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Content
2009
- 0906.1512 Economic interactions and the distribution of wealth
by Davide Fiaschi & Matteo Marsili
- 0906.1462 Spiraling toward market completeness and financial instability
by Matteo Marsili
- 0906.1444 High frequency market microstructure noise estimates and liquidity measures
by Yacine Ait-Sahalia & Jialin Yu
- 0906.1387 Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement
by A. Zaccaria & M. Cristelli & V. Alfi & F. Ciulla & L. Pietronero
- 0906.0999 The premium of dynamic trading
by Chun Hung Chiu & Xun Yu Zhou
- 0906.0702 Optimal Redeeming Strategy of Stock Loans
by Min Dai & Zuo Quan Xu
- 0906.0678 Continuous-Time Markowitz's Model with Transaction Costs
by Min Dai & Zuo Quan Xu & Xun Yu Zhou
- 0906.0658 Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
by Louis Paulot
- 0906.0480 Analysis of a network structure of the foreign currency exchange market
by Jaroslaw Kwapien & Sylwia Gworek & Stanislaw Drozdz & Andrzej Gorski
- 0906.0394 Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
by A. Gulisashvili
- 0906.0392 Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
by A. Gulisashvili & E. M. Stein
- 0906.0208 An example of a stochastic equilibrium with incomplete markets
by Gordan Zitkovic
- 0905.4912 Dynamical Clustering of Exchange Rates
by Daniel J. Fenn & Mason A. Porter & Peter J. Mucha & Mark McDonald & Stacy Williams & Neil F. Johnson & Nick S. Jones
- 0905.4815 Trading leads to scale-free self-organization
by M. Ebert & W. Paul
- 0905.4793 Class formation in a social network with asset exchange
by Christian H. Sanabria & R. Huerta-Quintanilla & M. Rodriguez-Achach
- 0905.4740 Jump-Diffusion Risk-Sensitive Asset Management
by Mark H. A. Davis & Sebastien Lleo
- 0905.4657 Indifference price with general semimartingales
by Sara Biagini & Marco Frittelli & Matheus R. Grasselli
- 0905.4450 Stock Market and Motion of a Variable Mass Spring
by Enrique Canessa
- 0905.4272 Complementarity between private and public investment in R&D: A Dynamic Panel Data analysis
by Sadraoui Tarek & Naceur Ben Zina
- 0905.4237 Statistical Properties of Fluctuations: A Method to Check Market Behavior
by Prasanta K. Panigrahi & Sayantan Ghosh & P. Manimaran & Dilip P. Ahalpara
- 0905.4171 A Prediction Market for Toxic Assets Prices
by Alan Holland
- 0905.3928 Estimating discriminatory power and PD curves when the number of defaults is small
by Dirk Tasche
- 0905.3891 La prime de risque dans un cadre international : le risque de change est-il appr\'eci\'e ?
by Mohamed El Hedi Arouri
- 0905.3875 Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects
by Mohamed El Hedi Arouri
- 0905.3874 Stock market integration in the Latin American markets: further evidence from nonlinear modeling
by Fredj Jawadi & Nicolas Million & Mohamed El Hedi Arouri
- 0905.3873 Structural Breaks in the Mexico's Integration into the World Stock Market
by Mohamed El Hedi Arouri & Jamel Jouini
- 0905.3871 A la Recherche des Facteurs D\'eterminants de l'Int\'egration Internationale des March\'es Boursiers : une Analyse sur Donn\'ees de Panel
by Mohamed El Hedi Arouri
- 0905.3870 On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
by Mohamed El Hedi Arouri & Julien Fouquau
- 0905.3808 Simulation and Use of Heuristics for Peripheral Economic Policy
by Mattheos K. Protopapas & Elias B. Kosmatopoulos
- 0905.3803 Income and Poverty in a Developing Economy
by Amit K Chattopadhyay & Graeme J Ackland & Sushanta K Mallick
- 0905.3701 On the Martingale Property of Certain Local Martingales
by Aleksandar Mijatovic & Mikhail Urusov
- 0905.3601 Optimal Stopping for Non-linear Expectations
by Erhan Bayraktar & Song Yao
- 0905.3326 Volatility derivatives in market models with jumps
by A. Mijatovic & H. Lo
- 0905.2926 One-Dimensional Pricing of CPPI
by Louis Paulot & Xavier Lacroze
- 0905.2770 Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
by Marco Bianchetti
- 0905.2546 Presentation Du Nouvel Accord De Bale Sur Les Fonds Propres
by Hamza Fekir
- 0905.2366 Emergence of Price Divergence in a Model Short-Term Electric Power Market
by Randall A. LaViolette & Lory A. Ellebracht & Kevin L. Stamber & Charles J. Gieseler & Benjamin K. Cook
- 0905.2091 Spectral methods for volatility derivatives
by Claudio Albanese & Harry Lo & Aleksandar Mijatovi'c
- 0905.2043 The effect of a market factor on information flow between stocks using minimal spanning tree
by Cheoljun Eom & Okyu Kwon & Woo-Sung Jung & Seunghwan Kim
- 0905.1882 Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
by Giacomo Bormetti & Valentina Cazzola & Danilo Delpini
- 0905.1518 Colloquium: Statistical mechanics of money, wealth, and income
by Victor M. Yakovenko & J. Barkley Rosser
- 0905.0781 Variance-covariance based risk allocation in credit portfolios: analytical approximation
by Mikhail Voropaev
- 0905.0582 Empirical regularities of opening call auction in Chinese stock market
by Gao-Feng Gu & Fei Ren & Xiao-Hui Ni & Wei Chen & Wei-Xing Zhou
- 0905.0468 A Markovian Model Market - Akerlof's Lemmons and the Asymmetry of Information
by Paulo F. C. Tilles & Fernando F. Ferreira & Gerson Francisco & Carlos de B. Pereira & Flavia Mori Sarti
- 0905.0220 Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
by Didier Sornette & Ryan Woodard
- 0905.0155 Weakly nonlinear analysis of the Hamilton-Jacobi-Bellman equation arising from pension savings management
by Zuzana Macova & Daniel Sevcovic
- 0905.0129 Correlations, Risk and Crisis: From Physiology to Finance
by A. N. Gorban & E. V. Smirnova & T. A. Tyukina
- 0905.0128 A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals
by L. Lin & Ren R. E & D. Sornette
- 0905.0072 Information of Interest
by Dorje C. Brody & Robyn L. Friedman
- 0904.4822 Implied Correlation for Pricing multi-FX options
by Pavel V. Shevchenko
- 0904.4620 Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses
by Josep J. Masdemont & Luis Ortiz-Gracia
- 0904.4430 Collective firm bankruptcies and phase transition in rating dynamics
by Pawe{l} Sieczka & Janusz A. Ho{l}yst
- 0904.4364 Continuous-time trading and the emergence of probability
by Vladimir Vovk
- 0904.4131 Executing large orders in a microscopic market model
by Alexander Weiss
- 0904.4099 Local Risk Decomposition for High-frequency Trading Systems
by M. Bartolozzi & C. Mellen
- 0904.4075 Modeling operational risk data reported above a time-varying threshold
by Pavel V. Shevchenko & Grigory Temnov
- 0904.4074 Dynamic operational risk: modeling dependence and combining different sources of information
by Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich
- 0904.3929 La Loi organique relative aux lois de finances (LOLF) dans les institutions culturelles publiques du spectacle vivant en France
by Ammar Kessab
- 0904.3213 Simplified stock markets described by number operators
by F. Bagarello
- 0904.3210 Stock markets and quantum dynamics: a second quantized description
by F. Bagarello
- 0904.3132 Posterior Inference in Curved Exponential Families under Increasing Dimensions
by Alexandre Belloni & Victor Chernozhukov
- 0904.3004 Macroeconomic Phase Transitions Detected from the Dow Jones Industrial Average Time Series
by Wong Jian Cheng & Lian Heng & Cheong Siew Ann
- 0904.3000 Law of the exponential functional of one-sided L\'evy processes and Asian options
by Pierre Patie
- 0904.2931 L1-Penalized Quantile Regression in High-Dimensional Sparse Models
by Alexandre Belloni & Victor Chernozhukov
- 0904.2913 Generalized supermartingale deflators under limited information
by Constantinos Kardaras
- 0904.2910 Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
by Xiaolin Luo & Pavel V. Shevchenko & John B. Donnelly
- 0904.2731 An Introduction to Hedge Funds
by Sovan Mitra
- 0904.2376 Credit risk modeling using time-changed Brownian motion
by T. R. Hurd
- 0904.2113 Doves and hawks in economics revisited. An evolutionary quantum game theory-based analysis of financial crises
by Matthias Hanauske & Jennifer Kunz & Steffen Bernius & Wolfgang Konig
- 0904.1990 Average and Quantile Effects in Nonseparable Panel Models
by Victor Chernozhukov & Ivan Fernandez-Val & Jinyong Hahn & Whitney Newey
- 0904.1903 Minimizing the expected market time to reach a certain wealth level
by Constantinos Kardaras & Eckhard Platen
- 0904.1805 Implementing Loss Distribution Approach for Operational Risk
by Pavel V. Shevchenko
- 0904.1798 Market viability via absence of arbitrage of the first kind
by Constantinos Kardaras
- 0904.1772 A "Toy" Model for Operational Risk Quantification using Credibility Theory
by Hans Buhlmann & Pavel V. Shevchenko & Mario V. Wuthrich
- 0904.1771 Estimation of Operational Risk Capital Charge under Parameter Uncertainty
by Pavel V. Shevchenko
- 0904.1756 Regime Switching Stochastic Volatility with Perturbation Based Option Pricing
by Sovan Mitra
- 0904.1653 An extension of Davis and Lo's contagion model
by Didier Rulli`ere & Diana Dorobantu & Areski Cousin
- 0904.1500 Regime Switching Volatility Calibration by the Baum-Welch Method
by Sovan Mitra
- 0904.1483 Model uncertainty in claims reserving within Tweedie's compound Poisson models
by Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich
- 0904.1426 What are the limits on Commercial Bank Lending?
by Jacky Mallett
- 0904.1404 The Size Variance Relationship of Business Firm Growth Rates
by Massimo Riccaboni & Fabio Pammolli & Sergey V. Buldyrev & Linda Ponta & H. Eugene Stanley
- 0904.1402 Perturbation theory in a pure exchange non-equilibrium economy
by Samuel E. Vazquez & Simone Severini
- 0904.1361 The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions
by Dominik D. Lambrigger & Pavel V. Shevchenko & Mario V. Wuthrich
- 0904.1292 A Review of Volatility and Option Pricing
by Sovan Mitra
- 0904.1157 Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
by P. V. Shevchenko
- 0904.1131 Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation
by Sovan Mitra
- 0904.1107 Scaling and memory in the return intervals of realized volatility
by Fei Ren & Gao-Feng Gu & Wei-Xing Zhou
- 0904.1078 GARCH options via local risk minimization
by Juan-Pablo Ortega
- 0904.1074 Vanna-Volga methods applied to FX derivatives : from theory to market practice
by Fr'ed'eric Bossens & Gr'egory Ray'ee & Nikos S. Skantzos & Griselda Deelstra
- 0904.1067 The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions
by P. V. Shevchenko & M. V. Wuthrich
- 0904.1042 Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
by Guo-Hua Mu & Wei Chen & J'anos Kert'esz & Wei-Xing Zhou
- 0904.0951 Inference on Counterfactual Distributions
by Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly
- 0904.0900 The price impact of order book events: market orders, limit orders and cancellations
by Zoltan Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren
- 0904.0896 An operatorial approach to stock markets
by F. Bagarello
- 0904.0870 Risk Measures in Quantitative Finance
by Sovan Mitra
- 0904.0830 Computing Tails of Compound Distributions Using Direct Numerical Integration
by Xiaolin Luo & Pavel V. Shevchenko
- 0904.0805 The (unfortunate) complexity of the economy
by Jean-Philippe Bouchaud
- 0904.0756 The Problem of Modeling of Economic Dynamics
by S. I. Chernyshov & A. V. Voronin & S. A. Razumovsky
- 0904.0729 Does economics need a scientific revolution?
by Ivan O. Kitov
- 0904.0624 A new approach for scenario generation in Risk management
by Juan-Pablo Ortega & Rainer Pullirsch & Josef Teichmann & Julian Wergieluk
- 0904.0555 The affine LIBOR models
by Martin Keller-Ressel & Antonis Papapantoleon & Josef Teichmann
- 0904.0344 Introducing Chaos in Economic Gas-like Models
by C. Pellicer-Lostao & R. Lopez-Ruiz
- 0903.5064 Unemployment and inflation in Western Europe: solution by the boundary element method
by Ivan Kitov & Oleg Kitov
- 0903.4833 Recovering a time-homogeneous stock price process from perpetual option prices
by Erik Ekstrom & David Hobson
- 0903.4783 Threshold levels in Economics
by V. P. Maslov
- 0903.4542 Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
by C. Neri & L. Schneider
- 0903.4478 Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool
by Richard B. Sowers
- 0903.4475 Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
by Richard B. Sowers
- 0903.4216 Statistical thermodynamics of economic systems
by H. Quevedo & M. N. Quevedo
- 0903.3736 Num\'{e}raire-invariant preferences in financial modeling
by Constantinos Kardaras
- 0903.3657 Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets
by Lampros Boukas & Diogo Pinheiro & Alberto Pinto & Stylianos Xanthopoulos & Athanasios Yannacopoulos
- 0903.3346 The Transfer Pricing Problem with Non-Linearities
by S. Zverovich
- 0903.3254 Mapping markets to the statistical mechanics: the derivatives act against the self-regulation of stock market
by David B. Saakian
- 0903.2910 Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes
by Yingdong Lv & Bernhard K. Meister
- 0903.2428 Price Impact
by J. P. Bouchaud
- 0903.2243 Pragmatic Information Rates, Generalizations of the Kelly Criterion, and Financial Market Efficiency
by Edward D. Weinberger
- 0903.2099 Financial Atoms and Molecules
by Yik Wen Goo & Tong Wei Lian & Wei Guang Ong & Wen Ting Choi & Siew-Ann Cheong
- 0903.1643 A Simplified Approach to modeling the credit-risk of CMO
by K. Rajaratnam
- 0903.1629 Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
by Mauro Politi & Enrico Scalas & Daniel Fulger & Guido Germano
- 0903.1592 Monte Carlo sampling given a Characteristic Function: Quantile Mechanics in Momentum Space
by William T. Shaw & Jonathan McCabe
- 0903.1531 Inference on multivariate ARCH processes with large sizes
by Gilles Zumbach
- 0903.1525 The empirical properties of large covariance matrices
by Gilles Zumbach
- 0903.0993 Statistical analysis of the overnight and daytime return
by Fengzhong Wang & Shwu-Jane Shieh & Shlomo Havlin & H. Eugene Stanley
- 0903.0680 Quantum Neural Computation for Option Price Modelling
by Vladimir G. Ivancevic
- 0903.0286 What is the best firm size to invest?
by Ivan O. Kitov
- 0903.0282 A dynamic nonlinear model for saturation in industrial growth
by Arnab K. Ray
- 0903.0203 Mechanical Model of Personal Income Distribution
by Ivan O. Kitov
- 0903.0010 Quantitative law describing market dynamics before and after interest-rate change
by Alexander M. Petersen & Fengzhong Wang & Shlomo Havlin & H. Eugene Stanley
- 0902.4684 Quantized Interest Rate at the Money for American Options
by L. M. Dieng
- 0902.4274 Time and symmetry in models of economic markets
by Lee Smolin
- 0902.4245 T-Systems and the lower Snell envelope
by Erick Trevino Aguilar
- 0902.4159 Liquidity Crisis, Granularity of the Order Book and Price Fluctuations
by M. Cristelli & V. Alfi & L. Pietronero & A. Zaccaria
- 0902.3840 Scale Invariance, Bounded Rationality and Non-Equilibrium Economics
by Samuel E. Vazquez
- 0902.3836 The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets
by Cheoljun Eom & Jongwon Park & Woo-Sung Jung & Taisei Kaizoji & Yong H. Kim
- 0902.3643 A Fourier transform method for spread option pricing
by T. R. Hurd & Zhuowei Zhou
- 0902.3456 On the valuation of compositions in L\'evy term structure models
by Wolfgang Kluge & Antonis Papapantoleon
- 0902.2965 Optimal leverage from non-ergodicity
by Ole Peters
- 0902.2756 Monitoring dates of maximal risk
by Erick Trevino Aguilar
- 0902.2735 First-passage and risk evaluation under stochastic volatility
by Jaume Masoliver & Josep Perello
- 0902.2516 Optimal Trade Execution in Illiquid Markets
by Erhan Bayraktar & Mike Ludkovski
- 0902.2479 Regularity of the Optimal Stopping Problem for Jump Diffusions
by Erhan Bayraktar & Hao Xing
- 0902.2429 A Unified Framework for Dynamic Pari-Mutuel Information Market Design
by Shipra Agrawal & Erick Delage & Mark Peters & Zizhuo Wang & Yinyu Ye
- 0902.2070 Effects of introduction of new resources and fragmentation of existing resources on limiting wealth distribution in asset exchange models
by M. Ali Saif & Prashant M. Gade
- 0902.2065 Emergence of Power Law in a Market with Mixed Models
by M. Ali Saif & Prashant M. Gade
- 0902.1721 Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives
by Rasoul Behboudi & You-Lan Zhu
- 0902.1576 A Paradigm Shift from Production Function to Production Copula: Statistical Description of Production Activity of Firms
by H. Iyetomi & H. Aoyama & Y. Fujiwara & Y. Ikeda & W. Souma
- 0902.1328 On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation
by Laurent Carraro & Nicole El Karoui & Jan Ob{l}'oj
- 0902.0878 Backbone of complex networks of corporations: The flow of control
by J. B. Glattfelder & S. Battiston
- 0902.0713 Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]
by Amparo Baillo
- 0902.0504 The role of a matchmaker in buyer-vendor interactions
by Linyuan Lu & Matus Medo & Yi-Cheng Zhang
- 0902.0188 A Conceptual Model for Bidirectional Service, Information and Product Quality in an IS Outsourcing Collaboration Environment
by Subrata Chakrabarty
- 0902.0100 The Reality Game
by Dmitriy Cherkashin & J. Doyne Farmer & Seth Lloyd
- 0902.0075 A k-generalized statistical mechanics approach to income analysis
by F. Clementi & M. Gallegati & G. Kaniadakis
- 0901.4914 Exchangeability type properties of asset prices
by Ilya Molchanov & Michael Schmutz
- 0901.4793 Structure and evolution of the foreign exchange networks
by Jaroslaw Kwapien & Sylwia Gworek & Stanislaw Drozdz
- 0901.4604 Laplace transformation method for the Black-Scholes equation
by Hyoseop Lee & Dongwoo Sheen
- 0901.4447 Mathematical analysis of Soros's theory of reflexivity
by C. P. Kwong
- 0901.3812 The Minimal Model of Financial Complexity
by Philip Maymin
- 0901.3404 Climbing Down from the Top: Single Name Dynamics in Credit Top Down Models
by Igor Halperin & Pascal Tomecek
- 0901.3398 BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
by Matthias Arnsdorf & Igor Halperin
- 0901.3318 Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability
by Michail Anthropelos & Gordan Zitkovic
- 0901.3003 Timed tuplix calculus and the Wesseling and van den Bergh equation
by J. A. Bergstra & C. A. Middelburg
- 0901.2857 Kinetic models for wealth exchange on directed networks
by Arnab Chatterjee
- 0901.2826 Optimal systems of subalgebras for a nonlinear Black-Scholes equation
by Maxim Bobrov
- 0901.2586 Information geometries and Microeconomic Theories
by Richard Nock & Brice Magdalou & Nicolas Sanz & Eric Briys & Fred Celimene & Frank Nielsen
- 0901.2484 Consumption and Portfolio Rules for Time-Inconsistent Investors
by Jesus Marin-Solano & Jorge Navas
- 0901.2384 An Analysis of the Japanese Credit Network
by G. De Masi & Y. Fujiwara & M. Gallegati & B. Greenwald & J. E. Stiglitz
- 0901.2381 Visualizing a large-scale structure of production network by N-body simulation
by Yoshi Fujiwara
- 0901.2377 Structure and temporal change of the credit network between banks and large firms in Japan
by Yoshi Fujiwara & Hideaki Aoyama & Yuichi Ikeda & Hiroshi Iyetomi & Wataru Souma
- 0901.2275 Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models
by Gilles Zumbach
- 0901.2271 Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence
by Erik Van der Straeten & Christian Beck
- 0901.2080 On the Dybvig-Ingersoll-Ross Theorem
by Constantinos Kardaras & Eckhard Platen
- 0901.2070 State-dependent utility maximization in L\'evy markets
by Jose E. Figueroa-Lopez & Jin Ma
- 0901.1945 A mathematical proof of the existence of trends in financial time series
by Michel Fliess & C'edric Join
- 0901.1794 Agent-Based Model Approach to Complex Phenomena in Real Economy
by Hiroshi Iyetomi & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma
- 0901.1776 Efficient swaptions price in Hull-White one factor model
by Marc Henrard
- 0901.1500 Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors
by Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Hiroshi Iyetomi & Wataru Souma
- 0901.1392 The Spread of the Credit Crisis: View from a Stock Correlation Network
by Reginald D. Smith
- 0901.1315 Stochastic Volatility Models Including Open, Close, High and Low Prices
by Abel Rodriguez & Henryk Gzyl & German Molina & Enrique ter Horst
- 0901.1218 Efficient Pricing of CPPI using Markov Operators
by Louis Paulot & Xavier Lacroze
- 0901.1099 Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation
by Damiano Brigo & Kyriakos Chourdakis & Imane Bakkar
- 0901.1038 Economic Models with Chaotic Money Exchange
by Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz
- 0901.0992 An Adaptive Markov Chain Monte Carlo Method for GARCH Model
by Tetsuya Takaishi
- 0901.0903 A long-range memory stochastic model of the return in financial markets
by V. Gontis & J. Ruseckas & A. Kononovicius
- 0901.0674 Robust pricing and hedging of double no-touch options
by Alexander M. G. Cox & Jan Obloj
- 0901.0638 Quantile Mechanics II: Changes of Variables in Monte Carlo methods and GPU-Optimized Normal Quantiles
by William T. Shaw & Thomas Luu & Nick Brickman
- 0901.0495 Studies of the limit order book around large price changes
by Bence Toth & Janos Kertesz & J. Doyne Farmer
- 0901.0447 Evaluating the performance of adapting trading strategies with different memory lengths
by Andreas Krause
- 0901.0434 The alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map
by William T. Shaw & Ian R. C. Buckley
- 0901.0401 From Physics to Economics: An Econometric Example Using Maximum Relative Entropy
by Adom Giffin
2008