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Content
2012
- 1202.6647 Chaos and Nonlinear Dynamics in a Quantum Artificial Economy
by Carlos Pedro Gonc{c}alves - 1202.6632 Coherent Price Systems and Uncertainty-Neutral Valuation
by Patrick Bei{ss}ner - 1202.6611 Confidence sets in nonparametric calibration of exponential L\'evy models
by Jakob Sohl - 1202.6412 Order book dynamics in liquid markets: limit theorems and diffusion approximations
by Rama Cont & Adrien De Larrard - 1202.6283 Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without L\'{e}vy area simulation
by Michael B. Giles & Lukasz Szpruch - 1202.6188 On the Hedging of Options On Exploding Exchange Rates
by Peter Carr & Travis Fisher & Johannes Ruf - 1202.6187 Why are quadratic normal volatility models analytically tractable?
by Peter Carr & Travis Fisher & Johannes Ruf - 1202.6131 Homogenization and asymptotics for small transaction costs
by H. Mete Soner & Nizar Touzi - 1202.5983 Option calibration of exponential L\'evy models: Confidence intervals and empirical results
by Jakob Sohl & Mathias Trabs - 1202.5926 Second-order Price Dynamics: Approach to Equilibrium with Perpetual Arbitrage
by Eric Kemp-Benedict - 1202.5702 Set-valued average value at risk and its computation
by Andreas H. Hamel & Birgit Rudloff & Mihaela Yankova - 1202.5574 A Black--Scholes Model with Long Memory
by John A. D. Appleby & John A. Daniels & Katja Krol - 1202.5376 A multifractal approach towards inference in finance
by Ola L{o}vsletten & Martin Rypdal - 1202.5251 Information Percolation: Some General Cases with an Application to Econophysics
by Alain B'elanger & Gaston Giroux - 1202.5180 Active margin system for margin loans using cash and stock as collateral and its application in Chinese market
by Guanghui Huang & Weiqing Gu & Wenting Xing & Hongyu Li - 1202.4918 Quantum decision making by social agents
by V. I. Yukalov & D. Sornette - 1202.4913 Active margin system for margin loans and its application in Chinese market: using cash and randomly selected stock as collateral
by Guanghui Huang & Wenting Xin & Weiqing Gu - 1202.4877 Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations
by Martin Rypdal & Espen Sirnes & Ola L{o}vsletten & Kristoffer Rypdal - 1202.4332 A parsimonious model for intraday European option pricing
by Enrico Scalas & Mauro Politi - 1202.4311 Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators
by Alexander Saichev & Svetlana Lapinova - 1202.4007 Pricing for Large Positions in Contingent Claims
by Scott Robertson - 1202.3915 A simple microstructure return model explaining microstructure noise and Epps effects
by A. Saichev & D. Sornette - 1202.3755 Iterated risk measures for risk-sensitive Markov decision processes with discounted cost
by Takayuki Osogami - 1202.3533 Agent-based Versus Macroscopic Modeling of Competition and Business Processes in Economics and Finance
by Aleksejus Kononovicius & Vygintas Gontis & Valentas Daniunas - 1202.3217 Quasi-Monte Carlo methods for the Heston model
by Jan Baldeaux & Dale Roberts - 1202.3182 Loan and nonloan flows in the Australian interbank network
by Andrey Sokolov & Rachel Webster & Andrew Melatos & Tien Kieu - 1202.3025 Derivatives and Credit Contagion in Interconnected Networks
by Sebastian Heise & Reimer Kuehn - 1202.3002 A Semi-group Expansion for Pricing Barrier Options
by Takashi Kato & Akihiko Takahashi & Toshihiro Yamada - 1202.2999 Optimal arbitrage under model uncertainty
by Daniel Fernholz & Ioannis Karatzas - 1202.2980 Dynamic Markov bridges motivated by models of insider trading
by Luciano Campi & Umut c{C}etin & Albina Danilova - 1202.2585 Minimax Option Pricing Meets Black-Scholes in the Limit
by Jacob Abernethy & Rafael M. Frongillo & Andre Wibisono - 1202.2559 Parametric estimation of hidden stochastic model by contrast minimization and deconvolution: application to the Stochastic Volatility Model
by Salima El Kolei - 1202.2532 A Dynamical Approach to Operational Risk Measurement
by Marco Bardoscia & Roberto Bellotti - 1202.2447 Ensemble properties of high frequency data and intraday trading rules
by Fulvio Baldovin & Francesco Camana & Massimiliano Caporin & Michele Caraglio & Attilio L. Stella - 1202.2080 Quantum Financial Economics of Games of Strategy and Financial Decisions
by Carlos Pedro Gonc{c}alves - 1202.2076 A mathematical treatment of bank monitoring incentives
by Henri Pag`es & Dylan Possamai - 1202.1949 Choix strat\'egiques de la firme et contr\^ole financier
by Jean-Claude Juhel - 1202.1854 Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
by Jozef Barunik & Lukas Vacha - 1202.1623 Identifying States of a Financial Market
by Michael C. Munnix & Takashi Shimada & Rudi Schafer & Francois Leyvraz Thomas H. Seligman & Thomas Guhr & H. E. Stanley - 1202.1448 Financial black swans driven by ultrafast machine ecology
by Neil Johnson & Guannan Zhao & Eric Hunsader & Jing Meng & Amith Ravindar & Spencer Carran & Brian Tivnan - 1202.1374 Predatory trading and risk minimisation: how to (b)eat the competition
by Anita Mehta - 1202.1302 Short-time asymptotics for marginal distributions of semimartingales
by Amel Bentata & Rama Cont - 1202.0996 An Econophysics Model for the Migration Phenomena
by Anca Gheorghiu & Ion Spanulescu - 1202.0628 Optimal Portfolio Choice for a Behavioural Investor in Continuous-Time Markets
by Miklos Rasonyi & Andrea M. Rodrigues - 1202.0608 Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility
by Masaaki Fujii & Akihiko Takahashi - 1202.0606 Understanding agent-based models of financial markets: a bottom-up approach based on order parameters and phase diagrams
by Ribin Lye & James Peng Lung Tan & Siew Ann Cheong - 1202.0587 A tractable LIBOR model with default risk
by Zorana Grbac & Antonis Papapantoleon - 1202.0447 A trajectorial interpretation of Doob's martingale inequalities
by B. Acciaio & M. Beiglbock & F. Penkner & W. Schachermayer & J. Temme - 1202.0409 Correlation, Network and Multifractal Analysis of Global Financial Indices
by Sunil Kumar & Nivedita Deo - 1202.0344 Cross-correlation in financial dynamics
by J. Shen & B. Zheng - 1202.0342 On return-volatility correlation in financial dynamics
by J. Shen & B. Zheng - 1202.0175 Robust Hedging of Withdrawal Guarantees (Extended Version)
by Andreas Kunz - 1202.0142 Heavy-tails in economic data: fundamental assumptions, modelling and analysis
by Jo~ao P. da Cruz & Pedro G. Lind - 1202.0100 The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach
by Mikio Ito & Akihiko Noda & Tatsuma Wada - 1201.6655 Learning Performance of Prediction Markets with Kelly Bettors
by Alina Beygelzimer & John Langford & David Pennock - 1201.6544 A Random Matrix Approach to Dynamic Factors in macroeconomic data
by Ma{l}gorzata Snarska - 1201.6535 Asymmetric correlation matrices: an analysis of financial data
by Giacomo Livan & Luca Rebecchi - 1201.6516 Self-dual continuous processes
by Thorsten Rheinlander & Michael Schmutz - 1201.6418 Anti-correlation and subsector structure in financial systems
by X. F. Jiang & B. Zheng - 1201.6340 Mathematical Constraints on Financially Viable Public Policy
by Martin Gremm & Mark B. Wise - 1201.6137 Modeling electricity spot prices using mean-reverting multifractal processes
by Martin Rypdal & Ola L{o}vsletten - 1201.6130 Portfolio liquidation in dark pools in continuous time
by Peter Kratz & Torsten Schoneborn - 1201.5690 Heavy-tail driven by memory
by Jongwook Kim & Gabjin Oh - 1201.5448 Determinants of immediate price impacts at the trade level in an emerging order-driven market
by Wei-Xing Zhou - 1201.5132 Quasi self-dual exponential L\'evy processes
by Thorsten Rheinlander & Michael Schmutz - 1201.4841 Econophysics of a religious cult: the Antoinists in Belgium [1920-2000]
by Marcel R. Ausloos - 1201.4786 On Hurst exponent estimation under heavy-tailed distributions
by Jozef Barunik & Ladislav Kristoufek - 1201.4781 Monte Carlo-based tail exponent estimator
by Jozef Barunik & Lukas Vacha - 1201.4776 Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
by Lukas Vacha & Jozef Barunik - 1201.4586 To lag or not to lag? How to compare indices of stock markets that operate at different times
by Leonidas Sandoval Junior - 1201.4580 A non-linear model of trading mechanism on a financial market
by N. Vvedenskaya & Y. Suhov & V. Belitsky - 1201.4551 Fossil fuel consumption and economic growth: causality relationship in the world
by Hazuki Ishida - 1201.4490 Survivability and centrality measures for networks of financial market indices
by Leonidas Sandoval Junior - 1201.3851 Combinatorial Modelling and Learning with Prediction Markets
by Jinli Hu - 1201.3798 No need for conspiracy: Self-organized cartel formation in a modified trust game
by Tiago P. Peixoto & Stefan Bornholdt - 1201.3584 Ecological analysis of world trade
by Leonardo Ermann & Dima L. Shepelyansky - 1201.3580 A drift formulation of Gresham's Law
by Reginald D. Smith - 1201.3572 Quantifying reflexivity in financial markets: towards a prediction of flash crashes
by Vladimir Filimonov & Didier Sornette - 1201.3511 How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study
by Ladislav Kristoufek - 1201.3473 Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations
by Ladislav Kristoufek - 1201.3432 The leading digit distribution of the worldwide Illicit Financial Flows
by Tariq Ahmad Mir - 1201.3083 The class of nonlinear stochastic models as a background for the bursty behavior in financial markets
by Vygintas Gontis & Aleksejus Kononovicius & Stefan Reimann - 1201.2899 Parameter Estimation using Empirical Likelihood combined with Market Information
by Steven Kou & Tony Sit & Zhiliang Ying - 1201.2825 Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations
by Hao Meng & Fei Ren & Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei-Xing Zhou & Wei Zhang - 1201.2817 On the concentration of large deviations for fat tailed distributions, with application to financial data
by Mario Filiasi & Giacomo Livan & Matteo Marsili & Maria Peressi & Erik Vesselli & Elia Zarinelli - 1201.2756 Capacitary measures for completely monotone kernels via singular control
by Aur'elien Alfonsi & Alexander Schied - 1201.2616 The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data
by C. Neri & L. Schneider - 1201.2257 Risk Measures on $\mathcal{P}(\mathbb{R})$ and Value At Risk with Probability/Loss function
by Marco Frittelli & Marco Maggis & Ilaria Peri - 1201.2024 Modeling international crisis synchronization in the World Trade Web
by Pau Erola & Albert Diaz-Guilera & Sergio Gomez & Alex Arenas - 1201.1840 Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
by Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger - 1201.1788 Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type
by Marco Frittelli & Marco Maggis - 1201.1783 A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
by Davide La Torre & Marco Maggis - 1201.1782 Smiles all around: FX joint calibration in a multi-Heston model
by Alvise De Col & Alessandro Gnoatto & Martino Grasselli - 1201.1623 MultiDendrograms: Variable-Group Agglomerative Hierarchical Clusterings
by Sergio Gomez & Justo Montiel & David Torres & Alberto Fernandez - 1201.1604 Deriving consensus rankings via multicriteria decision making methodology
by Amy Poh Ai Ling & Mohamad Nasir Saludin & Masao Mukaidono - 1201.1535 Understanding the source of multifractality in financial markets
by Jozef Barunik & Tomaso Aste & Tiziana Di Matteo & Ruipeng Liu - 1201.1483 Time consistency of dynamic risk measures in markets with transaction costs
by Zachary Feinstein & Birgit Rudloff - 1201.1437 Heat kernel methods in finance: the SABR model
by Carmelo Vaccaro - 1201.1215 Triadic motifs and dyadic self-organization in the World Trade Network
by Tiziano Squartini & Diego Garlaschelli - 1201.1151 Futures pricing in electricity markets based on stable CARMA spot models
by Fred Espen Benth & Claudia Kluppelberg & Gernot Muller & Linda Vos - 1201.0967 Real Output Costs of Financial Crises: A Loss Distribution Approach
by Daniel Kapp & Marco Vega - 1201.0769 Robust utility maximization in non-dominated models with 2BSDEs
by Anis Matoussi & Dylan Possamai & Chao Zhou - 1201.0625 Building portfolios of stocks in the S\~ao Paulo Stock Exchange using Random Matrix Theory
by Leonidas Sandoval Junior & Adriana Bruscato & Maria Kelly Venezuela - 1201.0433 Random matrix approach to the dynamics of stock inventory variations
by W. -X. Zhou & G. -H. Mu & J. Kert'esz
2011
- 1201.0224 Inference on Treatment Effects After Selection Amongst High-Dimensional Controls
by Alexandre Belloni & Victor Chernozhukov & Christian Hansen - 1201.0220 Inference for High-Dimensional Sparse Econometric Models
by Alexandre Belloni & Victor Chernozhukov & Christian Hansen - 1201.0111 A CDS Option Miscellany
by Richard J Martin - 1201.0106 Saddlepoint methods in portfolio theory
by Richard J Martin - 1201.0075 Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance
by Xiaoshan Chen & Qingshuo Song & Fahuai Yi & George Yin - 1112.6390 Early Warning with Calibrated and Sharper Probabilistic Forecasts
by Reason Lesego Machete - 1112.6169 Measuring market liquidity: An introductory survey
by Alexandros Gabrielsen & Massimiliano Marzo & Paolo Zagaglia - 1112.6085 The position profiles of order cancellations in an emerging stock market
by Gao-Feng Gu & Xiong Xiong & Fei Ren & Wei-Xing Zhou & Wei Zhang - 1112.6024 Valuation of Zynga
by Zal'an Forr'o & Peter Cauwels & Didier Sornette - 1112.5850 Periodic Sequences of Arbitrage: A Tale of Four Currencies
by Rod Cross & Victor Kozyakin & Brian O'Callaghan & Alexei Pokrovskii & Alexey Pokrovskiy - 1112.5766 Dependent default and recovery: MCMC study of downturn LGD credit risk model
by Pavel V. Shevchenko & Xiaolin Luo - 1112.5711 The topology of cross-border exposures: beyond the minimal spanning tree approach
by Alessandro Spelta & Tanya Ara'ujo - 1112.5687 Resilience to Contagion in Financial Networks
by Hamed Amini & Rama Cont & Andreea Minca - 1112.5550 Bayesian estimation of probabilities of default for low default portfolios
by Dirk Tasche - 1112.5340 Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
by Winslow Strong - 1112.5330 Efficient simulation and calibration of general HJM models by splitting schemes
by Philipp Doersek & Josef Teichmann - 1112.4824 A Schauder approach to degenerate-parabolic partial differential equations with unbounded coefficients
by Paul M. N. Feehan & Camelia Pop - 1112.4740 A note on super-hedging for investor-producers
by Adrien Nguyen Huu - 1112.4534 An application of the method of moments to volatility estimation using daily high, low, opening and closing prices
by Cristin Buescu & Michael Taksar & Fatoumata J. Kon'e - 1112.4385 Shadow price in the power utility case
by Attila Herczegh & Vilmos Prokaj - 1112.4351 Monte Carlo methods via a dual approach for some discrete time stochastic control problems
by Lajos Gergely Gyurko & Ben Hambly & Jan Hendrik Witte - 1112.4027 Analysis of hedging based on co-persistence theory
by Chang-Shuai Li - 1112.4007 Optimal Constrained Investment in the Cramer-Lundberg model
by Tatiana Belkina & Christian Hipp & Shangzhen Luo & Michael Taksar - 1112.4005 Minimal Cost of a Brownian Risk without Ruin
by Shangzhen Luo & Michael Taksar - 1112.3908 Impact of meta-order in the Minority Game
by Andre Cardoso Barato & Iacopo Mastromatteo & Marco Bardoscia & Matteo Marsili - 1112.3868 Spurious trend switching phenomena in financial markets
by Vladimir Filimonov & Didier Sornette - 1112.3217 Pseudo Hermitian formulation of Black-Scholes equation
by T. K. Jana & P. Roy - 1112.3111 High-order short-time expansions for ATM option prices under the CGMY model
by Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e - 1112.3095 Evidence of market manipulation in the financial crisis
by Vedant Misra & Marco Lagi & Yaneer Bar-Yam - 1112.3012 Pricing a Contingent Claim Liability with Transaction Costs Using Asymptotic Analysis for Optimal Investment
by Maxim Bichuch - 1112.2984 Empirical confirmation of creative destruction from world trade data
by Peter Klimek & Ricardo Hausmann & Stefan Thurner - 1112.2952 Credit derivatives pricing with default density term structure modelled by L\'evy random fields
by Lijun Bo & Ying Jiao & Xuewei Yang - 1112.2940 Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
by Xiang Yu - 1112.2939 An Explicit Example Of Optimal Portfolio-Consumption Choices With Habit Formation And Partial Observations
by Xiang Yu - 1112.2895 Null Models of Economic Networks: The Case of the World Trade Web
by Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli - 1112.2889 Estimating financial risk using piecewise Gaussian processes
by I. Garcia & J. Jimenez - 1112.2867 Modeling the International-Trade Network: A Gravity Approach
by Marco Duenas & Giorgio Fagiolo - 1112.2749 Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
by Maxim Bichuch - 1112.2638 Dual representations for general multiple stopping problems
by Christian Bender & John Schoenmakers & Jianing Zhang - 1112.2406 On the game interpretation of a shadow price process in utility maximization problems under transaction costs
by Dmitry B. Rokhlin - 1112.2397 Optimal posting price of limit orders: learning by trading
by Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es - 1112.2379 Arbitrage-free Self-organizing Markets with GARCH Properties: Generating them in the Lab with a Lattice Model
by B. Dupoyet & H. R. Fiebig & D. P. Musgrove - 1112.2168 Firm dynamics in a closed, conserved economy: A model of size distribution of employment and related statistics
by Anindya S. Chakrabarti - 1112.2059 Randomised Mixture Models for Pricing Kernels
by Andrea Macrina & Priyanka A. Parbhoo - 1112.1838 Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data
by E. Bacry & K. Dayri & J. F. Muzy - 1112.1782 A Note on the Equivalence between the Normal and the Lognormal Implied Volatility : A Model Free Approach
by Cyril Grunspan - 1112.1763 Clean Valuation Framework for the USD Silo
by Masaaki Fujii & Akihiko Takahashi - 1112.1652 Asymptotic Expansions of the Lognormal Implied Volatility : A Model Free Approach
by Cyril Grunspan - 1112.1607 Restructuring Counterparty Credit Risk
by Claudio Albanese & Damiano Brigo & Frank Oertel - 1112.1521 Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation
by Andrea Pallavicini & Daniele Perini & Damiano Brigo - 1112.1502 Analysis of fractional Gaussian noises using level crossing method
by M. Vahabi & G. R. Jafari & M. Sadegh Movahed - 1112.1363 Common persistence in conditional variance: A reconsideration
by Chang-Shuai Li - 1112.1156 Looking for grass-root sources of systemic risk: the case of "cheques-as-collateral" network
by Michalis Vafopoulos - 1112.1114 The Nature of Alpha
by Arthur M. Berd - 1112.1051 Predicting Financial Markets: Comparing Survey, News, Twitter and Search Engine Data
by Huina Mao & Scott Counts & Johan Bollen - 1112.0770 Non-Gaussianity of the Intraday Returns Distribution: its evolution in time
by M. A. Virasoro - 1112.0758 Confronting the Kaya Identity with Investment and Capital Stocks
by Eric Kemp-Benedict - 1112.0342 Semiclosed Pricing Mechanism
by Dr. Gurjeet Dhesi & Mohammad Abdul Washad Emambocus & Muhammad Bilal Shakeel - 1112.0297 RQA Application for the Monitoring of Financial and Commodity markets state
by Sergii Piskun & Oleksandr Piskun & Dmitry Chabanenko - 1112.0233 Income Tax Evasion Dynamics: Evidence from an Agent-based Econophysics Model
by Michael Pickhardt & Goetz Seibold - 1112.0226 Bivariate Semi-Markov Process for Counterparty Credit Risk
by Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi - 1112.0210 Mesoscopic approach to minority games in herd regime
by Karol Wawrzyniak & Wojciech Wislicki - 1112.0105 Approximated maximum likelihood estimation in multifractal random walks
by Ola L{o}vsletten & Martin Rypdal - 1112.0076 Bandit Market Makers
by Nicolas Della Penna & Mark D. Reid - 1111.7103 High Frequency Lead/lag Relationships - Empirical facts
by Nicolas Huth & Fr'ed'eric Abergel - 1111.6859 The minimal length uncertainty and the quantum model for the stock market
by Pouria Pedram - 1111.6826 Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method
by Massimiliano Marzo & Daniele Ritelli & Paolo Zagaglia - 1111.6633 On the Existence of Shadow Prices
by Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe - 1111.6067 Adaptive Simulation of the Heston Model
by Ian Iscoe & Asif Lakhany - 1111.6038 Optimal dual martingales, their analysis and application to new algorithms for Bermudan products
by John Schoenmakers & Junbo Huang & Jianing Zhang - 1111.5739 On Markovian solutions to Markov Chain BSDEs
by Samuel N. Cohen & Lukasz Szpruch - 1111.5726 Multicurrency advisor based on the NSW model. Detailed description and perspectives
by A. M. Avdeenko - 1111.5397 A Mathematical Method for Deriving the Relative Effect of Serviceability on Default Risk
by Graham Andersen & David Chisholm - 1111.5289 Heisenberg uncertainty principle and economic analogues of basic physical quantities
by Vladimir Soloviev & Vladimir Saptsin - 1111.5265 Multifractal modeling of short-term interest rates
by M. Rypdal & O. L{o}vsletten - 1111.5254 Markov Chains application to the financial-economic time series prediction
by Vladimir Soloviev & Vladimir Saptsin & Dmitry Chabanenko - 1111.5228 Privacy-Preserving Methods for Sharing Financial Risk Exposures
by Emmanuel A. Abbe & Amir E. Khandani & Andrew W. Lo - 1111.5069 Cluster formation and evolution in networks of financial market indices
by Leonidas Sandoval Junior - 1111.4852 Biased diffusion on Japanese inter-firm trading network: Estimation of sales from network structure
by Hayafumi Watanabe & Hideki Takayasu & Misako Takayasu - 1111.4808 Conditional sampling for barrier option pricing under the LT method
by Nico Achtsis & Ronald Cools & Dirk Nuyens - 1111.4637 Collective behavior of stock prices as a precursor to market crash
by Jun-ichi Maskawa - 1111.4421 Historical risk measures on stock market indices and energy markets
by Wayne Tarrant - 1111.4417 Viewing Risk Measures as Information
by Dominique Gu/'egan & Wayne Tarrant - 1111.4414 On the Necessity of Five Risk Measures
by Dominique Gu'egan & Wayne Tarrant - 1111.4298 Time Consistent Bid-Ask Dynamic Pricing Mechanisms for Contingent Claims and Its Numerical Simulations Under Uncertainty
by Wei Chen - 1111.4087 ADI finite difference schemes for the Heston-Hull-White PDE
by Tinne Haentjens & Karel J. in 't Hout - 1111.3885 The Existence of Dominating Local Martingale Measures
by Peter Imkeller & Nicolas Perkowski - 1111.3856 A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
by Vicky Henderson & Gechun Liang - 1111.3757 Interest Rates and Information Geometry
by Dorje C. Brody & Lane P. Hughston - 1111.3263 Black-Scholes model under subordination
by Aleksander Stanislavsky - 1111.3127 Tracing the temporal evolution of clusters in a financial stock market
by Argimiro Arratia & Alejandra Caba~na - 1111.3035 Sustainable Credit And Interest Rates
by Andreas Hula - 1111.2976 Killed Brownian motion with a prescribed lifetime distribution and models of default
by Boris Ettinger & Steven N. Evans & Alexandru Hening - 1111.2846 A simplified Capital Asset Pricing Model
by Vladimir Vovk