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### 2012

**1207.1463 Statistical Basis for Predicting Technological Progress***by*Bela Nagy & J. Doyne Farmer & Quan M. Bui & Jessika E. Trancik**1207.1202 How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market***by*Tanya Ara\'ujo & Jo\~ao Dias & Samuel Eleut\'erio & Francisco Lou\c{c}\~a**1207.1037 On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability***by*Taras Bodnar & Nestor Parolya & Wolfgang Schmid**1207.1029 On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory***by*Taras Bodnar & Nestor Parolya & Wolfgang Schmid**1207.1003 A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function***by*Taras Bodnar & Nestor Parolya & Wolfgang Schmid**1207.0843 A new look at short-term implied volatility in asset price models with jumps***by*Aleksandar Mijatovi\'c & Peter Tankov**1207.0750 The Exact Smile of some Local Volatility Models***by*Matthew Lorig**1207.0356 Financial instability from local market measures***by*Marco Bardoscia & Giacomo Livan & Matteo Marsili**1207.0233 From characteristic functions to implied volatility expansions***by*Antoine Jacquier & Matthew Lorig**1206.7000 On the role of backauditing for tax evasion in an agent-based Econophysics model***by*G. Seibold & M. Pickhardt**1206.6998 Interest Rate Risk of Bond Prices on Macedonian Stock Exchange - Empirical Test of the Duration, Modified Duration and Convexity and Bonds Valuation***by*Zoran Ivanovski & Toni Draganov Stojanovski & Nadica Ivanovska**1206.6972 Record statistics and persistence for a random walk with a drift***by*Satya N. Majumdar & Gregory Schehr & Gregor Wergen**1206.6787 Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results***by*Leif Andersen & Alexander Lipton**1206.6325 Stochastic target games with controlled loss***by*Bruno Bouchard & Ludovic Moreau & Marcel Nutz**1206.6283 Inventory Management with Partially Observed Nonstationary Demand***by*Erhan Bayraktar & Mike Ludkovski**1206.6268 Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin***by*Erhan Bayraktar & Virginia R. Young**1206.5983 On a Symmetrization of Diffusion Processes***by*Jiro Akahori & Yuri Imamura**1206.5756 On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes***by*Nils Chr. Framstad**1206.5393 Numerical methods for the quadratic hedging problem in Markov models with jumps***by*Carmine De Franco & Peter Tankov & Xavier Warin**1206.5324 Effective Trade Execution***by*Riccardo Cesari & Massimiliano Marzo & Paolo Zagaglia**1206.5252 A Utility Framework for Bounded-Loss Market Makers***by*Yiling Chen & David M Pennock**1206.5224 Stock prices assessment: proposal of a new index based on volume weighted historical prices through the use of computer modeling***by*Tiago Colliri & Fernando F. Ferreira**1206.5046 Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach***by*Dongjae Lim & Lingfei Li & Vadim Linetsky**1206.4917 A shorter proof of Lemma A.6 (arXiv:1005.0768)***by*Tom Fischer**1206.4810 High-frequency market-making with inventory constraints and directional bets***by*Pietro Fodra & Mauricio Labadie**1206.4804 A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets***by*David German & Henry Schellhorn**1206.4766 A CB (corporate bond) pricing probabilities and recovery rates model for deriving default probabilities and recovery rates***by*Takeaki Kariya**1206.4626 On-Line Portfolio Selection with Moving Average Reversion***by*Bin Li & Steven C. H. Hoi**1206.4562 Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM***by*G. Charles-Cadogan**1206.4506 Hedging of game options in discrete markets with transaction costs***by*Yuri Kifer**1206.4420 Statistical pairwise interaction model of stock market***by*Thomas Bury**1206.3390 State-independent Importance Sampling for Random Walks with Regularly Varying Increments***by*Karthyek R. A. Murthy & Sandeep Juneja & Jose Blanchet**1206.3387 Import and export of horticultural products in Portugal***by*Vitor Joao Pereira Domingues Martinho**1206.3385 International trade of fruits between Portugal and the world***by*Vitor Joao Pereira Domingues Martinho**1206.3384 International trade of flowers. Tendencies and policies***by*Vitor Joao Pereira Domingues Martinho**1206.3220 Valuation and parities for exchange options***by*Constantinos Kardaras**1206.3104 A structural approach to pricing credit default swaps with credit and debt value adjustments***by*Alexander Lipton & Ioana Savescu**1206.2934 A Numerical Scheme Based on Semi-Static Hedging Strategy***by*Yuri Imamura & Yuta Ishigaki & Takuya Kawagoe & Toshiki Okumura**1206.2778 Designing the new architecture of international financial system in era of great changes by globalization***by*Viktor O. Ledenyov & Dimitri O. Ledenyov**1206.2665 Representation Theory for Risk On Markowitz-Tversky-Kahneman Topology***by*Godfrey Charles-Cadogan**1206.2662 Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets***by*Godfrey Charles-Cadogan**1206.2494 A physical theory of economic growth***by*Hans G. Danielmeyer & Thomas Martinetz**1206.2333 An algorithm for the orthogonal decomposition of financial return data***by*Vic Norton**1206.2305 The numeraire property and long-term growth optimality for drawdown-constrained investments***by*Constantinos Kardaras & Jan Obloj & Eckhard Platen**1206.2153 The fine-structure of volatility feedback I: multi-scale self-reflexivity***by*R\'emy Chicheportiche & Jean-Philippe Bouchaud**1206.2112 Pricing joint claims on an asset and its realized variance under stochastic volatility models***by*Lorenzo Torricelli**1206.2022 Shaping the international financial system in century of globalization***by*Viktor O. Ledenyov & Dimitri O. Ledenyov**1206.1504 Preliminary remarks on option pricing and dynamic hedging***by*Michel Fliess & C\'edric Join**1206.1400 Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework***by*K. Milanov & O. Kounchev**1206.1380 Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework***by*A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu**1206.1272 Negative Kelvin temperatures in stock markets***by*J. L. Subias**1206.1007 On the scaling ranges of detrended fluctuation analysis for long-memory correlated short series of data***by*Dariusz Grech & Zygmunt Mazur**1206.0831 C^{1,1} regularity for degenerate elliptic obstacle problems***by*Panagiota Daskalopoulos & Paul M. N. Feehan**1206.0715 Robust utility maximization for L\'evy processes: Penalization and solvability***by*Daniel Hern\'andez-Hern\'andez & Leonel P\'erez-Hern\'andez**1206.0682 Calibration of optimal execution of financial transactions in the presence of transient market impact***by*Enzo Busseti & Fabrizio Lillo**1206.0496 A Compact Mathematical Model of the World System Economic and Demographic Growth, 1 CE - 1973 CE***by*Andrey Korotayev & Artemy Malkov**1206.0482 The Wronskian parameterizes the class of diffusions with a given distribution at a random time***by*Martin Klimmek**1206.0478 Beyond cash-additive risk measures: when changing the num\'{e}raire fails***by*Walter Farkas & Pablo Koch-Medina & Cosimo Munari**1206.0450 Why price inflation in developed countries is systematically underestimated***by*Ivan Kitov**1206.0384 The Effect of Market Power on Risk-Sharing***by*Michail Anthropelos**1206.0243 Cone-Constrained Continuous-Time Markowitz Problems***by*Christoph Czichowsky & Martin Schweizer**1206.0153 Error estimates for binomial approximations of game put options***by*Y. Iron & Y. Kifer**1206.0026 Stochastic Volatility with Heterogeneous Time Scales***by*Danilo Delpini & Giacomo Bormetti**1205.6542 Collateralized CVA Valuation with Rating Triggers and Credit Migrations***by*Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler**1205.6254 No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs***by*Tomasz R. Bielecki & Igor Cialenco & Rodrigo Rodriguez**1205.6193 A Multi Period Equilibrium Pricing Model***by*Traian A. Pirvu & Huayue Zhang**1205.6160 Stability of the exponential utility maximization problem with respect to preferences***by*Hao Xing**1205.5958 Life Insurance Purchasing to Maximize Utility of Household Consumption***by*Erhan Bayraktar & Virginia R. Young**1205.5821 Toward A Normative Theory of Normative Marketing Theory***by*Ian Wilkinson & Louise Young**1205.5820 A Multi-Level Lorentzian Analysis of the Basic Structures of the Daily DJIA***by*Frank W. K. Firk**1205.5675 Interlinkages and structural changes in cross-border liabilities: a network approach***by*Alessandro Spelta & Tanya Ara\'ujo**1205.5671 Real GDP per capita since 1870***by*Ivan Kitov & Oleg Kitov**1205.5565 Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities***by*Giovanni Salvi & Anatoliy V. Swishchuk**1205.5369 Two Models of Stochastic Loss Given Default***by*Simone Farinelli & Mykhaylo Shkolnikov**1205.4790 Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices***by*Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler & Rodrigo Rodriguez**1205.4748 Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time***by*Christoph Czichowsky**1205.4693 An assessement of global energy resource economic potentials***by*J. F. Mercure & P. Salas**1205.4643 Transaction Costs, Shadow Prices, and Duality in Discrete Time***by*Christoph Czichowsky & Johannes Muhle-Karbe & Walter Schachermayer**1205.4589 Structural Hamiltonian of the international trade network***by*Agata Fronczak**1205.4588 Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints***by*Johannes Muhle-Karbe & Ren Liu**1205.4358 Point process bridges and weak convergence of insider trading models***by*Umut \c{C}etin & Hao Xing**1205.4345 Involving copula functions in Conditional Tail Expectation***by*Brahim Brahimi**1205.4089 Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets***by*St\'ephane Goutte & Nadia Oudjane & Francesco Russo**1205.4008 Price manipulation in a market impact model with dark pool***by*Florian Kl\"ock & Alexander Schied & Yuemeng Sun**1205.3767 Universal Algorithm for Online Trading Based on the Method of Calibration***by*Vladimir V'yugin & Vladimir Trunov**1205.3763 Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment***by*Jiri Kukacka & Jozef Barunik**1205.3686 Valuation and hedging of the ruin-contingent life annuity (RCLA)***by*Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury**1205.3671 Arbitrary Truncated Levy Flight: Asymmetrical Truncation and High-Order Correlations***by*Dmitry V. Vinogradov**1205.3555 Approximating stochastic volatility by recombinant trees***by*Erd\.in\c{c} Aky{\i}ld{\i}r{\i}m & Yan Dolinsky & H. Mete Soner**1205.3550 New solvable stochastic volatility models for pricing volatility derivatives***by*Andrey Itkin**1205.3519 Restructuring the Italian NHS: a case study of the regional hospital network***by*Carlo Castellana**1205.3507 Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging***by*Igor Halperin & Andrey Itkin**1205.3482 Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall***by*Mauricio Labadie & Charles-Albert Lehalle**1205.3405 Generalized Gaussian Bridges***by*Tommi Sottinen & Adil Yazigi**1205.3051 Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information***by*Fabien Guilbaud & Huy\^en Pham**1205.2999 Towards a new brain science: lessons from the economic collapse***by*Jaime Gomez-Ramirez & Manuel G. Bedia**1205.2915 Universality class of balanced flows with bottlenecks: granular flows, pedestrian fluxes and financial price dynamics***by*Daniel R. Parisi & Didier Sornette & Dirk Helbing**1205.2878 Asymmetric R&D Alliances and Coopetitive Games***by*Daniela Baglieri & David Carf\`i & Giovanni Battista Dagnino**1205.2872 Global Green Economy and Environmental Sustainability: a Coopetitive Model***by*David Carf\`i & Daniele Schilir\`o**1205.2866 The fractional volatility model: No-arbitrage, leverage and completeness***by*R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues**1205.2863 Impact of the economic crisis on the Italian public healthcare expenditure***by*Carlo Castellana**1205.2551 Weighted-indexed semi-Markov models for modeling financial returns***by*Guglielmo D'Amico & Filippo Petroni**1205.2521 From Minority Game to Black & Scholes pricing***by*Matteo Ortisi & Valerio Zuccolo**1205.2513 A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA)***by*Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury**1205.2501 Tobit Bayesian Model Averaging and the Determinants of Foreign Direct Investment***by*Alexander Jordan & Alex Lenkoski**1205.2470 Equilibrium Distribution of Labor Productivity: A Theoretical Model***by*Hideaki Aoyama & Hiroshi Iyetomi & Hiroshi Yoshikawa**1205.2415 Constructing Sublinear Expectations on Path Space***by*Marcel Nutz & Ramon van Handel**1205.2398 Exponential L\'evy-type models with stochastic volatility and stochastic jump-intensity***by*Matthew Lorig & Oriol Lozano-Carbass\'e**1205.2302 The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels***by*Rene Carmona & Michael Coulon & Daniel Schwarz**1205.2299 Electricity price modeling and asset valuation: a multi-fuel structural approach***by*Rene Carmona & Michael Coulon & Daniel Schwarz**1205.2295 Optimal retirement consumption with a stochastic force of mortality***by*Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury**1205.2013 Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause***by*Lorenzo Giada & Claudio Nordio**1205.1966 Optimal multiple stopping with random waiting times***by*S\"oren Christensen & Albrecht Irle & Stephan J\"urgens**1205.1861 Carbon-dioxide emissions trading and hierarchical structure in worldwide finance and commodities markets***by*Zeyu Zheng & Kazuko Yamasaki & Joel N. Tenenbaum & H. Eugene Stanley**1205.1711 Characterizing price index behavior through fluctuation dynamics***by*Prasanta K. Panigrahi & Sayantan Ghosh & Arjun Banerjee & Jainendra Bahadur & P. Manimaran**1205.1710 Singularity strength based characterization of financial networks***by*Sayantan Ghosh & Uwe Jaekel & Francesco Petruccione**1205.1617 A multivariate piecing-together approach with an application to operational loss data***by*Stefan Aulbach & Verena Bayer & Michael Falk**1205.1533 Central Counterparty Risk***by*Matthias Arnsdorf**1205.1364 Statistical Outliers and Dragon-Kings as Bose-Condensed Droplets***by*V. I. Yukalov & D. Sornette**1205.1163 Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms***by*Karel in 't Hout & Chittaranjan Mishra**1205.1154 On absolutely continuous compensators and nonlinear filtering equations in default risk models***by*Umut \c{C}etin**1205.1012 From Risk Measures to Research Measures***by*Marco Frittelli & Ilaria Peri**1205.1007 European Option Pricing with Liquidity Shocks***by*Michael Ludkovski & Qunying Shen**1205.0976 Credit Default Swaps Drawup Networks: Too Tied To Be Stable?***by*Rahul Kaushik & Stefano Battiston**1205.0877 On the non-stationarity of financial time series: impact on optimal portfolio selection***by*Giacomo Livan & Jun-ichi Inoue & Enrico Scalas**1205.0635 Super-exponential bubbles in lab experiments: evidence for anchoring over-optimistic expectations on price***by*Andreas H\"usler & Didier Sornette & Cars H. Hommes**1205.0505 Fractal Profit Landscape of the Stock Market***by*Andreas Gronlund & Il Gu Yi & Beom Jun Kim**1205.0336 Segmentation analysis on a multivariate time series of the foreign exchange rates***by*Aki-Hiro Sato**1205.0332 A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices***by*Aki-Hiro Sato**1205.0106 Using high performance computing and Monte Carlo simulation for pricing american options***by*Verche Cvetanoska & Toni Stojanovski**1204.6638 Modelling the emergence of spatial patterns of economic activity***by*Jung-Hun Yang & Dick Ettema & Koen Frenken**1204.6613 Maximum principles for boundary-degenerate second-order linear elliptic differential operators***by*Paul M. N. Feehan**1204.6590 The monetary growth order***by*G\"unter von Kiedrowski & E\"ors Szathm\'ary**1204.6488 Optimal multifactor trading under proportional transaction costs***by*Richard J. Martin**1204.6483 Applications of statistical mechanics to economics: Entropic origin of the probability distributions of money, income, and energy consumption***by*Victor M. Yakovenko**1204.5718 The potential approach in practice***by*Tino Kluge & L. C. G. Rogers**1204.5698 Libor model with expiry-wise stochastic volatility and displacement***by*Marcel Ladkau & John G. M. Schoenmakers & Jianing Zhang**1204.5661 Transmission of distress in a bank credit network***by*Yoshiharu Maeno & Satoshi Morinaga & Hirokazu Matsushima & Kenichi Amagai**1204.5171 ConocoPhillips' share price model revisited***by*Ivan Kitov**1204.5103 Study of statistical correlations in intraday and daily financial return time series***by*Gayatri Tilak & Tamas Szell & Remy Chicheportiche & Anirban Chakraborti**1204.5055 Value matters: Predictability of Stock Index Returns***by*Natascia Angelini & Giacomo Bormetti & Stefano Marmi & Franco Nardini**1204.5039 Record Statistics for Multiple Random Walks***by*Gregor Wergen & Satya N. Majumdar & Gregory Schehr**1204.4877 Optimal simulation schemes for L\'evy driven stochastic differential equations***by*Arturo Kohatsu-Higa & Salvador Ortiz-Latorre & Peter Tankov**1204.4631 Yield to maturity modelling and a Monte Carlo Technique for pricing Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward Bonds***by*Didier Kouokap Youmbi**1204.4614 A finite-dimensional quantum model for the stock market***by*Liviu-Adrian Cotfas**1204.4122 Network structure of inter-industry flows***by*James McNerney & Brian D. Fath & Gerald Silverberg**1204.4025 On Pricing Basket Credit Default Swaps***by*Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng**1204.3786 Comparison results for Garch processes***by*Fabio Bellini & Franco Pellerey & Carlo Sgarra & Salimeh Yasaei Sekeh**1204.3679 Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models***by*Lingfei Li & Vadim Linetsky**1204.3556 Maximum likelihood approach for several stochastic volatility models***by*Jordi Camprodon & Josep Perell\'o**1204.3536 Large deviations for a mean field model of systemic risk***by*Josselin Garnier & George Papanicolaou & Tzu-Wei Yang**1204.3496 Bayesian logistic betting strategy against probability forecasting***by*Masayuki Kumon & Jing Li & Akimichi Takemura & Kei Takeuchi**1204.3457 The Effects of Prediction Market Design and Price Elasticity on Trading Performance of Users: An Experimental Analysis***by*Ivo Blohm & Christoph Riedl & Johann F\"uller & Orhan K\"oroglu & Jan Marco Leimeister & Helmut Krcmar**1204.3452 The Variance of Standard Option Returns***by*Adi Ben-Meir & Jeremy Schiff**1204.3422 Double Exponential Instability of Triangular Arbitrage Systems***by*Rod Cross & Victor Kozyakin**1204.3156 Price and Quantity Trajectories: Second-order Dynamics***by*Eric Kemp-Benedict**1204.3136 Identifying financial crises in real time***by*Eder Lucio Fonseca & Fernando F. Ferreira & Paulsamy Muruganandam & Hilda A. Cerdeira**1204.2736 Optimal execution and price manipulations in time-varying limit order books***by*Aur\'elien Alfonsi & Jos\'e Infante Acevedo**1204.2717 Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework***by*Alexander Schied**1204.2716 Drift dependence of optimal trade execution strategies under transient price impact***by*Christopher Lorenz & Alexander Schied**1204.2667 Optimal portfolios in commodity futures markets***by*Fred Espen Benth & Jukka Lempa**1204.2638 Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method***by*Masaaki Fujii & Akihiko Takahashi**1204.2458 Comparative and qualitative robustness for law-invariant risk measures***by*Volker Kr\"atschmer & Alexander Schied & Henryk Z\"ahle**1204.2251 On break-even correlation: the way to price structured credit derivatives by replication***by*Jean-David Fermanian & Olivier Vigneron**1204.2090 Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas***by*Damiano Brigo & Kyriakos Chourdakis**1204.2065 Toehold Purchase Problem: A comparative analysis of two strategies***by*Iryna Banakh & Taras Banakh & Pavel Trisch & Myroslava Vovk**1204.1903 Negative Call Prices***by*Johannes Ruf**1204.1583 Description of the Operational Mechanics of a Basel Regulated Banking System***by*Jacky Mallett**1204.1561 The macroeconomic effect of the information and communication technology in Hungary***by*Peter Sasvari**1204.1452 Modeling and forecasting exchange rate volatility in time-frequency domain***by*Jozef Barunik & Tomas Krehlik & Lukas Vacha**1204.1442 Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance***by*Michael B. Giles & Christoph Reisinger**1204.1410 Patience vs. Impatience of Stock Traders***by*Peter Lerner**1204.1381 Price Jump Prediction in Limit Order Book***by*Ban Zheng & Eric Moulines & Fr\'ed\'eric Abergel**1204.1126 Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods***by*Jan Baldeaux & Eckhard Platen**1204.0922 A proposal for impact-adjusted valuation: Critical leverage and execution risk***by*Fabio Caccioli & Jean-Philippe Bouchaud & J. Doyne Farmer**1204.0915 Equivalence of interest rate models and lattice gases***by*Dan Pirjol**1204.0646 Arbitrage-free SVI volatility surfaces***by*Jim Gatheral & Antoine Jacquier**1204.0637 Efficient Discretization of Stochastic Integrals***by*Masaaki Fukasawa**1204.0633 Local Volatility Pricing Models for Long-dated FX Derivatives***by*Griselda Deelstra & Gr\'egory Ray\'ee**1204.0453 Pricing Variable Annuity Guarantees in a Local Volatility framework***by*Griselda Deelstra & Gr\'egory Ray\'ee**1204.0426 Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix***by*Aki-Hiro Sato & Takaki Hayashi & Janusz A. Ho{\l}yst**1204.0350 When games meet reality: is Zynga overvalued?***by*Zal\'an Forr\'o & Peter Cauwels & Didier Sornette**1204.0305 Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs***by*Jin Hyuk Choi & Mihai Sirbu & Gordan Zitkovic**1204.0148 General Intensity Shapes in Optimal Liquidation***by*Olivier Gu\'eant & Charles-Albert Lehalle**1203.6899 Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations***by*Martijn Pistorius & Johannes Stolte**1203.6877 The maximum maximum of a martingale with given $n$ marginals***by*Pierre Henry-Labord\`ere & Jan Ob{\l}\'oj & Peter Spoida & Nizar Touzi**1203.6778 Systemic losses in banking networks: indirect interaction of nodes via asset prices***by*Igor Tsatskis**1203.6723 The Mathematics of the Relationship between the Default Risk and Yield-to-Maturity of Coupon Bonds***by*Sara Cecchetti & Antonio Di Cesare**1203.6631 Implied Filtering Densities on Volatility's Hidden State***by*Carlos Fuertes & Andrew Papanicolaou**1203.6507 Evolutionary Model of the Personal Income Distribution***by*Joachim Kaldasch**1203.6424 Ordinal Classification Method for the Evaluation Of Thai Non-life Insurance Companies***by*Phaiboon Jhonpita & Sukree Sinthupinyo & Thitivadee Chaiyawat**1203.6228 Eigenvector dynamics: general theory and some applications***by*Romain Allez & Jean-Philippe Bouchaud**1203.6021 From Nuclear Reactions to High-Frequency Trading: an R-function Approach***by*Frank W. K. Firk**1203.5957 Optimal Trading with Linear Costs***by*Joachim de Lataillade & Cyril Deremble & Marc Potters & Jean-Philippe Bouchaud**1203.5903 Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model***by*Jan Baldeaux & Alexander Badran**1203.5893 Aftershock prediction for high-frequency financial markets' dynamics***by*Fulvio Baldovin & Francesco Camana & Michele Caraglio & Attilio L. Stella & Marco Zamparo**1203.5729 Quantile Mechanics 3: Series Representations and Approximation of some Quantile Functions appearing in Finance***by*Asad Munir & William Shaw**1203.5703 We've walked a million miles for one of these smiles***by*L. De Leo & V. Vargas & S. Ciliberti & J. -P. Bouchaud**1203.5664 Asset Pricing under uncertainty***by*Simone Scotti**1203.5581 Heavy-Tail Distribution from Correlation of Discrete Stochastic Process***by*Jongwook Kim & Teppei Okumura