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Content
2010
- 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
- 1005.1326 GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries
by Periklis Gogas & Ioannis Pragidis
- 1005.0877 Detrending moving average algorithm for multifractals
by Gao-Feng Gu & Wei-Xing Zhou
- 1005.0768 No-arbitrage pricing under cross-ownership
by Tom Fischer
- 1005.0728 The Euler-Maruyama approximations for the CEV model
by V. Abramov & F. Klebaner & R. Liptser
- 1005.0496 Stable-1/2 Bridges and Insurance
by Edward Hoyle & Lane P. Hughston & Andrea Macrina
- 1005.0378 Persistent collective trend in stock markets
by Emeric Balogh & Ingve Simonsen & Balint Zs. Nagy & Zoltan Neda
- 1005.0313 An Econophysics Model for the Currency Exchange with Commission
by Ion Spanulescu & Victor A. Stoica & Ion Popescu
- 1005.0279 Rough paths in idealized financial markets
by Vladimir Vovk
- 1005.0221 A discussion of stock market speculation by Pierre-Joseph Proudhon
by Jean-Claude Juhel & Dominique Dufour
- 1005.0211 On the fractional Black-Scholes market with transaction costs
by Ehsan Azmoodeh
- 1005.0194 Delta Hedging in Financial Engineering: Towards a Model-Free Approach
by Michel Fliess & C'edric Join
- 1005.0182 A Multi Agent Model for the Limit Order Book Dynamics
by Marco Bartolozzi
- 1005.0051 Crude oil and motor fuel: Fair price revisited
by Ivan O. Kitov & Oleg I. Kitov
- 1004.5559 A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage
by Mathias Beiglbock & Walter Schachermayer & Bezirgen Veliyev
- 1004.5547 Memory effect and multifractality of cross-correlations in financial markets
by Tian Qiu & Guang Chen & Li-Xin Zhong & Xiao-Wei Lei
- 1004.5524 Risk measuring under model uncertainty
by Jocelyne Bion-Nadal & Magali Kervarec
- 1004.5192 Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
by N. El Karoui & Mohamed M'Rad
- 1004.5169 Laplace transform analysis of a multiplicative asset transfer model
by Andrey Sokolov & Andrew Melatos & Tien Kieu
- 1004.5109 Wealth distribution: To be or not to be a Gamma?
by Mehdi Lallouache & Aymen Jedidi & Anirban Chakraborti
- 1004.5037 Convenient Multiple Directions of Stratification
by Benjamin Jourdain & Bernard Lapeyre & Piergiacomo Sabino
- 1004.5014 On information efficiency and financial stability
by Fabio Caccioli & Matteo Marsili
- 1004.4956 Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
by Jianqing Fan & Yingying Li & Ke Yu
- 1004.4822 Modelling Information Flows in Financial Markets
by Dorje C. Brody & Lane P. Hughston & Andrea Macrina
- 1004.4592 Schizophrenic Representative Investors
by Philip Z. Maymin
- 1004.4526 Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy
by Mats Brod'en & Magnus Wiktorsson
- 1004.4522 Toy Model for Large Non-Symmetric Random Matrices
by Ma{l}gorzata Snarska
- 1004.4402 Characteristics of Real Futures Trading Networks
by Junjie Wang & Shuigeng Zhou & Jihong Guan
- 1004.4400 Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
by Vladimir Nikulin
- 1004.4272 When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
by Ester Pantaleo & Michele Tumminello & Fabrizio Lillo & Rosario N. Mantegna
- 1004.4169 Optimal Liquidation Strategies Regularize Portfolio Selection
by Fabio Caccioli & Susanne Still & Matteo Marsili & Imre Kondor
- 1004.4153 Improved Frechet bounds and model-free pricing of multi-asset options
by Peter Tankov
- 1004.3939 Price Trackers Inspired by Immune Memory
by William Wilson & Phil Birkin & Uwe Aickelin
- 1004.3830 Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
by Gareth W. Peters & Balakrishnan Kannan & Ben Lasscock & Chris Mellen
- 1004.3758 A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
by Yadong Li
- 1004.3577 Fractional smoothness and applications in finance
by Stefan Geiss & Emmanuel Gobet
- 1004.3525 $F$-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point
by S. Cawston & L. Vostrikova
- 1004.3310 Dividend problem with Parisian delay for a spectrally negative L\'evy risk process
by Irmina Czarna & Zbigniew Palmowski
- 1004.3299 Valuation equations for stochastic volatility models
by Erhan Bayraktar & Constantinos Kardaras & Hao Xing
- 1004.3229 Fifteen years of econophysics: worries, hopes and prospects
by Bertrand M. Roehner
- 1004.3106 Fractional processes as models in stochastic finance
by Christian Bender & Tommi Sottinen & Esko Valkeila
- 1004.3093 Transversality Conditions for Higher Order Infinite Horizon Discrete Time Optimization Problems
by Dapeng Cai & Takashi Gyoshin Nitta
- 1004.3067 Fundamental defect of the macroeconomic thinking as one of the main causes of the crisis endured
by Eugen Perchik
- 1004.2947 Optimal closing of a pair trade with a model containing jumps
by Stig Larsson & Carl Lindberg & Marcus Warfheimer
- 1004.2865 A Top-down Model for Cash CLO
by Yadong Li & Ziyu Zheng
- 1004.2548 Chain ladder method: Bayesian bootstrap versus classical bootstrap
by Gareth W. Peters & Mario V. Wuthrich & Pavel V. Shevchenko
- 1004.2248 Results on numerics for FBSDE with drivers of quadratic growth
by Peter Imkeller & Gonc{c}alo dos Reis & Jianing Zhang
- 1004.2206 A maximum principle for forward-backward stochastic Volterra integral equations and applications in finance
by Tianxiao Wang & Yufeng Shi
- 1004.2107 Discretization error of Stochastic Integrals
by Masaaki Fukasawa
- 1004.2106 Asymptotic analysis for stochastic volatility: Edgeworth expansion
by Masaaki Fukasawa
- 1004.1855 Fast Correlation Greeks by Adjoint Algorithmic Differentiation
by Luca Capriotti & Mike Giles
- 1004.1804 Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics
by Fredrick Michael
- 1004.1759 Valuation Bound of Tranche Options
by Yadong Li & Ariye Shater
- 1004.1758 Consistent Valuation of Bespoke CDO Tranches
by Yadong Li
- 1004.1726 Dynamic Bertrand Oligopoly
by Andrew Ledvina & Ronnie Sircar
- 1004.1670 Any Regulation of Risk Increases Risk
by Philip Z. Maymin & Zakhar G. Maymin
- 1004.1576 Limit Theorems for Partial Hedging Under Transaction Costs
by Yan Dolinsky
- 1004.1575 Error Estimates for Multinomial Approximations of American Options in Merton's Model
by Yan Dolinsky
- 1004.1574 Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
by Yan Dolinsky
- 1004.1522 Dynamics on/in financial markets: dynamical decoupling and stylized facts
by Stefan Reimann & Andreas Tupak
- 1004.1489 Illiquidity Effects in Optimal Consumption-Investment Problems
by Michael Ludkovski & Hyekyung Min
- 1004.1210 Universal Fluctuations of AEX index
by Rui Gonc{c}alves & Helena Ferreira & Alberto Pinto
- 1004.1138 Universal Fluctuations of the FTSE100
by Rui Gonc{c}alves & Helena Ferreira & Alberto Pinto
- 1004.1136 Universality in DAX index returns fluctuations
by Rui Gonc{c}alves & Helena Ferreira & Alberto Pinto
- 1004.1053 Managing Derivative Exposure
by Ulrich Kirchner
- 1004.0844 Quantum Portfolios of Observables and the Risk Neutral Valuation Model
by Fredrick Michael
- 1004.0685 Simple Fuzzy Score for Russian Public Companies Risk of Default
by Sergey Ivliev
- 1004.0682 L'effet de levier de tr\'esorerie
by Jean-Claude Juhel
- 1004.0595 Precautionary Measures for Credit Risk Management in Jump Models
by Masahiko Egami & Kazutoshi Yamazaki
- 1004.0561 Sequences of Arbitrages
by Victor Kozyakin & Brian O'Callaghan & Alexei Pokrovskii
- 1004.0417 The Anderson-Darling test of fit for the power law distribution from left censored samples
by H. F. Coronel-Brizio & A. R. Hernandez-Montoya
- 1004.0213 S&P 500 returns revisited
by Ivan O. Kitov & Oleg I. Kitov
- 1004.0125 Variance dispersion and correlation swaps
by Antoine Jacquier & Saad Slaoui
- 1003.6042 Continuous time Ehrenfest process in term structure modelling
by Alexander Kaplun
- 1003.6002 Portfolio optimization in a default model under full/partial information
by Thomas Lim & Marie-Claire Quenez
- 1003.5984 Nonuniversal distributions of stock returns in an emerging market
by Guo-Hua Mu & Wei-Xing Zhou
- 1003.5926 Diagnosis and Prediction of Market Rebounds in Financial Markets
by Wanfeng Yan & Ryan Woodard & Didier Sornette
- 1003.5712 Overview of utility-based valuation
by David German
- 1003.5650 Diversity and Arbitrage in a Regulatory Breakup Model
by Winslow Strong & Jean-Pierre Fouque
- 1003.5514 Asymptotic and Exact Pricing of Options on Variance
by Martin Keller-Ressel & Johannes Muhle-Karbe
- 1003.5356 Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges
by V. Gontis & A. Kononovicius
- 1003.4917 Explicit solutions for the exit problem for a class of L\'evy processes. Applications to the pricing of double barrier options
by Sonia Fourati
- 1003.4881 The Validity of Company Valuation Using Discounted Cash Flow Methods
by Florian Steiger
- 1003.4797 Hedging under arbitrage
by Johannes Ruf
- 1003.4382 The Problem of Modeling of Economic Dynamics (new version)
by S. I. Chernyshov & A. V. Voronin & S. A. Razumovsky
- 1003.4299 Ruin probability with Parisian delay for a spectrally negative L\'evy risk process
by Irmina Czarna & Zbigniew Palmowski
- 1003.4216 Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
by Erhan Bayraktar & Xueying Hu & Virginia R. Young
- 1003.4118 Indifference of Defaultable Bonds with Stochastic Intensity models
by Regis Houssou & Olivier Besson
- 1003.3796 "Market making" behaviour in an order book model and its impact on the bid-ask spread
by Ioane Muni Toke
- 1003.3582 Risk Aversion Asymptotics for Power Utility Maximization
by Marcel Nutz
- 1003.3316 Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
by L. Spadafora & G. P. Berman & F. Borgonovi
- 1003.3114 Self-organized model of cascade spreading
by Stanislao Gualdi & Matus Medo & Yi-Cheng Zhang
- 1003.2981 Statistical identification with hidden Markov models of large order splitting strategies in an equity market
by Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna
- 1003.2930 Utility Maximization of an Indivisible Market with Transaction Costs
by Qingshuo Song & G. Yin & Chao Zhu
- 1003.2920 Computational LPPL Fit to Financial Bubbles
by Vincenzo Liberatore
- 1003.2692 Modeling share prices of banks and bankrupts
by Ivan O. Kitov
- 1003.2688 WARNING: Physics Envy May Be Hazardous To Your Wealth!
by Andrew W. Lo & Mark T. Mueller
- 1003.2539 Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
by Sayantan Ghosh & P. Manimaran & Prasanta K. Panigrahi
- 1003.2521 Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
by Mark Davis & Sebastien Lleo
- 1003.2459 Complex stock trading network among investors
by Zhi-Qiang Jiang & Wei-Xing Zhou
- 1003.2321 Micro-Macro Relation of Production - The Double Scaling Law for Statistical Physics of Economy -
by Hideaki Aoyama & Yoshi Fujiwara & Mauro Gallegati
- 1003.1848 Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method
by Guoping Xu & Harry Zheng
- 1003.1802 A simple model of mortality trends aiming at universality: Lee Carter + Cohort
by Edouard Debonneuil
- 1003.1344 Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae
by Daniel T. Cassidy & Michael J. Hamp & Rachid Ouyed
- 1003.0889 Credit Default Swaps Liquidity modeling: A survey
by Damiano Brigo & Mirela Predescu & Agostino Capponi
- 1003.0793 Boolean delay equations on networks: An application to economic damage propagation
by B. Coluzzi & M. Ghil & S. Hallegatte & G. Weisbuch
- 1003.0764 Outsider Trading
by Dorje C. Brody & Julian Brody & Bernhard K. Meister & Matthew F. Parry
- 1003.0709 Tracking errors from discrete hedging in exponential L\'evy models
by Mats Brod'en & Peter Tankov
- 1003.0168 Order flow dynamics around extreme price changes on an emerging stock market
by Guo-Hua Mu & Wei-Xing Zhou & Wei Chen & Janos Kertesz
- 1003.0135 A proof of a conjecture in the Cram\'er-Lundberg model with investments
by Shimao Fan & Sheng Xiong & Wei-Shih Yang
- 1003.0041 Perturbed Copula: Introducing the skew effect in the co-dependence
by Alberto Elices & Jean-Pierre Fouque
- 1002.5041 Arbitrage Opportunities in Misspecified Stochastic volatility Models
by Rudra P. Jena & Peter Tankov
- 1002.5031 Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems
by Christian Fries & Joerg Kampen
- 1002.4817 Accounting for risk of non linear portfolios: a novel Fourier approach
by Giacomo Bormetti & Valentina Cazzola & Danilo Delpini & Giacomo Livan
- 1002.4744 Market behavior and performance of different strategy evaluation schemes
by Yongjoo Baek & Sang Hoon Lee & Hawoong Jeong
- 1002.4641 Sensitivity of the Performance of a Simple Exchange Model to its Topology
by Vitus J. Leung & Randall A. LaViolette
- 1002.4592 Is It Real, or Is It Randomized?: A Financial Turing Test
by Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola
- 1002.3794 Dynamic risk measures
by Beatrice Acciaio & Irina Penner
- 1002.3747 Large-volatility dynamics in financial markets
by X. F. Jiang & B. Zheng & J. Shen
- 1002.3689 Explicit equilibria in a kinetic model of gambling
by Federico Bassetti & Giuseppe Toscani
- 1002.3681 Optimal investment with bounded VaR for power utility functions
by B'enamar Chouaf & Serguei Pergamenchtchikov
- 1002.3633 Convergence of Heston to SVI
by Jim Gatheral & Antoine Jacquier
- 1002.3627 Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
by Beatrice Acciaio & Hans Foellmer & Irina Penner
- 1002.3560 Spin Glass Model of Operational Risk
by M. Bardoscia & P. Facchi & S. Pascazio & A. Trullo
- 1002.3432 Adaptive financial networks with static and dynamic thresholds
by Tian Qiu & Bo Zheng & Guang Chen
- 1002.3256 Information Asymmetry in Pricing of Credit Derivatives
by Caroline Hillairet & Ying Jiao
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