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### 2013

**1306.0468 Reserve Requirement Analysis using a Dynamical System of a Bank based on Monti-Klein model of Bank's Profit Function***by*Novriana Sumarti & Iman Gunadi**1306.0345 American option of stochastic volatility model with negative Fichera function on degenerate boundary***by*Chen Xiaoshan & Song Qingshuo**1306.0215 Cross-border Portfolio Investment Networks and Indicators for Financial Crises***by*Andreas Joseph & Stephan Joseph & Guanrong Chen**1306.0100 Are your data really Pareto distributed?***by*Pasquale Cirillo**1305.7309 Optimization problem under change of regime of interest rate***by*Bogdan Iftimie & Monique Jeanblanc & Thomas Lim & Hai-Nam Nguyen**1305.7092 Prices and Asymptotics for Discrete Variance Swaps***by*Carole Bernard & Zhenyu Cui**1305.6988 Integrals of Higher Binary Options and Defaultable Bond with Discrete Default Information***by*Hyong-Chol O & Dong-Hyok Kim & Jong-Jun Jo & Song-Hun Ri**1305.6868 Higher Order Binaries with Time Dependent Coefficients and Two Factors - Model for Defaultable Bond with Discrete Default Information***by*Hyong-Chol O & Yong-Gon Kim & Dong-Hyok Kim**1305.6831 Optimal portfolios of a long-term investor with floor or drawdown constraints***by*Vladimir Cherny & Jan Obloj**1305.6797 Two-step memory within Continuous Time Random Walk. Description of double-action market dynamics***by*Tomasz Gubiec & Ryszard Kutner**1305.6765 Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]***by*J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante**1305.6762 Hedging without sweat: a genetic programming approach***by*Terje Lensberg & Klaus Reiner Schenk-Hopp\'e**1305.6541 BSDEs with singular terminal condition and control problems with constraints***by*Stefan Ankirchner & Monique Jeanblanc & Thomas Kruse**1305.6323 Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis***by*Aim\'e Lachapelle & Jean-Michel Lasry & Charles-Albert Lehalle & Pierre-Louis Lions**1305.6148 Goodhart, Charles A.E. and Tsomocos, Dimitros P.: The challenge of financial stability: a new model and its applications***by*Jean-Bernard Chatelain**1305.6037 Semi-bounded Rationality: A model for decision making***by*Tshilidzi Marwala**1305.6023 A Robust Version of Convex Integral Functionals***by*Keita Owari**1305.6008 Arbitrage and duality in nondominated discrete-time models***by*Bruno Bouchard & Marcel Nutz**1305.5963 Note on multidimensional Breeden-Litzenberger representation for state price densities***by*Jarno Talponen & Lauri Viitasaari**1305.5958 Fluctuation analysis of the three agent groups herding model***by*Vygintas Gontis & Aleksejus Kononovicius**1305.5915 Model-free CPPI***by*Alexander Schied**1305.5656 To the problem of turbulence in quantitative easing transmission channels and transactions network channels at quantitative easing policy implementation by central banks***by*Dimitri O. Ledenyov & Viktor O. Ledenyov**1305.5621 On a Heath-Jarrow-Morton approach for stock options***by*Jan Kallsen & Paul Kr\"uhner**1305.5575 Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios***by*Lijun Bo & Agostino Capponi**1305.5373 Mathematical Analysis of Money in the Scope of Austerity***by*Peter Stallinga**1305.5238 Risk Measure Estimation On Fiegarch Processes***by*Taiane S. Prass & S\'ilvia R. C. Lopes**1305.5220 Pricing bonds with optional sinking feature using Markov Decision Processes***by*Jan-Frederik Mai & Marc Wittlinger**1305.4879 Reducing the debt : is it optimal to outsource an investment?***by*Gilles Edouard Espinosa & Caroline Hillairet & Benjamin Jourdain & Monique Pontier**1305.4719 Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model***by*Jos\'e E. Figueroa-L\'opez & Ruoting Gong & Christian Houdr\'e**1305.4321 Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes***by*Helin Zhu & Fan Ye & Enlu Zhou**1305.4173 A Model for Stock Returns and Volatility***by*Tao Ma & R. A. Serota**1305.4132 Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE***by*Jacek Jakubowski & Mariusz Niew\k{e}g{\l}owski**1305.4078 Economics 2.0: The Natural Step towards A Self-Regulating, Participatory Market Society***by*Dirk Helbing**1305.4013 A hot-potato game under transient price impact***by*Alexander Schied & Tao Zhang**1305.3988 A First-Order BSPDE for Swing Option Pricing***by*Christian Bender & Nikolai Dokuchaev**1305.3433 Monte Carlo approximation to optimal investment***by*L C G Rogers & Pawel Zaczkowski**1305.3243 Scaling symmetry, renormalization, and time series modeling***by*Marco Zamparo & Fulvio Baldovin & Michele Caraglio & Attilio L. Stella**1305.3184 Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm***by*Tetsuya Takaishi**1305.2824 The Statistical and Econometric Analysis of Asylum Application Trends and their relationship to GDP in the EEA***by*Gerard Keogh**1305.2716 Ergodic transition in a simple model of the continuous double auction***by*Tijana Radivojevi\'c & Jonatha Anselmi & Enrico Scalas**1305.2693 Markov switching quadratic term structure models***by*St\'ephane Goutte**1305.2655 An Exactly Solvable Discrete Stochastic Process with Correlated Properties***by*Jongwook Kim & Junghyo Jo**1305.2271 On the Lebesgue Property of Monotone Convex Functions***by*Keita Owari**1305.2263 Direct Evidence for Synchronization in Japanese Business Cycle***by*Yuichi Ikeda & Hideaki Aoyama & Hiroshi Iyetomi & Hiroshi Yoshikawa**1305.2151 A comparison of techniques for dynamic multivariate risk measures***by*Zachary Feinstein & Birgit Rudloff**1305.2121 Statistical Mechanics of Competitive Resource Allocation using Agent-based Models***by*Anirban Chakraborti & Damien Challet & Arnab Chatterjee & Matteo Marsili & Yi-Cheng Zhang & Bikas K. Chakrabarti**1305.1868 A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation***by*Jiang-Lun Wu & Wei Yang**1305.1747 Optimal dividend problem for a generalized compound Poisson risk model***by*Chuancun Yin**1305.1559 Are Financial Markets an aspect of Quantum World?***by*Ovidiu Racorean**1305.0794 The Effect of Growth On Equality in Models of the Economy***by*Kang Liu & N. Lubbers & W. Klein & J. Tobochnik & B. Boghosian & Harvey Gould**1305.0768 Kinetic exchange models: From molecular physics to social science***by*Marco Patriarca & Anirban Chakraborti**1305.0741 Delusions of Success: Comment on Dan Lovallo and Daniel Kahneman***by*Bent Flyvbjerg**1305.0639 Exact record and order statistics of random walks via first-passage ideas***by*Gregory Schehr & Satya N. Majumdar**1305.0479 A robust tree method for pricing American options with CIR stochastic interest rate***by*Elisa Appolloni & Lucia Caramellino & Antonino Zanette**1305.0436 Multivariate high-frequency financial data via semi-Markov processes***by*Guglielmo D'Amico & Filippo Petroni**1305.0413 Permanent market impact can be nonlinear***by*Olivier Gu\'eant**1305.0239 Uncovering the network structure of the world currency market: Cross-correlations in the fluctuations of daily exchange rates***by*Sitabhra Sinha & Uday Kovur**1305.0144 Relative Robust Portfolio Optimization***by*Raphael Hauser & Vijay Krishnamurthy & Reha T\"ut\"unc\"u**1305.0105 Semi Markov model for market microstructure***by*Pietro Fodra & Huy\^en Pham**1305.0101 Bubbles are rational***by*Pierre Lescanne**1305.0040 A note on replicating a CDS through a repo and an asset swap***by*Lorenzo Giada & Claudio Nordio**1304.7934 Maximum Lebesgue Extension of Monotone Convex Functions***by*Keita Owari**1304.7882 Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion***by*Qian Zhao & Jiaqin Wei & Rongming Wang**1304.7878 On the Dividend Strategies with Non-Exponential Discounting***by*Qian Zhao & Jiaqin Wei & Rongming Wang**1304.7563 Pricing TARN Using a Finite Difference Method***by*Xiaolin Luo & Pavel Shevchenko**1304.7562 Balancing small fixed and proportional transaction cost in trading strategies***by*Jose V. Alcala & Arash Fahim**1304.7535 Elasticity theory of structuring***by*Andrei N. Soklakov**1304.7533 Deriving Derivatives***by*Andrei N. Soklakov**1304.7330 Government Solvency, Austerity and Fiscal Consolidation in the OECD: A Keynesian Appraisal of Transversality and No Ponzi Game Conditions***by*Karim Azizi & Nicolas Canry & Jean-Bernard Chatelain & Bruno Tinel**1304.6846 Time-independent pricing of options in range bound markets***by*Ovidiu Racorean**1304.6819 A Fokker-Planck description for the queue dynamics of large tick stocks***by*A. Gareche & G. Disdier & J. Kockelkoren & J. -P. Bouchaud**1304.6165 Hedging in bond markets by the Clark-Ocone formula***by*Nicolas Privault & Timothy Robin Teng**1304.6006 Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market***by*Tetsuya Takaishi & Ting Ting Chen & Zeyu Zheng**1304.5962 The pricing formula for cancellable European options***by*Hsuan-Ku Liu**1304.5380 Survey data and Bayesian analysis: a cost-efficient way to estimate customer equity***by*Juha Karvanen & Ari Rantanen & Lasse Luoma**1304.5337 The Convexity of the Free Boundary for the American put option***by*Hsuan-Ku Liu**1304.5156 Option pricing, Bayes risks and Applications***by*Yannis G. Yatracos**1304.5130 Non-Stationarity in Financial Time Series and Generic Features***by*Thilo A. Schmitt & Desislava Chetalova & Rudi Sch\"afer & Thomas Guhr**1304.5065 Central Clearing of OTC Derivatives: bilateral vs multilateral netting***by*Rama Cont & Thomas Kokholm**1304.5040 Dynamic robust duality in utility maximization***by*Bernt {\O}ksendal & Agn\`es Sulem**1304.4995 Schr\"odinger group and quantum finance***by*Juan M. Romero & Ulises Lavana & Elio Mart\'inez**1304.4929 A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role***by*Yannis G. Yatracos**1304.4853 Risk measures for processes and BSDEs***by*Irina Penner & Anthony Reveillac**1304.4852 Firm's Information Environment and Stock Liquidity : Evidence from Tunisian Context***by*Nadia Loukil & Ouidad Yousfi**1304.4807 On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems***by*Dimitri O. Ledenyov & Viktor O. Ledenyov**1304.4690 On option pricing in illiquid markets with jumps***by*Youssef El-Khatib & Abdulnasser Hatemi-J**1304.4688 On the pricing and hedging of options for highly volatile periods***by*Youssef El-Khatib & Abdulnasser Hatemi-J**1304.4623 Cubature on Wiener space: pathwise convergence***by*Christian Bayer & Peter K. Friz**1304.4590 Double Whammy - How ICT Projects are Fooled by Randomness and Screwed by Political Intent***by*Alexander Budzier & Bent Flyvbjerg**1304.4534 A variation of the Canadisation algorithm for the pricing of American options driven by L\'evy processes***by*Florian Kleinert & Kees van Schaik**1304.4525 Overspend? Late? Failure? What the Data Say About IT Project Risk in the Public Sector***by*Alexander Budzier & Bent Flyvbjerg**1304.4476 What Causes Cost Overrun in Transport Infrastructure Projects?"***by*Bent Flyvbjerg & Mette K. Skamris Holm & S{\o}ren L. Buhl**1304.4311 A Model for Scaling in Firms' Size and Growth Rate Distribution***by*Cornelia Metzig & Mirta B. Gordon**1304.3824 Pricing and Valuation under the Real-World Measure***by*Gabriel Frahm**1304.3814 Measuring the default risk of sovereign debt from the perspective of network***by*Hongwei Chuang & Hwai-Chung Ho**1304.3722 Hierarchy of Frustrations as Supplementary Indices in Complex System Dynamics, Applied to the U.S. Intermarket***by*Krzysztof Sokalski**1304.3602 An age structured demographic theory of technological change***by*J. -F. Mercure**1304.3574 Hedging of Game Options under Model Uncertainty in Discrete Time***by*Yan Dolinsky**1304.3516 Existence of an endogenously complete equilibrium driven by a diffusion***by*Dmitry Kramkov**1304.3350 Return on net sales from three companies in the manufacturing of fabricated metal products (except machinery and equipment)***by*Marta Tomczak & Anna Ziolkowska & Martyna Rosik**1304.3284 Existence and uniqueness of Arrow-Debreu equilibria with consumptions in $\mathbf{L}^0_+$***by*Dmitry Kramkov**1304.3252 Jan Tinbergen's legacy for economic networks: from the gravity model to quantum statistics***by*Tiziano Squartini & Diego Garlaschelli**1304.3159 Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials***by*Andrey Itkin**1304.3135 Maximizing Matching in Double-sided Auctions***by*Jinzhong Niu & Simon Parsons**1304.2942 Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions***by*Damiano Brigo & Giuseppe Di Graziano**1304.2141 Robust price bounds for the forward starting straddle***by*David Hobson & Martin Klimmek**1304.2069 Robustification of Elliott's on-line EM algorithm for HMMs***by*Christina Erlwein & Peter Ruckdeschel**1304.1999 Mirror and Synchronous Couplings of Geometric Brownian Motions***by*Saul D. Jacka & Aleksandar Mijatovic & Dejan Siraj**1304.1940 Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims***by*Lingjiong Zhu**1304.1849 Pricing approximations and error estimates for local L\'evy-type models with default***by*Matthew Lorig & Stefano Pagliarani & Andrea Pascucci**1304.1821 Optimal initiation of a GLWB in a variable annuity: no arbitrage approach***by*H. Huang & M. A. Milevsky & T. S. Salisbury**1304.1783 A convolution method for numerical solution of backward stochastic differential equations***by*Cody Blaine Hyndman & Polynice Oyono Ngou**1304.1665 Why Mass Media Matter to Planning Research: The Case of Megaprojects***by*Bent Flyvbjerg**1304.1420 Fluctuation Analysis for the Loss From Default***by*Konstantinos Spiliopoulos & Justin A. Sirignano & Kay Giesecke**1304.1397 Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs***by*Andrea Pallavicini & Damiano Brigo**1304.1186 Five Misunderstandings About Case-Study Research***by*Bent Flyvbjerg**1304.0923 Information, no-arbitrage and completeness for asset price models with a change point***by*Claudio Fontana & Zorana Grbac & Monique Jeanblanc & Qinghua Li**1304.0718 A Peer-based Model of Fat-tailed Outcomes***by*Ben Klemens**1304.0490 Premiums And Reserves, Adjusted By Distortions***by*Alois Pichler**1304.0368 An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals***by*Jan Ob{\l}\'oj & Peter Spoida**1304.0353 An Information-Theoretic Test for Dependence with an Application to the Temporal Structure of Stock Returns***by*Galen Sher & Pedro Vitoria**1304.0265 Why Your IT Project Might Be Riskier Than You Think***by*Bent Flyvbjerg & Alexander Budzier**1304.0212 Do wealth distributions follow power laws? Evidence from "rich lists"***by*Michal Brzezinski**1303.7445 Agent-based modeling of a price information trading business***by*Saad Ahmad Khan & Ladislau Boloni**1303.7405 How Planners Deal with Uncomfortable Knowledge: The Dubious Ethics of the American Planning Association***by*Bent Flyvbjerg**1303.7404 Megaprojects and Risk: An Anatomy of Ambition***by*Bent Flyvbjerg & Nils Bruzelius & Werner Rothengatter**1303.7403 Delusion and Deception in Large Infrastructure Projects: Two Models for Explaining and Preventing Executive Disaster***by*Bent Flyvbjerg & Massimo Garbuio & Dan Lovallo**1303.7402 Cost Overruns and Demand Shortfalls in Urban Rail and Other Infrastructure***by*Bent Flyvbjerg**1303.7401 Measuring Inaccuracy in Travel Demand Forecasting: Methodological Considerations Regarding Ramp Up and Sampling***by*Bent Flyvbjerg**1303.7400 Policy and Planning for Large Infrastructure Projects: Problems, Causes, Cures***by*Bent Flyvbjerg**1303.7177 High-frequency market-making for multi-dimensional Markov processes***by*Pietro Fodra & Mauricio Labadie**1303.7092 Pivotal estimation in high-dimensional regression via linear programming***by*Eric Gautier & Alexandre Tsybakov**1303.6654 How (In)accurate Are Demand Forecasts in Public Works Projects? The Case of Transportation***by*Bent Flyvbjerg & Mette Skamris Holm & S{\o}ren L. Buhl**1303.6604 Underestimating Costs in Public Works Projects: Error or Lie?***by*Bent Flyvbjerg & Mette K. Skamris Holm & S{\o}ren L. Buhl**1303.6571 Survival of the Unfittest: Why the Worst Infrastructure Gets Built, And What We Can Do about It***by*Bent Flyvbjerg**1303.6569 Comparison of Capital Costs per Route-Kilometre in Urban Rail***by*Bent Flyvbjerg & Nils Bruzelius & Bert van Wee**1303.6340 Barrier Options under L\'evy Processes: a Simple Short-Cut***by*Jos\'e Fajardo**1303.6192 Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance: Comparing Alternative Exchange Rate Regimes in Eastern Europe***by*Muhammad Khan & Mazen Kebewar & Nikolay Nenovsky**1303.6183 Quantitative easing is an incomplete strategy that must be accompanied by the nullification of debt***by*Karl Svozil**1303.6090 Volatility Swap Under the SABR Model***by*Simon Bossoney**1303.5882 Feedback models and stability analysis of three economic paradigms***by*Harris V. Georgiou**1303.5809 Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise***by*Yingying Li & Zhiyuan Zhang & Xinghua Zheng**1303.5703 ARCO1: An Application of Belief Networks to the Oil Market***by*Bruce Abramson**1303.5552 Quantifying the Impact of Leveraging and Diversification on Systemic Risk***by*Paolo Tasca & Pavlin Mavrodiev & Frank Schweitzer**1303.5290 Nanotechnology and Innovation, Recent status and the strategic implication for the formation of high tech clusters in Greece, in between a global economic crisis***by*Evangelos I. Gkanas & Vasso MagkouKriticou & Sofoklis S. Makridis & Athanasios K. Stubos & Ioannis Bakouros**1303.4867 The Identification of Thresholds and Time Delay in Self-Exciting Threshold AR Model by Wavelet***by*Song-Yon Kim & Mun-Chol Kim**1303.4849 A Solution to Kolmogorov-Feller Equation and Pricing of Options***by*Ju-Gyong Kim & Il-Su Choe**1303.4847 Two unconditionally implied parameters and volatility smiles and skews***by*Nikolai Dokuchaev**1303.4607 Exact Statistics of the Gap and Time Interval Between the First Two Maxima of Random Walks***by*Satya N. Majumdar & Philippe Mounaix & Gregory Schehr**1303.4514 Is There A Real Estate Bubble in Switzerland?***by*Diego Ardila & Peter Cauwels & Dorsa Sanadgol & Didier Sornette**1303.4351 Are random trading strategies more successful than technical ones?***by*A. E. Biondo & A. Pluchino & A. Rapisarda & D. Helbing**1303.4314 Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades***by*Matthew Ames & Guillaume Bagnarosa & Gareth W. Peters**1303.4274 A note on pricing of contingent claims under G-expectation***by*Mingshang Hu & Shaolin Ji**1303.4268 The Small-Maturity Heston Forward Smile***by*Antoine Jacquier & Patrick Roome**1303.4082 Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims***by*{\L}ukasz Delong & Antoon Pelsser**1303.3956 A liability tracking approach to long term management of pension funds***by*Masashi Ieda & Takashi Yamashita & Yumiharu Nakano**1303.3693 Agent-based and macroscopic modeling of the complex socio-economic systems***by*Aleksejus Kononovicius & Valentas Daniunas**1303.3391 US Corporate Bond Yield Spread : A default risk debate***by*Syed Muhammad Noaman Ahmed Shah & Mazen Kebewar**1303.3148 The General Structure of Optimal Investment and Consumption with Small Transaction Costs***by*Jan Kallsen & Johannes Muhle-Karbe**1303.3133 Dynamical Trading Mechanism in Limit Order Markets***by*Shilei Wang**1303.2950 Dynamic Credit Investment in Partially Observed Markets***by*Agostino Capponi & Jose Enrique Figueroa Lopez & Andrea Pascucci**1303.2910 Understanding Operational Risk Capital Approximations: First and Second Orders***by*Gareth W. Peters & Rodrigo S. Targino & Pavel V. Shevchenko**1303.2901 Dynamics and Spatial Distribution of Global Nighttime Lights***by*Nicola Pestalozzi & Peter Cauwels & Didier Sornette**1303.2513 Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach***by*R\"udiger Frey & Abdelali Gabih & Ralf Wunderlich**1303.2110 Econophysics of adaptive power markets: When a market does not dampen fluctuations but amplifies them***by*Sebastian M. Krause & Stefan Boerries & Stefan Bornholdt**1303.2044 Bubbles, Jumps, and Scaling from Properly Anticipated Prices***by*Felix Patzelt & Klaus Pawelzik**1303.1690 Coherence and elicitability***by*Johanna F. Ziegel**1303.1672 A new approach for an unitary risk theory***by*Nicolae Popoviciu & Floarea Baicu**1303.1663 Impact Analysis for Risks in Informatics Systems***by*Floarea Baicu & Maria Alexandra Baches**1303.1334 Pricing American options via multi-level approximation methods***by*Denis Belomestny & Fabian Dickmann & Tigran Nagapetyan**1303.1298 Analytical Pricing of Defaultable Bond with Stochastic Default Intensity***by*Hyong-Chol O & Ning Wan**1303.1296 The Pricing of A Moving Barrier Option***by*Hyong-chol O**1303.1248 Investment and Consumption with Regime-Switching Discount Rates***by*Traian Pirvu & Huayue Zhang**1303.1134 Utility maximisation and utility indifference price for exponential semi-martingale models with random factor***by*Anastasia Ellanskaya & Lioudmila Vostrikova**1303.1064 Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection***by*Xiangyu Cui & Xun Li & Duan Li**1303.0283 Inverse Signal Classification for Financial Instruments***by*Uri Kartoun**1303.0237 Optimal investment and price dependence in a semi-static market***by*Pietro Siorpaes**1303.0073 A Method for Comparing Hedge Funds***by*Uri Kartoun**1302.7246 An analytic multi-currency model with stochastic volatility and stochastic interest rates***by*Alessandro Gnoatto & Martino Grasselli**1302.7238 On the Preference Relations with Negatively Transitive Asymmetric Part. I***by*Maria Viktorovna Droganova & Valentin Vankov Iliev**1302.7192 Weak and strong no-arbitrage conditions for continuous financial markets***by*Claudio Fontana**1302.7036 Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility***by*Jozef Barunik & Jiri Kukacka**1302.7010 The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles***by*Damiano Brigo & Francesco Rapisarda & Abir Sridi**1302.6762 The first passage time problem for mixed-exponential jump processes with applications in insurance and finance***by*Chuancun Yin & Yuzhen Wen & Zhaojun Zong & Ying Shen**1302.6757 An extension of Paulsen-Gjessing's risk model with stochastic return on investments***by*Chuancun Yin & Yuzhen Wen**1302.6721 On the theory of firm in nonlinear dynamic financial and economic systems***by*Dimitri O. Ledenyov & Viktor O. Ledenyov**1302.6669 Continuous-time Mean-Variance Portfolio Selection with Stochastic Parameters***by*Wan-Kai Pang & Yuan-Hua Ni & Xun Li & Ka-Fai Cedric Yiu**1302.6629 CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models***by*Damiano Brigo & Jo\~ao Garcia & Nicola Pede**1302.6491 Asymptotic arbitrage in the Heston model***by*Fatma Haba & Antoine Jacquier**1302.6477 Signal amplification in an agent-based herding model***by*Adri\'an Carro & Ra\'ul Toral & Maxi San Miguel**1302.6399 Swing options in commodity markets: A multidimensional L\'evy diffusion model***by*Marcus Eriksson & Jukka Lempa & Trygve Kastberg Nilssen**1302.6363 Realtime market microstructure analysis: online Transaction Cost Analysis***by*Robert Azencott & Arjun Beri & Yutheeka Gadhyan & Nicolas Joseph & Charles-Albert Lehalle & Matthew Rowley**1302.6305 Random Matrix Theory and Cross-correlations in Global Financial Indices and Local Stock Market Indices***by*Ashadun Nobi & Seong Eun Maeng & Gyeong Gyun Ha & Jae Woo Lee**1302.6212 On The EU and Euro-zone Stability***by*Dimitris Sardelis**1302.6120 An Optimal Pairs-Trading Rule***by*Qingshuo Song & Qing Zhang**1302.6011 Optimal dividends problem with a terminal value for spectrally positive Levy processes***by*Chuancun Yin & Yuzhen Wen**1302.5966 Information Transmission Between Financial Markets in Chicago and New York***by*Gregory Laughlin & Anthony Aguirre & Joseph Grundfest**1302.5548 How to make Dupire's local volatility work with jumps***by*Peter K. Friz & Stefan Gerhold & Marc Yor**1302.5339 Theory of Performance Participation Strategies***by*Julia Kraus & Philippe Bertrand & Rudi Zagst**1302.4854 An Explicit Martingale Version of Brenier's Theorem***by*Pierre Henry-Labordere & Nizar Touzi