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Content
2011
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
- 1012.1297 LASSO Methods for Gaussian Instrumental Variables Models
by Alexandre Belloni & Victor Chernozhukov & Christian Hansen
- 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