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Content
2010
2009
- 1001.0024 Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
by Tetsuya Takaishi
- 0912.5448 Universal Behavior of Extreme Price Movements in Stock Markets
by Miguel A. Fuentes & Austin Gerig & Javier Vicente
- 0912.5427 Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti
- 0912.5420 Consumer Expenditure Distribution in India, 1983-2007: Evidence of a Long Pareto Tail
by Abhik Ghosh & Kausik Gangopadhyay & B. Basu
- 0912.5013 Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks
by Victor Chernozhukov & Ivan Fernandez-Val
- 0912.4973 Probabilities of Positive Returns and Values of Call Options
by Guanghui Huang & Jianping Wan
- 0912.4898 Universal patterns of inequality
by Anand Banerjee & Victor M. Yakovenko
- 0912.4782 Finite-size effect and the components of multifractality in financial volatility
by Wei-Xing Zhou
- 0912.4723 Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior
by David Morton de Lachapelle & Damien Challet
- 0912.4623 A Guide to Modeling Credit Term Structures
by Arthur M. Berd
- 0912.4621 Dynamic Estimation of Credit Rating Transition Probabilities
by Arthur M. Berd
- 0912.4618 Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis
by Arthur M. Berd & Roy Mashal & Peili Wang
- 0912.4614 Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures
by Arthur M. Berd & Roy Mashal & Peili Wang
- 0912.4609 Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures
by Arthur M. Berd & Roy Mashal & Peili Wang
- 0912.4533 Truncated Variation, Upward Truncated Variation and Downward Truncated Variation of Brownian Motion with Drift - their Characteristics and Applications
by Rafa{l} {L}ochowski
- 0912.4404 Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
by Damiano Brigo & Massimo Morini & Marco Tarenghi
- 0912.4312 From the decompositions of a stopping time to risk premium decompositions
by Delia Coculescu
- 0912.3771 Tremor price dynamics in the world's network of stock exchanges
by Jorgen Vitting Andersen & Andrzej Nowak & Giulia Rotundo & Lael Parrott
- 0912.3652 Levy Random Bridges and the Modelling of Financial Information
by Edward Hoyle & Lane P. Hughston & Andrea Macrina
- 0912.3516 Tails of correlation mixtures of elliptical copulas
by Hans Manner & Johan Segers
- 0912.3390 Multifractal dynamics of stock markets
by Dariusz Grech & Lukasz Czarnecki
- 0912.3362 Asymptotic Power Utility-Based Pricing and Hedging
by Jan Kallsen & Johannes Muhle-Karbe & Richard Vierthauer
- 0912.3132 Multiple defaults and contagion risks
by Ying Jiao
- 0912.3031 Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
by Damiano Brigo & Marco Tarenghi
- 0912.3028 Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
by Damiano Brigo & Marco Tarenghi
- 0912.2816 The Bivariate Normal Copula
by Christian Meyer
- 0912.2595 Exotic derivatives under stochastic volatility models with jumps
by Aleksandar Mijatovi'c & Martijn Pistorius
- 0912.2016 Superfamily classification of nonstationary time series based on DFA scaling exponents
by Chuang Liu & Wei-Xing Zhou
- 0912.1985 Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations
by Hiroshi Iyetomi & Yasuhiro Nakayama & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma
- 0912.1925 The first passage event for sums of dependent L\'evy processes with applications to insurance risk
by Irmingard Eder & Claudia Kluppelberg
- 0912.1885 Power Utility Maximization in Constrained Exponential L\'evy Models
by Marcel Nutz
- 0912.1883 The Bellman equation for power utility maximization with semimartingales
by Marcel Nutz
- 0912.1879 The Opportunity Process for Optimal Consumption and Investment with Power Utility
by Marcel Nutz
- 0912.1841 A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances
by Brice Franke & Michael Stolz
- 0912.1617 Homogeneous Volatility Bridge Estimators
by Alexander Saichev & Didier Sornette & Vladimir Filimonov & Fulvio Corsi
- 0912.1534 Evolutionary multi-stage financial scenario tree generation
by Ronald Hochreiter
- 0912.1396 Time consistency and moving horizons for risk measures
by Samuel N. Cohen & Robert J. Elliott
- 0912.1321 Early exercise boundary for American type of floating strike Asian option and its numerical approximation
by Tomas Bokes & Daniel Sevcovic
- 0912.1037 About Some Applications of Kolmogorov Equations to the Simulation of Financial Institutions Activity
by Mikhail I. Rumyantsev
- 0912.0857 What Causes Business Cycles? Analysis of the Japanese Industrial Production Data
by Hiroshi Iyetomi & Yasuhiro Nakayama & Hiroshi Yoshikawa & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma
- 0912.0434 Appraisal of a contour integral method for the Black-Scholes and Heston equations
by K. J. in 't Hout & J. A. C. Weideman
- 0912.0372 Variance Optimal Hedging for continuous time processes with independent increments and applications
by St'ephane Goutte & Nadia Oudjane & Francesco Russo
- 0911.5579 Asymptotic behavior of prices of path dependent options
by Yuji Hishida & Kenji Yasutomi
- 0911.5503 Finitely additive probabilities and the Fundamental Theorem of Asset Pricing
by Constantinos Kardaras
- 0911.5117 Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
by Benjamin Jourdain & Michel Vellekoop
- 0911.5048 Resilience of Volatility
by Sergey S. Stepanov
- 0911.4859 On the Performance of Delta Hedging Strategies in Exponential L\'evy Models
by Stephan Denkl & Martina Goy & Jan Kallsen & Johannes Muhle-Karbe & Arnd Pauwels
- 0911.4801 Existence of Shadow Prices in Finite Probability Spaces
by Jan Kallsen & Johannes Muhle-Karbe
- 0911.4763 Causal Links Between US Economic Sectors
by Gladys Hui Ting Lee & Yiting Zhang & Jian Cheng Wong & Manamohan Prusty & Siew Ann Cheong
- 0911.4679 Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect
by Johannes Vitalis Siven & Jeffrey Todd Lins
- 0911.4259 Financial rogue waves
by Zhenya Yan
- 0911.4258 Statistical Regularities of Equity Market Activity
by Fengzhong Wang & Kazuko Yamasaki & Shlomo Havlin & H. Eugene Stanley
- 0911.4207 An information theoretic approach to statistical dependence: copula information
by Rafael S. Calsaverini & Renato Vicente
- 0911.4039 Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities
by Nathalie Rey
- 0911.4030 The StressVaR: A New Risk Concept for Superior Fund Allocation
by Cyril Coste & Raphael Douady & Ilija I. Zovko
- 0911.3802 A Coupled Markov Chain Approach to Credit Risk Modeling
by David Wozabal & Ronald Hochreiter
- 0911.3789 On the Existence of Consistent Price Systems
by Erhan Bayraktar & Mikko S. Pakkanen & Hasanjan Sayit
- 0911.3608 Utility maximization in models with conditionally independent increments
by Jan Kallsen & Johannes Muhle-Karbe
- 0911.3472 Les G\'en\'erateurs de Sc\'enarios \'Economiques : quelle utilisation en assurance?
by Alaeddine Faleh & Fr'ed'eric Planchet & Didier Rulli`ere
- 0911.3331 Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
by Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou
- 0911.3194 Mutual Fund Theorem for continuous time markets with random coefficients
by Nikolai Dokuchaev
- 0911.3117 Optimal investment with inside information and parameter uncertainty
by Albina Danilova & Michael Monoyios & Andrew Ng
- 0911.3099 Financial crises and the evaporation of trust
by Kartik Anand & Prasanna Gai & Matteo Marsili
- 0911.3045 Sign and amplitude representation of the forex networks
by Sylwia Gworek & Jaroslaw Kwapien & Stanislaw Drozdz
- 0911.3043 Robust utility maximization for diffusion market model with misspecified coefficients
by R. Tevzadze & T. Toronjadze
- 0911.2992 Asymptotic formulae for implied volatility in the Heston model
by Martin Forde & Antoine Jacquier & Aleksandar Mijatovic
- 0911.2834 Coupling Index and Stocks
by Benjamin Jourdain & Mohamed Sbai
- 0911.2757 On affine interest rate models
by Paul Lescot
- 0911.2229 Bernstein processes, Euclidean Quantum Mechanics and Interest Rate Models
by Paul Lescot
- 0911.1921 Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times
by Li Lin & Didier Sornette
- 0911.1834 Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model
by Vladimir G. Ivancevic
- 0911.1694 Regularizing Portfolio Optimization
by Susanne Still & Imre Kondor
- 0911.1662 A Dynamic Model for Credit Index Derivatives
by Louis Paulot
- 0911.1610 Pricing Fixed-Income Securities in an Information-Based Framework
by Lane P. Hughston & Andrea Macrina
- 0911.1575 Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups
by Hongzhong Zhang & Olympia Hadjiliadis
- 0911.1119 Bonds with volatilities proportional to forward rates
by Michal Baran & Jerzy Zabczyk
- 0911.0928 Empirical asset pricing with nonlinear risk premia
by Aleksandar Mijatovic & Paul Schneider
- 0911.0805 Market Implied Probability Distributions and Bayesian Skew Estimation
by Ulrich Kirchner
- 0911.0750 Discrete-Time Interest Rate Modelling
by Lane P. Hughston & Andrea Macrina
- 0911.0562 A remark on Gatheral's 'most-likely path approximation' of implied volatility
by Martin Keller-Ressel & Josef Teichmann
- 0911.0454 The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations
by Didier Sornette & Ryan Woodard & Maxim Fedorovsky & Stefan Reimann & Hilary Woodard & Wei-Xing Zhou
- 0911.0373 Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models
by Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon
- 0911.0223 Analytical Framework for Credit Portfolios. Part I: Systematic Risk
by Mikhail Voropaev
- 0911.0113 Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis
by Ljudmila A. Bordag
- 0911.0057 Scaling and memory in the non-poisson process of limit order cancelation
by Xiao-Hui Ni & Zhi-Qiang Jiang & Gao-Feng Gu & Fei Ren & Wei Chen & Wei-Xing Zhou
- 0910.5655 Dual Quantization for random walks with application to credit derivatives
by Gilles Pag`es & Benedikt Wilbertz
- 0910.5398 Inf-convolution of G-expectations
by Xuepeng Bai & Rainer Buckdahn
- 0910.5185 Nonparametric methods for volatility density estimation
by Bert van Es & Peter Spreij & Harry van Zanten
- 0910.5101 Optimal partial hedging in a discrete-time market as a knapsack problem
by Peter G. Lindberg
- 0910.5033 A Heat Kernel Approach to Interest Rate Models
by Jiro Akahori & Yuji Hishida & Josef Teichmann & Takahiro Tsuchiya
- 0910.4941 Old and new approaches to LIBOR modeling
by Antonis Papapantoleon
- 0910.4348 Complex Systems: From Nuclear Physics to Financial Markets
by J. Speth & S. Drozdz & F. Gruemmer
- 0910.4257 Obstacle problem for Arithmetic Asian options
by Laura Monti & Andrea Pascucci
- 0910.4177 Exact Simulation of Bessel Diffusions
by Roman N. Makarov & Devin Glew
- 0910.3936 Admissible Strategies in Semimartingale Portfolio Selection
by Sara Biagini & Alev{s} v{C}ern'y
- 0910.3695 Has the world economy reached its globalization limit?
by Janusz Miskiewicz & Marcel Ausloos
- 0910.3258 Hedging in an equilibrium-based model for a large investor
by David German
- 0910.2909 Compensating asynchrony effects in the calculation of financial correlations
by Michael C. Munnix & Rudi Schafer & Thomas Guhr
- 0910.2696 Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
by Igor Halperin
- 0910.2524 Universal and nonuniversal allometric scaling behaviors in the visibility graphs of world stock market indices
by Meng-Cen Qian & Zhi-Qiang Jiang & Wei-Xing Zhou
- 0910.2474 Multifractal analysis and instability index of prior-to-crash market situations
by M. Piacquadio & F. O. Redelico
- 0910.2465 Complete Characterization of Functions Satisfying the Conditions of Arrow's Theorem
by Elchanan Mossel & Omer Tamuz
- 0910.2447 Activity Dependent Branching Ratios in Stocks, Solar X-ray Flux, and the Bak-Tang-Wiesenfeld Sandpile Model
by Elliot Martin & Amer Shreim & Maya Paczuski
- 0910.2367 Risk Concentration and Diversification: Second-Order Properties
by Matthias Degen & Dominik D. Lambrigger & Johan Segers
- 0910.2309 Closed form asymptotics for local volatility models
by Wen Cheng & Nick Costanzino & John Liechty & Anna Mazzucato & Victor Nistor
- 0910.2091 BSDEs with random default time and their applications to default risk
by Shige Peng & Xiaoming Xu
- 0910.1671 Geometric Arbitrage Theory and Market Dynamics Reloaded
by Simone Farinelli
- 0910.1430 State price density estimation via nonparametric mixtures
by Ming Yuan
- 0910.1394 Statistical mixing and aggregation in Feller diffusion
by Celia Anteneodo & Silvio M. Duarte Queiros
- 0910.1205 Financial Applications of Random Matrix Theory: a short review
by J. P. Bouchaud & M. Potters
- 0910.1166 Optimal split of orders across liquidity pools: a stochastic algorithm approach
by Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es
- 0910.0545 A general "bang-bang" principle for predicting the maximum of a random walk
by Pieter C. Allaart
- 0910.0236 Joint Modelling of Gas and Electricity spot prices
by Noufel Frikha & Vincent Lemaire
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