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Content
2011
- 1110.5446 Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces
by Zbigniew Palmowski & Sebastian Baran
- 1110.5429 Causal modeling and inference for electricity markets
by Egil Ferkingstad & Anders L{o}land & Mathilde Wilhelmsen
- 1110.5350 A Quantum-like Approach to the Stock Market
by Diederik Aerts & Bart D'Hooghe & Sandro Sozzo
- 1110.5288 Fundamental Measurements in Economics and in the Theory of Consciousness (Manifestation of quantum-mechanical properties of economic objects in slit measurements)
by I. G. Tuluzov & S. I. Melnyk
- 1110.5283 Fundamental Measurements in Economics and in the Theory of Consciousness
by S. I. Melnyk & I. G. Tuluzov
- 1110.5276 Exact and asymptotic results for insurance risk models with surplus-dependent premiums
by Hansjorg Albrecher & Corina Constantinescu & Zbigniew Palmowski & Georg Regensburger & Markus Rosenkranz
- 1110.5197 Memory effects in stock price dynamics: evidences of technical trading
by Federico Garzarelli & Matthieu Cristelli & Andrea Zaccaria & Luciano Pietronero
- 1110.5144 Computing Economic Equilibria by a Homotopy Method
by Zoltan Pap
- 1110.4965 On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk process in the presence of a penalty function
by F. Avram & Z. Palmowski & M. R. Pistorius
- 1110.4811 A limit order book model for latency arbitrage
by Samuel N. Cohen & Lukasz Szpruch
- 1110.4784 Web search queries can predict stock market volumes
by Ilaria Bordino & Stefano Battiston & Guido Caldarelli & Matthieu Cristelli & Antti Ukkonen & Ingmar Weber
- 1110.4669 Bridge Copula Model for Option Pricing
by Giuseppe Campolieti & Roman N. Makarov & Andrey Vasiliev
- 1110.4648 Anti-Robust and Tonsured Statistics
by Martin Goldberg
- 1110.4516 Calculating Variable Annuity Liability 'Greeks' Using Monte Carlo Simulation
by Mark J. Cathcart & Steven Morrison & Alexander J. McNeil
- 1110.4506 Application of Chaotic Number Generators in Econophysics
by Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz
- 1110.4477 Hierarchical information clustering by means of topologically embedded graphs
by Won-Min Song & T. Di Matteo & Tomaso Aste
- 1110.4455 Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market
by Tian Qiu & Guang Chen & Li-Xin Zhong & Xiao-Run Wu
- 1110.4411 Gaussian Process Regression Networks
by Andrew Gordon Wilson & David A. Knowles & Zoubin Ghahramani
- 1110.4312 A framework for analyzing contagion in banking networks
by Thomas R. Hurd & James P. Gleeson
- 1110.4119 Integration and Contagion in US Housing Markets
by John Cotter & Stuart Gabriel & Richard Roll
- 1110.3897 Optimal decision under ambiguity for diffusion processes
by Soren Christensen
- 1110.3546 On the Computational Complexity of Measuring Global Stability of Banking Networks
by Piotr Berman & Bhaskar DasGupta & Lakshmi Kaligounder & Marek Karpinski
- 1110.3460 Performance analysis and optimal selection of large mean-variance portfolios under estimation risk
by Francisco Rubio & Xavier Mestre & Daniel P. Palomar
- 1110.3383 Suitability of using technical indicators as potential strategies within intelligent trading systems
by Evan Hurwitz & Tshilidzi Marwala
- 1110.3250 On a stochastic differential equation arising in a price impact model
by Peter Bank & Dmitry Kramkov
- 1110.3248 Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
by Dmitry Kramkov & Silviu Predoiu
- 1110.3229 A model for a large investor trading at market indifference prices. II: Continuous-time case
by Peter Bank & Dmitry Kramkov
- 1110.3224 A model for a large investor trading at market indifference prices. I: single-period case
by Peter Bank & Dmitry Kramkov
- 1110.3133 Price impact asymmetry of institutional trading in Chinese stock market
by Fei Ren & Li-Xin Zhong
- 1110.2612 Market inefficiency identified by both single and multiple currency trends
by Tom'av{s} Tok'ar & Denis Horv'ath
- 1110.2603 Multi-agent based analysis of financial data
by Tom'av{s} Tok'ar & Denis Horv'ath & Michal Hnatich
- 1110.2573 Optimal investment with intermediate consumption and random endowment
by Oleksii Mostovyi
- 1110.2477 Parallel Binomial American Option Pricing with (and without) Transaction Costs
by Nan Zhang & Alet Roux & Tomasz Zastawniak
- 1110.2260 Distinguishing manipulated stocks via trading network analysis
by Xiao-Qian Sun & Xue-Qi Cheng & Hua-Wei Shen & Zhao-Yang Wang
- 1110.2075 Conservative self-organized extremal model for wealth distribution
by Abhijit Chakraborty & G. Mukherjee & S. S. Manna
- 1110.1727 Time Scales in Futures Markets and Applications
by Laurent Schoeffel
- 1110.1578 Menger 1934 revisited
by Ole Peters
- 1110.1567 A Modified GHG Intensity Indicator: Toward a Sustainable Global Economy based on a Carbon Border Tax and Emissions Trading
by Reza Farrahi Moghaddam & Fereydoun Farrahi Moghaddam & Mohamed Cheriet
- 1110.1522 Detecting Collusive Cliques in Futures Markets Based on Trading Behaviors from Real Data
by Junjie Wang & Shuigeng Zhou & Jihong Guan
- 1110.1436 Loss-Based Risk Measures
by Rama Cont & Romain Deguest & Xuedong He
- 1110.1319 Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics
by Peter Cauwels & Didier Sornette
- 1110.1214 Long Horizons, High Risk Aversion, and Endogeneous Spreads
by Paolo Guasoni & Johannes Muhle-Karbe
- 1110.1006 Returns in futures markets and $\nu=3$ t-distribution
by Laurent Schoeffel
- 1110.0561 Modeling Multiple Risks: Hidden Domain of Attraction
by Abhimanyu Mitra & Sidney I. Resnick
- 1110.0403 Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets
by Agostino Capponi & Jose Figueroa-Lopez & Jeffrey Nisen
- 1110.0220 Risk Premia and Optimal Liquidation of Credit Derivatives
by Tim Leung & Peng Liu
- 1110.0159 Hedging strategies with a put option and their failure rates
by Guanghui Huang & Jing Xu & Wenting Xing
- 1110.0062 Identification of Demand through Statistical Distribution Modeling for Improved Demand Forecasting
by Murphy Choy & Michelle L. F. Cheong
- 1109.6909 Pricing stocks with yardsticks and sentiments
by Sebast{i}an Mart{i}nez Bustos & Jorgen Vitting Andersen & Michel Miniconi & Andrzej Nowak & Magdalena Roszczynska-Kurasinska & David Bree
- 1109.6210 Reconstruction of financial network for robust estimation of systemic risk
by Iacopo Mastromatteo & Elia Zarinelli & Matteo Marsili
- 1109.6154 The Small and Large Time Implied Volatilities in the Minimal Market Model
by Zhi Guo & Eckhard Platen
- 1109.5791 Dynamic Model of Markets of Homogenous Non-Durable
by Joachim Kaldasch
- 1109.5752 A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems
by Erhan Bayraktar & Arash Fahim
- 1109.5512 On Admissible Strategies in Robust Utility Maximization
by Keita Owari
- 1109.5316 Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing
by Tim Leung & Qingshuo Song & Jie Yang
- 1109.5144 The Capital Asset Pricing Model as a corollary of the Black-Scholes model
by Vladimir Vovk
- 1109.4859 The Food Crises: A quantitative model of food prices including speculators and ethanol conversion
by Marco Lagi & Yavni Bar-Yam & Karla Z. Bertrand & Yaneer Bar-Yam
- 1109.4726 Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders
by T. Kaizoji & M. Leiss & A. Saichev & D. Sornette
- 1109.4422 Investment Volatility: A Critique of Standard Beta Estimation and a Simple Way Forward
by Chris Tofallis
- 1109.4399 Employment, unemployment and real economic growth
by Ivan Kitov & Oleg Kitov
- 1109.4383 Okun's law revisited. Is there structural unemployment in developed countries?
by Ivan O. Kitov
- 1109.4372 Analysis of the trends in the index of the Dow Jones Industrial Average (DJIA) of the New York Stock Exchange (NYSE)
by Caglar Tuncay
- 1109.4259 A semi-Markov model with memory for price changes
by Guglielmo D'Amico & Filippo Petroni
- 1109.4032 Error estimates for finite difference approximations of American put option price
by David v{S}iv{s}ka
- 1109.3908 Forward Exponential Performances: Pricing and Optimal Risk Sharing
by Michail Anthropelos
- 1109.3893 Concave Generalized Flows with Applications to Market Equilibria
by Laszlo A. Vegh
- 1109.3488 Using MOEAs To Outperform Stock Benchmarks In The Presence of Typical Investment Constraints
by Andrew Clark & Jeff Kenyon
- 1109.3069 Directional Variance Adjustment: improving covariance estimates for high-dimensional portfolio optimization
by Daniel Bartz & Kerr Hatrick & Christian W. Hesse & Klaus-Robert Muller & Steven Lemm
- 1109.2945 Portfolio Optimization under Convex Incentive Schemes
by Maxim Bichuch & Stephan Sturm
- 1109.2884 Properties of Doubly Stochastic Poisson Process with affine intensity
by Alan De Genaro Dario & Adilson Simonis
- 1109.2803 The bounds of heavy-tailed return distributions in evolving complex networks
by Jo~ao P. da Cruz & Pedro G. Lind
- 1109.2631 Optimal trade execution and price manipulation in order books with time-varying liquidity
by Antje Fruth & Torsten Schoeneborn & Mikhail Urusov
- 1109.2557 Numerical integration of Heath-Jarrow-Morton model of interest rates
by M. Krivko & M. V. Tretyakov
- 1109.2327 The efficient index hypothesis and its implications in the BSM model
by Vladimir Vovk
- 1109.2076 Escalation, timing and severity of insurgent and terrorist events: Toward a unified theory of future threats
by Neil F. Johnson
- 1109.1751 Time-Consistent Actuarial Valuations
by Antoon Pelsser
- 1109.1749 Time-Consistent and Market-Consistent Evaluations
by Mitja Stadje & Antoon Pelsser
- 1109.1272 Large Portfolio Asymptotics for Loss From Default
by Kay Giesecke & Konstantinos Spiliopoulos & Richard B. Sowers & Justin A. Sirignano
- 1109.1256 Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle
by Scott Willenbrock
- 1109.1213 Heterogeneity, correlations and financial contagion
by Fabio Caccioli & Thomas A. Catanach & J. Doyne Farmer
- 1109.1167 Collective behavior in financial market
by Thomas Kau^e Dal'Maso Peron & Francisco Aparecido Rodrigues
- 1109.1075 Existence, uniqueness, and global regularity for degenerate elliptic obstacle problems in mathematical finance
by Panagiota Daskalopoulos & Paul M. N. Feehan
- 1109.0897 Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models
by Budhi Arta Surya & Kazutoshi Yamazaki
- 1109.0891 Statistical ensembles for money and debt
by Stefano Viaggiu & Andrea Lionetto & Leonardo Bargigli & Michele Longo
- 1109.0828 The Product Life Cycle of Durable Goods
by Joachim Kaldasch
- 1109.0738 Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach
by Matthew Lorig
- 1109.0706 Losing money with a high Sharpe ratio
by Vladimir Vovk
- 1109.0642 Pruning a Minimum Spanning Tree
by Leonidas Sandoval Junior
- 1109.0606 From microscopic taxation and redistribution models to macroscopic income distributions
by Maria Letizia Bertotti & Giovanni Modanese
- 1109.0465 Dynamical Hurst exponent as a tool to monitor unstable periods in financial time series
by Raffaello Morales & T. Di Matteo & Ruggero Gramatica & Tomaso Aste
- 1109.0435 The string prediction models as an invariants of time series in forex market
by Richard Pincak & Marian Repasan
- 1109.0119 Individual impact of agent actions in financial markets
by Alex J. Bladon & Esteban Moro & Tobias Galla
- 1108.5946 Factorial Moments in Complex Systems
by Laurent Schoeffel
- 1108.5940 Asymptotically optimal discretization of hedging strategies with jumps
by Mathieu Rosenbaum & Peter Tankov
- 1108.5725 Entropy and equilibrium state of free market models
by J. R. Iglesias & R. M. C. de Almeida
- 1108.5596 Intermittency in Quantitative Finance
by Laurent Schoeffel
- 1108.5560 Living on the multi-dimensional edge: seeking hidden risks using regular variation
by Bikramjit Das & Abhimanyu Mitra & Sidney Resnick
- 1108.5264 A Mean-Reverting SDE on Correlation matrices
by Abdelkoddousse Ahdida & Aur'elien Alfonsi
- 1108.5098 Default risk modeling beyond the first-passage approximation: Position-dependent killing
by Yuri A. Katz
- 1108.4886 Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem
by Maria B. Chiarolla & Giorgio Ferrari
- 1108.4393 Pricing Variable Annuity Contracts with High-Water Mark Feature
by V. M. Belyaev
- 1108.4258 Eigenvector dynamics: theory and some applications
by Romain Allez & Jean-Philippe Bouchaud
- 1108.4113 Probability-free pricing of adjusted American lookbacks
by A. Philip Dawid & Steven de Rooij & Peter Grunwald & Wouter M. Koolen & Glenn Shafer & Alexander Shen & Nikolai Vereshchagin & Vladimir Vovk
- 1108.4102 Portfolios and the market geometry
by Samuel Eleut'erio & Tanya Ara'ujo & R. Vilela Mendes
- 1108.3998 Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
by Antoine Jacquier & Martin Keller-Ressel & Aleksandar Mijatovic
- 1108.3552 Estimation in Functional Regression for General Exponential Families
by Winston Wei Dou & David Pollard & Harrison H. Zhou
- 1108.3386 Small-time expansions for local jump-diffusion models with infinite jump activity
by Jos'e E. Figueroa-L'opez & Yankeng Luo & Cheng Ouyang
- 1108.3155 About the non-random Content of Financial Markets
by Laurent Schoeffel
- 1108.2937 Statistical Methods for Estimating the non-random Content of Financial Markets
by Laurent Schoeffel
- 1108.2889 Additive habits with power utility: Estimates, asymptotics and equilibrium
by Roman Muraviev
- 1108.2623 Initial Enlargement in a Markov chain market model
by Dario Gasbarra & Jos'e Igor Morlanes & Esko Valkeila
- 1108.2611 Time-Bridge Estimators of Integrated Variance
by A. Saichev & D. Sornette
- 1108.2305 Permit Allocation in Emissions Trading using the Boltzmann Distribution
by Ji-Won Park & Chae Un Kim & Walter Isard
- 1108.1951 How much multifractality is included in monofractal signals?
by Dariusz Grech & Grzegorz Pamula
- 1108.1910 American and Bermudan options in currency markets under proportional transaction costs
by Alet Roux & Tomasz Zastawniak
- 1108.1688 Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility
by Eusebio Valero & Manuel Torrealba & Lucas Lacasa & Franc{c}ois Fraysse
- 1108.1632 Why is order flow so persistent?
by Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer
- 1108.1273 Convex risk measures for good deal bounds
by Takuji Arai & Masaaki Fukasawa
- 1108.1216 Computation of copulas by Fourier methods
by Antonis Papapantoleon
- 1108.1167 Transaction Costs, Trading Volume, and the Liquidity Premium
by Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer
- 1108.1133 Default and Systemic Risk in Equilibrium
by Agostino Capponi & Martin Larsson
- 1108.1035 On traveling wave solutions to Hamilton-Jacobi-Bellman equation with inequality constraints
by Naoyuki Ishimura & Daniel Sevcovic
- 1108.0996 Mean--variance portfolio optimization when means and covariances are unknown
by Tze Leung Lai & Haipeng Xing & Zehao Chen
- 1108.0945 On the closure in the Emery topology of semimartingale wealth-process sets
by Constantinos Kardaras
- 1108.0837 Constructing the Best Trading Strategy: A New General Framework
by Philip Z. Maymin & Zakhar G. Maymin
- 1108.0799 Ito calculus without probability in idealized financial markets
by Vladimir Vovk
- 1108.0719 On martingale measures and pricing for continuous bond-stock market with stochastic bond
by Nikolai Dokuchaev
- 1108.0386 Multiplicative Asset Exchange with Arbitrary Return Distributions
by Cristian F. Moukarzel
- 1108.0188 Second-Order, Dissipative T\^atonnement: Economic Interpretation and 2-Point Limit Cycles
by Eric Kemp-Benedict
- 1108.0099 A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model
by Vladimir Filimonov & Didier Sornette
- 1108.0077 Detection of Crashes and Rebounds in Major Equity Markets
by Wanfeng Yan & Reda Rebib & Ryan Woodard & Didier Sornette
- 1107.5852 Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
by Oleksii Mostovyi
- 1107.5728 The network of global corporate control
by Stefania Vitali & James B. Glattfelder & Stefano Battiston
- 1107.5720 An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
by Andreas Lohne & Birgit Rudloff
- 1107.5420 Recurrence Quantification Analysis of Financial Market Crashes and Crises
by Oleksandr Piskun & Sergii Piskun
- 1107.5373 Econophysics: Bridges over a Turbulent Current
by Shu-Heng Chen & Sai-Ping Li
- 1107.5122 Spontaneous symmetry breaking of arbitrage
by Jaehyung Choi
- 1107.4881 A note on essential smoothness in the Heston model
by Martin Forde & Antoine Jacquier & Aleksandar Mijatovic
- 1107.4632 From Smile Asymptotics to Market Risk Measures
by Ronnie Sircar & Stephan Sturm
- 1107.4476 The effect of round-off error on long memory processes
by Gabriele La Spada & Fabrizio Lillo
- 1107.4210 Investment/consumption problem in illiquid markets with regime-switching
by Paul Gassiat & Fausto Gozzi & Huy^en Pham
- 1107.4146 A Map of the Brazilian Stock Market
by Leonidas Sandoval Junior
- 1107.3942 Identification of clusters of investors from their real trading activity in a financial market
by Michele Tumminello & Fabrizio Lillo & Jyrki Piilo & Rosario N. Mantegna
- 1107.3456 Exploring complex networks via topological embedding on surfaces
by Tomaso Aste & Ruggero Gramatica & T. Di Matteo
- 1107.3364 Models for the impact of all order book events
by Zoltan Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren
- 1107.3293 On the Representation of General Interest Rate Models as Square Integrable Wiener Functionals
by Lane P. Hughston & Francesco Mina
- 1107.3287 On the Zipf strategy for short-term investments in WIG20 futures
by B. Bieda & P. Chodorowski & D. Grech
- 1107.3171 Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
by Didier Sornette & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou
- 1107.3095 Keynesian Economics After All
by A. Johansen & I. Simonsen
- 1107.2988 Robust maximization of asymptotic growth under covariance uncertainty
by Erhan Bayraktar & Yu-Jui Huang
- 1107.2748 The explicit Laplace transform for the Wishart process
by Alessandro Gnoatto & Martino Grasselli
- 1107.2716 Stability of exponential utility maximization with respect to market perturbations
by Erhan Bayraktar & Ross Kravitz
- 1107.2562 Quantum Financial Economics - Risk and Returns
by Carlos Pedro Gonc{c}alves
- 1107.2346 Parrondo-like behavior in continuous-time random walks with memory
by Miquel Montero
- 1107.2164 KISS approach to credit portfolio modeling
by Mikhail Voropaev
- 1107.1895 On Investment-Consumption with Regime-Switching
by Traian A. Pirvu & Huayue Zhang
- 1107.1834 Implied Volatility Surface: Construction Methodologies and Characteristics
by Cristian Homescu
- 1107.1831 Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
by Cristian Homescu
- 1107.1787 An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process
by Takashi Kato
- 1107.1617 On optimal investment for a behavioural investor in multiperiod incomplete market models
by Laurence Carassus & Miklos Rasonyi
- 1107.1607 Path properties and regularity of affine processes on general state spaces
by Christa Cuchiero & Josef Teichmann
- 1107.1451 Multiplicative noise, fast convolution, and pricing
by Giacomo Bormetti & Sofia Cazzaniga
- 1107.1380 Quantifying mortality risk in small defined-benefit pension schemes
by Catherine Donnelly
- 1107.1174 Scaling properties and universality of first-passage time probabilities in financial markets
by Josep Perell'o & Mario Guti'errez-Roig & Jaume Masoliver
- 1107.1078 Finance Without Probabilistic Prior Assumptions
by Frank Riedel
- 1107.0839 Efficiency and Equilibria in Games of Optimal Derivative Design
by Ulrich Horst & Santiago Moreno-Bromberg
- 1107.0838 Role of Diversification Risk in Financial Bubbles
by Wanfeng Yan & Ryan Woodard & Didier Sornette
- 1107.0480 The Second Wave of the Global Crisis? A Log-Periodic Oscillation Analysis of Commodity Price Series
by Askar Akaev & Alexei Fomin & Andrey Korotayev
- 1107.0237 Team Decision Problems with Classical and Quantum Signals
by Adam Brandenburger & Pierfrancesco La Mura
- 1107.0190 The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
by Markus Mocha & Nicholas Westray
- 1107.0183 BSDEs in Utility Maximization with BMO Market Price of Risk
by Christoph Frei & Markus Mocha & Nicholas Westray
- 1107.0170 Revenue diversification in emerging market banks: implications for financial performance
by Saoussen Ben Gamra & Dominique Plihon
- 1107.0164 One-year reserve risk including a tail factor: closed formula and bootstrap approaches
by Alexandre Boumezoued & Yoboua Angoua & Laurent Devineau & Jean-Philippe Boisseau
- 1107.0036 Can We Learn to Beat the Best Stock
by A. Borodin & R. El-Yaniv & V. Gogan
- 1106.6300 Stock Price Processes with Infinite Source Poisson Agents
by Mine Caglar
- 1106.6102 Tight Approximations of Dynamic Risk Measures
by Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian
- 1106.5929 Model-independent Bounds for Option Prices: A Mass Transport Approach
by Mathias Beiglbock & Pierre Henry-Labord`ere & Friedrich Penkner
- 1106.5913 Renyi's information transfer between financial time series
by Petr Jizba & Hagen Kleinert & Mohammad Shefaat
- 1106.5706 Theory of Information Pricing
by Dorje C. Brody & Yan Tai Law
- 1106.5274 Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox
by Alessandro Fiori Maccioni
- 1106.5242 High Dimensional Sparse Econometric Models: An Introduction
by Alexandre Belloni & Victor Chernozhukov
- 1106.5143 The path integral representation kernel of evolution operator in Merton-Garman model
by L. F. Blazhyevskyi & V. S. Yanishevsky
- 1106.5081 A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds
by Alessandro Fiori Maccioni
- 1106.5040 Optimal High Frequency Trading with limit and market orders
by Fabien Guilbaud & Huyen Pham
- 1106.4957 Maximum entropy distribution of stock price fluctuations
by Rosario Bartiromo
- 1106.4730 Multilevel Monte Carlo method for jump-diffusion SDEs
by Yuan Xia
- 1106.4710 Proportionate vs disproportionate distribution of wealth of two individuals in a tempered Paretian ensemble
by G. Oshanin & Yu. Holovatch & G. Schehr
- 1106.4509 Machine Learning Markets
by Amos Storkey
- 1106.4502 Chaos structures. Multicurrency adviser on the basis of NSW model and social-financial nets
by A. M. Avdeenko
- 1106.3921 Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach
by Song Song
- 1106.3915 Large Vector Auto Regressions
by Song Song & Peter J. Bickel
- 1106.3562 Geometric Allocation Approach for Transition Kernel of Markov Chain
by Hidemaro Suwa & Synge Todo
- 1106.3543 A model of coopetitive game and the Greek crisis
by David Carf'i & Daniele Schilir'o
- 1106.3496 Impact of the first to default time on Bilateral CVA
by Damiano Brigo & Cristin Buescu & Massimo Morini
- 1106.3455 Applications of a constrained mechanics methodology in economics
by Jitka Janov'a
- 1106.3279 Optimal Portfolio Liquidation with Limit Orders
by Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia
- 1106.3273 A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations
by Marcel Nutz
- 1106.3025 Market selection with learning and catching up with the Joneses
by Roman Muraviev
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