Printed from https://ideas.repec.org/s/arx/papers138.html
Content
2006
- math/0612691 Option pricing with log-stable L\'{e}vy processes
by Przemys{l}aw Repetowicz & Peter Richmond - math/0612649 General Duality for Perpetual American Options
by Aur'elien Alfonsi & Benjamin Jourdain - math/0612648 A Call-Put Duality for Perpetual American Options
by Aur'elien Alfonsi & Benjamin Jourdain - math/0612470 Capital allocation for credit portfolios with kernel estimators
by Dirk Tasche - math/0612341 What is the natural scale for a L\'evy process in modelling term structure of interest rates?
by Jir^o Akahori & Takahiro Tsuchiya - physics/0612231 A mechanism to derive multi-power law functions: an application in the econophysics framework
by A. M. Scarfone - physics/0612221 Characterizing and modeling cyclic behavior in non-stationary time series through multi-resolution analysis
by Dilip P. Ahalpara & Amit Verma & Prasanta K. Panigrahi & Jitendra C. Parikh - math/0612212 A filtering approach to tracking volatility from prices observed at random times
by Jakv{s}a Cvitani'c & Robert Liptser & Boris Rozovskii - math/0612181 Utility Maximization in a jump market model
by Marie-Amelie Morlais - physics/0612170 Volatility Dynamics of Wavelet-Filtered Stock Prices
by I. M. Dremin & A. V. Leonidov - physics/0612091 A Probability Density Function for Google's stocks
by V. Dorobantu - physics/0612084 Volatility: a hidden Markov process in financial time series
by Zoltan Eisler & Josep Perello & Jaume Masoliver - cond-mat/0612077 Mean Escape Time in a System with Stochastic Volatility
by Giovanni Bonanno & Davide Valenti & Bernardo Spagnolo - math/0612075 Option Pricing without Price Dynamics: A Probabilistic Approach
by Dimitris Bertsimas & Natasha Bushueva - physics/0612068 Topological Properties of the Minimal Spanning Tree in Korean and American Stock Markets
by Cheoljun Eom & Gabjin Oh & Seunghwan Kim - cs/0612065 An equilibrium model for matching impatient demand and patient supply over time
by Garud Iyengar & Anuj Kumar - physics/0612059 Risk evaluation with enhaced covariance matrix
by Krzysztof Urbanowicz & Peter Richmond & Janusz A. Holyst - math/0612035 One-Factor Term Structure without Forward Rates
by Victor Goodman & Kyounghee Kim - math/0612034 Exponential Martingales and Time integrals of Brownian Motion
by Victor Goodman & Kyounghee Kim - physics/0612016 Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
by Fabrizio Lillo - math/0611869 Reflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition
by Shige Peng & Mingyu Xu - math/0611644 An Extension to Gaussian Semigroup and Some Applications
by Guibao Liu - physics/0611281 Forecasting extreme events in collective dynamics: an analytic signal approach to detecting discrete scale invariance
by G. M. Viswanathan - math/0611274 ANOVA for diffusions and It\^{o} processes
by Per Aslak Mykland & Lan Zhang - physics/0611245 Basic kinetic wealth-exchange models: common features and open problems
by Marco Patriarca & Els Heinsalu & Anirban Chakraborti - math/0611187 Local asymptotic minimax risk bounds in a locally asymptotically mixture of normal experiments under asymmetric loss
by Debasis Bhattacharya & A. K. Basu - math/0611186 The distribution of a linear predictor after model selection: Unconditional finite-sample distributions and asymptotic approximations
by Hannes Leeb - physics/0611159 Phase transition in the globalization of trade
by M. Angeles Serrano - physics/0611147 Networks of companies and branches in Poland
by Anna M. Chmiel & Julian Sienkiewicz & Krzysztof Suchecki & Janusz A. Holyst - physics/0611138 The continuous time random walk formalism in financial markets
by J. Masoliver & M. Montero & J. Perello & G. H. Weiss - physics/0611130 Econophysics of precious stones
by A. Watanabe & N. Uchida & N. Kikuchi - physics/0611102 Maximum Likelihood Estimation of Drift and Diffusion Functions
by D. Kleinhans & R. Friedrich - physics/0611093 Are volatility correlations in financial markets related to Omori processes occurring on all scales?
by Philipp Weber & Fengzhong Wang & Irena Vodenska-Chitkushev & Shlomo Havlin & H. Eugene Stanley - physics/0611048 Multiple time scales and the empirical models for stochastic volatility
by G. L. Buchbinder & K. M. Chistilin - physics/0611027 Noise sensitivity of portfolio selection under various risk measures
by Imre Kondor & Szilard Pafka & Gabor Nagy - physics/0611023 Trading strategies in the Italian interbank market
by Giulia Iori & Roberto Reno' & Giulia De Masi & Guido Caldarelli - nlin/0611001 The unfair consequences of equal opportunities: comparing exchange models of wealth distribution
by G. M. Caon & S. Goncalves & J. R. Iglesias - math/0610852 Modeling inequality and spread in multiple regression
by Rolf Aaberge & Steinar Bjerve & Kjell Doksum - math/0610749 Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem
by Marie-Amelie Morlais - math/0610621 Identifying the covariation between the diffusion parts and the co-jumps given discrete observations
by Fabio Gobbi & Cecilia Mancini - math/0610489 Error calculus and path sensitivity in financial models
by Nicolas Bouleau - math/0610324 On the value of optimal stopping games
by Erik Ekstrom & Stephane Villeneuve - physics/0610275 Infectious Default Model with Recovery and Continuous Limit
by Ayaka Sakata & Masato Hisakado & Shintaro Mori - physics/0610250 A note on projections of Gibbs measures from a class arising in economic modeling
by M. Hohnisch & O. Kutoviy - math/0610224 On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
by Dmitry Kramkov & Mihai S^{{i}}rbu - math/0610219 The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
by Thorsten Rheinlander & Gallus Steiger - physics/0610165 Non-Stationary Covariance Matrices And Noise
by Andr'e C. R. Martins - physics/0610162 Downside Risk analysis applied to Hedge Funds universe
by Josep Perello - physics/0610160 Persistence in Random Bond Ising Models of a Socio-Econo Dynamics in High Dimensions
by S. Jain & T. Yamano - physics/0610108 A fitness model for the Italian Interbank Money Market
by G. De Masi & G. Iori & G. Caldarelli - cs/0610053 Towards a Bayesian framework for option pricing
by Henryk Gzyl & Enrique ter Horst & Samuel Malone - physics/0610047 Volatility and dividend risk in perpetual American options
by Miquel Montero - physics/0610026 The value of information in a multi-agent market model
by Bence Toth & Enrico Scalas & Juergen Huber & Michael Kirchler - physics/0610023 Unexpected volatility and intraday serial correlation
by Simone Bianco & Roberto Ren'o - cond-mat/0610022 Detecting long and short memory via spectral methods
by Simone Bianco - math/0609403 On utility-based super-replication prices of contingent claims with unbounded payoffs
by Frank Oertel & Mark Owen - math/0609402 Geometry of polar wedges and super-replication prices in incomplete financial markets
by Frank Oertel & Mark P. Owen - physics/0609245 Quantum Econophysics
by Esteban Guevara Hidalgo - physics/0609230 Cascades of Dynamical Transitions in an Adaptive Population
by H. M. Yang & Y. S. Ting & K. Y. Michael Wong - math/0609212 The Exact Value for European Options on a Stock Paying a Discrete Dividend
by Jo~ao Amaro de Matos & Rui Dil~ao & Bruno Ferreira - physics/0609210 Scale invariant multiplier and multifractality of absolute returns in stock markets
by Zhi-Qiang Jiang & Wei-Xing Zhou - physics/0609209 Boltzmann Distribution and Temperature of Stock Markets
by H. Kleinert & X. J. Chen - physics/0609198 Nonstationary Increments, Scaling Distributions, and Variable Diffusion Processes in Financial Markets
by Kevin E. Bassler & Joseph L. McCauley & Gemunu H. Gunaratne - math/0609170 Evaluating Pricing Strategy Using e-Commerce Data: Evidence and Estimation Challenges
by Anindya Ghose & Arun Sundararajan - physics/0609170 Integrating economic and psychological insights in binary choice models with social interactions
by Katarzyna Ostasiewicz & Michal H. Tyc & Piotr Goliczewski & Piotr Magnuszewski & Andrzej Radosz & Jan Sendzimir - physics/0609164 Credit contagion and credit risk
by J. P. L. Hatchett & R. Kuehn - physics/0609136 Extreme times for volatility processes
by Jaume Masoliver & Josep Perello - physics/0609130 Phase Transitions in Operational Risk
by Kartik Anand & Reimer Kuhn - physics/0609100 Fairness State with Plastic Preferences
by Elena Ramirez Barrios & Juan G. Diaz Ochoa - physics/0609093 Correlation Structures of Correlated Binomial Models and Implied Default Distribution
by S. Mori & K. Kitsukawa & M. Hisakado - physics/0609088 The Why of the Applicability of Statistical Physics to Economics
by Esteban Guevara Hidalgo - physics/0609069 Kinetic market models with single commodity having price fluctuations
by Arnab Chatterjee & Bikas K. Chakrabarti - physics/0609066 Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion
by Josep Perello & Miquel Montero & Luigi Palatella & Ingve Simonsen & Jaume Masoliver - physics/0609053 Random matrix ensembles of time-lagged correlation matrices: Derivation of eigenvalue spectra and analysis of financial time-series
by Christoly Biely & Stefan Thurner - physics/0609046 Fear and its implications for stock markets
by Ingve Simonsen & Peter Toke Heden Ahlgren & Mogens H. Jensen & Raul Donangelo & Kim Sneppen - physics/0609038 Detecting the traders' strategies in Minority-Majority games and real stock-prices
by V. Alfi & A. De Martino & L. Pietronero & A. Tedeschi - physics/0609036 Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis
by C. Coronnello & M. Tumminello & F. Lillo & S. Micciche` & R. N. Mantegna - physics/0609020 A Generalized Preferential Attachment Model for Business Firms Growth Rates: II. Mathematical Treatment
by S. V. Buldyrev & F. Pammolli & M. Riccaboni & K. Yamasaki & D. Fu & K. Matia & H. E. Stanley - physics/0609011 A Generalized Preferential Attachment Model for Business Firms Growth Rates: I. Empirical Evidence
by Fabio Pammolli & Dongfeng Fu & S. V. Buldyrev & Massimo Riccaboni & Kaushik Matia & Kazuko Yamasaki & H. E. Stanley - physics/0609006 Dynamics of the Warsaw Stock Exchange index as analysed by the nonhomogeneous fractional relaxation equation
by Marzena Kozlowska & Ryszard Kutner - physics/0608313 Detrending Moving Average variance: a derivation of the scaling law
by Sergio Arianos & Anna Carbone - physics/0608299 Stochastic volatility of financial markets as the fluctuating rate of trading: an empirical study
by A. Christian Silva & Victor M. Yakovenko - physics/0608293 Automatic Trading Agent. RMT based Portfolio Theory and Portfolio Selection
by Malgorzata Snarska & Jakub Krzych - physics/0608284 Self-Consistent Asset Pricing Models
by Y. Malevergne & D. Sornette - physics/0608281 Coupled continuous time random walks in finance
by Mark M. Meerschaert & Enrico Scalas - physics/0608273 Waiting times between orders and trades in double-auction markets
by Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi - physics/0608271 Mechanical vs. informational components of price impact
by J. Doyne Farmer & Neda Zamani - physics/0608242 On the volatility of volatility
by Stephen D. H. Hsu & Brian M. Murray - physics/0608224 The art of fitting financial time series with Levy stable distributions
by Enrico Scalas & Kyungsik Kim - physics/0608221 Growth and Allocation of Resources in Economics: The Agent-Based Approach
by Enrico Scalas & Mauro Gallegati & Eric Guerci & David Mas & Alessandra Tedeschi - physics/0608217 Mixtures of compound Poisson processes as models of tick-by-tick financial data
by Enrico Scalas - physics/0608214 Comparison of gain-loss asymmetry behavior for stocks and indexes
by Magdalena A. Zaluska-Kotur & Krzysztof Karpio & Arkadiusz Orlowski - physics/0608201 Hitting Time Distributions in Financial Markets
by Davide Valenti & Bernardo Spagnolo & Giovanni Bonanno - physics/0608197 On Capital Dependent Dynamics of Knowledge
by Marek Szydlowski & Adam Krawiec - physics/0608191 The average behaviour of financial market by 2 scale homogenisation
by R. Wojnar - physics/0608190 On Value at Risk for foreign exchange rates - the copula approach
by Piotr Jaworski - physics/0608174 Relaxation in statistical many-agent economy models
by Marco Patriarca & Anirban Chakraborti & Els Heinsalu & Guido Germano - physics/0608148 Reflections on Modern Macroeconomics: Can We Travel Along a Safer Road?
by E. Gaffeo & M. Catalano & F. Clementi & D. Delli Gatti & M. Gallegati & A. Russo - physics/0608115 Analysis of price diffusion in financial markets using PUCK model
by Takayuki Mizuno & Hideki Takayasu & Misako Takayasu - physics/0608099 Characterization of foreign exchange market using the threshold-dealer-model
by Kenta Yamada & Hideki Takayasu & Misako Takayasu - physics/0608091 Anomalous fluctuations in Minority Games and related multi-agent models of financial markets
by Tobias Galla & Giancarlo Mosetti & Yi-Cheng Zhang - physics/0608087 A Natural Value Unit - Econophysics as Arbiter between Finance and Economics
by Steivan Defilla - physics/0608084 Topology of Foreign Exchange Markets using Hierarchical Structure Methods
by Michael J. Naylor & Lawrence C. Rose & Brendan J. Moyle - physics/0608036 Modeling long-range memory trading activity by stochastic differential equations
by V. Gontis & B. Kaulakys - physics/0608035 Risk Minimization through Portfolio Replication
by Stefano Ciliberti & Marc Mezard - physics/0608032 Market reaction to temporary liquidity crises and the permanent market impact
by Adam Ponzi & Fabrizio Lillo & Rosario N. Mantegna - physics/0608022 Violation of market efficiency in transition economies
by Boris Podobnik & Ivo Grosse & Davor Horvatic & Plamen Ch Ivanov & Timotej Jagric & H. E. Stanley - physics/0608019 Stochastic model for market stocks with strong resistance
by Javier Villarroel - physics/0608018 The dynamics of traded value revisited
by Zoltan Eisler & Janos Kertesz - physics/0608016 Market Efficiency in Foreign Exchange Markets
by Gabjin Oh & Seunghwan Kim & Cheoljun Eom - physics/0608013 The demise of constant price impact functions and single-time step models of speculation
by Damien Challet - physics/0608009 Multifractal Properties of the Ukraine Stock Market
by A. Ganchuk & V. Derbentsev & V. Soloviev - physics/0608008 Extracting the exponential behaviors in the market data
by Kota Watanabe & Hideki Takayasu & Misako Takayasu - physics/0608004 Critical dynamics and global persistence exponent on Taiwan financial market
by I-Chun Chen & Hsen-Che Tseng & Ping-Cheng Li & Hung-Jung Chen - math/0607775 Mean-variance Hedging in the Discontinuous Case
by Jianming Xia - math/0607617 Computing strategies for achieving acceptability
by Soumik Pal - cond-mat/0607478 On the integrated behaviour of non-stationary volatility in stock markets
by Andreia Dionisio & Rui Menezes & Diana A. Mendes - physics/0607293 k-Generalized Statistics in Personal Income Distribution
by F. Clementi & M. Gallegati & G. Kaniadakis - physics/0607290 Stylized facts from a threshold-based heterogeneous agent model
by R. Cross & M. Grinfeld & H. Lamba & T. Seaman - physics/0607287 Response of Firm Agent Network to Exogenous Shock
by Yuichi Ikeda & Hideaki Aoyama & Hiroshi Iyetomi & Yoshi Fujiwara & Wataru Souma & Taisei Kaizoji - physics/0607282 Minimum Entropy Density Method for the Time Series Analysis
by Jeong Won Lee & Joongwoo Brian Park & Hang-Hyun Jo & Jae-Suk Yang & Hie-Tae Moon - physics/0607276 Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays
by Giuseppe Garofalo & Alessandro Sansone - physics/0607273 Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach
by Aki-Hiro Sato - physics/0607268 Mean Exit Time and Survival Probability within the CTRW Formalism
by Miquel Montero & Jaume Masoliver - physics/0607265 Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model
by Josep Perello - physics/0607258 Ideal-gas like market models with savings: quenched and annealed cases
by Arnab Chatterjee & Bikas K Chakrabarti - physics/0607250 On the maximum drawdown during speculative bubbles
by Giulia Rotundo & Mauro Navarra - physics/0607247 Risk measures with non-Gaussian fluctuations
by G. Bormetti & E. Cisana & G. Montagna & O. Nicrosini - physics/0607246 Econophysics of interest rates and the role of monetary policy
by Daniel O. Cajueiro & Benjamin M. Tabak - physics/0607245 Long-range dependence in Interest Rates and Monetary Policy
by Daniel O. Cajueiro & Benjamin M. Tabak - physics/0607240 Non-Parametric Extraction of Implied Asset Price Distributions
by Jerome V. Healy & Maurice Dixon & Brian J. Read & Fang Fang Cai - physics/0607236 Geometry of Financial Markets -- Towards Information Theory Model of Markets
by Edward W. Piotrowski & Jan Sladkowski - physics/0607222 Asymmetric Conditional Volatility in International Stock Markets
by Nuno B. Ferreira & Rui Menezes & Diana A. Mendes - physics/0607217 The uniqueness of the profits distribution function in the middle scale region
by Atushi Ishikawa - math/0607212 Time Consistent Dynamic Risk Processes, Cadlag Modification
by Jocelyne Bion-Nadal - physics/0607202 Stock price fluctuations and the mimetic behaviors of traders
by Jun-ichi Maskawa - physics/0607197 Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates
by Wei-Xing Zhou & Didier Sornette - physics/0607192 Evidence of Increment of Efficiency of the Mexican Stock Market Through the Analysis of its Variations
by H. F. Coronel-Brizio & A. R. Hernandez-Montoya & R. Huerta-Quintanilla & M. Rodriguez-Achach - physics/0607182 Long-term memory in the Irish market (ISEQ): evidence from wavelet analysis
by Adel Sharkasi & Heather J. Ruskin & Martin Crane - physics/0607180 How Do Output Growth Rate Distributions Look Like? Some Time-Series Evidence on OECD Countries
by Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini - physics/0607176 Bayesian Analysis of the Conditional Correlation Between Stock Index Returns with Multivariate SV Models
by Anna Pajor - physics/0607175 The matrix rate of return
by Anna Zambrzycka & Edward W. Piotrowski - physics/0607167 Non-extensive Behavior of a Stock Market Index at Microscopic Time Scales
by A. A. G. Cortines & R. Riera - physics/0607166 Kelly Criterion revisited: optimal bets
by Edward W. Piotrowski & Malgorzata Schroeder - physics/0607151 Analysis of a Japan government intervention on the domestic agriculture market
by Nikolay K. Vitanov & Kenshi Sakai & Ivan P. Jordanov & Shunsuke Managi & Katsuhiko Demura - physics/0607131 Dynamical change of Pareto index in Japanese land prices
by Atushi Ishikawa - math/0607123 Error estimates for binomial approximations of game options
by Yuri Kifer - math/0607112 Variance-optimal hedging for processes with stationary independent increments
by Friedrich Hubalek & Jan Kallsen & Leszek Krawczyk - physics/0607101 Virtual volatility
by A. Christian Silva & Richard E. Prange - physics/0607076 Trend arbitrage, bid-ask spread and market dynamics
by Nikolai Zaitsev - math-ph/0607066 Analysis of Stochstic Evolution
by Francesco Vallone - nlin/0607064 Chaotic Dynamics in Optimal Monetary Policy
by Orlando Gomes & Vivaldo M. Mendes & Diana A. Mendes & J. Sousa Ramos - physics/0607014 Inverse cubic law of index fluctuation distribution in Indian markets
by Raj Kumar Pan & Sitabhra Sinha - math/0606520 Multivariate risks and depth-trimmed regions
by Ignacio Cascos & Ilya Molchanov - math/0606471 An Algorithmic Approach to Non-self-financing Hedging in a Discrete-Time Incomplete Market
by N. Josephy & L. Kimball & A. Nagaev & M. Pasniewski & V. Steblovskaya - physics/0606224 Of Songs and Men: a Model for Multiple Choice with Herding
by Christian Borghesi & Jean-Philippe Bouchaud - physics/0606213 Self-organization of price fluctuation distribution in evolving markets
by Raj Kumar Pan & Sitabhra Sinha - math/0606183 Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor
by Jir^o Akahori & Hiroki Aoki & Yoshihiko Nagata - physics/0606164 Analysis of aggregated tick returns: evidence for anomalous diffusion
by Philipp Weber - physics/0606161 Liquidity and the multiscaling properties of the volume traded on the stock market
by Zoltan Eisler & Janos Kertesz - physics/0606115 Long-range memory model of trading activity and volatility
by V. Gontis & B. Kaulakys - physics/0606078 The Apparent Madness of Crowds: Irrational collective behavior emerging from interactions among rational agents
by Sitabhra Sinha - physics/0606071 Validation of internal rating systems and PD estimates
by Dirk Tasche - physics/0606057 Aging in Financial Market
by Simone Bianco & Paolo Grigolini - physics/0606041 Correlation matrix decomposition of WIG20 intraday fluctuations
by R. Rak & S. Drozdz & J. Kwapien & P. Oswiecimka - physics/0606040 Queueing theoretical analysis of foreign currency exchange rates
by Jun-ichi Inoue & Naoya Sazuka - physics/0606035 Linear vs. Nonlinear Diffusion and Martingale Option Pricing
by J. L. McCauley & G. H. Gunaratne & K. E. Bassler - physics/0606020 Complexity characteristics of currency networks
by A. Z. Gorski & S. Drozdz & J. Kwapien & P. Oswiecimka - physics/0606015 On the Feasibility of Portfolio Optimization under Expected Shortfall
by Stefano Ciliberti & Imre Kondor & Marc Mezard - physics/0606012 Econophysics of Stock and Foreign Currency Exchange Markets
by Marcel Ausloos - physics/0606011 Martingale Option Pricing
by J. L. McCauley & G. H. Gunaratne & K. E. Bassler - physics/0606005 On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market
by Naoya Sazuka - physics/0606002 Response to Worrying Trends in Econophysics
by Joseph L. McCauley - cond-mat/0605623 Statistical mechanics of combinatorial auctions
by Tobias Galla & Michele Leone & Matteo Marsili & Mauro Sellitto & Martin Weigt & Riccardo Zecchina - math/0605599 Modelling Derivatives Pricing Mechanisms with Their Generating Functions
by Shige Peng - math/0605461 On Stable Pareto Laws in a Hierarchical Model of Economy
by Alexander M. Chebotarev - math/0605457 Hybrid dynamics for currency modeling
by Ted Theodosopoulos & Alex Trifunovic - math/0605421 Imbalance attractors for a strategic model of market microstructure
by Ted Theodosopoulos & Ming Yuen - physics/0605251 Correlation based networks of equity returns sampled at different time horizons
by M. Tumminello & T. Di Matteo & T. Aste & R. N. Mantegna - physics/0605247 The Power (Law) of Indian Markets: Analysing NSE and BSE trading statistics
by Sitabhra Sinha & Raj Kumar Pan - physics/0605246 An Outlook on Correlations in Stock Prices
by Anirban Chakraborti - physics/0605179 Microeconomic co-evolution model for financial technical analysis signals
by G. Rotundo & M. Ausloos - physics/0605149 Optimal approximations of power-laws with exponentials
by Thierry Bochud & Damien Challet - physics/0605147 Multifractal Model of Asset Returns versus real stock market dynamics
by P. Oswiecimka & J. Kwapien & S. Drozdz & A. Z. Gorski & R. Rak - physics/0605146 A Non-Gaussian Approach to Risk Measures
by G. Bormetti & E. Cisana & G. Montagna & O. Nicrosini - physics/0605115 Asymmetric matrices in an analysis of financial correlations
by J. Kwapien & S. Drozdz & A. Z. Gorski & P. Oswiecimka - math/0605065 CAPM, rewards, and empirical asset pricing with coherent risk
by Alexander S. Cherny & Dilip B. Madan - math/0605064 Pricing and hedging in incomplete markets with coherent risk
by Alexander S. Cherny & Dilip B. Madan - math/0605062 Coherent measurement of factor risks
by Alexander S. Cherny & Dilip B. Madan - math/0605051 Equilibrium with coherent risk
by Alexander S. Cherny - math/0605049 Pricing with coherent risk
by Alexander S. Cherny - math/0604641 A Delayed Black and Scholes Formula II
by Mercedes Arriojas & Yaozhong Hu & Salah-Eldin Mohammed & Gyula Pap - math/0604640 A Delayed Black and Scholes Formula I
by Mercedes Arriojas & Yaozhong Hu & Salah-Eldin Mohammed & Gyula Pap - math/0604316 Localizing Volatilities
by Marc Atlan - math/0604311 The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance
by T. R. Cass & P. K. Friz - math/0604302 Getting real with real options
by M. R Grasselli - physics/0604161 Models of wealth distributions: a perspective
by Abhijit Kar Gupta - physics/0604137 Synchronization Model for Stock Market Asymmetry
by Raul Donangelo & Mogens H. Jensen & Ingve Simonsen & Kim Sneppen