Content
2009
- 0912.4404 Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
by Damiano Brigo & Massimo Morini & Marco Tarenghi - 0912.4312 From the decompositions of a stopping time to risk premium decompositions
by Delia Coculescu - 0912.3771 Tremor price dynamics in the world's network of stock exchanges
by Jorgen Vitting Andersen & Andrzej Nowak & Giulia Rotundo & Lael Parrott - 0912.3652 Levy Random Bridges and the Modelling of Financial Information
by Edward Hoyle & Lane P. Hughston & Andrea Macrina - 0912.3516 Tails of correlation mixtures of elliptical copulas
by Hans Manner & Johan Segers - 0912.3390 Multifractal dynamics of stock markets
by Dariusz Grech & Lukasz Czarnecki - 0912.3362 Asymptotic Power Utility-Based Pricing and Hedging
by Jan Kallsen & Johannes Muhle-Karbe & Richard Vierthauer - 0912.3132 Multiple defaults and contagion risks
by Ying Jiao - 0912.3031 Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
by Damiano Brigo & Marco Tarenghi - 0912.3028 Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
by Damiano Brigo & Marco Tarenghi - 0912.2816 The Bivariate Normal Copula
by Christian Meyer - 0912.2595 Exotic derivatives under stochastic volatility models with jumps
by Aleksandar Mijatovi'c & Martijn Pistorius - 0912.2016 Superfamily classification of nonstationary time series based on DFA scaling exponents
by Chuang Liu & Wei-Xing Zhou - 0912.1985 Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations
by Hiroshi Iyetomi & Yasuhiro Nakayama & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma - 0912.1925 The first passage event for sums of dependent L\'evy processes with applications to insurance risk
by Irmingard Eder & Claudia Kluppelberg - 0912.1885 Power Utility Maximization in Constrained Exponential L\'evy Models
by Marcel Nutz - 0912.1883 The Bellman equation for power utility maximization with semimartingales
by Marcel Nutz - 0912.1879 The Opportunity Process for Optimal Consumption and Investment with Power Utility
by Marcel Nutz - 0912.1841 A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances
by Brice Franke & Michael Stolz - 0912.1617 Homogeneous Volatility Bridge Estimators
by Alexander Saichev & Didier Sornette & Vladimir Filimonov & Fulvio Corsi - 0912.1534 Evolutionary multi-stage financial scenario tree generation
by Ronald Hochreiter - 0912.1396 Time consistency and moving horizons for risk measures
by Samuel N. Cohen & Robert J. Elliott - 0912.1321 Early exercise boundary for American type of floating strike Asian option and its numerical approximation
by Tomas Bokes & Daniel Sevcovic - 0912.1037 About Some Applications of Kolmogorov Equations to the Simulation of Financial Institutions Activity
by Mikhail I. Rumyantsev - 0912.0857 What Causes Business Cycles? Analysis of the Japanese Industrial Production Data
by Hiroshi Iyetomi & Yasuhiro Nakayama & Hiroshi Yoshikawa & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma - 0912.0434 Appraisal of a contour integral method for the Black-Scholes and Heston equations
by K. J. in 't Hout & J. A. C. Weideman - 0912.0372 Variance Optimal Hedging for continuous time processes with independent increments and applications
by St'ephane Goutte & Nadia Oudjane & Francesco Russo - 0911.5579 Asymptotic behavior of prices of path dependent options
by Yuji Hishida & Kenji Yasutomi - 0911.5503 Finitely additive probabilities and the Fundamental Theorem of Asset Pricing
by Constantinos Kardaras - 0911.5117 Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
by Benjamin Jourdain & Michel Vellekoop - 0911.5048 Resilience of Volatility
by Sergey S. Stepanov - 0911.4859 On the Performance of Delta Hedging Strategies in Exponential L\'evy Models
by Stephan Denkl & Martina Goy & Jan Kallsen & Johannes Muhle-Karbe & Arnd Pauwels - 0911.4801 Existence of Shadow Prices in Finite Probability Spaces
by Jan Kallsen & Johannes Muhle-Karbe - 0911.4763 Causal Links Between US Economic Sectors
by Gladys Hui Ting Lee & Yiting Zhang & Jian Cheng Wong & Manamohan Prusty & Siew Ann Cheong - 0911.4679 Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect
by Johannes Vitalis Siven & Jeffrey Todd Lins - 0911.4259 Financial rogue waves
by Zhenya Yan - 0911.4258 Statistical Regularities of Equity Market Activity
by Fengzhong Wang & Kazuko Yamasaki & Shlomo Havlin & H. Eugene Stanley - 0911.4207 An information theoretic approach to statistical dependence: copula information
by Rafael S. Calsaverini & Renato Vicente - 0911.4039 Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities
by Nathalie Rey - 0911.4030 The StressVaR: A New Risk Concept for Superior Fund Allocation
by Cyril Coste & Raphael Douady & Ilija I. Zovko - 0911.3802 A Coupled Markov Chain Approach to Credit Risk Modeling
by David Wozabal & Ronald Hochreiter - 0911.3789 On the Existence of Consistent Price Systems
by Erhan Bayraktar & Mikko S. Pakkanen & Hasanjan Sayit - 0911.3608 Utility maximization in models with conditionally independent increments
by Jan Kallsen & Johannes Muhle-Karbe - 0911.3472 Les G\'en\'erateurs de Sc\'enarios \'Economiques : quelle utilisation en assurance?
by Alaeddine Faleh & Fr'ed'eric Planchet & Didier Rulli`ere - 0911.3331 Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
by Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou - 0911.3194 Mutual Fund Theorem for continuous time markets with random coefficients
by Nikolai Dokuchaev - 0911.3117 Optimal investment with inside information and parameter uncertainty
by Albina Danilova & Michael Monoyios & Andrew Ng - 0911.3099 Financial crises and the evaporation of trust
by Kartik Anand & Prasanna Gai & Matteo Marsili - 0911.3045 Sign and amplitude representation of the forex networks
by Sylwia Gworek & Jaroslaw Kwapien & Stanislaw Drozdz - 0911.3043 Robust utility maximization for diffusion market model with misspecified coefficients
by R. Tevzadze & T. Toronjadze - 0911.2992 Asymptotic formulae for implied volatility in the Heston model
by Martin Forde & Antoine Jacquier & Aleksandar Mijatovic - 0911.2834 Coupling Index and Stocks
by Benjamin Jourdain & Mohamed Sbai - 0911.2757 On affine interest rate models
by Paul Lescot - 0911.2229 Bernstein processes, Euclidean Quantum Mechanics and Interest Rate Models
by Paul Lescot - 0911.1921 Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times
by Li Lin & Didier Sornette - 0911.1834 Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model
by Vladimir G. Ivancevic - 0911.1694 Regularizing Portfolio Optimization
by Susanne Still & Imre Kondor - 0911.1662 A Dynamic Model for Credit Index Derivatives
by Louis Paulot - 0911.1610 Pricing Fixed-Income Securities in an Information-Based Framework
by Lane P. Hughston & Andrea Macrina - 0911.1575 Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups
by Hongzhong Zhang & Olympia Hadjiliadis - 0911.1119 Bonds with volatilities proportional to forward rates
by Michal Baran & Jerzy Zabczyk - 0911.0928 Empirical asset pricing with nonlinear risk premia
by Aleksandar Mijatovic & Paul Schneider - 0911.0805 Market Implied Probability Distributions and Bayesian Skew Estimation
by Ulrich Kirchner - 0911.0750 Discrete-Time Interest Rate Modelling
by Lane P. Hughston & Andrea Macrina - 0911.0562 A remark on Gatheral's 'most-likely path approximation' of implied volatility
by Martin Keller-Ressel & Josef Teichmann - 0911.0454 The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations
by Didier Sornette & Ryan Woodard & Maxim Fedorovsky & Stefan Reimann & Hilary Woodard & Wei-Xing Zhou - 0911.0373 Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models
by Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon - 0911.0223 Analytical Framework for Credit Portfolios. Part I: Systematic Risk
by Mikhail Voropaev - 0911.0113 Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis
by Ljudmila A. Bordag - 0911.0057 Scaling and memory in the non-poisson process of limit order cancelation
by Xiao-Hui Ni & Zhi-Qiang Jiang & Gao-Feng Gu & Fei Ren & Wei Chen & Wei-Xing Zhou - 0910.5655 Dual Quantization for random walks with application to credit derivatives
by Gilles Pag`es & Benedikt Wilbertz - 0910.5398 Inf-convolution of G-expectations
by Xuepeng Bai & Rainer Buckdahn - 0910.5185 Nonparametric methods for volatility density estimation
by Bert van Es & Peter Spreij & Harry van Zanten - 0910.5101 Optimal partial hedging in a discrete-time market as a knapsack problem
by Peter G. Lindberg - 0910.5033 A Heat Kernel Approach to Interest Rate Models
by Jiro Akahori & Yuji Hishida & Josef Teichmann & Takahiro Tsuchiya - 0910.4941 Old and new approaches to LIBOR modeling
by Antonis Papapantoleon - 0910.4348 Complex Systems: From Nuclear Physics to Financial Markets
by J. Speth & S. Drozdz & F. Gruemmer - 0910.4257 Obstacle problem for Arithmetic Asian options
by Laura Monti & Andrea Pascucci - 0910.4177 Exact Simulation of Bessel Diffusions
by Roman N. Makarov & Devin Glew - 0910.3936 Admissible Strategies in Semimartingale Portfolio Selection
by Sara Biagini & Alev{s} v{C}ern'y - 0910.3695 Has the world economy reached its globalization limit?
by Janusz Miskiewicz & Marcel Ausloos - 0910.3258 Hedging in an equilibrium-based model for a large investor
by David German - 0910.2909 Compensating asynchrony effects in the calculation of financial correlations
by Michael C. Munnix & Rudi Schafer & Thomas Guhr - 0910.2696 Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
by Igor Halperin - 0910.2524 Universal and nonuniversal allometric scaling behaviors in the visibility graphs of world stock market indices
by Meng-Cen Qian & Zhi-Qiang Jiang & Wei-Xing Zhou - 0910.2474 Multifractal analysis and instability index of prior-to-crash market situations
by M. Piacquadio & F. O. Redelico - 0910.2465 Complete Characterization of Functions Satisfying the Conditions of Arrow's Theorem
by Elchanan Mossel & Omer Tamuz - 0910.2447 Activity Dependent Branching Ratios in Stocks, Solar X-ray Flux, and the Bak-Tang-Wiesenfeld Sandpile Model
by Elliot Martin & Amer Shreim & Maya Paczuski - 0910.2367 Risk Concentration and Diversification: Second-Order Properties
by Matthias Degen & Dominik D. Lambrigger & Johan Segers - 0910.2309 Closed form asymptotics for local volatility models
by Wen Cheng & Nick Costanzino & John Liechty & Anna Mazzucato & Victor Nistor - 0910.2091 BSDEs with random default time and their applications to default risk
by Shige Peng & Xiaoming Xu - 0910.1671 Geometric Arbitrage Theory and Market Dynamics Reloaded
by Simone Farinelli - 0910.1430 State price density estimation via nonparametric mixtures
by Ming Yuan - 0910.1394 Statistical mixing and aggregation in Feller diffusion
by Celia Anteneodo & Silvio M. Duarte Queiros - 0910.1205 Financial Applications of Random Matrix Theory: a short review
by J. P. Bouchaud & M. Potters - 0910.1166 Optimal split of orders across liquidity pools: a stochastic algorithm approach
by Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es - 0910.0545 A general "bang-bang" principle for predicting the maximum of a random walk
by Pieter C. Allaart - 0910.0236 Joint Modelling of Gas and Electricity spot prices
by Noufel Frikha & Vincent Lemaire - 0910.0137 Affine processes on positive semidefinite matrices
by Christa Cuchiero & Damir Filipovi'c & Eberhard Mayerhofer & Josef Teichmann - 0910.0087 Wavelet Based Volatility Clustering Estimation of Foreign Exchange Rates
by A. N. Sekar Iyengar - 0910.0064 Eroding market stability by proliferation of financial instruments
by Fabio Caccioli & Matteo Marsili & Pierpaolo Vivo - 0909.5389 A Steady State Solution to a Mortgage Pricing Problem
by Dejun Xie - 0909.4948 Optimal Stopping for Dynamic Convex Risk Measures
by Erhan Bayraktar & Ioannis Karatzas & Song Yao - 0909.4815 Stability analysis with applications of a two-dimensional dynamical system arising from a stochastic model of an asset market
by Vladimir Belitsky & Antonio L. Pereira & Fernando P. de Almeida Prado - 0909.4765 Linear stochastic volatility models
by Jacek Jakubowski & Maciej Wisniewolski - 0909.4730 Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
by Wael Bahsoun & Igor V. Evstigneev & Michael I. Taksar - 0909.4089 Defaultable bonds with an infinite number of Levy factors
by Jacek Jakubowski & Mariusz Nieweglowski - 0909.3984 Weighted Trade Network in a Model of Preferential Bipartite Transactions
by Abhijit Chakraborty & S. S. Manna - 0909.3978 A Generalized Fourier Transform Approach to Risk Measures
by G. Bormetti & V. Cazzola & G. Livan & G. Montagna & O. Nicrosini - 0909.3891 Stock Market Trading Via Stochastic Network Optimization
by Michael J. Neely - 0909.3890 The Building Blocks of Economic Complexity
by Cesar A. Hidalgo & Ricardo Hausmann - 0909.3655 Utility Function and Optimum Consumption in the models with Habit Formation and Catching up with the Joneses
by Roman Naryshkin & Matt Davison - 0909.3570 On the rates of convergence of simulation based optimization algorithms for optimal stopping problems
by Denis Belomestny - 0909.3482 Schumpeterian economic dynamics as a quantifiable minimum model of evolution
by Stefan Thurner & Peter Klimek & Rudolf Hanel - 0909.3441 Introduction into "Local Correlation Modelling"
by Alex Langnau - 0909.3363 Optimal double stopping time
by Magdalena Kobylanski & Marie-Claire Quenez & Elisabeth Rouy-Mironescu - 0909.3244 Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
by Fulvio Baldovin & Dario Bovina & Francesco Camana & Attilio L. Stella - 0909.3219 Upper and lower bounds on dynamic risk indifference prices in incomplete markets
by Xavier De Scheemaekere - 0909.2885 Financial bubbles analysis with a cross-sectional estimator
by Frederic Abergel & Nicolas Huth & Ioane Muni Toke - 0909.2624 Double Kernel estimation of sensitivities
by Romuald Elie - 0909.2341 Generalized integrands and bond portfolios: Pitfalls and counter examples
by Erik Taflin - 0909.1974 Econophysics: Empirical facts and agent-based models
by Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel - 0909.1690 The scale of market quakes
by T. Bisig & A. Dupuis & V. Impagliazzo & R. B. Olsen - 0909.1478 Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme
by Tetsuya Takaishi - 0909.1383 Hidden Noise Structure and Random Matrix Models of Stock Correlations
by Ivailo I. Dimov & Petter N. Kolm & Lee Maclin & Dan Y. C. Shiber - 0909.1142 Optimal intervention in the foreign exchange market when interventions affect market dynamics
by Alec N. Kercheval & Juan F. Moreno - 0909.1007 Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
by Zhi-Qiang Jiang & Wei-Xing Zhou & Didier Sornette & Ryan Woodard & Ken Bastiaensen & Peter Cauwels - 0909.0418 World stock market: more sizeable trend reversal likely in February/March 2010
by Stanislaw Drozdz & Pawel Oswiecimka - 0909.0123 Recurrence interval analysis of high-frequency financial returns and its application to risk estimation
by Fei Ren & Wei-Xing Zhou - 0909.0065 Hybrid Atlas models
by Tomoyuki Ichiba & Vassilios Papathanakos & Adrian Banner & Ioannis Karatzas & Robert Fernholz - 0908.4580 A Computational View of Market Efficiency
by Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola - 0908.4538 Optimal reinsurance/investment problems for general insurance models
by Yuping Liu & Jin Ma - 0908.4299 Correlation breakdown, copula credit default models and arbitrage
by Rodanthy Tzani & Alexios P. Polychronakos - 0908.4028 Continuously monitored barrier options under Markov processes
by Aleksandar Mijatovic & Martijn Pistorius - 0908.3661 Applications of weak convergence for hedging of game options
by Yan Dolinsky - 0908.3196 A policyholder's utility indifference valuation model for the guaranteed annuity option
by Matheus R Grasselli & Sebastiano Silla - 0908.3043 Gauge Invariance, Geometry and Arbitrage
by Samuel E. Vazquez & Simone Farinelli - 0908.2982 Bayesian inference with an adaptive proposal density for GARCH models
by Tetsuya Takaishi - 0908.2455 Second Order Risk
by Peter G. Shepard - 0908.2086 The International-Trade Network: Gravity Equations and Topological Properties
by Giorgio Fagiolo - 0908.1926 High order discretization schemes for stochastic volatility models
by Benjamin Jourdain & Mohamed Sbai - 0908.1879 Multinetwork of international trade: A commodity-specific analysis
by Matteo Barigozzi & Giorgio Fagiolo & Diego Garlaschelli - 0908.1677 Most Efficient Homogeneous Volatility Estimators
by A. Saichev & D. Sornette & V. Filimonov - 0908.1555 Leverage Causes Fat Tails and Clustered Volatility
by Stefan Thurner & J. Doyne Farmer & John Geanakoplos - 0908.1444 Portfolio Optimization Under Uncertainty
by Alex Dannenberg - 0908.1211 Optimal execution of Portfolio transactions with geometric price process
by Gerardo Hernandez-del-Valle & Carlos Pacheco-Gonzalez - 0908.1089 The components of empirical multifractality in financial returns
by Wei-Xing Zhou - 0908.1086 On the uniqueness of classical solutions of Cauchy problems
by Erhan Bayraktar & Hao Xing - 0908.1082 Strict Local Martingale Deflators and Pricing American Call-Type Options
by Erhan Bayraktar & Constantinos Kardaras & Hao Xing - 0908.1014 Selling a stock at the ultimate maximum
by Jacques du Toit & Goran Peskir - 0908.0949 A queueing theory description of fat-tailed price returns in imperfect financial markets
by H. Lamba - 0908.0840 Robust mean-variance hedging in the single period model
by R. Tevzadze & T. Uzunashvili - 0908.0682 Global risk minimization in financial markets
by Andreas Martin Lisewski - 0908.0348 The Structure and Growth of Weighted Networks
by Massimo Riccaboni & Stefano Schiavo - 0908.0202 Market impact and trading profile of large trading orders in stock markets
by Esteban Moro & Javier Vicente & Luis G. Moyano & Austin Gerig & J. Doyne Farmer & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna - 0908.0111 Statistical Signatures in Times of Panic: Markets as a Self-Organizing System
by Lisa Borland - 0907.5600 Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions
by Anca Gheorghiu & Ion Spanulescu - 0907.5599 Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
by Denis Belomestny - 0907.5363 Dynamical complexity and symplectic integrability
by Jean-Pierre Marco - 0907.5325 Systemic Risk in a Unifying Framework for Cascading Processes on Networks
by Jan Lorenz & Stefano Battiston & Frank Schweitzer - 0907.5276 Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme
by Tetsuya Takaishi - 0907.4964 A note on heterogeneous beliefs with CRRA utilities
by A. A. Brown - 0907.4953 Heterogeneous Beliefs with Finite-Lived Agents
by A. A. Brown & L. C. G. Rogers - 0907.4950 Heterogeneous Beliefs with Partial Observations
by A. A. Brown - 0907.4136 Binomial Approximations for Barrier Options of Israeli Style
by Yan Dolinsky & Yuri Kifer - 0907.4093 Preferences Yielding the "Precautionary Effect"
by Michel De Lara - 0907.3301 A stochastic reachability approach to portfolio construction in finance industry
by Giordano Pola & Gianni Pola - 0907.3284 Modified detrended fluctuation analysis based on empirical mode decomposition
by Xi-Yuan Qian & Wei-Xing Zhou & Gao-Feng Gu - 0907.3282 An Optimal Execution Problem with Market Impact
by Takashi Kato - 0907.3273 New procedures for testing whether stock price processes are martingales
by Kei Takeuchi & Akimichi Takemura & Masayuki Kumon - 0907.3231 Phenomenology of minority games in efficient regime
by Karol Wawrzyniak & Wojciech Wislicki - 0907.3092 Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
by Nicola Cufaro Petroni & Piergiacomo Sabino - 0907.2926 Dual Stochastic Transformations of Solvable Diffusions
by Giuseppe Campolieti & Roman N. Makarov - 0907.2866 Quantitative features of multifractal subtleties in time series
by Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka & Rafal Rak - 0907.2541 Perfect and partial hedging for swing game options in discrete time
by Y. Dolinsky & Y. Iron & Y. Kifer - 0907.2531 A quantum statistical approach to simplified stock markets
by Fabio Bagarello - 0907.2203 Optimal investment on finite horizon with random discrete order flow in illiquid markets
by Paul Gassiat & Huyen Pham & Mihai Sirbu - 0907.1853 Housing Market Microstructure
by Hazer Inaltekin & Robert Jarrow & Mehmet Saglam & Yildiray Yildirim - 0907.1827 The Chinese Equity Bubble: Ready to Burst
by K. Bastiaensen & P. Cauwels & D. Sornette & R. Woodard & W. -X. Zhou - 0907.1221 Credit risk premia and quadratic BSDEs with a single jump
by Stefan Ankirchner & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel - 0907.0941 Differentiability of quadratic BSDEs generated by continuous martingales
by Peter Imkeller & Anthony R'eveillac & Anja Richter - 0907.0645 An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
by Giorgia Callegaro & Abass Sagna - 0907.0554 Temporal structure and gain/loss asymmetry for real and artificial stock indices
by Johannes Vitalis Siven & Jeffrey Todd Lins - 0906.5581 Strong Taylor approximation of stochastic differential equations and application to the L\'evy LIBOR model
by Antonis Papapantoleon & Maria Siopacha - 0906.5489 Improved and Developed Upper Bound of Price of Anarchy in Two Echelon Case
by T. Shinzato & I. Kaku - 0906.5249 Universal Correlations and Power-Law Tails in Financial Covariance Matrices
by Gernot Akemann & Jonit Fischmann & Pierpaolo Vivo - 0906.4853 Shaping tail dependencies by nesting box copulas
by Christoph Hummel - 0906.4838 Forecasting Model for Crude Oil Price Using Artificial Neural Networks and Commodity Futures Prices
by Siddhivinayak Kulkarni & Imad Haidar - 0906.4456 Path integral approach to Asian options in the Black-Scholes model
by Jeroen P. A. Devreese & Damiaan Lemmens & Jacques Tempere - 0906.4316 Constructive Decision Theory
by Lawrence Blume & David Easley & Joseph Y. Halpern - 0906.4112 Gravity Dual for Reggeon Field Theory and Non-linear Quantum Finance
by Yu Nakayama - 0906.4092 Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
by Daniel T. Cassidy & Michael J. Hamp & Rachid Ouyed - 0906.3968 A Bayesian Networks Approach to Operational Risk
by V. Aquaro & M. Bardoscia & R. Bellotti & A. Consiglio & F. De Carlo & G. Ferri - 0906.3841 Model for Non-Gaussian Intraday Stock Returns
by Austin Gerig & Javier Vicente & Miguel A. Fuentes - 0906.3425 Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
by Laetitia Andrieu & Michel De Lara & Babacar Seck - 0906.2271 Portfolio optimization when expected stock returns are determined by exposure to risk
by Carl Lindberg - 0906.2100 De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process
by Irmina Czarna & Zbigniew Palmowski - 0906.1899 Money Distributions in Chaotic Economies
by Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz