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Content
2012
- 1205.3686 Valuation and hedging of the ruin-contingent life annuity (RCLA)
by Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury
- 1205.3671 Arbitrary Truncated Levy Flight: Asymmetrical Truncation and High-Order Correlations
by Dmitry V. Vinogradov
- 1205.3555 Approximating stochastic volatility by recombinant trees
by Erd.inc{c} Aky{i}ld{i}r{i}m & Yan Dolinsky & H. Mete Soner
- 1205.3550 New solvable stochastic volatility models for pricing volatility derivatives
by Andrey Itkin
- 1205.3519 Restructuring the Italian NHS: a case study of the regional hospital network
by Carlo Castellana
- 1205.3507 Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
by Igor Halperin & Andrey Itkin
- 1205.3482 Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall
by Mauricio Labadie & Charles-Albert Lehalle
- 1205.3405 Generalized Gaussian Bridges
by Tommi Sottinen & Adil Yazigi
- 1205.3051 Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
by Fabien Guilbaud & Huy^en Pham
- 1205.2999 Towards a new brain science: lessons from the economic collapse
by Jaime Gomez-Ramirez & Manuel G. Bedia
- 1205.2915 Universality class of balanced flows with bottlenecks: granular flows, pedestrian fluxes and financial price dynamics
by Daniel R. Parisi & Didier Sornette & Dirk Helbing
- 1205.2878 Asymmetric R&D Alliances and Coopetitive Games
by Daniela Baglieri & David Carf`i & Giovanni Battista Dagnino
- 1205.2872 Global Green Economy and Environmental Sustainability: a Coopetitive Model
by David Carf`i & Daniele Schilir`o
- 1205.2866 The fractional volatility model: No-arbitrage, leverage and completeness
by R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues
- 1205.2863 Impact of the economic crisis on the Italian public healthcare expenditure
by Carlo Castellana
- 1205.2551 Weighted-indexed semi-Markov models for modeling financial returns
by Guglielmo D'Amico & Filippo Petroni
- 1205.2521 From Minority Game to Black & Scholes pricing
by Matteo Ortisi & Valerio Zuccolo
- 1205.2513 A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA)
by Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury
- 1205.2501 Tobit Bayesian Model Averaging and the Determinants of Foreign Direct Investment
by Alexander Jordan & Alex Lenkoski
- 1205.2470 Equilibrium Distribution of Labor Productivity: A Theoretical Model
by Hideaki Aoyama & Hiroshi Iyetomi & Hiroshi Yoshikawa
- 1205.2415 Constructing Sublinear Expectations on Path Space
by Marcel Nutz & Ramon van Handel
- 1205.2398 Exponential L\'evy-type models with stochastic volatility and stochastic jump-intensity
by Matthew Lorig & Oriol Lozano-Carbass'e
- 1205.2302 The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
by Rene Carmona & Michael Coulon & Daniel Schwarz
- 1205.2299 Electricity price modeling and asset valuation: a multi-fuel structural approach
by Rene Carmona & Michael Coulon & Daniel Schwarz
- 1205.2295 Optimal retirement consumption with a stochastic force of mortality
by Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury
- 1205.2013 Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause
by Lorenzo Giada & Claudio Nordio
- 1205.1966 Optimal multiple stopping with random waiting times
by Soren Christensen & Albrecht Irle & Stephan Jurgens
- 1205.1861 Carbon-dioxide emissions trading and hierarchical structure in worldwide finance and commodities markets
by Zeyu Zheng & Kazuko Yamasaki & Joel N. Tenenbaum & H. Eugene Stanley
- 1205.1711 Characterizing price index behavior through fluctuation dynamics
by Prasanta K. Panigrahi & Sayantan Ghosh & Arjun Banerjee & Jainendra Bahadur & P. Manimaran
- 1205.1710 Singularity strength based characterization of financial networks
by Sayantan Ghosh & Uwe Jaekel & Francesco Petruccione
- 1205.1617 A multivariate piecing-together approach with an application to operational loss data
by Stefan Aulbach & Verena Bayer & Michael Falk
- 1205.1533 Central Counterparty Risk
by Matthias Arnsdorf
- 1205.1364 Statistical Outliers and Dragon-Kings as Bose-Condensed Droplets
by V. I. Yukalov & D. Sornette
- 1205.1163 Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms
by Karel in 't Hout & Chittaranjan Mishra
- 1205.1154 On absolutely continuous compensators and nonlinear filtering equations in default risk models
by Umut c{C}etin
- 1205.1012 From Risk Measures to Research Measures
by Marco Frittelli & Ilaria Peri
- 1205.1007 European Option Pricing with Liquidity Shocks
by Michael Ludkovski & Qunying Shen
- 1205.0976 Credit Default Swaps Drawup Networks: Too Tied To Be Stable?
by Rahul Kaushik & Stefano Battiston
- 1205.0877 On the non-stationarity of financial time series: impact on optimal portfolio selection
by Giacomo Livan & Jun-ichi Inoue & Enrico Scalas
- 1205.0635 Super-exponential bubbles in lab experiments: evidence for anchoring over-optimistic expectations on price
by Andreas Husler & Didier Sornette & Cars H. Hommes
- 1205.0505 Fractal Profit Landscape of the Stock Market
by Andreas Gronlund & Il Gu Yi & Beom Jun Kim
- 1205.0336 Segmentation analysis on a multivariate time series of the foreign exchange rates
by Aki-Hiro Sato
- 1205.0332 A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices
by Aki-Hiro Sato
- 1205.0106 Using high performance computing and Monte Carlo simulation for pricing american options
by Verche Cvetanoska & Toni Stojanovski
- 1204.6638 Modelling the emergence of spatial patterns of economic activity
by Jung-Hun Yang & Dick Ettema & Koen Frenken
- 1204.6613 Maximum principles for boundary-degenerate second-order linear elliptic differential operators
by Paul M. N. Feehan
- 1204.6590 The monetary growth order
by Gunter von Kiedrowski & Eors Szathm'ary
- 1204.6488 Optimal multifactor trading under proportional transaction costs
by Richard J. Martin
- 1204.6483 Applications of statistical mechanics to economics: Entropic origin of the probability distributions of money, income, and energy consumption
by Victor M. Yakovenko
- 1204.5718 The potential approach in practice
by Tino Kluge & L. C. G. Rogers
- 1204.5698 Libor model with expiry-wise stochastic volatility and displacement
by Marcel Ladkau & John G. M. Schoenmakers & Jianing Zhang
- 1204.5661 Transmission of distress in a bank credit network
by Yoshiharu Maeno & Satoshi Morinaga & Hirokazu Matsushima & Kenichi Amagai
- 1204.5171 ConocoPhillips' share price model revisited
by Ivan Kitov
- 1204.5103 Study of statistical correlations in intraday and daily financial return time series
by Gayatri Tilak & Tamas Szell & Remy Chicheportiche & Anirban Chakraborti
- 1204.5055 Value matters: Predictability of Stock Index Returns
by Natascia Angelini & Giacomo Bormetti & Stefano Marmi & Franco Nardini
- 1204.5039 Record Statistics for Multiple Random Walks
by Gregor Wergen & Satya N. Majumdar & Gregory Schehr
- 1204.4877 Optimal simulation schemes for L\'evy driven stochastic differential equations
by Arturo Kohatsu-Higa & Salvador Ortiz-Latorre & Peter Tankov
- 1204.4631 Yield to maturity modelling and a Monte Carlo Technique for pricing Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward Bonds
by Didier Kouokap Youmbi
- 1204.4614 A finite-dimensional quantum model for the stock market
by Liviu-Adrian Cotfas
- 1204.4122 Network structure of inter-industry flows
by James McNerney & Brian D. Fath & Gerald Silverberg
- 1204.4025 On Pricing Basket Credit Default Swaps
by Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng
- 1204.3786 Comparison results for Garch processes
by Fabio Bellini & Franco Pellerey & Carlo Sgarra & Salimeh Yasaei Sekeh
- 1204.3679 Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models
by Lingfei Li & Vadim Linetsky
- 1204.3556 Maximum likelihood approach for several stochastic volatility models
by Jordi Camprodon & Josep Perell'o
- 1204.3536 Large deviations for a mean field model of systemic risk
by Josselin Garnier & George Papanicolaou & Tzu-Wei Yang
- 1204.3496 Bayesian logistic betting strategy against probability forecasting
by Masayuki Kumon & Jing Li & Akimichi Takemura & Kei Takeuchi
- 1204.3457 The Effects of Prediction Market Design and Price Elasticity on Trading Performance of Users: An Experimental Analysis
by Ivo Blohm & Christoph Riedl & Johann Fuller & Orhan Koroglu & Jan Marco Leimeister & Helmut Krcmar
- 1204.3452 The Variance of Standard Option Returns
by Adi Ben-Meir & Jeremy Schiff
- 1204.3422 Double Exponential Instability of Triangular Arbitrage Systems
by Rod Cross & Victor Kozyakin
- 1204.3156 Price and Quantity Trajectories: Second-order Dynamics
by Eric Kemp-Benedict
- 1204.3136 Identifying financial crises in real time
by Eder Lucio Fonseca & Fernando F. Ferreira & Paulsamy Muruganandam & Hilda A. Cerdeira
- 1204.2736 Optimal execution and price manipulations in time-varying limit order books
by Aur'elien Alfonsi & Jos'e Infante Acevedo
- 1204.2717 Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework
by Alexander Schied
- 1204.2716 Drift dependence of optimal trade execution strategies under transient price impact
by Christopher Lorenz & Alexander Schied
- 1204.2667 Optimal portfolios in commodity futures markets
by Fred Espen Benth & Jukka Lempa
- 1204.2638 Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method
by Masaaki Fujii & Akihiko Takahashi
- 1204.2458 Comparative and qualitative robustness for law-invariant risk measures
by Volker Kratschmer & Alexander Schied & Henryk Zahle
- 1204.2251 On break-even correlation: the way to price structured credit derivatives by replication
by Jean-David Fermanian & Olivier Vigneron
- 1204.2090 Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas
by Damiano Brigo & Kyriakos Chourdakis
- 1204.2065 Toehold Purchase Problem: A comparative analysis of two strategies
by Iryna Banakh & Taras Banakh & Pavel Trisch & Myroslava Vovk
- 1204.1903 Negative Call Prices
by Johannes Ruf
- 1204.1846 Approximate Revenue Maximization with Multiple Items
by Sergiu Hart & Noam Nisan
- 1204.1583 Description of the Operational Mechanics of a Basel Regulated Banking System
by Jacky Mallett
- 1204.1561 The macroeconomic effect of the information and communication technology in Hungary
by Peter Sasvari
- 1204.1452 Modeling and forecasting exchange rate volatility in time-frequency domain
by Jozef Barunik & Tomas Krehlik & Lukas Vacha
- 1204.1442 Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
by Michael B. Giles & Christoph Reisinger
- 1204.1410 Patience vs. Impatience of Stock Traders
by Peter Lerner
- 1204.1381 Price Jump Prediction in Limit Order Book
by Ban Zheng & Eric Moulines & Fr'ed'eric Abergel
- 1204.1126 Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
by Jan Baldeaux & Eckhard Platen
- 1204.0922 A proposal for impact-adjusted valuation: Critical leverage and execution risk
by Fabio Caccioli & Jean-Philippe Bouchaud & J. Doyne Farmer
- 1204.0915 Equivalence of interest rate models and lattice gases
by Dan Pirjol
- 1204.0646 Arbitrage-free SVI volatility surfaces
by Jim Gatheral & Antoine Jacquier
- 1204.0637 Efficient Discretization of Stochastic Integrals
by Masaaki Fukasawa
- 1204.0633 Local Volatility Pricing Models for Long-dated FX Derivatives
by Griselda Deelstra & Gr'egory Ray'ee
- 1204.0453 Pricing Variable Annuity Guarantees in a Local Volatility framework
by Griselda Deelstra & Gr'egory Ray'ee
- 1204.0426 Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix
by Aki-Hiro Sato & Takaki Hayashi & Janusz A. Ho{l}yst
- 1204.0350 When games meet reality: is Zynga overvalued?
by Zal'an Forr'o & Peter Cauwels & Didier Sornette
- 1204.0305 Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
by Jin Hyuk Choi & Mihai Sirbu & Gordan Zitkovic
- 1204.0148 General Intensity Shapes in Optimal Liquidation
by Olivier Gu'eant & Charles-Albert Lehalle
- 1203.6899 Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
by Martijn Pistorius & Johannes Stolte
- 1203.6877 The maximum maximum of a martingale with given $n$ marginals
by Pierre Henry-Labord`ere & Jan Ob{l}'oj & Peter Spoida & Nizar Touzi
- 1203.6778 Systemic losses in banking networks: indirect interaction of nodes via asset prices
by Igor Tsatskis
- 1203.6723 The Mathematics of the Relationship between the Default Risk and Yield-to-Maturity of Coupon Bonds
by Sara Cecchetti & Antonio Di Cesare
- 1203.6631 Implied Filtering Densities on Volatility's Hidden State
by Carlos Fuertes & Andrew Papanicolaou
- 1203.6507 Evolutionary Model of the Personal Income Distribution
by Joachim Kaldasch
- 1203.6424 Ordinal Classification Method for the Evaluation Of Thai Non-life Insurance Companies
by Phaiboon Jhonpita & Sukree Sinthupinyo & Thitivadee Chaiyawat
- 1203.6228 Eigenvector dynamics: general theory and some applications
by Romain Allez & Jean-Philippe Bouchaud
- 1203.6021 From Nuclear Reactions to High-Frequency Trading: an R-function Approach
by Frank W. K. Firk
- 1203.5957 Optimal Trading with Linear Costs
by Joachim de Lataillade & Cyril Deremble & Marc Potters & Jean-Philippe Bouchaud
- 1203.5903 Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
by Jan Baldeaux & Alexander Badran
- 1203.5893 Aftershock prediction for high-frequency financial markets' dynamics
by Fulvio Baldovin & Francesco Camana & Michele Caraglio & Attilio L. Stella & Marco Zamparo
- 1203.5729 Quantile Mechanics 3: Series Representations and Approximation of some Quantile Functions appearing in Finance
by Asad Munir & William Shaw
- 1203.5703 We've walked a million miles for one of these smiles
by L. De Leo & V. Vargas & S. Ciliberti & J. -P. Bouchaud
- 1203.5664 Asset Pricing under uncertainty
by Simone Scotti
- 1203.5581 Heavy-Tail Distribution from Correlation of Discrete Stochastic Process
by Jongwook Kim & Teppei Okumura
- 1203.5513 The Wishart short rate model
by Alessandro Gnoatto
- 1203.5442 Pricing electricity derivatives within a Markov regime-switching model
by Joanna Janczura
- 1203.5298 Dynamical fluctuations in a simple housing market model
by R'emi Lemoy & Eric Bertin
- 1203.5176 International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
by Mikio Ito & Akihiko Noda & Tatsuma Wada
- 1203.5020 Large deviations for the extended Heston model: the large-time case
by Antoine Jacquier & Aleksandar Mijatovic
- 1203.4979 Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity
by Ladislav Kristoufek
- 1203.4786 A flexible matrix Libor model with smiles
by Jos'e Da Fonseca & Alessandro Gnoatto & Martino Grasselli
- 1203.4610 Capital requirements with defaultable securities
by Walter Farkas & Pablo Koch-Medina & Cosimo Munari
- 1203.4156 Optimal Investment Under Transaction Costs: A Threshold Rebalanced Portfolio Approach
by Sait Tunc & Suleyman S. Kozat
- 1203.4153 Optimal Investment Under Transaction Costs
by Sait Tunc & Mehmet A. Donmez & Suleyman S. Kozat
- 1203.3869 Transversality Conditions for Stochastic Higher-Order Optimality: Continuous and Discrete Time Problems
by Dapeng Cai & Takashi Gyoshin Nitta
- 1203.3757 Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources
by Maria B. Chiarolla & Giorgio Ferrari & Frank Riedel
- 1203.3188 Empirical Evidence for the Structural Recovery Model
by Alexander Becker & Alexander F. R. Koivusalo & Rudi Schafer
- 1203.3031 Using Decision Tree Learner to Classify Solvency Position for Thai Non-life Insurance Companies
by Phaiboon Jhongpita & Sukree Sinthupinyo & Thitivadee Chaiyawat
- 1203.2564 Percentiles of sums of heavy-tailed random variables: Beyond the single-loss approximation
by Lorenzo Hern'andez & Jorge Tejero & Alberto Su'arez & Santiago Carrillo-Men'endez
- 1203.2369 Counterparty Risk Valuation: A Marked Branching Diffusion Approach
by Pierre Henry-Labordere
- 1203.2355 Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias
by Jos'e E. Figueroa-L'opez & Peter Tankov
- 1203.2287 Bounds for rating override rates
by Dirk Tasche
- 1203.2250 Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook
by Valeriy Zakamulin
- 1203.2017 Consistent Long-Term Yield Curve Prediction
by Josef Teichmann & Mario V. Wuthrich
- 1203.1880 Income distribution patterns from a complete social security database
by N. Derzsy & Z. Neda & M. A. Santos
- 1203.1399 Portfolios and risk premia for the long run
by Paolo Guasoni & Scott Robertson
- 1203.1313 UPDATE February 2012 - The Food Crises: Predictive validation of a quantitative model of food prices including speculators and ethanol conversion
by Marco Lagi & Yavni Bar-Yam & Karla Z. Bertrand & Yaneer Bar-Yam
- 1203.1311 The evolvability of business and the role of antitrust
by Ian Wilkinson
- 1203.1191 Asymptotics of robust utility maximization
by Thomas Knispel
- 1203.0643 Incorporating fat tails in financial models using entropic divergence measures
by Santanu Dey & Sandeep Juneja
- 1203.0599 Implied volatility formula of European Power Option Pricing
by Jingwei Liu & Xing Chen
- 1203.0163 Discovering East Africa's Industrial Opportunities
by Cesar A. Hidalgo
- 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
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