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### 2013

**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**1302.4679 Rationalizing Investors Choice***by*Carole Bernard & Jit Seng Chen & Steven Vanduffel**1302.4676 Numerical analysis of multilevel Monte Carlo path simulation using the Milstein discretisation***by*Michael Giles & Kristian Debrabant & Andreas R\"o{\ss}ler**1302.4595 Collateral-Enhanced Default Risk***by*Chris Kenyon & Andrew Green**1302.4592 Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process***by*Charles-Albert Lehalle**1302.4254 Market viability and martingale measures under partial information***by*Claudio Fontana & Bernt {\O}ksendal & Agn\`es Sulem**1302.4181 A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions***by*Luis H. R. Alvarez E. & Pekka Matom\"aki & Teppo A. Rakkolainen**1302.4112 An examination of the effect on the Icelandic Banking System of Ver{\dh}trygg{\dh} L\'{a}n (Indexed-Linked Loans)***by*Jacky Mallett**1302.3958 Cross-diffusion Modeling in Macroeconomics***by*Laszlo Balazsi & Krisztina Kiss**1302.3870 A second-order stock market model***by*Robert Fernholz & Tomoyuki Ichiba & Ioannis Karatzas**1302.3818 Bimodality in the firm size distributions: a kinetic exchange model approach***by*Anindya S. Chakrabarti**1302.3771 Pricing Step Options under the CEV and other Solvable Diffusion Models***by*Giuseppe Campolieti & Roman N. Makarov & Karl Wouterloot**1302.3704 A model-free characterization of recurrences in stationary time series***by*R\'emy Chicheportiche & Anirban Chakraborti**1302.3654 Pricing Corporate Defaultable Bond using Declared Firm Value***by*Hyong-Chol O & Jong-Jun Jo & Chol-Ho Kim**1302.3642 From Nobel Prize to Project Management: Getting Risks Right***by*Bent Flyvbjerg**1302.3451 Parameter estimation for a subcritical affine two factor model***by*Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap**1302.3319 The Pricing of Multiple-Expiry Exotics***by*Hyong-Chol O & Mun-Chol KiM**1302.3306 An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model***by*Takashi Kato & Akihiko Takahashi & Toshihiro Yamada**1302.3197 Bridging stylized facts in finance and data non-stationarities***by*Sabrina Camargo & Silvio M. Duarte Queiros & Celia Anteneodo**1302.3169 Volatility polarization of non-specialized investors' heterogeneous activity***by*Mario Guti\'errez-Roig & Josep Perell\'o**1302.3001 A Modern Approach to the Efficient-Market Hypothesis***by*Gabriel Frahm**1302.2567 Technical report : Risk-neutral density recovery via spectral analysis***by*Jean-Baptiste Monnier**1302.2544 Quality Control and Due Diligence in Project Management: Getting Decisions Right by Taking the Outside View***by*Bent Flyvbjerg**1302.2534 Stationarity and ergodicity for an affine two factor model***by*Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap**1302.2493 Evaluation on the Financial Competitiveness of Chinese Listed Real Estate Companies Based on Entropy Method***by*Wei Lin & Linbo Shao**1302.2337 The Heston Riemannian distance function***by*Archil Gulisashvili & Peter Laurence**1302.2312 Convergence of European Lookback Options with Floating Strike in the Binomial Model***by*Fabien Heuwelyckx**1302.2231 On the optimal dividend problem for a spectrally positive Levy process***by*Chuancun Yin & Yuzhen Wen & Yongxia Zhao**1302.2063 Early-warning signals of topological collapse in interbank networks***by*Tiziano Squartini & Iman van Lelyveld & Diego Garlaschelli**1302.2009 Stochastic Local Intensity Loss Models with Interacting Particle Systems***by*Aur\'elien Alfonsi & C\'eline Labart & J\'er\^ome Lelong**1302.1965 Variance optimal hedging for continuous time additive processes and applications***by*St\'ephane Goutte & Nadia Oudjane & Francesco Russo**1302.1850 On the Robust superhedging of measurable claims***by*Dylan Possama\"i & Guillaume Royer & Nizar Touzi**1302.1564 Representing Aggregate Belief through the Competitive Equilibrium of a Securities Market***by*David M. Pennock & Michael P. Wellman**1302.1405 Critical reflexivity in financial markets: a Hawkes process analysis***by*Stephen J. Hardiman & Nicolas Bercot & Jean-Philippe Bouchaud**1302.1228 Efficient Markets, Behavioral Finance and a Statistical Evidence of the Validity of Technical Analysis***by*Marco Antonio Penteado**1302.0926 Risks of Large Portfolios***by*Jianqing Fan & Yuan Liao & Xiaofeng Shi**1302.0590 Robust Hedging with Proportional Transaction Costs***by*Yan Dolinsky & H. Mete Soner**1302.0583 Efficient Importance Sampling for Rare Event Simulation with Applications***by*Cheng-Der Fuh & Huei-Wen Teng & Ren-Her Wang**1302.0574 Inflation-rate Derivatives: From Market Model to Foreign Currency Analogy***by*Lixin Wu**1302.0539 Behavioural present value***by*Krzysztof Piasecki**1302.0538 On return rate implied by behavioural present value***by*Krzysztof Piasecki**1302.0537 Basis of financial arithmetic from the viewpoint of the utility theory***by*Krzysztof Piasecki**1302.0465 CVA and FVA to Derivatives Trades Collateralized by Cash***by*Lixin Wu**1302.0361 Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs***by*Bruno Bouchard & Emmanuel Lepinette & Erik Taflin**1302.0134 Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models***by*Laurence Carassus & Miklos Rasonyi**1301.7413 Switching Portfolios***by*Yoram Singer**1301.7078 Markets Evolution After the Credit Crunch***by*Marco Bianchetti & Mattia Carlicchi**1301.6638 On the relation between forecast precision and trading profitability of financial analysts***by*Carlo Marinelli & Alex Weissensteiner**1301.6519 Ab initio analysis of all income society classes in the European Union***by*Maciej Jagielski & Ryszard Kutner**1301.6506 Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach***by*A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik**1301.6485 Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact***by*Kensuke Ishitani & Takashi Kato**1301.6468 Stock Price Fluctuations in an Agent-Based Model with Market Liquidity***by*Takashi Kato**1301.6415 A primer on reflexivity and price dynamics under systemic risk***by*Tom Fischer**1301.6334 On Possible Influence of Space Weather on Agricultural Markets: Necessary Conditions and Probable Scenarios***by*Lev Pustilnik & Gregory Yom Din**1301.6252 Option pricing with linear market impact and non-linear Black and Scholes equations***by*Gregoire Loeper**1301.6141 Modelling systemic price cojumps with Hawkes factor models***by*Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo**1301.6115 DebtRank-transparency: Controlling systemic risk in financial networks***by*Stefan Thurner & Sebastian Poledna**1301.6114 Leverage-induced systemic risk under Basle II and other credit risk policies***by*Sebastian Poledna & Stefan Thurner & J. Doyne Farmer & John Geanakoplos**1301.6069 Cross-Ownership as a Structural Explanation for Over- and Underestimation of Default Probability***by*Sabine Karl & Tom Fischer**1301.5974 Conservation laws, financial entropy and the Eurozone crisis***by*Paul Cockshott & David Zachariah**1301.5877 Pricing Using a Homogeneously Saturated Equation***by*Daniel T. Cassidy**1301.5821 Ecosystems perspective on financial networks: diagnostic tools***by*Eduardo Viegas & Misako Takayasu & Wataru Miura & Koutarou Tamura & Takaaki Ohnishi & Hideki Takayasu & Henrik Jeldtoft Jensen**1301.5568 A model-free version of the fundamental theorem of asset pricing and the super-replication theorem***by*Beatrice Acciaio & Mathias Beiglb\"ock & Friedrich Penkner & Walter Schachermayer**1301.5504 Cash Flow Entropy***by*Ulrich Kirchner & Simon Moolman**1301.5497 Suitability of Capital Allocations for Performance Measurement***by*Eduard Kromer & Ludger Overbeck**1301.5467 Model-independent no-arbitrage conditions on American put options***by*Alexander M. G. Cox & Christoph Hoeggerl**1301.5425 DVA for Assets***by*Chris Kenyon & Richard David Kenyon**1301.5129 A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection***by*Audrone Virbickaite & M. Concepci\'on Aus\'in & Pedro Galeano**1301.5007 Ergodicity and scaling limit of a constrained multivariate Hawkes process***by*Ban Zheng & Fran\c{c}ois Roueff & Fr\'ed\'eric Abergel**1301.4881 On the optimal allocation of assets in investment portfolio with application of modern portfolio and nonlinear dynamic chaos theories in investment, commercial and central banks***by*Dimitri O. Ledenyov & Viktor O. Ledenyov**1301.4869 A simple time-consistent model for the forward density process***by*Henrik Hult & Filip Lindskog & Johan Nykvist**1301.4832 Measuring Model Risk***by*Thomas Breuer & Imre Csiszar**1301.4614 Ambiguous volatility and asset pricing in continuous time***by*Larry G. Epstein & Shaolin Ji**1301.4519 Homogeneously Saturated Model for Development in Time of the Price of an Asset***by*Daniel T. Cassidy**1301.4442 USLV: Unspanned Stochastic Local Volatility Model***by*Igor Halperin & Andrey Itkin**1301.4207 Anticipatory Systems, Preferences, Averages: Inflation, Uncertain Phenomena, Management***by*Leonid A. Shapiro**1301.4194 Financial Portfolio Optimization: Computationally guided agents to investigate, analyse and invest!?***by*Ankit Dangi**1301.4173 Diversity and no arbitrage***by*Attila Herczegh & Vilmos Prokaj & Mikl\'os R\'asonyi**1301.4160 Random cascade model in the limit of infinite integral scale as the exponential of a non-stationary $1/f$ noise. Application to volatility fluctuations in stock markets***by*J. F. Muzy & R. Baile & E. Bacry**1301.3886 Compact Securities Markets for Pareto Optimal Reallocation of Risk***by*David M. Pennock & Michael P. Wellman**1301.3826 Value-Based Inventory Management***by*Grzegorz Michalski**1301.3825 Polish and Silesian Non-Profit Organizations Liquidity Strategies***by*Grzegorz Michalski & Aleksander Mercik**1301.3824 Planning Optimal From the Firm Value Creation Perspective Levels of Operating Cash Investments***by*Grzegorz Michalski**1301.3823 Portfolio Management Approach in Trade Credit Decision Making***by*Grzegorz Michalski**1301.3531 On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation***by*Dilip Madan & Martijn Pistorius & Mitja Stadje**1301.3227 Superreplication under Model Uncertainty in Discrete Time***by*Marcel Nutz**1301.3118 A parallel implementation of a derivative pricing model incorporating SABR calibration and probability lookup tables***by*Qasim Nasar-Ullah**1301.3114 Estimating the efficient price from the order flow: a Brownian Cox process approach***by*Sylvain Delattre & Christian Y. Robert & Mathieu Rosenbaum**1301.3100 On an Optimal Stopping Problem of an Insider***by*Erhan Bayraktar & Zhou Zhou**1301.3096 On Bankruptcy Game Theoretic Interval Rules***by*Rodica Branzei & Marco Dall'Aglio & Stef H. Tijs**1301.2964 L\'evy Information and the Aggregation of Risk Aversion***by*Dorje C. Brody & Lane P. Hughston**1301.2728 Generalised central limit theorems for growth rate distribution of complex systems***by*Misako Takayasu & Hayafumi Watanabe & Hideki Takayasu**1301.2535 Reinterpretation of Sieczka-Ho{\l}yst financial market model***by*Mateusz Denys & Tomasz Gubiec & Ryszard Kutner**1301.2530 Structural and topological phase transitions on the German Stock Exchange***by*M. Wili\'nski & A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik**1301.2363 The Community Structure of the Global Corporate Network***by*Stefania Vitali & Stefano Battiston**1301.2076 Modeling of income distribution in the European Union with the Fokker-Planck equation***by*Maciej Jagielski & Ryszard Kutner**1301.1893 Dynamics of episodic transient correlations in currency exchange rate returns and their predictability***by*Milan \v{Z}ukovi\v{c}**1301.1824 Trust in foreseeing neighbours - a novel threshold model of financial market***by*Jan A. Lipski & Ryszard Kutner**1301.1496 Multivariate risk measures: a constructive approach based on selections***by*Ignacio Cascos & Ilya Molchanov**1301.1471 The Foster-Hart Measure of Riskiness for General Gambles***by*Frank Riedel & Tobias Hellmann**1301.1135 Hawkes model for price and trades high-frequency dynamics***by*E. Bacry & J. F Muzy**1301.1090 Testing the Goodwin growth-cycle macroeconomic dynamics in Brazil***by*N. J. Moura Jr & Marcelo B. Ribeiro**1301.1010 Coupling between time series: a network view***by*Saeed Mehraban & Amirhossein Shirazi & Maryam Zamani & Gholamreza Jafari**1301.0907 On a dynamic adaptation of the Distribution Builder approach to investment decisions***by*Phillip Monin**1301.0719 Gambling in contests with regret***by*Han Feng & David Hobson**1301.0381 Optimal replication of random claims by ordinary integrals with applications in finance***by*Nikolai Dokuchaev**1301.0280 Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation***by*Salvatore Federico & Paul Gassiat & Fausto Gozzi**1301.0186 On Infectious Model for Dependent Defaults***by*Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng**1301.0109 On Reduced Form Intensity-based Model with Trigger Events***by*Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng**1301.0091 On the Robust Optimal Stopping Problem***by*Erhan Bayraktar & Song Yao**1301.0072 The effect of debt on corporate profitability : Evidence from French service sector***by*Mazen Kebewar

### 2012

**1301.2196 The Role of Social Feedback in Financing of Technology Ventures***by*Aleksandar Bradic**1301.2169 Consumers behavior of Portuguese wine***by*Vitor Joao Pereira Domingues Martinho**1301.0594 Modelling Information Incorporation in Markets, with Application to Detecting and Explaining Events***by*David M Pennock & Sandip Debnath & Eric Glover & C. Lee Giles**1301.0007 Trading networks, abnormal motifs and stock manipulation***by*Zhi-Qiang Jiang & Wen-Jie Xie & Xiong Xiong & Wei Zhang & Yong-Jie Zhang & W. -X. Zhou**1212.6795 La structure du capital et la profitabilit\'e: Le cas des entreprises industrielles fran\c{c}aises***by*Mazen Kebewar**1212.6791 The normaly distributed daily returns in stock trading***by*Younes Ben-Ghabrit**1212.6732 A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents***by*Samuel Drapeau & Michael Kupper & Antonis Papapantoleon**1212.6601 Strategy switches and co-action equilibria in a minority game***by*V. Sasidevan & Deepak Dhar**1212.6300 The Kinetics of Wealth and the Origin of the Pareto Law***by*Bruce M. Boghosian**1212.6275 Homogenization and asymptotics for small transaction costs: the multidimensional case***by*Dylan Possama\"i & H. Mete Soner & Nizar Touzi**1212.6016 Modeling Financial Volatility in the Presence of Abrupt Changes***by*Gordon J. Ross**1212.5563 Multiportfolio time consistency for set-valued convex and coherent risk measures***by*Zachary Feinstein & Birgit Rudloff**1212.5395 A unified approach to pricing and risk management of equity and credit risk***by*Claudio Fontana & Juan Miguel A. Montes**1212.5070 On the scaling range of power-laws originated from fluctuation analysis***by*Grech Dariusz & Mazur Zygmunt**1212.4894 On controller-stopper problems with jumps and their applications to indifference pricing of American options***by*Erhan Bayraktar & Zhou Zhou**1212.4890 Bollinger Bands Thirty Years Later***by*Mark Leeds**1212.4770 Market Impact with Autocorrelated Order Flow under Perfect Competition***by*Jonathan Donier**1212.4751 Opinion formation model for markets with a social temperature and fear***by*Sebastian M. Krause & Stefan Bornholdt**1212.4293 Information content of financial markets: a practical approach based on Bohmian quantum mechanics***by*F. Tahmasebi & S. Meskini & A. Namaki & G. R. Jafari**1212.4279 A Note on "A Family of Maximum Entropy Densities Matching Call Option Prices"***by*Cassio Neri & Lorenz Schneider**1212.4126 Risk Measures in a Regime Switching Model Capturing Stylized Facts***by*Rainer Haidinger & Richard Warnung**1212.3958 Dynamic quasi-concave performance measures***by*Sara Biagini & Jocelyne Bion-Nadal**1212.3716 The art of probability-of-default curve calibration***by*Dirk Tasche**1212.3195 Non stationary multifractality in stock returns***by*Raffaello Morales & T. Di Matteo & Tomaso Aste**1212.3147 Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models***by*Guoping Xu & Harry Zheng**1212.3145 Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact***by*Baojun Bian & Nan Wu & Harry Zheng**1212.3137 Smooth Value Function with Applications in Wealth-CVaR Efficient Portfolio and Turnpike Property***by*Baojun Bian & Harry Zheng**1212.2833 The Illusion of the Perpetual Money Machine***by*D. Sornette & P. Cauwels**1212.2676 Mining the Web for the Voice of the Herd to Track Stock Market Bubbles***by*Aaron Gerow & Mark Keane**1212.2473 A Linear Belief Function Approach to Portfolio Evaluation***by*Liping Liu & Catherine Shenoy & Prakash P. Shenoy**1212.2189 Transition in the Waiting-Time Distribution of Price-Change Events in a Global Socioeconomic System***by*Guannan Zhao & Mark McDonald & Dan Fenn & Stacy Williams & Neil F. Johnson**1212.2140 Optimal stopping under adverse nonlinear expectation and related games***by*Marcel Nutz & Jianfeng Zhang**1212.2129 Online Portfolio Selection: A Survey***by*Bin Li & Steven C. H. Hoi**1212.1946 Econophysics in Belgium. The first (?) 15 years***by*Marcel Ausloos**1212.1919 Stochastic PDEs and Quantitative Finance: The Black-Scholes-Merton Model of Options Pricing and Riskless Trading***by*Brandon Kaplowitz & Siddharth G. Reddy**1212.1877 Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage***by*Winslow Strong**1212.1679 The Greek Public Debt Path: From Zero to Infinity***by*Dimitris Sardelis**1212.1661 Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources***by*Ivan Kitov**1212.1377 Multilevel Monte Carlo methods for applications in finance***by*Mike Giles & Lukasz Szpruch**1212.1286 Predicting economic growth with classical physics and human biology***by*Hans G. Danielmeyer & Thomas Martinetz**1212.1282 The physics of business cycles and inflation***by*Hans G. Danielmeyer & Thomas Martinetz**1212.1061 Study of a Market Model with Conservative Exchanges on Complex Networks***by*L. A. Braunstein & P. A. Macri & J. R. Iglesias**1212.1037 Modeling Movements in Oil, Gold, Forex and Market Indices using Search Volume Index and Twitter Sentiments***by*Tushar Rao & Saket Srivastava**1212.0781 Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model***by*Maria B. Chiarolla & Tiziano De Angelis**1212.0779 Asymptotics of forward implied volatility***by*Antoine Jacquier & Patrick Roome**1212.0479 Modeling non-stationarities in high-frequency financial time series***by*Linda Ponta & Enrico Scalas & Marco Raberto & Silvano Cincotti**1212.0476 Second-order BSDEs with general reflection and game options under uncertainty***by*Anis Matoussi & Lambert Piozin & Dylan Possama\"i**1212.0440 Maximum Entropy distributions of correlated variables with prespecified marginals***by*Hern\'an Larralde**1212.0380 A note on estimating stochastic volatility and its volatility: a new simple method***by*Moawia Alghalith**1212.0354 Effect of detrending on multifractal characteristics***by*P. O\'swi\k{e}cimka & S. Dro\.zd\.z & J. Kwapie\'n & A. Z. G\'orski**1212.0092 Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling***by*J. L. van Velsen**1211.7365 On optimal dividends in the dual model***by*Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki**1211.7172 Statistical Microeconomics***by*Belal E. Baaquie**1211.6695 Unstable Price Dynamics as a Result of Information Absorption in Speculative Markets***by*Felix Patzelt & Klaus R. Pawelzik**1211.6667 High Frequency Trading and Mini Flash Crashes***by*Anton Golub & John Keane & Ser-Huang Poon**1211.6525 The Pricing Mechanism of Contingent Claims and its Generating Function***by*Shige Peng**1211.6517 Momentum universe shrinkage effect in price momentum***by*Jaehyung Choi & Sungsoo Choi & Wonseok Kang**1211.6349 Will Central Counterparties become the New Rating Agencies?***by*Chris Kenyon & Andrew Green**1211.5867 An FBSDE Approach to American Option Pricing with an Interacting Particle Method***by*Masaaki Fujii & Seisho Sato & Akihiko Takahashi**1211.5858 Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance***by*Nikolai Dokuchaev**1211.5819 New stochastic calculus***by*Moawia Alghalith**1211.5816 General Smooth Solutions to the HJB PDE: Applications to Finance***by*Moawia Alghalith**1211.5726 Application of simplest random walk algorithms for pricing barrier options***by*M. Krivko & M. V. Tretyakov**1211.5628 Optimal portfolio model based on WVAR***by*Tianyu Hao**1211.5575 Heterogeneous Enterprises in a Macroeconomic Agent-Based Model***by*Cornelia Metzig & Mirta Gordon**1211.5517 CDS pricing under Basel III: capital relief and default protection***by*Chris Kenyon & Andrew Green**1211.5502 Extreme value statistics and recurrence intervals of NYMEX energy futures volatility***by*Wen-Jie Xie & Zhi-Qiang Jiang & Wei-Xing Zhou**1211.5235 Optimal portfolio for a robust financial system***by*Yoshiharu Maeno & Kenji Nishiguchi & Satoshi Morinaga & Hirokazu Matsushima**1211.5035 Optimal hedging in discrete time***by*Bruno R\'emillard & Sylvain Rubenthaler**1211.4978 Can there be an explicit formula for implied volatility?***by*Stefan Gerhold**1211.4946 The Calculus of Expected Loss: Backtesting Parameter-Based Expected Loss in a Basel II Framework***by*Wolfgang Reitgruber**1211.4686 Testing the weak-form efficiency of the WTI crude oil futures market***by*Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou**1211.4636 On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Ito processes***by*Paul M. N. Feehan & Camelia Pop**1211.4598 How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related***by*Tahir Choulli & Jun Deng & Junfeng Ma**1211.4416 An overview of the goodness-of-fit test problem for copulas***by*Jean-David Fermanian**1211.4396 European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis***by*R. E. Caflisch & G. Gambino & M. Sammartino & C. Sgarra**1211.4282 Inference on Sets in Finance***by*Victor Chernozhukov & Emre Kocatulum & Konrad Menzel**1211.4173 Closed form solutions of measures of systemic risk***by*Manfred Jaeger-Ambrozewicz**1211.4157 Modeling First Line Of An Order Book With Multivariate Marked Point Processes***by*Alexis Fauth & Ciprian A. Tudor**1211.4108 On the Risk Management with Application of Econophysics Analysis in Central Banks and Financial Institutions***by*Dimitri O. Ledenyov & Viktor O. Ledenyov**1211.3824 Les r\'eservations et les suspensions de cotation sont-elles un frein \`a l'efficience informationnelle des march\'es ?***by*Karine Michalon**1211.3599 Network analysis of correlation strength between the most developed countries***by*Janusz Mi\'skiewicz**1211.3102 Can we predict long-run economic growth?***by*Timothy J. Garrett**1211.3060 Analysis of short term price trends in daily stock-market index data***by*H. F. Coronel-Brizio & A. R. Hern\'andez Montoya & H. R Olivares S\'anchez & E. Scalas**1211.2862 Hurst Exponents For Short Time Series***by*Jingzhao Qi & Huijie Yang