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### 2011

**1107.4881 A note on essential smoothness in the Heston model***by*Martin Forde & Antoine Jacquier & Aleksandar Mijatovic**1107.4632 From Smile Asymptotics to Market Risk Measures***by*Ronnie Sircar & Stephan Sturm**1107.4476 The effect of round-off error on long memory processes***by*Gabriele La Spada & Fabrizio Lillo**1107.4210 Investment/consumption problem in illiquid markets with regime-switching***by*Paul Gassiat & Fausto Gozzi & Huy\^en Pham**1107.4146 A Map of the Brazilian Stock Market***by*Leonidas Sandoval Junior**1107.3942 Identification of clusters of investors from their real trading activity in a financial market***by*Michele Tumminello & Fabrizio Lillo & Jyrki Piilo & Rosario N. Mantegna**1107.3456 Exploring complex networks via topological embedding on surfaces***by*Tomaso Aste & Ruggero Gramatica & T. Di Matteo**1107.3364 Models for the impact of all order book events***by*Zoltan Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren**1107.3293 On the Representation of General Interest Rate Models as Square Integrable Wiener Functionals***by*Lane P. Hughston & Francesco Mina**1107.3287 On the Zipf strategy for short-term investments in WIG20 futures***by*B. Bieda & P. Chodorowski & D. Grech**1107.3171 Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model***by*Didier Sornette & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou**1107.3095 Keynesian Economics After All***by*A. Johansen & I. Simonsen**1107.2988 Robust maximization of asymptotic growth under covariance uncertainty***by*Erhan Bayraktar & Yu-Jui Huang**1107.2748 The explicit Laplace transform for the Wishart process***by*Alessandro Gnoatto & Martino Grasselli**1107.2716 Stability of exponential utility maximization with respect to market perturbations***by*Erhan Bayraktar & Ross Kravitz**1107.2562 Quantum Financial Economics - Risk and Returns***by*Carlos Pedro Gon\c{c}alves**1107.2346 Parrondo-like behavior in continuous-time random walks with memory***by*Miquel Montero**1107.2164 KISS approach to credit portfolio modeling***by*Mikhail Voropaev**1107.1895 On Investment-Consumption with Regime-Switching***by*Traian A. Pirvu & Huayue Zhang**1107.1834 Implied Volatility Surface: Construction Methodologies and Characteristics***by*Cristian Homescu**1107.1831 Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance***by*Cristian Homescu**1107.1787 An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process***by*Takashi Kato**1107.1617 On optimal investment for a behavioural investor in multiperiod incomplete market models***by*Laurence Carassus & Miklos Rasonyi**1107.1607 Path properties and regularity of affine processes on general state spaces***by*Christa Cuchiero & Josef Teichmann**1107.1451 Multiplicative noise, fast convolution, and pricing***by*Giacomo Bormetti & Sofia Cazzaniga**1107.1380 Quantifying mortality risk in small defined-benefit pension schemes***by*Catherine Donnelly**1107.1174 Scaling properties and universality of first-passage time probabilities in financial markets***by*Josep Perell\'o & Mario Guti\'errez-Roig & Jaume Masoliver**1107.1078 Finance Without Probabilistic Prior Assumptions***by*Frank Riedel**1107.0839 Efficiency and Equilibria in Games of Optimal Derivative Design***by*Ulrich Horst & Santiago Moreno-Bromberg**1107.0838 Role of Diversification Risk in Financial Bubbles***by*Wanfeng Yan & Ryan Woodard & Didier Sornette**1107.0480 The Second Wave of the Global Crisis? A Log-Periodic Oscillation Analysis of Commodity Price Series***by*Askar Akaev & Alexei Fomin & Andrey Korotayev**1107.0190 The Stability of the Constrained Utility Maximization Problem - A BSDE Approach***by*Markus Mocha & Nicholas Westray**1107.0183 BSDEs in Utility Maximization with BMO Market Price of Risk***by*Christoph Frei & Markus Mocha & Nicholas Westray**1107.0170 Revenue diversification in emerging market banks: implications for financial performance***by*Saoussen Ben Gamra & Dominique Plihon**1107.0164 One-year reserve risk including a tail factor: closed formula and bootstrap approaches***by*Alexandre Boumezoued & Yoboua Angoua & Laurent Devineau & Jean-Philippe Boisseau**1107.0036 Can We Learn to Beat the Best Stock***by*A. Borodin & R. El-Yaniv & V. Gogan**1106.6300 Stock Price Processes with Infinite Source Poisson Agents***by*Mine Caglar**1106.6102 Tight Approximations of Dynamic Risk Measures***by*Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian**1106.5929 Model-independent Bounds for Option Prices: A Mass Transport Approach***by*Mathias Beiglb\"ock & Pierre Henry-Labord\`ere & Friedrich Penkner**1106.5913 Renyi's information transfer between financial time series***by*Petr Jizba & Hagen Kleinert & Mohammad Shefaat**1106.5706 Theory of Information Pricing***by*Dorje C. Brody & Yan Tai Law**1106.5274 Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox***by*Alessandro Fiori Maccioni**1106.5143 The path integral representation kernel of evolution operator in Merton-Garman model***by*L. F. Blazhyevskyi & V. S. Yanishevsky**1106.5081 A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds***by*Alessandro Fiori Maccioni**1106.5040 Optimal High Frequency Trading with limit and market orders***by*Fabien Guilbaud & Huyen Pham**1106.4957 Maximum entropy distribution of stock price fluctuations***by*Rosario Bartiromo**1106.4730 Multilevel Monte Carlo method for jump-diffusion SDEs***by*Yuan Xia**1106.4710 Proportionate vs disproportionate distribution of wealth of two individuals in a tempered Paretian ensemble***by*G. Oshanin & Yu. Holovatch & G. Schehr**1106.4509 Machine Learning Markets***by*Amos Storkey**1106.4502 Chaos structures. Multicurrency adviser on the basis of NSW model and social-financial nets***by*A. M. Avdeenko**1106.3921 Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach***by*Song Song**1106.3915 Large Vector Auto Regressions***by*Song Song & Peter J. Bickel**1106.3562 Geometric Allocation Approach for Transition Kernel of Markov Chain***by*Hidemaro Suwa & Synge Todo**1106.3543 A model of coopetitive game and the Greek crisis***by*David Carf\'i & Daniele Schilir\'o**1106.3496 Impact of the first to default time on Bilateral CVA***by*Damiano Brigo & Cristin Buescu & Massimo Morini**1106.3455 Applications of a constrained mechanics methodology in economics***by*Jitka Janov\'a**1106.3279 Optimal Portfolio Liquidation with Limit Orders***by*Olivier Gu\'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia**1106.3273 A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations***by*Marcel Nutz**1106.3025 Market selection with learning and catching up with the Joneses***by*Roman Muraviev**1106.3016 Goodness-of-Fit tests with Dependent Observations***by*Remy Chicheportiche & Jean-Philippe Bouchaud**1106.3006 Exponential utility with non-negative consumption***by*Roman Muraviev & Mario V. Wuethrich**1106.2980 Additive habit formation: Consumption in incomplete markets with random endowments***by*Roman Muraviev**1106.2882 Learning, investments and derivatives***by*Andrei N. Soklakov**1106.2791 Distortion risk measures for sums of dependent losses***by*Brahim Brahimi & Djamel Meraghni & Abdelhakim Necir**1106.2781 Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model***by*Runhuan Feng & Hans Volkmer & Shuaiqi Zhang & Chao Zhu**1106.2685 Agent based reasoning for the non-linear stochastic models of long-range memory***by*Aleksejus Kononovicius & Vygintas Gontis**1106.2601 Knowledge Dispersion Index for Measuring Intellectual Capital***by*Vikram Dhillon**1106.2478 Calibration of Chaotic Models for Interest Rates***by*Matheus R Grasselli & Tsunehiro Tsujimoto**1106.2342 Archimedean Survival Processes***by*Edward Hoyle & Levent Ali Menguturk**1106.2095 Duality and Convergence for Binomial Markets with Friction***by*Yan Dolinsky & Halil Mete Soner**1106.1999 Pricing of average strike Asian call option using numerical PDE methods***by*Abhishek Kumar & Ashwin Waikos & Siddhartha P. Chakrabarty**1106.1774 Fibrations of financial events***by*David Carf\i**1106.1702 CRRA Utility Maximization under Risk Constraints***by*Santiago Moreno-Bromberg & Traian Pirvu & Anthony R\'eveillac**1106.1577 Market efficiency, anticipation and the formation of bubbles-crashes***by*Serge Galam**1106.1415 Financial factor influence on scaling and memory of trading volume in stock market***by*Wei Li & Fengzhong Wang & Shlomo Havlin & H. Eugene Stanley**1106.1401 Volatility of Power Grids under Real-Time Pricing***by*Mardavij Roozbehani & Munther A Dahleh & Sanjoy K Mitter**1106.1395 Utility based pricing and hedging of jump diffusion processes with a view to applications***by*Jochen Zahn**1106.0866 Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models***by*Antonis Papapantoleon & John Schoenmakers & David Skovmand**1106.0562 Financial Lie groups***by*David carf\'i**1106.0390 Asymmetric random matrices: What do we need them for?***by*Stanislaw Drozdz & Jaroslaw Kwapien & Andreas A. Ioannides**1106.0296 The Emergence of Leadership in Social Networks***by*T. Clemson & T. S. Evans**1106.0123 Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme***by*Masaaki Fujii & Akihiko Takahashi**1106.0039 The near-extreme density of intraday log-returns***by*Mauro Politi & Nicolas Millot & Anirban Chakraborti**1106.0020 Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option***by*J. D. Kandilarov & D. Sevcovic**1105.6272 Life time of correlation between stocks prices on established and emerging markets***by*Andrzej Buda**1105.6265 Hierarchical structure in phonographic market***by*Andrzej Buda**1105.5954 Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems***by*Jan Hendrik Witte & Christoph Reisinger**1105.5891 The "S" Curve Relationship between Export Diversity and Economic Size of Countries***by*Lunchao Hu & Kailan Tian & Xin Wang & Jiang Zhang**1105.5850 Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts***by*Gareth W. Peters & Mark Briers & Pavel V. Shevchenko & Arnaud Doucet**1105.5717 Is there a bubble in LinkedIn's stock price?***by*Robert Jarrow & Younes Kchia & Philip Protter**1105.5503 Pricing, liquidity and the control of dynamic systems in finance and economics***by*Geoff Willis**1105.5439 Adding to the Regulator's Toolbox: Integration and Extension of Two Leading Market Models***by*Brian Tivnan & Matthew Koehler & Matthew McMahon & Matthew Olson & Neal Rothleder & Rajani Shenoy**1105.5416 Analytic results and weighted Monte Carlo simulations for CDO pricing***by*Marcell Stippinger & B\'alint Vet\H{o} & \'Eva R\'acz & Zsolt Bihary**1105.5082 Erratum for: Smile dynamics -- a theory of the implied leverage effect***by*Stefano Ciliberti & Jean-Philippe Bouchaud & Marc Potters**1105.4789 Stochastic Price Dynamics Implied By the Limit Order Book***by*Alex Langnau & Yanko Punchev**1105.4567 Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options***by*Alessandro Ramponi**1105.4519 State-Observation Sampling and the Econometrics of Learning Models***by*Laurent E. Calvet & Veronika Czellar**1105.3918 A note on a paper by Wong and Heyde***by*Aleksandar Mijatovi\'c & Mikhail Urusov**1105.3594 Portfolio selection problems in practice: a comparison between linear and quadratic optimization models***by*Francesco Cesarone & Andrea Scozzari & Fabio Tardella**1105.3359 Asymptotic Expansion for the Normal Implied Volatility in Local Volatility Models***by*Viorel Costeanu & Dan Pirjol**1105.3297 Exact Simulation of the 3/2 Model***by*Jan Baldeaux**1105.3228 The formation of share market prices under heterogeneous beliefs and common knowledge***by*Yuri Biondi & Pierpaolo Giannoccolo & Serge Galam**1105.3180 The small-maturity smile for exponential Levy models***by*Jose E. Figueroa-Lopez & Martin Forde**1105.3115 Dealing with the Inventory Risk. A solution to the market making problem***by*Olivier Gu\'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia**1105.2968 Banking retail consumer finance data generator - credit scoring data repository***by*Karol Przanowski**1105.2956 Adjusted Closing Prices***by*Vic Norton**1105.2900 Dialectical Roots for Interest Prohibition Theory***by*Jan Aldert Bergstra**1105.2414 Impact of heterogenous prior beliefs and disclosed insider trades***by*Fuzhou Gong & Hong Liu**1105.2123 The Bowley Ratio***by*Geoff Willis**1105.2122 Why Money Trickles Up - Wealth & Income Distributions***by*Geoff Willis**1105.1814 A Contextual Risk Model for the Ellsberg Paradox***by*Diederik Aerts & Sandro Sozzo**1105.1812 Contextual Risk and Its Relevance in Economics***by*Diederik Aerts & Sandro Sozzo**1105.1767 A projected gradient dynamical system modeling the dynamics of bargaining***by*D. Pinheiro & A. A. Pinto & S. Z. Xanthopoulos & A. N. Yannacopoulos**1105.1694 Anomalous price impact and the critical nature of liquidity in financial markets***by*Bence Toth & Yves Lemperiere & Cyril Deremble & Joachim de Lataillade & Julien Kockelkoren & Jean-Philippe Bouchaud**1105.1488 The structure of optimal portfolio strategies for continuous time markets***by*Nikolai Dokuchaev**1105.1267 Don't stay local - extrapolation analytics for Dupire's local volatility***by*Peter Friz & Stefan Gerhold**1105.0934 Stochastic programs without duality gaps***by*Teemu Pennanen & Ari-Pekka Perkki\"o**1105.0819 Equilibrium strategy and population-size effects in lowest unique bid auctions***by*Simone Pigolotti & Sebastian Bernhardsson & Jeppe Juul & Gorm Galster & Pierpaolo Vivo**1105.0745 Weak Dynamic Programming for Generalized State Constraints***by*Bruno Bouchard & Marcel Nutz**1105.0284 Exercise Boundary of the American Put Near Maturity in an Exponential L\'evy Model***by*Damien Lamberton & Mohammed Mikou**1105.0247 Liquidation in Limit Order Books with Controlled Intensity***by*Erhan Bayraktar & Michael Ludkovski**1105.0238 Default Swap Games Driven by Spectrally Negative Levy Processes***by*Masahiko Egami & Tim S. T. Leung & Kazutoshi Yamazaki**1105.0068 Power Series Representations for European Option Prices under Stochastic Volatility Models***by*Lucia Caramellino & Giorgio Ferrari & Roberta Piersimoni**1105.0042 Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching***by*Agostino Capponi & Jose E. Figueroa-Lopez**1104.5393 Notional portfolios and normalized linear returns***by*Vic Norton**1104.5326 Density Approximations for Multivariate Affine Jump-Diffusion Processes***by*Damir Filipovi\'c & Eberhard Mayerhofer & Paul Schneider**1104.5272 Credit contagion and risk management with multiple non-ordered defaults***by*Younes Kchia & Martin Larsson**1104.5131 American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods***by*Lokman Abbas-Turki & Bernard Lapeyre**1104.4716 From the currency rate quotations onto strings and brane world scenarios***by*D. Horvath & R. Pincak**1104.4596 Price dynamics in a Markovian limit order market***by*Rama Cont & Adrien De Larrard**1104.4548 Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion***by*Yuri Imamura & Katsuya Takagi**1104.4380 Stability of the World Trade Web over Time - An Extinction Analysis***by*N. Foti & S. Pauls & Daniel N. Rockmore**1104.4249 Robustness and Contagion in the International Financial Network***by*Tilman Dette & Scott Pauls & Daniel N. Rockmore**1104.4234 Full characterization of the fractional Poisson process***by*Mauro Politi & Taisei Kaizoji & Enrico Scalas**1104.4010 Model independent hedging strategies for variance swaps***by*David Hobson & Martin Klimmek**1104.3616 Strategies used as spectroscopy of financial markets reveal new stylized facts***by*Wei-Xing Zhou & Guo-Hua Mu & Wei Chen & Didier Sornette**1104.3583 Root's barrier: Construction, optimality and applications to variance options***by*Alexander M. G. Cox & Jiajie Wang**1104.3328 A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process***by*Bernard Bercu & Frederic Proia**1104.2625 Counterparty Risk and the Impact of Collateralization in CDS Contracts***by*Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler**1104.2606 Statistical mechanics of the international trade network***by*Agata Fronczak & Piotr Fronczak**1104.2471 Interest prohibition and financial product innovation***by*J. A. Bergstra & C. A. Middelburg**1104.2344 Interest Rates and Inflation***by*Michael Coopersmith**1104.2308 Non - Randomness Stock Market Price Model (Amended)***by*Aleksey Kharevsky**1104.2187 A Generalized Continuous Model for Random Markets***by*R. Lopez-Ruiz & E. Shivanian & S. Abbasbandy & J. L. Lopez**1104.2124 Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un mod\`ele probabiliste en ing\'enierie financi\`ere ?***by*Michel Fliess & C\'edric Join & Fr\'ed\'eric Hatt**1104.1855 Collateralized CDS and Default Dependence***by*Masaaki Fujii & Akihiko Takahashi**1104.1773 Default clustering in large portfolios: Typical events***by*Kay Giesecke & Konstantinos Spiliopoulos & Richard B. Sowers**1104.0777 If Entry Strategy and Money go Together, What is the Right Side of the Coin?***by*Jean-Philippe Timsit & Annick Castiaux**1104.0761 Utility Maximization, Risk Aversion, and Stochastic Dominance***by*Mathias Beiglboeck & Johannes Muhle-Karbe & Johannes Temme**1104.0587 How does the market react to your order flow?***by*Bence Toth & Zoltan Eisler & Fabrizio Lillo & Julien Kockelkoren & Jean-Philippe Bouchaud & J. Doyne Farmer**1104.0508 Concave Distortion Semigroups***by*Alexander Cherny & Damir Filipovi\'c**1104.0359 Theoretical Sensitivity Analysis for Quantitative Operational Risk Management***by*Takashi Kato**1104.0322 Explosive behavior in a log-normal interest rate model***by*Dan Pirjol**1104.0308 An Application Specific Informal Logic for Interest Prohibition Theory***by*J. A. Bergstra & C. A. Middelburg**1103.6143 A semi-Markov model for price returns***by*Guglielmo D'Amico & Filippo Petroni**1103.5994 A win-win monetary policy in Canada***by*Oleg Kitov & Ivan Kitov**1103.5978 Financial Risks and the Pension Protection Fund: Can it Survive Them?***by*David Blake & John Cotter & Kevin Dowd**1103.5976 Absolute Return Volatility***by*John Cotter**1103.5973 A Utility Based Approach to Energy Hedging***by*John Cotter & Jim Hanly**1103.5972 A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics***by*John Cotter & Richard Roll**1103.5971 Housing risk and return: Evidence from a housing asset-pricing model***by*Karl Case & John Cotter & Stuart Gabriel**1103.5968 Time Varying Risk Aversion: An Application to Energy Hedging***by*John Cotter & Jim Hanly**1103.5966 Hedging: Scaling and the Investor Horizon***by*John Cotter & Jim Hanly**1103.5965 Scaling conditional tail probability and quantile estimators***by*John Cotter**1103.5962 Extreme Measures of Agricultural Financial Risk***by*John Cotter & Kevin Dowd & Wyn Morgan**1103.5722 Multidimensional Quasi-Monte Carlo Malliavin Greeks***by*Nicola Cufaro Petroni & Piergiacomo Sabino**1103.5703 Exponential wealth distribution in a random market. A rigorous explanation***by*Jose-Luis Lopez & Ricardo Lopez-Ruiz & Xavier Calbet**1103.5674 Spectral Risk Measures: Properties and Limitations***by*Kevin Dowd & John Cotter & Ghulam Sorwar**1103.5672 How Unlucky is 25-Sigma?***by*Kevin Dowd & John Cotter & Chris Humphrey & Margaret Woods**1103.5668 Spectral Risk Measures and the Choice of Risk Aversion Function***by*kevin dowd & john cotter**1103.5666 Estimating financial risk measures for futures positions: a non-parametric approach***by*john cotter & kevin dowd**1103.5665 Evaluating the Precision of Estimators of Quantile-Based Risk Measures***by*Kevin Dowd & John Cotter**1103.5664 Intra-Day Seasonality in Foreign Exchange Market Transactions***by*john cotter & kevin dowd**1103.5661 The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders***by*john cotter & kevin dowd**1103.5660 Multivariate Modeling of Daily REIT Volatility***by*John Cotter & Simon Stevenson**1103.5659 U.S. Core Inflation: A Wavelet Analysis***by*kevin dowd & john cotter**1103.5656 Modelling catastrophic risk in international equity markets: An extreme value approach***by*john cotter**1103.5655 Implied correlation from VaR***by*John Cotter & Fran\c{c}ois Longin**1103.5653 Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements***by*John Cotter & Kevin Dowd**1103.5651 Uncovering Long Memory in High Frequency UK Futures***by*John Cotter**1103.5649 Varying the VaR for Unconditional and Conditional Environments***by*John Cotter**1103.5575 Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models***by*Johannes Temme**1103.5555 Evolution of worldwide stock markets, correlation structure and correlation based graphs***by*Dong-Ming Song & Michele Tumminello & Wei-Xing Zhou & Rosario N. Mantegna**1103.5418 Tail Behaviour of the Euro***by*John Cotter**1103.5417 Uncovering Volatility Dynamics in Daily REIT Returns***by*John Cotter & Simon Stevenson**1103.5416 Minimum Capital Requirement Calculations for UK Futures***by*John Cotter**1103.5414 Modeling Long Memory in REITs***by*John Cotter & Simon Stevenson**1103.5412 Margin setting with high-frequency data1***by*John Cotter & Fran\c{c}ois Longin**1103.5411 Hedging Effectiveness under Conditions of Asymmetry***by*John Cotter & Jim Hanly**1103.5409 Exponential Spectral Risk Measures***by*Kevin Dowd & John Cotter**1103.5408 Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements***by*John Cotter & Kevin Dowd**1103.5345 Spin models as microfoundation of macroscopic financial market models***by*Sebastian M. Krause & Stefan Bornholdt**1103.5189 On interrelations of recurrences and connectivity trends between stock indices***by*B. Goswami & G. Ambika & N. Marwan & J. Kurths**1103.5027 Google matrix of the world trade network***by*Leonardo Ermann & Dima L. Shepelyansky**1103.4965 A Note on Delta Hedging in Markets with Jumps***by*Aleksandar Mijatovi\'c & Mikhail Urusov**1103.4947 Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products***by*Nick Bush & Ben M. Hambly & Helen Haworth & Lei Jin & Christoph Reisinger**1103.4943 An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition***by*Thomas Conlon & John Cotter**1103.4934 Mean Reversion Pays, but Costs***by*Richard Martin & Torsten Sch\"oneborn**1103.4541 Defaultable Bonds via HKA***by*Yuta Inoue & Takahiro Tsuchiya**1103.4483 A method for pricing American options using semi-infinite linear programming***by*S\"oren Christensen