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### 2011

**1112.1502 Analysis of fractional Gaussian noises using level crossing method***by*M. Vahabi & G. R. Jafari & M. Sadegh Movahed**1112.1363 Common persistence in conditional variance: A reconsideration***by*Chang-Shuai Li**1112.1156 Looking for grass-root sources of systemic risk: the case of "cheques-as-collateral" network***by*Michalis Vafopoulos**1112.1114 The Nature of Alpha***by*Arthur M. Berd**1112.1051 Predicting Financial Markets: Comparing Survey, News, Twitter and Search Engine Data***by*Huina Mao & Scott Counts & Johan Bollen**1112.0770 Non-Gaussianity of the Intraday Returns Distribution: its evolution in time***by*M. A. Virasoro**1112.0758 Confronting the Kaya Identity with Investment and Capital Stocks***by*Eric Kemp-Benedict**1112.0342 Semiclosed Pricing Mechanism***by*Dr. Gurjeet Dhesi & Mohammad Abdul Washad Emambocus & Muhammad Bilal Shakeel**1112.0297 RQA Application for the Monitoring of Financial and Commodity markets state***by*Sergii Piskun & Oleksandr Piskun & Dmitry Chabanenko**1112.0233 Income Tax Evasion Dynamics: Evidence from an Agent-based Econophysics Model***by*Michael Pickhardt & Goetz Seibold**1112.0226 Bivariate Semi-Markov Process for Counterparty Credit Risk***by*Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi**1112.0210 Mesoscopic approach to minority games in herd regime***by*Karol Wawrzyniak & Wojciech Wislicki**1112.0105 Approximated maximum likelihood estimation in multifractal random walks***by*Ola L{\o}vsletten & Martin Rypdal**1112.0076 Bandit Market Makers***by*Nicolas Della Penna & Mark D. Reid**1111.7103 High Frequency Lead/lag Relationships - Empirical facts***by*Nicolas Huth & Fr\'ed\'eric Abergel**1111.6859 The minimal length uncertainty and the quantum model for the stock market***by*Pouria Pedram**1111.6826 Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method***by*Massimiliano Marzo & Daniele Ritelli & Paolo Zagaglia**1111.6633 On the Existence of Shadow Prices***by*Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe**1111.6067 Adaptive Simulation of the Heston Model***by*Ian Iscoe & Asif Lakhany**1111.6038 Optimal dual martingales, their analysis and application to new algorithms for Bermudan products***by*John Schoenmakers & Junbo Huang & Jianing Zhang**1111.5739 On Markovian solutions to Markov Chain BSDEs***by*Samuel N. Cohen & Lukasz Szpruch**1111.5726 Multicurrency advisor based on the NSW model. Detailed description and perspectives***by*A. M. Avdeenko**1111.5397 A Mathematical Method for Deriving the Relative Effect of Serviceability on Default Risk***by*Graham Andersen & David Chisholm**1111.5289 Heisenberg uncertainty principle and economic analogues of basic physical quantities***by*Vladimir Soloviev & Vladimir Saptsin**1111.5265 Multifractal modeling of short-term interest rates***by*M. Rypdal & O. L{\o}vsletten**1111.5254 Markov Chains application to the financial-economic time series prediction***by*Vladimir Soloviev & Vladimir Saptsin & Dmitry Chabanenko**1111.5228 Privacy-Preserving Methods for Sharing Financial Risk Exposures***by*Emmanuel A. Abbe & Amir E. Khandani & Andrew W. Lo**1111.5069 Cluster formation and evolution in networks of financial market indices***by*Leonidas Sandoval Junior**1111.4852 Biased diffusion on Japanese inter-firm trading network: Estimation of sales from network structure***by*Hayafumi Watanabe & Hideki Takayasu & Misako Takayasu**1111.4808 Conditional sampling for barrier option pricing under the LT method***by*Nico Achtsis & Ronald Cools & Dirk Nuyens**1111.4637 Collective behavior of stock prices as a precursor to market crash***by*Jun-ichi Maskawa**1111.4421 Historical risk measures on stock market indices and energy markets***by*Wayne Tarrant**1111.4417 Viewing Risk Measures as Information***by*Dominique Gu/'egan & Wayne Tarrant**1111.4414 On the Necessity of Five Risk Measures***by*Dominique Gu\'egan & Wayne Tarrant**1111.4298 Time Consistent Bid-Ask Dynamic Pricing Mechanisms for Contingent Claims and Its Numerical Simulations Under Uncertainty***by*Wei Chen**1111.4087 ADI finite difference schemes for the Heston-Hull-White PDE***by*Tinne Haentjens & Karel J. in 't Hout**1111.3885 The Existence of Dominating Local Martingale Measures***by*Peter Imkeller & Nicolas Perkowski**1111.3856 A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk***by*Vicky Henderson & Gechun Liang**1111.3757 Interest Rates and Information Geometry***by*Dorje C. Brody & Lane P. Hughston**1111.3263 Black-Scholes model under subordination***by*Aleksander Stanislavsky**1111.3127 Tracing the temporal evolution of clusters in a financial stock market***by*Argimiro Arratia & Alejandra Caba\~na**1111.3035 Sustainable Credit And Interest Rates***by*Andreas Hula**1111.2976 Killed Brownian motion with a prescribed lifetime distribution and models of default***by*Boris Ettinger & Steven N. Evans & Alexandru Hening**1111.2846 A simplified Capital Asset Pricing Model***by*Vladimir Vovk**1111.2683 Critical Analysis of the Binomial-Tree approach to Convertible Bonds in the framework of Tsiveriotis-Fernandes model***by*K. Milanov & O. Kounchev**1111.2584 Numerical Solutions of Optimal Risk Control and Dividend Optimization Policies under A Generalized Singular Control Formulation***by*Zhuo Jin & George Yin & Chao Zhu**1111.2462 Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations***by*J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante**1111.2169 General Theory of Geometric L\'evy Models for Dynamic Asset Pricing***by*Dorje C. Brody & Lane P. Hughston & Ewan Mackie**1111.2091 Performance-based regularization in mean-CVaR portfolio optimization***by*Noureddine El Karoui & Andrew E. B. Lim & Gah-Yi Vahn**1111.2038 On the scaling of the distribution of daily price fluctuations in Mexican financial market index***by*Lester Alfonso & Ricardo Mansilla & Cesar A. Terrero-Escalante**1111.1349 On Multivariate Extensions of Value-at-Risk***by*Areski Cousin & Elena Di Bernadino**1111.1331 Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending***by*Damiano Brigo**1111.1133 Recovering Model Structures from Large Low Rank and Sparse Covariance Matrix Estimation***by*Xi Luo**1111.1113 Copula-based Hierarchical Aggregation of Correlated Risks. The behaviour of the diversification benefit in Gaussian and Lognormal Trees***by*Jean-Philippe Bruneton**1111.0818 Time-Inconsistent Stochastic Linear--Quadratic Control***by*Ying Hu & Hanqing Jin & Xun Yu Zhou**1111.0389 An analytical performance comparison of exchanged traded funds with index funds: 2002-2010***by*Mohammad Sharifzadeh & Simin Hojat**1110.6679 Coupled Oscillator Model of the Business Cycle with Fluctuating Goods Markets***by*Y. Ikeda & H. Aoyama & Y. Fujiwara & H. Iyetomi & K. Ogimoto & W. Souma & H. Yoshikawa**1110.6553 Fat Tails Quantified and Resolved: A New Distribution to Reveal and Characterize the Risk and Opportunity Inherent in Leptokurtic Data***by*Lawrence R. Thorne**1110.6322 Hedging of time discrete auto-regressive stochastic volatility options***by*Joan del Castillo & Juan-Pablo Ortega**1110.6289 Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model***by*Vladimir Cherny & Jan Obloj**1110.6170 Symmetries of the Black-Scholes equation***by*Paul Lescot**1110.5846 Two-factor capital structure models for equity and credit***by*Thomas R. Hurd & Zhuowei Zhou**1110.5789 An empirical test for Eurozone contagion using an asset-pricing model with heavy-tailed stochastic volatility***by*Nicholas G. Polson & James G. Scott**1110.5594 Boundary-degenerate elliptic operators and Holder continuity for solutions to variational equations and inequalities***by*Paul M. N. Feehan & Camelia A. Pop**1110.5578 Spatial Autocorrelation and Verdoorn Law in the Portuguese NUTs III***by*Vitor Joao Pereira Domingues Martinho**1110.5573 Spatial Effects and Verdoorn Law in the Portuguese Context***by*Vitor Joao Pereira Domingues Martinho**1110.5571 Spatial Effects and Convergence Theory in the Portuguese Situation***by*Vitor Joao Pereira Domingues Martinho**1110.5564 Analysis of Net Migration Between the Portuguese Regions***by*Vitor Joao Pereira Domingues Martinho**1110.5559 Regional Agglomeration in Portugal: A Linear Analysis***by*Vitor Joao Pereira Domingues Martinho**1110.5558 Geographic Concentration in Portugal and Regional Specific Factors***by*Vitor Joao Pereira Domingues Martinho**1110.5557 Polarization Versus Agglomeration***by*Vitor Joao Pereira Domingues Martinho**1110.5556 Spatial Effects in Convergence of Portuguese Product***by*Vitor Joao Pereira Domingues Martinho**1110.5552 Sectoral Convergence in Output Per Worker Between Portuguese Regions***by*Vitor Joao Pereira Domingues Martinho**1110.5548 An Alternative Use of the Verdoorn Law at the Portuguese NUTs II Level***by*Vitor Joao Pereira Domingues Martinho**1110.5544 The Verdoorn Law in the Portuguese Regions: A Panel Data Analysis***by*Vitor Joao Pereira Domingues Martinho**1110.5538 The Importance of Increasing Returns to Scale in the Process of Agglomeration in Portugal: A Non-linear Empirical Analysis***by*Vitor Joao Pereira Domingues Martinho**1110.5534 Agglomeration and Interregional Mobility of Labor in Portugal***by*Vitor Joao Pereira Domingues Martinho**1110.5518 Entrepreneurship: some considerations***by*Vitor Joao Pereira Domingues Martinho**1110.5516 Entrepreneurship: what's happening?***by*Vitor Joao Pereira Domingues Martinho**1110.5446 Optimizing expected utility of dividend payments for a Erlang risk process***by*Zbigniew Palmowski & Sebastian Baran**1110.5429 Causal modeling and inference for electricity markets***by*Egil Ferkingstad & Anders L{\o}land & Mathilde Wilhelmsen**1110.5350 A Quantum-like Approach to the Stock Market***by*Diederik Aerts & Bart D'Hooghe & Sandro Sozzo**1110.5288 Fundamental Measurements in Economics and in the Theory of Consciousness (Manifestation of quantum-mechanical properties of economic objects in slit measurements)***by*I. G. Tuluzov & S. I. Melnyk**1110.5283 Fundamental Measurements in Economics and in the Theory of Consciousness***by*S. I. Melnyk & I. G. Tuluzov**1110.5276 Exact and asymptotic results for insurance risk models with surplus-dependent premiums***by*Hansj\"org Albrecher & Corina Constantinescu & Zbigniew Palmowski & Georg Regensburger & Markus Rosenkranz**1110.5197 Memory effects in stock price dynamics: evidences of technical trading***by*Federico Garzarelli & Matthieu Cristelli & Andrea Zaccaria & Luciano Pietronero**1110.5144 Computing Economic Equilibria by a Homotopy Method***by*Zoltan Pap**1110.4965 On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk process in the presence of a penalty function***by*F. Avram & Z. Palmowski & M. R. Pistorius**1110.4811 A limit order book model for latency arbitrage***by*Samuel N. Cohen & Lukasz Szpruch**1110.4784 Web search queries can predict stock market volumes***by*Ilaria Bordino & Stefano Battiston & Guido Caldarelli & Matthieu Cristelli & Antti Ukkonen & Ingmar Weber**1110.4669 Bridge Copula Model for Option Pricing***by*Giuseppe Campolieti & Roman N. Makarov & Andrey Vasiliev**1110.4648 Anti-Robust and Tonsured Statistics***by*Martin Goldberg**1110.4516 Calculating Variable Annuity Liability 'Greeks' Using Monte Carlo Simulation***by*Mark J. Cathcart & Steven Morrison & Alexander J. McNeil**1110.4506 Application of Chaotic Number Generators in Econophysics***by*Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz**1110.4477 Hierarchical information clustering by means of topologically embedded graphs***by*Won-Min Song & T. Di Matteo & Tomaso Aste**1110.4455 Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market***by*Tian Qiu & Guang Chen & Li-Xin Zhong & Xiao-Run Wu**1110.4411 Gaussian Process Regression Networks***by*Andrew Gordon Wilson & David A. Knowles & Zoubin Ghahramani**1110.4312 A framework for analyzing contagion in banking networks***by*Thomas R. Hurd & James P. Gleeson**1110.4119 Integration and Contagion in US Housing Markets***by*John Cotter & Stuart Gabriel & Richard Roll**1110.3897 Optimal decision under ambiguity for diffusion processes***by*S\"oren Christensen**1110.3546 On the Computational Complexity of Measuring Global Stability of Banking Networks***by*Piotr Berman & Bhaskar DasGupta & Lakshmi Kaligounder & Marek Karpinski**1110.3460 Performance analysis and optimal selection of large mean-variance portfolios under estimation risk***by*Francisco Rubio & Xavier Mestre & Daniel P. Palomar**1110.3383 Suitability of using technical indicators as potential strategies within intelligent trading systems***by*Evan Hurwitz & Tshilidzi Marwala**1110.3250 On a stochastic differential equation arising in a price impact model***by*Peter Bank & Dmitry Kramkov**1110.3248 Integral representation of martingales motivated by the problem of endogenous completeness in financial economics***by*Dmitry Kramkov & Silviu Predoiu**1110.3229 A model for a large investor trading at market indifference prices. II: Continuous-time case***by*Peter Bank & Dmitry Kramkov**1110.3224 A model for a large investor trading at market indifference prices. I: single-period case***by*Peter Bank & Dmitry Kramkov**1110.3133 Price impact asymmetry of institutional trading in Chinese stock market***by*Fei Ren & Li-Xin Zhong**1110.2612 Market inefficiency identified by both single and multiple currency trends***by*Tom\'a\v{s} Tok\'ar & Denis Horv\'ath**1110.2603 Multi-agent based analysis of financial data***by*Tom\'a\v{s} Tok\'ar & Denis Horv\'ath & Michal Hnatich**1110.2573 Optimal investment with intermediate consumption and random endowment***by*Oleksii Mostovyi**1110.2477 Parallel Binomial American Option Pricing with (and without) Transaction Costs***by*Nan Zhang & Alet Roux & Tomasz Zastawniak**1110.2260 Distinguishing manipulated stocks via trading network analysis***by*Xiao-Qian Sun & Xue-Qi Cheng & Hua-Wei Shen & Zhao-Yang Wang**1110.2075 Conservative self-organized extremal model for wealth distribution***by*Abhijit Chakraborty & G. Mukherjee & S. S. Manna**1110.1727 Time Scales in Futures Markets and Applications***by*Laurent Schoeffel**1110.1578 Menger 1934 revisited***by*Ole Peters**1110.1567 A Modified GHG Intensity Indicator: Toward a Sustainable Global Economy based on a Carbon Border Tax and Emissions Trading***by*Reza Farrahi Moghaddam & Fereydoun Farrahi Moghaddam & Mohamed Cheriet**1110.1522 Detecting Collusive Cliques in Futures Markets Based on Trading Behaviors from Real Data***by*Junjie Wang & Shuigeng Zhou & Jihong Guan**1110.1436 Loss-Based Risk Measures***by*Rama Cont & Romain Deguest & Xuedong He**1110.1319 Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics***by*Peter Cauwels & Didier Sornette**1110.1214 Long Horizons, High Risk Aversion, and Endogeneous Spreads***by*Paolo Guasoni & Johannes Muhle-Karbe**1110.1006 Returns in futures markets and $\nu=3$ t-distribution***by*Laurent Schoeffel**1110.0561 Modeling Multiple Risks: Hidden Domain of Attraction***by*Abhimanyu Mitra & Sidney I. Resnick**1110.0403 Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets***by*Agostino Capponi & Jose Figueroa-Lopez & Jeffrey Nisen**1110.0220 Risk Premia and Optimal Liquidation of Credit Derivatives***by*Tim Leung & Peng Liu**1110.0159 Hedging strategies with a put option and their failure rates***by*Guanghui Huang & Jing Xu & Wenting Xing**1110.0062 Identification of Demand through Statistical Distribution Modeling for Improved Demand Forecasting***by*Murphy Choy & Michelle L. F. Cheong**1109.6909 Pricing stocks with yardsticks and sentiments***by*Sebast\ian Mart\inez Bustos & Jorgen Vitting Andersen & Michel Miniconi & Andrzej Nowak & Magdalena Roszczynska-Kurasinska & David Bree**1109.6210 Reconstruction of financial network for robust estimation of systemic risk***by*Iacopo Mastromatteo & Elia Zarinelli & Matteo Marsili**1109.6154 The Small and Large Time Implied Volatilities in the Minimal Market Model***by*Zhi Guo & Eckhard Platen**1109.5791 Dynamic Model of Markets of Homogenous Non-Durable***by*Joachim Kaldasch**1109.5752 A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems***by*Erhan Bayraktar & Arash Fahim**1109.5512 On Admissible Strategies in Robust Utility Maximization***by*Keita Owari**1109.5316 Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing***by*Tim Leung & Qingshuo Song & Jie Yang**1109.5144 The Capital Asset Pricing Model as a corollary of the Black-Scholes model***by*Vladimir Vovk**1109.4859 The Food Crises: A quantitative model of food prices including speculators and ethanol conversion***by*Marco Lagi & Yavni Bar-Yam & Karla Z. Bertrand & Yaneer Bar-Yam**1109.4726 Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders***by*T. Kaizoji & M. Leiss & A. Saichev & D. Sornette**1109.4422 Investment Volatility: A Critique of Standard Beta Estimation and a Simple Way Forward***by*Chris Tofallis**1109.4399 Employment, unemployment and real economic growth***by*Ivan Kitov & Oleg Kitov**1109.4383 Okun's law revisited. Is there structural unemployment in developed countries?***by*Ivan O. Kitov**1109.4372 Analysis of the trends in the index of the Dow Jones Industrial Average (DJIA) of the New York Stock Exchange (NYSE)***by*Caglar Tuncay**1109.4259 A semi-Markov model with memory for price changes***by*Guglielmo D'Amico & Filippo Petroni**1109.4032 Error estimates for finite difference approximations of American put option price***by*David \v{S}i\v{s}ka**1109.3908 Forward Exponential Performances: Pricing and Optimal Risk Sharing***by*Michail Anthropelos**1109.3893 Concave Generalized Flows with Applications to Market Equilibria***by*Laszlo A. Vegh**1109.3488 Using MOEAs To Outperform Stock Benchmarks In The Presence of Typical Investment Constraints***by*Andrew Clark & Jeff Kenyon**1109.3069 Directional Variance Adjustment: improving covariance estimates for high-dimensional portfolio optimization***by*Daniel Bartz & Kerr Hatrick & Christian W. Hesse & Klaus-Robert M\"uller & Steven Lemm**1109.2945 Portfolio Optimization under Convex Incentive Schemes***by*Maxim Bichuch & Stephan Sturm**1109.2884 Properties of Doubly Stochastic Poisson Process with affine intensity***by*Alan De Genaro Dario & Adilson Simonis**1109.2803 The bounds of heavy-tailed return distributions in evolving complex networks***by*Jo\~ao P. da Cruz & Pedro G. Lind**1109.2631 Optimal trade execution and price manipulation in order books with time-varying liquidity***by*Antje Fruth & Torsten Schoeneborn & Mikhail Urusov**1109.2557 Numerical integration of Heath-Jarrow-Morton model of interest rates***by*M. Krivko & M. V. Tretyakov**1109.2327 The efficient index hypothesis and its implications in the BSM model***by*Vladimir Vovk**1109.2076 Escalation, timing and severity of insurgent and terrorist events: Toward a unified theory of future threats***by*Neil F. Johnson**1109.1751 Time-Consistent Actuarial Valuations***by*Antoon Pelsser**1109.1749 Time-Consistent and Market-Consistent Evaluations***by*Mitja Stadje & Antoon Pelsser**1109.1272 Large Portfolio Asymptotics for Loss From Default***by*Kay Giesecke & Konstantinos Spiliopoulos & Richard B. Sowers & Justin A. Sirignano**1109.1256 Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle***by*Scott Willenbrock**1109.1213 Heterogeneity, correlations and financial contagion***by*Fabio Caccioli & Thomas A. Catanach & J. Doyne Farmer**1109.1167 Collective behavior in financial market***by*Thomas Kau\^e Dal'Maso Peron & Francisco Aparecido Rodrigues**1109.1075 Existence, uniqueness, and global regularity for degenerate elliptic obstacle problems in mathematical finance***by*Panagiota Daskalopoulos & Paul M. N. Feehan**1109.0897 Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models***by*Budhi Arta Surya & Kazutoshi Yamazaki**1109.0891 Statistical ensembles for money and debt***by*Stefano Viaggiu & Andrea Lionetto & Leonardo Bargigli & Michele Longo**1109.0828 The Product Life Cycle of Durable Goods***by*Joachim Kaldasch**1109.0738 Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach***by*Matthew Lorig**1109.0706 Losing money with a high Sharpe ratio***by*Vladimir Vovk**1109.0642 Pruning a Minimum Spanning Tree***by*Leonidas Sandoval Junior**1109.0606 From microscopic taxation and redistribution models to macroscopic income distributions***by*Maria Letizia Bertotti & Giovanni Modanese**1109.0465 Dynamical Hurst exponent as a tool to monitor unstable periods in financial time series***by*Raffaello Morales & T. Di Matteo & Ruggero Gramatica & Tomaso Aste**1109.0435 The string prediction models as an invariants of time series in forex market***by*Richard Pincak & Marian Repasan**1109.0119 Individual impact of agent actions in financial markets***by*Alex J. Bladon & Esteban Moro & Tobias Galla**1108.5946 Factorial Moments in Complex Systems***by*Laurent Schoeffel**1108.5940 Asymptotically optimal discretization of hedging strategies with jumps***by*Mathieu Rosenbaum & Peter Tankov**1108.5725 Entropy and equilibrium state of free market models***by*J. R. Iglesias & R. M. C. de Almeida**1108.5596 Intermittency in Quantitative Finance***by*Laurent Schoeffel**1108.5560 Living on the multi-dimensional edge: seeking hidden risks using regular variation***by*Bikramjit Das & Abhimanyu Mitra & Sidney Resnick**1108.5264 A Mean-Reverting SDE on Correlation matrices***by*Abdelkoddousse Ahdida & Aur\'elien Alfonsi**1108.5098 Default risk modeling beyond the first-passage approximation: Position-dependent killing***by*Yuri A. Katz**1108.4886 Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem***by*Maria B. Chiarolla & Giorgio Ferrari**1108.4393 Pricing Variable Annuity Contracts with High-Water Mark Feature***by*V. M. Belyaev**1108.4258 Eigenvector dynamics: theory and some applications***by*Romain Allez & Jean-Philippe Bouchaud**1108.4113 Probability-free pricing of adjusted American lookbacks***by*A. Philip Dawid & Steven de Rooij & Peter Grunwald & Wouter M. Koolen & Glenn Shafer & Alexander Shen & Nikolai Vereshchagin & Vladimir Vovk**1108.4102 Portfolios and the market geometry***by*Samuel Eleut\'erio & Tanya Ara\'ujo & R. Vilela Mendes**1108.3998 Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models***by*Antoine Jacquier & Martin Keller-Ressel & Aleksandar Mijatovic**1108.3552 Estimation in Functional Regression for General Exponential Families***by*Winston Wei Dou & David Pollard & Harrison H. Zhou**1108.3386 Small-time expansions for local jump-diffusion models with infinite jump activity***by*Jos\'e E. Figueroa-L\'opez & Yankeng Luo & Cheng Ouyang**1108.3155 About the non-random Content of Financial Markets***by*Laurent Schoeffel**1108.2937 Statistical Methods for Estimating the non-random Content of Financial Markets***by*Laurent Schoeffel**1108.2889 Additive habits with power utility: Estimates, asymptotics and equilibrium***by*Roman Muraviev**1108.2623 Initial Enlargement in a Markov chain market model***by*Dario Gasbarra & Jos\'e Igor Morlanes & Esko Valkeila**1108.2611 Time-Bridge Estimators of Integrated Variance***by*A. Saichev & D. Sornette**1108.2305 Permit Allocation in Emissions Trading using the Boltzmann Distribution***by*Ji-Won Park & Chae Un Kim & Walter Isard**1108.1951 How much multifractality is included in monofractal signals?***by*Dariusz Grech & Grzegorz Pamula**1108.1910 American and Bermudan options in currency markets under proportional transaction costs***by*Alet Roux & Tomasz Zastawniak**1108.1688 Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility***by*Eusebio Valero & Manuel Torrealba & Lucas Lacasa & Fran\c{c}ois Fraysse**1108.1632 Why is order flow so persistent?***by*Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer**1108.1273 Convex risk measures for good deal bounds***by*Takuji Arai & Masaaki Fukasawa**1108.1216 Computation of copulas by Fourier methods***by*Antonis Papapantoleon**1108.1167 Transaction Costs, Trading Volume, and the Liquidity Premium***by*Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer**1108.1133 Default and Systemic Risk in Equilibrium***by*Agostino Capponi & Martin Larsson