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Content
2010
- 1010.1689 An Efficient, Distributable, Risk Neutral Framework for CVA Calculation
by Dongsheng Lu & Frank Juan
- 1010.1617 FX Smile in the Heston Model
by Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup
- 1010.1413 Competitive market for multiple firms and economic crisis
by Yong Tao
- 1010.1372 Sequential Monte Carlo pricing of American-style options under stochastic volatility models
by Bhojnarine R. Rambharat & Anthony E. Brockwell
- 1010.1212 On Calibrating Stochastic Volatility Models with time-dependent Parameters
by Wolfgang Putschoegl
- 1010.0854 On low-sampling-rate Kramers-Moyal coefficients
by C. Anteneodo & S. M. Duarte Queiros
- 1010.0829 Information-based models for finance and insurance
by Edward Hoyle
- 1010.0627 Asymptotics and Duality for the Davis and Norman Problem
by Stefan Gerhold & Johannes Muhle-Karbe & Walter Schachermayer
- 1010.0410 Structure and Response in the World Trade Network
by Jiankui He & Michael W. Deem
- 1010.0208 Equilibrium distributions and relaxation times in gas-like economic models: an analytical derivation
by Xavier Calbet & Jose-Luis Lopez & Ricardo Lopez-Ruiz
- 1010.0090 Holder-extendible European option: corrections and extensions
by Pavel V. Shevchenko
- 1010.0080 Optimal consumption and investment in incomplete markets with general constraints
by Patrick Cheridito & Ying Hu
- 1010.0027 How sensitive are equilibrium pricing models to real-world distortions?
by Harbir Lamba
- 1009.6157 Statistical causes for the Epps effect in microstructure noise
by Michael C. Munnix & Rudi Schafer & Thomas Guhr
- 1009.5973 On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
by Daniel Sevcovic
- 1009.5830 Self-organized criticality in a network of economic agents with finite consumption
by Jo~ao P. da Cruz & Pedro G. Lind
- 1009.5806 Density quantization method in the optimal portfolio choice with partial observation of stochastic volatility
by Grzegorz Ha{l}aj
- 1009.5800 Will the US Economy Recover in 2010? A Minimal Spanning Tree Study
by Yiting Zhang & Gladys Hui Ting Lee & Jian Cheng Wong & Jun Liang Kok & Manamohan Prusty & Siew Ann Cheong
- 1009.5499 Kinetic models for socio-economic dynamics of speculative markets
by D. Maldarella & L. Pareschi
- 1009.5495 American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations
by Yu. A. Kuperin & P. A. Poloskov
- 1009.5401 Capital allocation for credit portfolios under normal and stressed market conditions
by Norbert Jobst & Dirk Tasche
- 1009.5129 A certain estimate of volatility through return for stochastic volatility models
by Mikhail Martynov & Olga Rozanova
- 1009.5075 Adaptive Expectations, Confirmatory Bias, and Informational Efficiency
by Gani Aldashev & Timoteo Carletti & Simone Righi
- 1009.4886 Error bounds for small jumps of L\'evy processes
by El Hadj Aly Dia
- 1009.4884 Connecting discrete and continuous lookback or hindsight options in exponential L\'evy models
by El Hadj Aly Dia & Damien Lamberton
- 1009.4843 A quantum model for the stock market
by Chao Zhang & Lu Huang
- 1009.4835 Financial LPPL Bubbles with Mean-Reverting Noise in the Frequency Domain
by Vincenzo Liberatore
- 1009.4818 Semi-Closed Form Cubature and Applications to Financial Diffusion Models
by Christian Bayer & Peter Friz & Ronnie Loeffen
- 1009.4785 Individual and collective stock dynamics: intra-day seasonalities
by Romain Allez & Jean-Philippe Bouchaud
- 1009.4683 Efficient Computation of Optimal Trading Strategies
by Victor Boyarshinov & Malik Magdon-Ismail
- 1009.4587 Analytical and Numerical Approaches to Pricing the Path-Dependent Options with Stochastic Volatility
by Yu. A. Kuperin & P. A. Poloskov
- 1009.4489 Complex Networks and Symmetry II: Reciprocity and Evolution of World Trade
by Franco Ruzzenenti & Diego Garlaschelli & Riccardo Basosi
- 1009.4211 Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with L\'evy jumps
by J. E. Figueroa-L'opez & R. Gong & C. Houdr'e
- 1009.4146 A three dimensional stochastic Model for Claim Reserving
by Magda Schiegl
- 1009.4143 On the Savety Loading for Chain Ladder Estimates: A Monte Carlo Simulation Study
by Magda Schiegl
- 1009.4142 About the Justification of Experience Rating: Bonus Malus System and a new Poisson Mixture Model
by Magda Schiegl
- 1009.3810 Asset pricing with random information flow
by Dorje C. Brody & Yan Tai Law
- 1009.3760 Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
by Damiano Brigo & Claudio Nordio
- 1009.3753 Transaction fees and optimal rebalancing in the growth-optimal portfolio
by Yu Feng & Matus Medo & Liang Zhang & Yi-Cheng Zhang
- 1009.3638 Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations
by Nikolaus Rab & Richard Warnung
- 1009.3556 Perpetual Cancellable American Call Option
by Thomas J. Emmerling
- 1009.3550 Exponential wealth distribution in different discrete economic models
by Ricardo Lopez-Ruiz
- 1009.3479 Incomplete Continuous-time Securities Markets with Stochastic Income Volatility
by Peter Ove Christensen & Kasper Larsen
- 1009.3361 Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades
by Chris Kenyon
- 1009.3247 Optimal control of risk process in a regime-switching environment
by Chao Zhu
- 1009.2973 On a free boundary problem for an American put option under the CEV process
by Miao Xu & Charles Knessl
- 1009.2928 The endogenous dynamics of markets: price impact and feedback loops
by Jean-Philippe Bouchaud
- 1009.2896 On the nature of financial leverage
by Yaroslav Ivanenko
- 1009.2782 Small-time asymptotics for fast mean-reverting stochastic volatility models
by Jin Feng & Jean-Pierre Fouque & Rohini Kumar
- 1009.2743 Mesoscopic modelling of financial markets
by S. Cordier & L. Pareschi & C. Piatecki
- 1009.2721 Convergence of Income Growth Rates in Evolutionary Agent-Based Economics
by Volker Nannen
- 1009.2696 A contribution to the systematics of stochastic volatility models
by Frantisek Slanina
- 1009.2631 Google matrix of business process management
by M. Abel & D. L. Shepelyansky
- 1009.2329 Tick size and price diffusion
by Gabriele La Spada & J. Doyne Farmer & Fabrizio Lillo
- 1009.2168 Random G-expectations
by Marcel Nutz
- 1009.1446 Comparing Prediction Market Structures, With an Application to Market Making
by Aseem Brahma & Sanmay Das & Malik Magdon-Ismail
- 1009.1269 Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk
by Zongxia Liang & Lin He & Jiaoling Wu
- 1009.1105 Coherent Patterns in Nuclei and in Financial Markets
by S. Drozdz & J. Kwapien & J. Speth
- 1009.1100 The joint distribution of stock returns is not elliptical
by R'emy Chicheportiche & Jean-Philippe Bouchaud
- 1009.0972 Are large complex economic systems unstable ?
by Sitabhra Sinha
- 1009.0932 On the Multi-Dimensional Controller and Stopper Games
by Erhan Bayraktar & Yu-Jui Huang
- 1009.0769 Chaos and Unraveling in Matching Markets
by Songzi Du & Yair Livne
- 1009.0635 Numerical methods for optimal insurance demand under marked point processes shocks
by Mohamed Mnif
- 1009.0299 A simple model for asset price bubble formation and collapse
by Alexander Kiselev & Lenya Ryzhik
- 1008.5373 Penalty Decomposition Methods for Rank Minimization
by Zhaosong Lu & Yong Zhang
- 1008.5058 Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach
by Mohamed Mnif
- 1008.5055 Normalization for Implied Volatility
by Masaaki Fukasawa
- 1008.4841 Path Integral and Asian Options
by Peng Zhang
- 1008.4611 Large systems of diffusions interacting through their ranks
by Mykhaylo Shkolnikov
- 1008.3880 Analysis of the sensitivity to discrete dividends : A new approach for pricing vanillas
by Arnaud Gocsei & Fouad Sahel
- 1008.3840 Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game
by Yu. A. Kuperin & M. M. Morozova
- 1008.3746 Belief Propagation Algorithm for Portfolio Optimization Problems
by Takashi Shinzato & Muneki Yasuda
- 1008.3722 BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences
by {L}ukasz Delong
- 1008.3718 Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios
by William T. Shaw
- 1008.3650 Optimal Timing to Purchase Options
by Tim Leung & Michael Ludkovski
- 1008.3427 Log-supermodularity of weight functions and the loading monotonicity of weighted insurance premiums
by Hristo S. Sendov & Ying Wang & Ricardas Zitikis
- 1008.3276 No-arbitrage of second kind in countable markets with proportional transaction costs
by Bruno Bouchard & Erik Taflin
- 1008.2663 Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
by Ljudmila A. Bordag & Anna Mikaelyan
- 1008.2421 Maximum penalized quasi-likelihood estimation of the diffusion function
by Jeff Hamrick & Yifei Huang & Constantinos Kardaras & Murad Taqqu
- 1008.2292 Sibuya copulas
by Marius Hofert & Frederic Vrins
- 1008.2226 Non-existence of Markovian time dynamics for graphical models of correlated default
by Steven N. Evans & Alexandru Hening
- 1008.2179 Statistical mechanics of money, debt, and energy consumption
by Victor M. Yakovenko
- 1008.2104 Moment Explosion in the LIBOR Market Model
by Stefan Gerhold
- 1008.1960 Is an historical economic crisis upcoming?
by Caglar Tuncay
- 1008.1846 An algorithmic information-theoretic approach to the behaviour of financial markets
by Hector Zenil & Jean-Paul Delahaye
- 1008.1108 Calculation of aggregate loss distributions
by Pavel V. Shevchenko
- 1008.1032 Modeling total expenditure on warranty claims
by Abhimanyu Mitra & Sidney I. Resnick
- 1008.0836 The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options
by Sam Howison & Christoph Reisinger & Jan Hendrik Witte
- 1008.0758 A Chaotic Approach to Market Dynamics
by Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz
- 1008.0401 A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
by Jan Hendrik Witte & Christoph Reisinger
- 1008.0160 Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
by Yong-Ping Ruan & Wei-Xing Zhou
- 1008.0149 Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation
by Gareth W. Peters & Balakrishnan B. Kannan & Ben Lasscock & Chris Mellen & Simon Godsill
- 1008.0126 Asymptotics of Random Contractions
by Enkelejd Hashorva & Anthony G. Pakes & Qihe Tang
- 1007.5433 Analytical Framework for Credit Portfolios
by Mikhail Voropaev
- 1007.5413 Optimization of Financial Instrument Parcels in Stochastic Wavelet Model
by A. M. Avdeenko
- 1007.5376 Optimal control of a big financial company with debt liability under bankrupt probability constraints
by Zongxia Liang & Bin Sun
- 1007.5353 Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture
by Archil Gulisashvili
- 1007.5274 Volatilities That Change with Time: The Temporal Behavior of the Distribution of Stock-Market Prices
by Achilles D. Speliotopoulos
- 1007.5074 Statistical mechanics approach to the probability distribution of money
by Victor M. Yakovenko
- 1007.4372 Approximations and asymptotics of upper hedging prices in multinomial models
by Ryuichi Nakajima & Masayuki Kumon & Akimichi Takemura & Kei Takeuchi
- 1007.4366 A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
by Jean-Pierre Fouque & Matthew Lorig
- 1007.4361 Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
by Jean-Pierre Fouque & Sebastian Jaimungal & Matthew Lorig
- 1007.4264 Lowest Unique Bid Auctions
by Marco Scarsini & Eilon Solan & Nicolas Vieille
- 1007.3601 Strategic Insights From Playing the Quantum Tic-Tac-Toe
by J. N. Leaw & S. A. Cheong
- 1007.3362 Picard approximation of stochastic differential equations and application to LIBOR models
by Antonis Papapantoleon & David Skovmand
- 1007.3347 On-line trading as a renewal process: Waiting time and inspection paradox
by Jun-ichi Inoue & Naoya Sazuka & Enrico Scalas
- 1007.3316 Pricing in an equilibrium based model for a large investor
by David German
- 1007.2968 Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model
by Leunglung Chan & Eckhard Platen
- 1007.2817 The fractional volatility model: No-arbitrage, leverage and risk measures
by R. Vilela Mendes & Maria Jo~ao Oliveira
- 1007.2593 Empirical Limitations on High Frequency Trading Profitability
by Michael Kearns & Alex Kulesza & Yuriy Nevmyvaka
- 1007.2352 Automated Liquidity Provision and the Demise of Traditional Market Making
by Austin Gerig & David Michayluk
- 1007.1908 Target market risk evaluation
by Anda Gheorghiu & Anca Gheorghiu & Ion Spanulescu
- 1007.1706 CDO term structure modelling with Levy processes and the relation to market models
by Thorsten Schmidt & Jerzy Zabczyk
- 1007.1631 Price dynamics in financial markets: a kinetic approach
by Dario Maldarella & Lorenzo Pareschi
- 1007.0691 Phase transition in a log-normal Markov functional model
by Dan Pirjol
- 1007.0610 What risk measures are time consistent for all filtrations?
by Samuel N. Cohen
- 1007.0515 Liquidity in Credit Networks: A Little Trust Goes a Long Way
by Pranav Dandekar & Ashish Goel & Ramesh Govindan & Ian Post
- 1007.0472 Georg de Buquoy - Founder of Mathematical Economy with South Bohemian Roots
by Dalibor Stys & Miroslav Valcihova
- 1007.0461 How simple regulations can greatly reduce inequality
by J. R. Iglesias
- 1007.0199 Optimal execution strategy in the presence of permanent price impact and fixed transaction cost
by Mauricio Junca
- 1007.0026 A Dynamical Model for Forecasting Operational Losses
by Marco Bardoscia & Roberto Bellotti
- 1006.5847 Estimating correlation and covariance matrices by weighting of market similarity
by Michael C. Munnix & Rudi Schafer & Oliver Grothe
- 1006.5587 Econophysics on Real Economy -The First Decade of the Kyoto Econophysics Group-
by Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Hiroshi Iyetomi & Wataru Souma
- 1006.5490 Is high-frequency trading inducing changes in market microstructure and dynamics?
by Reginald D. Smith
- 1006.5473 Alarm System for Insurance Companies: A Strategy for Capital Allocation
by Shubhabrata Das & Marie Kratz
- 1006.5230 Optimizing a basket against the efficient market hypothesis
by Fr'ed'eric Abergel & Mauro Politi
- 1006.5057 Horizon dependence of utility optimizers in incomplete models
by Kasper Larsen & Hang Yu
- 1006.5044 Modelling savings behavior of agents in the kinetic exchange models of market
by Anindya S. Chakrabarti
- 1006.4968 Validation of credit default probabilities via multiple testing procedures
by Sebastian Dohler
- 1006.4767 Interest-Rate Modeling with Multiple Yield Curves
by Andrea Pallavicini & Marco Tarenghi
- 1006.4595 Wealth Distributions in Asset Exchange Models
by P. L. Krapivsky & S. Redner
- 1006.4517 Reduced form modeling of limit order markets
by Pekka Malo & Teemu Pennanen
- 1006.4382 Fairness Is an Emergent Self-Organized Property of the Free Market for Labor
by Venkat Venkatasubramanian
- 1006.4083 Convex duality in stochastic programming and mathematical finance
by Teemu Pennanen
- 1006.4070 Computation of vector sublattices and minimal lattice-subspaces of R^k. Applications in finance
by V. N. Katsikis & I. A. Polyrakis
- 1006.3956 Econophysics: A new discipline
by Sonia R. Bentes
- 1006.3923 Complex Networks and Symmetry I: A Review
by Diego Garlaschelli & Franco Ruzzenenti & Riccardo Basosi
- 1006.3708 Econophysics studies in Estonia
by M. Patriarca & E. Heinsalu & R. Kitt & J. Kalda
- 1006.3521 Business fluctuations in a credit-network economy
by Domenico Delli Gatti & Mauro Gallegati & Bruce Greenwald & Alberto Russo & Joseph E. Stiglitz
- 1006.3340 Numerical methods for the L\'evy LIBOR model
by Antonis Papapantoleon & David Skovmand
- 1006.3337 Bounds on Stock Price probability distributions in Local-Stochastic Volatility models
by Vlad Bally & Stefano De Marco
- 1006.3224 Outperforming the market portfolio with a given probability
by Erhan Bayraktar & Yu-Jui Huang & Qingshuo Song
- 1006.3096 Non-Hermitean Wishart random matrices (I)
by Eugene Kanzieper & Navinder Singh
- 1006.2909 Credit Risk, Market Sentiment and Randomly-Timed Default
by Dorje C. Brody & Lane P. Hughston & Andrea Macrina
- 1006.2862 A note on the theory of fast money flow dynamics
by Andrey Sokolov & Tien Kieu & Andrew Melatos
- 1006.2712 Absolute ruin in the Ornstein-Uhlenbeck type risk model
by Ronnie L. Loeffen & Pierre Patie
- 1006.2711 Recovery Rates in investment-grade pools of credit assets: A large deviations analysis
by Konstantinos Spiliopoulos & Richard B. Sowers
- 1006.2555 Price as a matter of choice and nonstochastic randomness
by Yaroslav Ivanenko
- 1006.2489 Cumulant Approach of Arbitrary Truncated Levy Flight
by Dmitry V. Vinogradov
- 1006.2294 Small-Time Asymptotics of Option Prices and First Absolute Moments
by Johannes Muhle-Karbe & Marcel Nutz
- 1006.2281 Exact and high order discretization schemes for Wishart processes and their affine extensions
by Abdelkoddousse Ahdida & Aur'elien Alfonsi
- 1006.2273 Good-deal bounds in a regime-switching diffusion market
by Catherine Donnelly
- 1006.2057 The individual income distribution in Argentina in the period 2000-2009. A unique source of non stationary data
by Juan C. Ferrero
- 1006.2012 Discrete tenor models for credit risky portfolios driven by time-inhomogeneous L\'evy processes
by Ernst Eberlein & Zorana Grbac & Thorsten Schmidt
- 1006.2010 Prediction accuracy and sloppiness of log-periodic functions
by David Br'ee & Damien Challet & Pier Paolo Peirano
- 1006.1996 Functionals of Exponential Brownian Motion and Divided Differences
by Brad Baxter & Raymond Brummelhuis
- 1006.1882 Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws
by Alexander M. Petersen & Fengzhong Wang & Shlomo Havlin & H. Eugene Stanley
- 1006.1791 Investigating Causal Relationships in Stock Returns with Temporal Logic Based Methods
by Samantha Kleinberg & Petter N. Kolm & Bud Mishra
- 1006.1350 Copula Processes
by Andrew Gordon Wilson & Zoubin Ghahramani
- 1006.0863 A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk
by Luis H. R. Alvarez & Jani Sainio
- 1006.0768 Numerical methods for an optimal order execution problem
by Fabien Guilbaud & Mohamed Mnif & Huy^en Pham
- 1006.0697 Recent progress in random metric theory and its applications to conditional risk measures
by Tiexin Guo
- 1006.0628 Emergence of universal scaling in financial markets from mean-field dynamics
by S. V. Vikram & Sitabhra Sinha
- 1006.0469 Certifiably Pseudorandom Financial Derivatives
by David Zuckerman
- 1006.0310 On the strategic use of risk and undesirable goods in multidimensional screening
by Aim'e Lachapelle & Filippo Santambrogio
- 1006.0155 Scaling and multiscaling in financial series: a simple model
by Alessandro Andreoli & Francesco Caravenna & Paolo Dai Pra & Gustavo Posta
- 1005.5675 The Financial Bubble Experiment: Advanced Diagnostics and Forecasts of Bubble Terminations Volume II-Master Document
by Didier Sornette & Ryan Woodard & Maxim Fedorovsky & Stefan Reimann & Hilary Woodard & Wei-Xing Zhou
- 1005.5538 The Impact of Credit Risk and Implied Volatility on Stock Returns
by Florian Steiger
- 1005.5105 The dual optimizer for the growth-optimal portfolio under transaction costs
by Stefan Gerhold & Johannes Muhle-Karbe & Walter Schachermayer
- 1005.5082 A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms
by Yu-Min Yen
- 1005.5021 Random Matrix Theory and Fund of Funds Portfolio Optimisation
by Thomas Conlon & Heather J. Ruskin & Martin Crane
- 1005.5006 Boltzmann legacy and wealth distribution
by Giuseppe Toscani
- 1005.4976 An empirical study of the tails of mutual fund size
by Yonathan Schwarzkopf & J. Doyne Farmer
- 1005.4456 Some Remarks on T-copulas
by Volf Frishling & David G Maher
- 1005.4417 Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management
by Lukasz Delong
- 1005.3956 Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
by Baojun Bian & Sheng Miao & Harry Zheng
- 1005.3799 Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
by Hassan Allouba & Victor Goodman
- 1005.3565 Quadratic Reflected BSDEs with Unbounded Obstacles
by Erhan Bayraktar & Song Yao
- 1005.3535 Intraday Patterns in the Cross-section of Stock Returns
by Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka
- 1005.3518 Inequality reversal: effects of the savings propensity and correlated returns
by Anindya S. Chakrabarti & Bikas K. Chakrabarti
- 1005.3454 Robust maximization of asymptotic growth
by Constantinos Kardaras & Scott Robertson
- 1005.2979 Robust and Adaptive Algorithms for Online Portfolio Selection
by Theodoros Tsagaris & Ajay Jasra & Niall Adams
- 1005.2862 Multivariate heavy-tailed models for Value-at-Risk estimation
by Carlo Marinelli & Stefano d'Addona & Svetlozar T. Rachev
- 1005.2661 Statistically Optimal Strategy Analysis of a Competing Portfolio Market with a Polyvariant Profit Function
by Bohdan Yu. Kyshakevych & Anatoliy K. Prykarpatsky & Denis Blackmore & Ivan P. Tverdokhlib
- 1005.2228 A general method for debiasing a Monte Carlo estimator
by Don McLeish
- 1005.2044 Note on log-periodic description of 2008 financial crash
by Katarzyna Bolonek-Lason & Piotr Kosinski
- 1005.1917 Two-sided estimates for stock price distribution densities in jump-diffusion models
by Archil Gulisashvili & Josep Vives
- 1005.1862 On the estimation of integrated covariance matrices of high dimensional diffusion processes
by Xinghua Zheng & Yingying Li
- 1005.1861 Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
by Aleksandar Mijatovi'c & Mikhail Urusov
- 1005.1811 Insuring against loss of evidence in game-theoretic probability
by A. Philip Dawid & Steven de Rooij & Glenn Shafer & Alexander Shen & Nikolai Vereshchagin & Vladimir Vovk
- 1005.1760 Two stock options at the races: Black-Scholes forecasts
by Gleb Oshanin & Gregory Schehr
- 1005.1705 A Short Tale of Long Tail Integration
by Xiaolin Luo & Pavel V. Shevchenko
- 1005.1476 Robust Estimators in Generalized Pareto Models
by Peter Ruckdeschel & Nataliya Horbenko
- 1005.1361 Optimization of dividend and reinsurance strategies under ruin probability constraint
by Zongxia Liang & Jicheng Yao
- 1005.1360 Optimal dividend and investing control of a insurance company with higher solvency constraints
by Zongxia Liang & Jianping Huang
- 1005.1358 Variational inequality method in stock loans
by Zongxia Liang & Weiming Wu
- 1005.1357 Stock loan with Automatic termination clause, cap and margin
by Shuqing Jiang & Zongxia Liang & Weiming Wu
- 1005.1356 Theoretical and numerical Analysis on Optimal dividend policy of an insurance company with positive transaction cost and higher solvency
by Zongxia Liang & Jicheng Yao
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