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Content
2008
- 0806.4730 Improving Point and Interval Estimates of Monotone Functions by Rearrangement
by Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon
- 0806.4676 Classification of barrier options
by J. C. Ndogmo
- 0806.4675 Some Control Variates for exotic options
by JC Ndogmo
- 0806.4506 Geometric extension of put-call symmetry in the multiasset setting
by Ilya Molchanov & Michael Schmutz
- 0806.4125 Ruin models with investment income
by Jostein Paulsen
- 0806.4061 An explicit solution for an optimal stopping/optimal control problem which models an asset sale
by Vicky Henderson & David Hobson
- 0806.4026 On a Non-Standard Stochastic Control Problem
by Ivar Ekeland & Traian A Pirvu
- 0806.3813 The Question of Relaxation in the Wealth Exchange Models
by Abhijit KarGupta
- 0806.3399 Heterogeneous credit portfolios and the dynamics of the aggregate losses
by Paolo Dai Pra & Marco Tolotti
- 0806.3171 Fractional derivatives of random walks: Time series with long-time memory
by H. Eduardo Roman & Markus Porto
- 0806.2989 How to grow a bubble: A model of myopic adapting agents
by Georges Harras & Didier Sornette
- 0806.2964 Consequences of increased longevity for wealth, fertility, and population growth
by Aleksandar Bogojevic & Antun Balaz & Rasa Karapandza
- 0806.2617 On discrete stochastic processes with long-lasting time dependence
by Silvio M. Duarte Queiros
- 0806.2606 Anomalous Returns in a Neural Network Equity-Ranking Predictor
by J. B. Satinover & D. Sornette
- 0806.2570 Optimal investment and consumption in a Black--Scholes market with L\'evy-driven stochastic coefficients
by {L}ukasz Delong & Claudia Kluppelberg
- 0806.2444 Detrended fluctuation analysis of intertrade durations
by Zhi-Qiang Jiang & Wei Chen & Wei-Xing Zhou
- 0806.2397 Measuring Value in Healthcare
by Christopher Gardner
- 0806.2358 Minimizing the Probability of Ruin when Consumption is Ratcheted
by Erhan Bayraktar & Virginia R. Young
- 0806.2124 Detecting speculative bubbles created in experiments via decoupling in agent based models
by Magda Roszczynska & Andrzej Nowak & Daniel Kamieniarz & Sorin Solomon & Jorgen Vitting Andersen
- 0806.1170 The 2006-2008 Oil Bubble and Beyond
by D. Sornette & R. Woodard & W. -X. Zhou
- 0806.0932 A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
by D. Lemmens & M. Wouters & J. Tempere & S. Foulon
- 0806.0307 Risk Premium Impact in the Perturbative Black Scholes Model
by Luca Regis & Simone Scotti
- 0806.0287 Perturbative Approach on Financial Markets
by Simone Scotti
- 0806.0240 Backward Stochastic PDEs related to the utility maximization problem
by M. Mania & R. Tevzadze
- 0806.0239 From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon
by Amel Bentata & Marc Yor
- 0805.3981 Optimal Investment Strategy to Minimize Occupation Time
by Erhan Bayraktar & Virginia R. Young
- 0805.3593 On the probability distribution of stock returns in the Mike-Farmer model
by Gao-Feng Gu & Wei-Xing Zhou
- 0805.3470 Topological structures in the equities market network
by Greg Leibon & Scott D. Pauls & Daniel N. Rockmore & Robert Savell
- 0805.3397 How to quantify the influence of correlations on investment diversification
by Matus Medo & Chi Ho Yeung & Yi-Cheng Zhang
- 0805.3213 Using self-similarity and renormalization group to analyze time series
by Giovanni Arcioni
- 0805.3129 Deterministic definition of the capital risk
by Anna Szczypinska & Edward W. Piotrowski
- 0805.3071 Convergence and cluster structures in EU area according to fluctuations in macroeconomic indices
by Mircea Gligor & Marcel Ausloos
- 0805.2792 Productivity Dispersion: Facts, Theory, and Implications
by Hideaki Aoyama & Hiroshi Yoshikawa & Hiroshi Iyetomi & Yoshi Fujiwara
- 0805.2713 Coherence-based multivariate analysis of high frequency stock market values
by Donatello Materassi & Giacomo Innocenti
- 0805.2477 The structural role of weak and strong links in a financial market network
by Antonios Garas & Panos Argyrakis & Shlomo Havlin
- 0805.2194 Scaling and Memory Effect in Volatility Return Interval of the Chinese Stock Market
by Tian Qiu & Liang Guo & Guang Chen
- 0805.2096 GARCH modelling in continuous time for irregularly spaced time series data
by Ross A. Maller & Gernot Muller & Alex Szimayer
- 0805.1353 A model for interevent times with long tails and multifractality in human communications: An application to financial trading
by J. Perello & J. Masoliver & A. Kasprzak & R. Kutner
- 0805.0746 Market response to external events and interventions in spherical minority games
by P. Papadopoulos & A. C. C. Coolen
- 0805.0618 Risk Aversion and Portfolio Selection in a Continuous-Time Model
by Jianming Xia
- 0805.0611 Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black-Scholes equations
by Daniel Sevcovic
- 0805.0540 Probability distribution of returns in the exponential Ornstein-Uhlenbeck model
by Giacomo Bormetti & Valentina Cazzola & Guido Montagna & Oreste Nicrosini
- 0805.0122 Optimal Robust Mean-Variance Hedging in Incomplete Financial Markets
by N. Lazrieva & T. Toronjadze
- 0804.4522 Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
by Nikolai Dokuchaev
- 0804.4191 Theory of market fluctuations
by S. V. Panyukov
- 0804.4152 Adaptive networks of trading agents
by Z. Burda & A. Krzywicki & O. C. Martin
- 0804.4081 Comparison of detrending methods for fluctuation analysis
by Amir Bashan & Ronny Bartsch & Jan W. Kantelhardt & Shlomo Havlin
- 0804.3900 Insurance, Reinsurance and Dividend Payment
by D. Goreac
- 0804.3818 A Theory for Market Impact: How Order Flow Affects Stock Price
by Austin Gerig
- 0804.3658 The Problem of Modelling of Economic Dynamics in Differential Form
by S. I. Chernyshov & V. S. Ponomarenko & A. V. Voronin
- 0804.3431 Scaling in the distribution of intertrade durations of Chinese stocks
by Zhi-Qiang Jiang & Wei Chen & Wei-Xing Zhou
- 0804.3209 Convex Risk Measures: Lebesgue Property on one Period and Multi Period Risk Measures and Application in Capital Allocation Problem
by Hirbod Assa
- 0804.2912 The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
by Constantinos Kardaras
- 0804.2772 A note on wealth in a volatile economy
by M. Marsili
- 0804.2589 Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
by Josep Perello & Ronnie Sircar & Jaume Masoliver
- 0804.2561 Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
by Nicole El Karoui & Asma Meziou
- 0804.2441 Topological identification in networks of dynamical systems
by Donatello W. Materassi & Giacomo W. Innocenti
- 0804.2064 Cross-correlation of long-range correlated series
by Sergio Arianos & Anna Carbone
- 0804.1837 Mathematical analysis of long tail economy using stochastic ranking processes
by Kumiko Hattori & Tetsuya Hattori
- 0804.1642 Calibration of transparency risks: a note
by Jir^o Akahori & Yuuki Kanishi & Yuichi Morimura
- 0804.1414 Demand forecasting for companies with many branches, low sales numbers per product, and non-recurring orderings
by Sascha Kurz & Joerg Rambau
- 0804.1229 Emergence of product differentiation from consumer heterogeneity and asymmetric information
by Linyuan Lu & Matus Medo & Yi-Cheng Zhang & Damien Challet
- 0804.1039 Multivariate Feller conditions in term structure models: Why do(n't) we care?
by Peter Spreij & Enno Veerman & Peter Vlaar
- 0804.0902 Time vs. Ensemble Averages for Nonstationary Time Series
by Joseph L. McCauley
- 0804.0900 Nonlinear Fokker-Planck Equation in the Model of Asset Returns
by Alexander Shapovalov & Andrey Trifonov & Elena Masalova
- 0804.0482 An introduction to L\'{e}vy processes with applications in finance
by Antonis Papapantoleon
- 0804.0331 Role of scaling in the statistical modeling of finance
by Attilio L. Stella & Fulvio Baldovin
- 0804.0185 Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series
by E. Bacry & A. Kozhemyak & J. -F. Muzy
- 0804.0162 Estimating correlation from high, low, opening and closing prices
by L. C. G. Rogers & Fanyin Zhou
- 0804.0127 Convex pricing by a generalized entropy penalty
by Johannes Leitner
- 0803.4480 ARCH and GARCH Models vs. Martingale Volatility of Finance Market Returns
by Joseph L. McCauley
- 0803.4416 Consistent price systems and face-lifting pricing under transaction costs
by Paolo Guasoni & Mikl'os R'asonyi & Walter Schachermayer
- 0803.4282 The price of bond and European option on bond without credit risk. Classical look and its quantum extension
by Edward W. Piotrowski & Malgorzata Schroeder & Anna Szczypinska
- 0803.4050 Limit of the Solutions for the Finite Horizon Problems as the Optimal Solution to the Infinite Horizon Optimization Problems
by Dapeng CAI & Takashi Gyoshin NITTA
- 0803.4046 Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems
by Dapeng CAI & Takashi Gyoshin NITTA
- 0803.3959 Integration I(d) of Nonstationary Time Series: Stationary and nonstationary increments
by Joseph L. McCauley & Kevin E. Bassler & Gemunu H. Gunaratne
- 0803.3902 Modeling wealth distribution in growing markets
by Urna Basu & P. K. Mohanty
- 0803.3884 Correlations in commodity markets
by Pawe{l} Sieczka & Janusz A. Ho{l}yst
- 0803.3733 Comment on ``Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets" by Plerou and Stanley, Phys. Rev. E 76, 046109 (2007)
by 'Eva R'acz & Zolt'an Eisler & J'anos Kert'esz
- 0803.3590 Escaping the Brownian stalkers
by Alexander Weiss
- 0803.3093 Diversity and relative arbitrage in equity markets
by Robert Fernholz & Ioannis Karatzas & Constantinos Kardaras
- 0803.2996 The virtues and vices of equilibrium and the future of financial economics
by J. Doyne Farmer & John Geanakoplos
- 0803.2773 Multifractal detrended cross-correlation analysis for two nonstationary signals
by Wei-Xing Zhou
- 0803.2635 Continuous growth models in terms of generalized logarithm and exponential functions
by Alexandre Souto Martinez & Rodrigo Silva Gonzalez & Cesar Augusto Sangaletti Tercariol
- 0803.2388 Quantitative analysis of privatization
by M. Vahabi & G. R. Jafari
- 0803.2302 On perpetual American put valuation and first-passage in a regime-switching model with jumps
by Z. Jiang & M. R. Pistorius
- 0803.2283 Feasibility of Portfolio Optimization under Coherent Risk Measures
by Imre Kondor & Istvan Varga-Haszonits
- 0803.2201 Microscopic Study Reveals the Singular Origins of Growth
by Gur Yaari & Andrzej Nowak & Kamil Rakocy & Sorin Solomon
- 0803.2198 On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets
by Michail Anthropelos & Gordan Zitkovic
- 0803.2169 No-Free-Lunch equivalences for exponential Levy models
by Constantinos Kardaras
- 0803.1916 Business Cycle and Conserved Quantity in Economics
by Masa-aki Taniguchi & Masako Bando & Akihiro Nakayama
- 0803.1890 On the semimartingale property of discounted asset-price processes
by Constantinos Kardaras & Eckhard Platen
- 0803.1877 The numeraire portfolio in semimartingale financial models
by Ioannis Karatzas & Constantinos Kardaras
- 0803.1858 Balance, growth and diversity of financial markets
by Constantinos Kardaras
- 0803.1815 BSDEs with two RCLL Reflecting Obstacles driven by a Brownian Motion and Poisson Measure and related Mixed Zero-Sum Games
by S. Hamad'ene & H. Wang
- 0803.1769 Stock price jumps: news and volume play a minor role
by Armand Joulin & Augustin Lefevre & Daniel Grunberg & Jean-Philippe Bouchaud
- 0803.1706 Return interval distribution of extreme events and long term memory
by M. S. Santhanam & Holger Kantz
- 0803.1589 A new market model in the large volatility case
by Yukio Hirashita
- 0803.1374 Different fractal properties of positive and negative returns
by P. Oswiecimka & J. Kwapien & S. Drozdz & A. Z. Gorski & R. Rak
- 0803.1364 Diversification and limited information in the Kelly game
by Matus Medo & Yury M. Pis'mak & Yi-Cheng Zhang
- 0803.0844 Modeling interaction of trading volume in financial dynamics
by F. Ren & B. Zheng & P. Chen
- 0803.0436 Double Power Law Decay of the Persistence in Financial Markets
by S. Jain & T. Yamano
- 0803.0057 Cross-correlations in Warsaw Stock Exchange
by R. Rak & J. Kwapien & S. Drozdz & P. Oswiecimka
- 0802.4460 Modified Holder Exponents Approach to Prediction of the USA Stock Market Critical Points and Crashes
by Yu. A Kuperin & R. R. Schastlivtsev
- 0802.4411 Chi-square simulation of the CIR process and the Heston model
by Simon J. A. Malham & Anke Wiese
- 0802.4410 Gamma-distribution and wealth inequality
by Anirban Chakraborti & Marco Patriarca
- 0802.4311 Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time
by Kei Takeuchi & Masayuki Kumon & Akimichi Takemura
- 0802.4165 Illusory versus Genuine Control in Agent-Based Games
by J. B. Satinover & D. Sornette
- 0802.4141 Good deal bounds induced by shortfall risk
by Takuji Arai
- 0802.4064 A theoretical approach for Pareto-Zipf law
by Caglar Tuncay
- 0802.4043 Current log-periodic view on future world market development
by Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka & Josef Speth
- 0802.3769 Stochastic calculus for uncoupled continuous-time random walks
by Guido Germano & Mauro Politi & Enrico Scalas & Ren'e L. Schilling
- 0802.3679 Mirror-time diffusion discount model of options pricing
by Pavel Levin
- 0802.3585 On Equilibrium Prices in Continuous Time
by V. Filipe Martins-da-Rocha & Frank Riedel
- 0802.3553 Finite-time singularity in the evolution of hyperinflation episodes
by Martin A. Szybisz & Leszek Szybisz
- 0802.3541 Intermittency and Localization
by G. Yaari & D. Stauffer & S. Solomon
- 0802.3300 Projective Expected Utility
by Pierfrancesco La Mura
- 0802.3291 Waiting Times in Simulated Stock Markets
by Alessandro Cappellini & Gianluigi Ferraris
- 0802.3250 Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
by Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young
- 0802.3039 Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
by Beata Stehlikova & Daniel Sevcovic
- 0802.2172 Reflected backward stochastic differential equations and a class of non linear dynamic pricing rule
by Marie-Amelie Morlais
- 0802.2004 The universal shape of economic recession and recovery after a shock
by Damien Challet & Sorin Solomon & Gur Yaari
- 0802.1823 Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models
by Martin Keller-Ressel
- 0802.1747 Information flow between stock indices
by Okyu Kwon & Jae-Suk Yang
- 0802.1500 Effects of time dependency and efficiency on information flow in financial markets
by Cheoljun Eom & Woo-Sung Jung & Sunghoon Choi & Gabjin Oh & Seunghwan Kim
- 0802.1416 Econophysics: historical perspectives
by G. Daniel & D. Sornette
- 0802.1407 Explicit Computations for a Filtering Problem with Point Process Observations with Applications to Credit Risk
by Vincent Leijdekker & Peter Spreij
- 0802.1288 Fractional term structure models: No-arbitrage and consistency
by Alberto Ohashi
- 0802.1121 Representation of the penalty term of dynamic concave utilities
by Freddy Delbaen & Shige Peng & Emanuela Rosazza Gianin
- 0802.0984 Moving Mini-Max - a new indicator for technical analysis
by Z. K. Silagadze
- 0802.0223 Multivariate stochastic volatility using state space models
by K. Triantafyllopoulos
- 0802.0220 Forecasting with time-varying vector autoregressive models
by K. Triantafyllopoulos
- 0802.0214 Multivariate stochastic volatility with Bayesian dynamic linear models
by K. Triantafyllopoulos
- 0801.4941 Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market
by Wing Yan Yip & Sofia Olhede & David Stephens
- 0801.4341 The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
by L. Gazola & C. Fernandes & A. Pizzinga & R. Riera
- 0801.4337 Emergence of firms in $(d+1)$-dimensional work space
by G. Weisbuch & D. Stauffer & D. Mangalagiu & R. Ben-Av & S. Solomon
- 0801.4305 Risk-Seeking versus Risk-Avoiding Investments in Noisy Periodic Environments
by J. Emeterio Navarro Barrientos & Frank E. Walter & Frank Schweitzer
- 0801.4220 Forecasting volatility with the multifractal random walk model
by Jean Duchon & Raoul Robert & Vincent Vargas
- 0801.4047 No Arbitrage Conditions For Simple Trading Strategies
by Erhan Bayraktar & Hasanjan Sayit
- 0801.3973 Boom and bust in continuous time evolving economic model
by Lawrence Mitchell & G. J. Ackland
- 0801.3712 Empirical shape function of limit-order books in the Chinese stock market
by Gao-Feng Gu & Wei Chen & Wei-Xing Zhou
- 0801.3560 Trading Model with Pair Pattern Strategies
by F. Ren & Y. -C. Zhang
- 0801.3494 Direct evidence for inversion formula in multifractal financial volatility measure
by Zhi-Qiang Jiang & Wei-Xing Zhou
- 0801.3353 Evolutionarily stable strategies of random games, and the vertices of random polygons
by Sergiu Hart & Yosef Rinott & Benjamin Weiss
- 0801.3348 Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
by Theodoros Tsagaris
- 0801.3263 From short to fat tails in financial markets: A unified description
by A. A. G. Cortines & R. Riera & C. Anteneodo
- 0801.3191 Intensity process and compensator: A new filtration expansion approach and the Jeulin--Yor theorem
by Xin Guo & Yan Zeng
- 0801.3047 Econometrics as Sorcery
by G. Innocenti & D. Materassi
- 0801.3043 Activity spectrum from waiting-time distribution
by Mauro Politi & Enrico Scalas
- 0801.2980 Analysing tax evasion dynamics via the Ising model
by Georg Zaklan & Frank Westerhoff & Dietrich Stauffer
- 0801.1710 Multifractal analysis of Chinese stock volatilities based on partition function approach
by Zhi-Qiang Jiang & Wei-Xing Zhou
- 0801.1599 Parametric and nonparametric models and methods in financial econometrics
by Zhibiao Zhao
- 0801.1475 A Multifractal Analysis of Asian Foreign Exchange Markets
by Gabjin Oh & Cheoljun Eom & Shlomo Havlin & Woo-Sung Jung & Fengzhong Wang & H. Eugene Stanley & Seunghwan Kim
- 0801.0969 Pareto and Boltzmann-Gibbs behaviors in a deterministic multi-agent system
by J. Gonzalez-Estevez & M. G. Cosenza & R. Lopez-Ruiz & J. R. Sanchez
- 0801.0748 Hausdorff clustering
by N. Basalto & R. Bellotti & F. De Carlo & P. Facchi & E. Pantaleo & S. Pascazio
- 0801.0718 On the Stickiness Property
by Erhan Bayraktar & Hasanjan Sayit
- 0801.0631 Critical comparison of several order-book models for stock-market fluctuations
by Frantisek Slanina
2007
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