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Content
2013
- 1304.5962 The pricing formula for cancellable European options
by Hsuan-Ku Liu
- 1304.5380 Survey data and Bayesian analysis: a cost-efficient way to estimate customer equity
by Juha Karvanen & Ari Rantanen & Lasse Luoma
- 1304.5337 The Convexity of the Free Boundary for the American put option
by Hsuan-Ku Liu
- 1304.5156 Option pricing, Bayes risks and Applications
by Yannis G. Yatracos
- 1304.5130 Non-Stationarity in Financial Time Series and Generic Features
by Thilo A. Schmitt & Desislava Chetalova & Rudi Schafer & Thomas Guhr
- 1304.5065 Central Clearing of OTC Derivatives: bilateral vs multilateral netting
by Rama Cont & Thomas Kokholm
- 1304.5040 Dynamic robust duality in utility maximization
by Bernt {O}ksendal & Agn`es Sulem
- 1304.4995 Schr\"odinger group and quantum finance
by Juan M. Romero & Ulises Lavana & Elio Mart'inez
- 1304.4929 A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role
by Yannis G. Yatracos
- 1304.4853 Risk measures for processes and BSDEs
by Irina Penner & Anthony Reveillac
- 1304.4852 Firm's Information Environment and Stock Liquidity : Evidence from Tunisian Context
by Nadia Loukil & Ouidad Yousfi
- 1304.4807 On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1304.4690 On option pricing in illiquid markets with jumps
by Youssef El-Khatib & Abdulnasser Hatemi-J
- 1304.4688 On the pricing and hedging of options for highly volatile periods
by Youssef El-Khatib & Abdulnasser Hatemi-J
- 1304.4623 Cubature on Wiener space: pathwise convergence
by Christian Bayer & Peter K. Friz
- 1304.4590 Double Whammy - How ICT Projects are Fooled by Randomness and Screwed by Political Intent
by Alexander Budzier & Bent Flyvbjerg
- 1304.4534 A variation of the Canadisation algorithm for the pricing of American options driven by L\'evy processes
by Florian Kleinert & Kees van Schaik
- 1304.4525 Overspend? Late? Failure? What the Data Say About IT Project Risk in the Public Sector
by Alexander Budzier & Bent Flyvbjerg
- 1304.4476 What Causes Cost Overrun in Transport Infrastructure Projects?"
by Bent Flyvbjerg & Mette K. Skamris Holm & S{o}ren L. Buhl
- 1304.4311 A Model for Scaling in Firms' Size and Growth Rate Distribution
by Cornelia Metzig & Mirta B. Gordon
- 1304.3969 Post-Selection Inference for Generalized Linear Models with Many Controls
by Alexandre Belloni & Victor Chernozhukov & Ying Wei
- 1304.3824 Pricing and Valuation under the Real-World Measure
by Gabriel Frahm
- 1304.3814 Measuring the default risk of sovereign debt from the perspective of network
by Hongwei Chuang & Hwai-Chung Ho
- 1304.3722 Hierarchy of Frustrations as Supplementary Indices in Complex System Dynamics, Applied to the U.S. Intermarket
by Krzysztof Sokalski
- 1304.3602 An age structured demographic theory of technological change
by J. -F. Mercure
- 1304.3574 Hedging of Game Options under Model Uncertainty in Discrete Time
by Yan Dolinsky
- 1304.3516 Existence of an endogenously complete equilibrium driven by a diffusion
by Dmitry Kramkov
- 1304.3350 Return on net sales from three companies in the manufacturing of fabricated metal products (except machinery and equipment)
by Marta Tomczak & Anna Ziolkowska & Martyna Rosik
- 1304.3284 Existence and uniqueness of Arrow-Debreu equilibria with consumptions in $\mathbf{L}^0_+$
by Dmitry Kramkov
- 1304.3252 Jan Tinbergen's legacy for economic networks: from the gravity model to quantum statistics
by Tiziano Squartini & Diego Garlaschelli
- 1304.3159 Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials
by Andrey Itkin
- 1304.3135 Maximizing Matching in Double-sided Auctions
by Jinzhong Niu & Simon Parsons
- 1304.2942 Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions
by Damiano Brigo & Giuseppe Di Graziano
- 1304.2141 Robust price bounds for the forward starting straddle
by David Hobson & Martin Klimmek
- 1304.2069 Robustification of Elliott's on-line EM algorithm for HMMs
by Christina Erlwein & Peter Ruckdeschel
- 1304.1999 Mirror and Synchronous Couplings of Geometric Brownian Motions
by Saul D. Jacka & Aleksandar Mijatovic & Dejan Siraj
- 1304.1940 Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims
by Lingjiong Zhu
- 1304.1849 Pricing approximations and error estimates for local L\'evy-type models with default
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci
- 1304.1821 Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
by H. Huang & M. A. Milevsky & T. S. Salisbury
- 1304.1783 A convolution method for numerical solution of backward stochastic differential equations
by Cody Blaine Hyndman & Polynice Oyono Ngou
- 1304.1665 Why Mass Media Matter to Planning Research: The Case of Megaprojects
by Bent Flyvbjerg
- 1304.1420 Fluctuation Analysis for the Loss From Default
by Konstantinos Spiliopoulos & Justin A. Sirignano & Kay Giesecke
- 1304.1397 Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs
by Andrea Pallavicini & Damiano Brigo
- 1304.1186 Five Misunderstandings About Case-Study Research
by Bent Flyvbjerg
- 1304.0923 Information, no-arbitrage and completeness for asset price models with a change point
by Claudio Fontana & Zorana Grbac & Monique Jeanblanc & Qinghua Li
- 1304.0718 A Peer-based Model of Fat-tailed Outcomes
by Ben Klemens
- 1304.0490 Premiums And Reserves, Adjusted By Distortions
by Alois Pichler
- 1304.0368 An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals
by Jan Ob{l}'oj & Peter Spoida
- 1304.0353 An Information-Theoretic Test for Dependence with an Application to the Temporal Structure of Stock Returns
by Galen Sher & Pedro Vitoria
- 1304.0282 Uniform Post Selection Inference for LAD Regression and Other Z-estimation problems
by Alexandre Belloni & Victor Chernozhukov & Kengo Kato
- 1304.0265 Why Your IT Project Might Be Riskier Than You Think
by Bent Flyvbjerg & Alexander Budzier
- 1304.0212 Do wealth distributions follow power laws? Evidence from "rich lists"
by Michal Brzezinski
- 1303.7445 Agent-based modeling of a price information trading business
by Saad Ahmad Khan & Ladislau Boloni
- 1303.7405 How Planners Deal with Uncomfortable Knowledge: The Dubious Ethics of the American Planning Association
by Bent Flyvbjerg
- 1303.7404 Megaprojects and Risk: An Anatomy of Ambition
by Bent Flyvbjerg & Nils Bruzelius & Werner Rothengatter
- 1303.7403 Delusion and Deception in Large Infrastructure Projects: Two Models for Explaining and Preventing Executive Disaster
by Bent Flyvbjerg & Massimo Garbuio & Dan Lovallo
- 1303.7402 Cost Overruns and Demand Shortfalls in Urban Rail and Other Infrastructure
by Bent Flyvbjerg
- 1303.7401 Measuring Inaccuracy in Travel Demand Forecasting: Methodological Considerations Regarding Ramp Up and Sampling
by Bent Flyvbjerg
- 1303.7400 Policy and Planning for Large Infrastructure Projects: Problems, Causes, Cures
by Bent Flyvbjerg
- 1303.7177 High-frequency market-making for multi-dimensional Markov processes
by Pietro Fodra & Mauricio Labadie
- 1303.7092 Pivotal estimation in high-dimensional regression via linear programming
by Eric Gautier & Alexandre Tsybakov
- 1303.7050 Quantile Models with Endogeneity
by Victor Chernozhukov & Christian Hansen
- 1303.6654 How (In)accurate Are Demand Forecasts in Public Works Projects? The Case of Transportation
by Bent Flyvbjerg & Mette Skamris Holm & S{o}ren L. Buhl
- 1303.6604 Underestimating Costs in Public Works Projects: Error or Lie?
by Bent Flyvbjerg & Mette K. Skamris Holm & S{o}ren L. Buhl
- 1303.6571 Survival of the Unfittest: Why the Worst Infrastructure Gets Built, And What We Can Do about It
by Bent Flyvbjerg
- 1303.6569 Comparison of Capital Costs per Route-Kilometre in Urban Rail
by Bent Flyvbjerg & Nils Bruzelius & Bert van Wee
- 1303.6340 Barrier Options under L\'evy Processes: a Simple Short-Cut
by Jos'e Fajardo
- 1303.6192 Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance: Comparing Alternative Exchange Rate Regimes in Eastern Europe
by Muhammad Khan & Mazen Kebewar & Nikolay Nenovsky
- 1303.6183 Quantitative easing is an incomplete strategy that must be accompanied by the nullification of debt
by Karl Svozil
- 1303.6090 Volatility Swap Under the SABR Model
by Simon Bossoney
- 1303.5882 Feedback models and stability analysis of three economic paradigms
by Harris V. Georgiou
- 1303.5809 Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
by Yingying Li & Zhiyuan Zhang & Xinghua Zheng
- 1303.5703 ARCO1: An Application of Belief Networks to the Oil Market
by Bruce Abramson
- 1303.5552 Quantifying the Impact of Leveraging and Diversification on Systemic Risk
by Paolo Tasca & Pavlin Mavrodiev & Frank Schweitzer
- 1303.5290 Nanotechnology and Innovation, Recent status and the strategic implication for the formation of high tech clusters in Greece, in between a global economic crisis
by Evangelos I. Gkanas & Vasso MagkouKriticou & Sofoklis S. Makridis & Athanasios K. Stubos & Ioannis Bakouros
- 1303.4867 The Identification of Thresholds and Time Delay in Self-Exciting Threshold AR Model by Wavelet
by Song-Yon Kim & Mun-Chol Kim
- 1303.4849 A Solution to Kolmogorov-Feller Equation and Pricing of Options
by Ju-Gyong Kim & Il-Su Choe
- 1303.4847 Two unconditionally implied parameters and volatility smiles and skews
by Nikolai Dokuchaev
- 1303.4607 Exact Statistics of the Gap and Time Interval Between the First Two Maxima of Random Walks
by Satya N. Majumdar & Philippe Mounaix & Gregory Schehr
- 1303.4514 Is There A Real Estate Bubble in Switzerland?
by Diego Ardila & Peter Cauwels & Dorsa Sanadgol & Didier Sornette
- 1303.4351 Are random trading strategies more successful than technical ones?
by A. E. Biondo & A. Pluchino & A. Rapisarda & D. Helbing
- 1303.4314 Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades
by Matthew Ames & Guillaume Bagnarosa & Gareth W. Peters
- 1303.4274 A note on pricing of contingent claims under G-expectation
by Mingshang Hu & Shaolin Ji
- 1303.4268 The Small-Maturity Heston Forward Smile
by Antoine Jacquier & Patrick Roome
- 1303.4082 Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims
by {L}ukasz Delong & Antoon Pelsser
- 1303.3956 A liability tracking approach to long term management of pension funds
by Masashi Ieda & Takashi Yamashita & Yumiharu Nakano
- 1303.3693 Agent-based and macroscopic modeling of the complex socio-economic systems
by Aleksejus Kononovicius & Valentas Daniunas
- 1303.3391 US Corporate Bond Yield Spread : A default risk debate
by Syed Muhammad Noaman Ahmed Shah & Mazen Kebewar
- 1303.3148 The General Structure of Optimal Investment and Consumption with Small Transaction Costs
by Jan Kallsen & Johannes Muhle-Karbe
- 1303.3133 Dynamical Trading Mechanism in Limit Order Markets
by Shilei Wang
- 1303.2950 Dynamic Credit Investment in Partially Observed Markets
by Agostino Capponi & Jose Enrique Figueroa Lopez & Andrea Pascucci
- 1303.2910 Understanding Operational Risk Capital Approximations: First and Second Orders
by Gareth W. Peters & Rodrigo S. Targino & Pavel V. Shevchenko
- 1303.2901 Dynamics and Spatial Distribution of Global Nighttime Lights
by Nicola Pestalozzi & Peter Cauwels & Didier Sornette
- 1303.2513 Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach
by Rudiger Frey & Abdelali Gabih & Ralf Wunderlich
- 1303.2110 Econophysics of adaptive power markets: When a market does not dampen fluctuations but amplifies them
by Sebastian M. Krause & Stefan Boerries & Stefan Bornholdt
- 1303.2044 Bubbles, Jumps, and Scaling from Properly Anticipated Prices
by Felix Patzelt & Klaus Pawelzik
- 1303.1690 Coherence and elicitability
by Johanna F. Ziegel
- 1303.1672 A new approach for an unitary risk theory
by Nicolae Popoviciu & Floarea Baicu
- 1303.1663 Impact Analysis for Risks in Informatics Systems
by Floarea Baicu & Maria Alexandra Baches
- 1303.1334 Pricing American options via multi-level approximation methods
by Denis Belomestny & Fabian Dickmann & Tigran Nagapetyan
- 1303.1298 Analytical Pricing of Defaultable Bond with Stochastic Default Intensity
by Hyong-Chol O & Ning Wan
- 1303.1296 The Pricing of A Moving Barrier Option
by Hyong-chol O
- 1303.1248 Investment and Consumption with Regime-Switching Discount Rates
by Traian Pirvu & Huayue Zhang
- 1303.1134 Utility maximisation and utility indifference price for exponential semi-martingale models with random factor
by Anastasia Ellanskaya & Lioudmila Vostrikova
- 1303.1064 Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection
by Xiangyu Cui & Xun Li & Duan Li
- 1303.0283 Inverse Signal Classification for Financial Instruments
by Uri Kartoun
- 1303.0237 Optimal investment and price dependence in a semi-static market
by Pietro Siorpaes
- 1303.0073 A Method for Comparing Hedge Funds
by Uri Kartoun
- 1302.7246 An analytic multi-currency model with stochastic volatility and stochastic interest rates
by Alessandro Gnoatto & Martino Grasselli
- 1302.7238 On the Preference Relations with Negatively Transitive Asymmetric Part. I
by Maria Viktorovna Droganova & Valentin Vankov Iliev
- 1302.7192 Weak and strong no-arbitrage conditions for continuous financial markets
by Claudio Fontana
- 1302.7036 Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility
by Jozef Barunik & Jiri Kukacka
- 1302.7010 The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles
by Damiano Brigo & Francesco Rapisarda & Abir Sridi
- 1302.6762 The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
by Chuancun Yin & Yuzhen Wen & Zhaojun Zong & Ying Shen
- 1302.6757 An extension of Paulsen-Gjessing's risk model with stochastic return on investments
by Chuancun Yin & Yuzhen Wen
- 1302.6721 On the theory of firm in nonlinear dynamic financial and economic systems
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1302.6669 Continuous-time Mean-Variance Portfolio Selection with Stochastic Parameters
by Wan-Kai Pang & Yuan-Hua Ni & Xun Li & Ka-Fai Cedric Yiu
- 1302.6629 CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models
by Damiano Brigo & Jo~ao Garcia & Nicola Pede
- 1302.6491 Asymptotic arbitrage in the Heston model
by Fatma Haba & Antoine Jacquier
- 1302.6477 Signal amplification in an agent-based herding model
by Adri'an Carro & Ra'ul Toral & Maxi San Miguel
- 1302.6399 Swing options in commodity markets: A multidimensional L\'evy diffusion model
by Marcus Eriksson & Jukka Lempa & Trygve Kastberg Nilssen
- 1302.6363 Realtime market microstructure analysis: online Transaction Cost Analysis
by Robert Azencott & Arjun Beri & Yutheeka Gadhyan & Nicolas Joseph & Charles-Albert Lehalle & Matthew Rowley
- 1302.6305 Random Matrix Theory and Cross-correlations in Global Financial Indices and Local Stock Market Indices
by Ashadun Nobi & Seong Eun Maeng & Gyeong Gyun Ha & Jae Woo Lee
- 1302.6212 On The EU and Euro-zone Stability
by Dimitris Sardelis
- 1302.6120 An Optimal Pairs-Trading Rule
by Qingshuo Song & Qing Zhang
- 1302.6011 Optimal dividends problem with a terminal value for spectrally positive Levy processes
by Chuancun Yin & Yuzhen Wen
- 1302.5966 Information Transmission Between Financial Markets in Chicago and New York
by Gregory Laughlin & Anthony Aguirre & Joseph Grundfest
- 1302.5548 How to make Dupire's local volatility work with jumps
by Peter K. Friz & Stefan Gerhold & Marc Yor
- 1302.5339 Theory of Performance Participation Strategies
by Julia Kraus & Philippe Bertrand & Rudi Zagst
- 1302.4854 An Explicit Martingale Version of Brenier's Theorem
by Pierre Henry-Labordere & Nizar Touzi
- 1302.4679 Rationalizing Investors Choice
by Carole Bernard & Jit Seng Chen & Steven Vanduffel
- 1302.4676 Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
by Michael B. Giles & Kristian Debrabant & Andreas Ro{ss}ler
- 1302.4595 Collateral-Enhanced Default Risk
by Chris Kenyon & Andrew Green
- 1302.4592 Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process
by Charles-Albert Lehalle
- 1302.4254 Market viability and martingale measures under partial information
by Claudio Fontana & Bernt {O}ksendal & Agn`es Sulem
- 1302.4181 A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
by Luis H. R. Alvarez E. & Pekka Matomaki & Teppo A. Rakkolainen
- 1302.4112 An examination of the effect on the Icelandic Banking System of Ver{\dh}trygg{\dh} L\'{a}n (Indexed-Linked Loans)
by Jacky Mallett
- 1302.3958 Cross-diffusion Modeling in Macroeconomics
by Laszlo Balazsi & Krisztina Kiss
- 1302.3870 A second-order stock market model
by Robert Fernholz & Tomoyuki Ichiba & Ioannis Karatzas
- 1302.3818 Bimodality in the firm size distributions: a kinetic exchange model approach
by Anindya S. Chakrabarti
- 1302.3771 Pricing Step Options under the CEV and other Solvable Diffusion Models
by Giuseppe Campolieti & Roman N. Makarov & Karl Wouterloot
- 1302.3704 A model-free characterization of recurrences in stationary time series
by R'emy Chicheportiche & Anirban Chakraborti
- 1302.3654 Pricing Corporate Defaultable Bond using Declared Firm Value
by Hyong-Chol O & Jong-Jun Jo & Chol-Ho Kim
- 1302.3642 From Nobel Prize to Project Management: Getting Risks Right
by Bent Flyvbjerg
- 1302.3451 Parameter estimation for a subcritical affine two factor model
by Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap
- 1302.3319 The Pricing of Multiple-Expiry Exotics
by Hyong-Chol O & Mun-Chol KiM
- 1302.3306 An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model
by Takashi Kato & Akihiko Takahashi & Toshihiro Yamada
- 1302.3197 Bridging stylized facts in finance and data non-stationarities
by Sabrina Camargo & Silvio M. Duarte Queiros & Celia Anteneodo
- 1302.3169 Volatility polarization of non-specialized investors' heterogeneous activity
by Mario Guti'errez-Roig & Josep Perell'o
- 1302.3001 A Modern Approach to the Efficient-Market Hypothesis
by Gabriel Frahm
- 1302.2567 Technical report : Risk-neutral density recovery via spectral analysis
by Jean-Baptiste Monnier
- 1302.2544 Quality Control and Due Diligence in Project Management: Getting Decisions Right by Taking the Outside View
by Bent Flyvbjerg
- 1302.2534 Stationarity and ergodicity for an affine two factor model
by Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap
- 1302.2493 Evaluation on the Financial Competitiveness of Chinese Listed Real Estate Companies Based on Entropy Method
by Wei Lin & Linbo Shao
- 1302.2337 The Heston Riemannian distance function
by Archil Gulisashvili & Peter Laurence
- 1302.2312 Convergence of European Lookback Options with Floating Strike in the Binomial Model
by Fabien Heuwelyckx
- 1302.2231 On the optimal dividend problem for a spectrally positive Levy process
by Chuancun Yin & Yuzhen Wen & Yongxia Zhao
- 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
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