Dariusz & Mazur Zygmunt
- 1212.4894 On controller-stopper problems with jumps and their applications to indifference pricing of American options
by Erhan Bayraktar & Zhou Zhou
- 1212.4890 Bollinger Bands Thirty Years Later
by Mark Leeds
- 1212.4770 Market Impact with Autocorrelated Order Flow under Perfect Competition
by Jonathan Donier
- 1212.4751 Opinion formation model for markets with a social temperature and fear
by Sebastian M. Krause & Stefan Bornholdt
- 1212.4293 Information content of financial markets: a practical approach based on Bohmian quantum mechanics
by F. Tahmasebi & S. Meskini & A. Namaki & G. R. Jafari
- 1212.4279 A Note on "A Family of Maximum Entropy Densities Matching Call Option Prices"
by Cassio Neri & Lorenz Schneider
- 1212.4126 Risk Measures in a Regime Switching Model Capturing Stylized Facts
by Rainer Haidinger & Richard Warnung
- 1212.3958 Dynamic quasi-concave performance measures
by Sara Biagini & Jocelyne Bion-Nadal
- 1212.3716 The art of probability-of-default curve calibration
by Dirk Tasche
- 1212.3267 Semi-parametric Bayesian Partially Identified Models based on Support Function
by Yuan Liao & Anna Simoni
- 1212.3195 Non stationary multifractality in stock returns
by Raffaello Morales & T. Di Matteo & Tomaso Aste
- 1212.3147 Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models
by Guoping Xu & Harry Zheng
- 1212.3145 Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact
by Baojun Bian & Nan Wu & Harry Zheng
- 1212.3137 Smooth Value Function with Applications in Wealth-CVaR Efficient Portfolio and Turnpike Property
by Baojun Bian & Harry Zheng
- 1212.2833 The Illusion of the Perpetual Money Machine
by D. Sornette & P. Cauwels
- 1212.2676 Mining the Web for the Voice of the Herd to Track Stock Market Bubbles
by Aaron Gerow & Mark Keane
- 1212.2473 A Linear Belief Function Approach to Portfolio Evaluation
by Liping Liu & Catherine Shenoy & Prakash P. Shenoy
- 1212.2189 Transition in the Waiting-Time Distribution of Price-Change Events in a Global Socioeconomic System
by Guannan Zhao & Mark McDonald & Dan Fenn & Stacy Williams & Neil F. Johnson
- 1212.2140 Optimal stopping under adverse nonlinear expectation and related games
by Marcel Nutz & Jianfeng Zhang
- 1212.2129 Online Portfolio Selection: A Survey
by Bin Li & Steven C. H. Hoi
- 1212.1946 Econophysics in Belgium. The first (?) 15 years
by Marcel Ausloos
- 1212.1919 Stochastic PDEs and Quantitative Finance: The Black-Scholes-Merton Model of Options Pricing and Riskless Trading
by Brandon Kaplowitz & Siddharth G. Reddy
- 1212.1877 Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage
by Winslow Strong
- 1212.1679 The Greek Public Debt Path: From Zero to Infinity
by Dimitris Sardelis
- 1212.1661 Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources
by Ivan Kitov
- 1212.1377 Multilevel Monte Carlo methods for applications in finance
by Mike Giles & Lukasz Szpruch
- 1212.1286 Predicting economic growth with classical physics and human biology
by Hans G. Danielmeyer & Thomas Martinetz
- 1212.1282 The physics of business cycles and inflation
by Hans G. Danielmeyer & Thomas Martinetz
- 1212.1061 Study of a Market Model with Conservative Exchanges on Complex Networks
by L. A. Braunstein & P. A. Macri & J. R. Iglesias
- 1212.1037 Modeling Movements in Oil, Gold, Forex and Market Indices using Search Volume Index and Twitter Sentiments
by Tushar Rao & Saket Srivastava
- 1212.0781 Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model
by Maria B. Chiarolla & Tiziano De Angelis
- 1212.0779 Asymptotics of forward implied volatility
by Antoine Jacquier & Patrick Roome
- 1212.0479 Modeling non-stationarities in high-frequency financial time series
by Linda Ponta & Mailan Trinh & Marco Raberto & Enrico Scalas & Silvano Cincotti
- 1212.0476 Second-order BSDEs with general reflection and game options under uncertainty
by Anis Matoussi & Lambert Piozin & Dylan Possamai
- 1212.0442 Some New Asymptotic Theory for Least Squares Series: Pointwise and Uniform Results
by Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Kengo Kato
- 1212.0440 Maximum Entropy distributions of correlated variables with prespecified marginals
by Hern'an Larralde
- 1212.0380 A note on estimating stochastic volatility and its volatility: a new simple method
by Moawia Alghalith
- 1212.0354 Effect of detrending on multifractal characteristics
by P. O'swik{e}cimka & S. Dro.zd.z & J. Kwapie'n & A. Z. G'orski
- 1212.0092 Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling
by J. L. van Velsen
- 1211.7365 On optimal dividends in the dual model
by Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki
- 1211.7172 Statistical Microeconomics
by Belal E. Baaquie
- 1211.6695 Unstable Price Dynamics as a Result of Information Absorption in Speculative Markets
by Felix Patzelt & Klaus R. Pawelzik
- 1211.6667 High Frequency Trading and Mini Flash Crashes
by Anton Golub & John Keane & Ser-Huang Poon
- 1211.6525 The Pricing Mechanism of Contingent Claims and its Generating Function
by Shige Peng
- 1211.6517 Momentum universe shrinkage effect in price momentum
by Jaehyung Choi & Sungsoo Choi & Wonseok Kang
- 1211.6349 Will Central Counterparties become the New Rating Agencies?
by Chris Kenyon & Andrew Green
- 1211.5867 An FBSDE Approach to American Option Pricing with an Interacting Particle Method
by Masaaki Fujii & Seisho Sato & Akihiko Takahashi
- 1211.5858 Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance
by Nikolai Dokuchaev
- 1211.5819 New stochastic calculus
by Moawia Alghalith
- 1211.5816 Relaxing the Differentiability Assumption in Taylor Theorem and Optimization: Applications to the HJB PDE and Finance
by Moawia Alghalith
- 1211.5726 Application of simplest random walk algorithms for pricing barrier options
by M. Krivko & M. V. Tretyakov
- 1211.5628 Optimal portfolio model based on WVAR
by Tianyu Hao
- 1211.5575 Heterogeneous Enterprises in a Macroeconomic Agent-Based Model
by Cornelia Metzig & Mirta Gordon
- 1211.5517 CDS pricing under Basel III: capital relief and default protection
by Chris Kenyon & Andrew Green
- 1211.5502 Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
by Wen-Jie Xie & Zhi-Qiang Jiang & Wei-Xing Zhou
- 1211.5235 Optimal portfolio for a robust financial system
by Yoshiharu Maeno & Kenji Nishiguchi & Satoshi Morinaga & Hirokazu Matsushima
- 1211.5035 Optimal hedging in discrete time
by Bruno R'emillard & Sylvain Rubenthaler
- 1211.4978 Can there be an explicit formula for implied volatility?
by Stefan Gerhold
- 1211.4946 The Calculus of Expected Loss: Backtesting Parameter-Based Expected Loss in a Basel II Framework
by Wolfgang Reitgruber
- 1211.4686 Testing the weak-form efficiency of the WTI crude oil futures market
by Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou
- 1211.4636 On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Ito processes
by Paul M. N. Feehan & Camelia Pop
- 1211.4598 How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related
by Tahir Choulli & Jun Deng & Junfeng Ma
- 1211.4416 An overview of the goodness-of-fit test problem for copulas
by Jean-David Fermanian
- 1211.4396 European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
by R. E. Caflisch & G. Gambino & M. Sammartino & C. Sgarra
- 1211.4282 Inference on Sets in Finance
by Victor Chernozhukov & Emre Kocatulum & Konrad Menzel
- 1211.4173 Closed form solutions of measures of systemic risk
by Manfred Jaeger-Ambrozewicz
- 1211.4157 Modeling First Line Of An Order Book With Multivariate Marked Point Processes
by Alexis Fauth & Ciprian A. Tudor
- 1211.4108 On the Risk Management with Application of Econophysics Analysis in Central Banks and Financial Institutions
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1211.3824 Les r\'eservations et les suspensions de cotation sont-elles un frein \`a l'efficience informationnelle des march\'es ?
by Karine Michalon
- 1211.3599 Network analysis of correlation strength between the most developed countries
by Janusz Mi'skiewicz
- 1211.3102 Can we predict long-run economic growth?
by Timothy J. Garrett
- 1211.3060 Analysis of short term price trends in daily stock-market index data
by H. F. Coronel-Brizio & A. R. Hern'andez Montoya & H. R Olivares S'anchez & E. Scalas
- 1211.2862 Hurst Exponents For Short Time Series
by Jingzhao Qi & Huijie Yang
- 1211.2754 Coal Enterprise Management and Asynchronism of Return
by Kenan Qiao
- 1211.2709 Can we explain unexpected fluctuations of long-term real interest rate?
by Barbora Voln'a
- 1211.2078 Market Liquidity and Convexity of Order Book (Evidence From China)
by Kenan Qiao
- 1211.1938 A quantum mechanical model for the rate of return
by Liviu-Adrian Cotfas
- 1211.1919 High-Frequency Trading Synchronizes Prices in Financial Markets
by Austin Gerig
- 1211.1897 On the new central bank strategy toward monetary and financial instabilities management in finances: Econophysical analysis of nonlinear dynamical financial systems
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1211.1564 Funded Bilateral Valuation Adjustment
by Lorenzo Giada & Claudio Nordio
- 1211.1286 Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets
by Salvatore Federico & Paul Gassiat
- 1211.1285 Impact of time illiquidity in a mixed market without full observation
by Salvatore Federico & Paul Gassiat & Fausto Gozzi
- 1211.0856 Heat Kernel Framework for Asset Pricing in Finite Time
by Andrea Macrina
- 1211.0707 Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
by Karolina Bujok & Ben Hambly & Christoph Reisinger
- 1211.0443 Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs
by Irene Klein & Emmanuel Lepinette & Lavinia Ostafe
- 1211.0412 On an integral equation for the free-boundary of stochastic, irreversible investment problems
by Giorgio Ferrari
- 1211.0225 The role of the Model Validation function to manage and mitigate model risk
by Alberto Elices
- 1211.0130 The full-tails gamma distribution applied to model extreme values
by Joan del castillo & Jalila Daoudi & Isabel Serra
- 1210.8380 Market structure explained by pairwise interactions
by Thomas Bury
- 1210.8175 A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation
by Ren'e Aid & Luciano Campi & Nicolas Langren'e & Huy^en Pham
- 1210.7721 Halton-type sequences from global function fields
by Harald Niederreiter & Anderson Siang Jing Yeo
- 1210.7642 Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables
by J. Martin van Zyl
- 1210.7608 Execution and block trade pricing with optimal constant rate of participation
by Olivier Gu'eant
- 1210.7510 Isobenefit Lines, Breaking Point of equal attraction, Uniformity Benefit, Variety Value and Proximity Value, Preference Gap Gain
by Luca D'Acci
- 1210.7329 The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
by Marco Bianchetti
- 1210.7257 Uniqueness of Kusuoka Representations
by Alois Pichler & Alexander Shapiro
- 1210.7230 A Model of Market Limit Orders By Stochastic PDE's, Parameter Estimation, and Investment Optimization
by Zhi Zheng & Richard B. Sowers
- 1210.7215 Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets
by Kylie-Anne Richards & Gareth W. Peters & William Dunsmuir
- 1210.7111 Generalised arbitrage-free SVI volatility surfaces
by Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt
- 1210.6958 Dual Regression
by Richard Spady & Sami Stouli