## Content

### 2011

**1103.2310 Convex order of discrete, continuous and predictable quadratic variation & applications to options on variance***by*Martin Keller-Ressel & Claus Griessler**1103.2234 Do firms share the same functional form of their growth rate distribution? A new statistical test***by*Jos`e T. Lunardi & Salvatore Miccich`e & Fabrizio Lillo & Rosario N. Mantegna & Mauro Gallegati**1103.2214 The slippage paradox***by*Steffen Bohn**1103.2013 Conservative delta hedging under transaction costs***by*Masaaki Fukasawa**1103.2001 Emergence of double scaling law in complex system***by*D. D. Han & J. H. Qian & Y. G. Ma**1103.1992 Shocks in financial markets, price expectation, and damped harmonic oscillators***by*Leonidas Sandoval Junior & Italo De Paula Franca**1103.1755 Optimal stopping under probability distortion***by*Zuo Quan Xu & Xun Yu Zhou**1103.1729 Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation***by*Damir Filipovi'c & Robert Kremslehner & Alexander Muermann**1103.1689 Information Theoretic Limits on Learning Stochastic Differential Equations***by*Jos'e Bento & Morteza Ibrahimi & Andrea Montanari**1103.1652 Ambiguous Volatility, Possibility and Utility in Continuous Time***by*Larry Epstein & Shaolin Ji**1103.1526 Analysis of trade packages in Chinese stock market***by*Fei Ren & Wei-Xing Zhou**1103.1501 Exponential wealth distribution: a new approach from functional iteration theory***by*Ricardo Lopez-Ruiz & Jose-Luis Lopez & Xavier Calbet**1103.1460 On the drawdown of completely asymmetric Levy processes***by*Aleksandar Mijatovic & Martijn R. Pistorius**1103.1249 Randomizing world trade. II. A weighted network analysis***by*Tiziano Squartini & Giorgio Fagiolo & Diego Garlaschelli**1103.1243 Randomizing world trade. I. A binary network analysis***by*Tiziano Squartini & Giorgio Fagiolo & Diego Garlaschelli**1103.1165 Hedging of Game Options With the Presence of Transaction Costs***by*Yan Dolinsky**1103.1050 Inf-convolution of g_\Gamma-solution and its applications***by*Yuanyuan Sui & Helin Wu**1103.1006 Arbitrage and Hedging in a non probabilistic framework***by*Alexander Alvarez & Sebastian Ferrando & Pablo Olivares**1103.0894 Inside Trading, Public Disclosure and Imperfect Competition***by*Fuzhou Gong & Hong Liu**1103.0893 Record statistics for biased random walks, with an application to financial data***by*Gregor Wergen & Miro Bogner & Joachim Krug**1103.0717 The dynamics of financial stability in complex networks***by*Jo~ao P. da Cruz & Pedro G. Lind**1103.0647 A class of CTRWs: Compound fractional Poisson processes***by*Enrico Scalas**1103.0606 Bayesian Model Choice of Grouped t-copula***by*Xiaolin Luo & Pavel V. Shevchenko**1102.5752 A Theoretical Approach for Dynamic Modelling of Sustainable Development***by*Corina-Maria Ene & Anda Gheorghiu & Anca Gheorghiu**1102.5747 The Conflict between Economic Development and Planetary Ecosystem in the Context of Sustainable Development***by*Corina-Maria Ene & Anda Gheorghiu & Cristina Burghelea & Anca Gheorghiu**1102.5665 Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution***by*William T. Shaw**1102.5525 Arbitrage hedging strategy and one more explanation of the volatility smile***by*Mikhail Martynov & Olga Rozanova**1102.5501 Extension theorems for linear operators on $L_\infty$ and application to price systems***by*Jocelyne Bion-Nadal & Giulia Di Nunno**1102.5457 How efficiency shapes market impact***by*J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck**1102.5431 Testing for change in mean of heteroskedastic time series***by*Mohamed Boutahar**1102.5405 Inflation and unemployment in Switzerland: from 1970 to 2050***by*Oleg Kitov & Ivan Kitov**1102.5287 Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces***by*Samuel N. Cohen**1102.5126 Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model***by*Mark Davis & Sebastien Lleo**1102.5078 On Mean-Variance Analysis***by*Yang Li & Traian A Pirvu**1102.5075 Utility Indifference Pricing: A Time Consistent Approach***by*Traian A Pirvu & Huayue Zhang**1102.4864 Calibration of structural and reduced-form recovery models***by*Alexander F. R. Koivusalo & Rudi Schafer**1102.4819 Minding impacting events in a model of stochastic variance***by*Silvio M. Duarte Queiros & Evaldo M. F. Curado & Fernando D. Nobre**1102.4722 Measuring Portfolio Diversification***by*Ulrich Kirchner & Caroline Zunckel**1102.4489 Portfolio Insurance under a risk-measure constraint***by*Carmine De Franco & Peter Tankov**1102.4230 Cooperation amongst competing agents in minority games***by*Deepak Dhar & V. Sasidevan & Bikas K. Chakrabarti**1102.4132 Optimal dividend control for a generalized risk model with investment incomes and debit interest***by*Jinxia Zhu**1102.4076 The fine structure of spectral properties for random correlation matrices: an application to financial markets***by*G. Livan & S. Alfarano & E. Scalas**1102.4055 Parisian ruin probability for spectrally negative L\'{e}vy processes***by*Ronnie Loeffen & Irmina Czarna & Zbigniew Palmowski**1102.3956 Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution***by*Ph. Barbe & W. P. McCormick**1102.3928 Integral representations of risk functions for basket derivatives***by*Micha{l} Barski**1102.3900 A Random Matrix Approach to Credit Risk***by*Michael C. Munnix & Rudi Schafer & Thomas Guhr**1102.3857 Transition Probability Matrix Methodology for Incremental Risk Charge***by*Tzahi Yavin & Hu Zhang & Eugene Wang & Michael A. Clayton**1102.3712 Black swans or dragon kings? A simple test for deviations from the power law***by*Joanna Janczura & Rafal Weron**1102.3702 A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation***by*Olfa Zaafrane & Anouar Ben Mabrouk**1102.3582 Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation***by*Gareth W. Peters & Pavel Shevchenko & Mark Young & Wendy Yip**1102.3541 Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition***by*Alberto Elices & Eduard Gim'enez**1102.3534 Applying hedging strategies to estimate model risk and provision calculation***by*Alberto Elices & Eduard Gim'enez**1102.3218 On the Stability the Least Squares Monte Carlo***by*Oleksii Mostovyi**1102.3150 Dependence of defaults and recoveries in structural credit risk models***by*Rudi Schafer & Alexander F. R. Koivusalo**1102.3009 Non - Randomness Stock Market Price Model***by*Aleksey Kharevsky**1102.2620 Predicting economic market crises using measures of collective panic***by*Dion Harmon & Marcus A. M. de Aguiar & David D. Chinellato & Dan Braha & Irving R. Epstein & Yaneer Bar-Yam**1102.2515 Adelic theory of stock market***by*V. Zharkov**1102.2412 Statistical Inference for Time-changed Brownian Motion Credit Risk Models***by*T. R. Hurd & Zhuowei Zhou**1102.2285 Approximating Functional of Local Martingale Under the Lack of Uniqueness of Black-Scholes PDE***by*Qingshuo Song**1102.2263 Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms***by*I. Duarte & D. Pinheiro & A. A. Pinto & S. R. Pliska**1102.2240 Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices***by*Duan Wang & Boris Podobnik & Davor Horvati'c & H. Eugene Stanley**1102.2138 The US stock market leads the Federal funds rate and Treasury bond yields***by*Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette**1102.2050 On stochastic calculus related to financial assets without semimartingales***by*Rosanna Coviello & Cristina Di Girolami & Francesco Russo**1102.1851 The Australian Phillips curve and more***by*Ivan Kitov & Oleg Kitov**1102.1713 Gaussian Noise Effects on the Evolution of Wealth in a Closed System of n-Economies***by*J. M. Pellon-Diaz & A. Aragones-Munoz & A. Sandoval-Villalbazo & A. Diaz-Reynoso**1102.1624 On the criticality of inferred models***by*Iacopo Mastromatteo & Matteo Marsili**1102.1348 The computation of Greeks with multilevel Monte Carlo***by*Sylvestre Burgos & M. B. Giles**1102.1339 Correlation of financial markets in times of crisis***by*Leonidas Sandoval Junior & Italo De Paula Franca**1102.1186 Optimal consumption and investment for markets with random coefficients***by*Berdjane Belkacem & Serguei Pergamenchtchikov**1102.1099 A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market***by*Michael C. Munnix & Rudi Schafer**1102.0938 Minimizing Shortfall***by*Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud**1102.0687 Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange***by*Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna**1102.0683 Volatility made observable at last***by*Michel Fliess & C'edric Join & Fr'ed'eric Hatt**1102.0346 On utility maximization under convex portfolio constraints***by*Kasper Larsen & Gordan v{Z}itkovi'c**1102.0312 Dynamics of a Service Economy Driven by Random Transactions***by*Robert W. Easton**1102.0224 A Family of Maximum Entropy Densities Matching Call Option Prices***by*Cassio Neri & Lorenz Schneider**1101.5849 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA***by*Masaaki Fujii & Akihiko Takahashi**1101.5475 Multivariate GARCH estimation via a Bregman-proximal trust-region method***by*St'ephane Chr'etien & Juan-Pablo Ortega**1101.4680 An Econophysics Model for the Stock-Markets' Analysis and Diagnosis***by*Ion Spanulescu & Ion Popescu & Victor Stoica & Anca Gheorghiu & Victor Velter**1101.4675 Econophysical Approaches for the Direct Foreign Investments***by*Anca Gheorghiu & Ion Spanulescu & Anda Gheorghiu**1101.4674 Macrostate Parameter and Investment Risk Diagrams for 2008 and 2009***by*Anca Gheorghiu & Ion Sp^anulescu**1101.4548 Leverage efficiency***by*Ole Peters & Alexander Adamou**1101.4437 Ruin probabilities in tough times - Part 1 - Heavy-traffic approximation for fractionally integrated random walks in the domain of attraction of a nonGaussian stable distribution***by*Ph. Barbe & W. P. McCormick**1101.4093 Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks***by*Rui Menezes & Andreia Dioniso**1101.3974 An Active Margin System and its Application in Chinese Margin Lending Market***by*Guanghui Huang & Jianping Wan & Cheng Chen**1101.3926 Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting***by*Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou**1101.3713 Path integral approach to the pricing of timer options with the Duru-Kleinert time transformation***by*Ling Zhi Liang & Damiaan Lemmens & Jacques Tempere**1101.3617 An almost linear stochastic map related to the particle system models of social sciences***by*Anindya S. Chakrabarti**1101.3572 Utility theory front to back - inferring utility from agents' choices***by*Alexander M. G. Cox & David Hobson & Jan Obloj**1101.3422 Modeling microstructure noise with mutually exciting point processes***by*E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy**1101.3228 GPGPUs in computational finance: Massive parallel computing for American style options***by*Gilles Pag`es & Benedikt Wilbertz**1101.3107 Financial Rogue Waves Appearing in the Coupled Nonlinear Volatility and Option Pricing Model***by*Zhenya Yan**1101.3071 Sensitivity analysis of the early exercise boundary for American style of Asian options***by*Daniel Sevcovic & Martin Takac**1101.2968 Duality in Robust Utility Maximization with Unbounded Claim via a Robust Extension of Rockafellar's Theorem***by*Keita Owari**1101.1847 Critical Overview of Agent-Based Models for Economics***by*M. Cristelli & L. Pietronero & A. Zaccaria**1101.1707 The Network Structure of Economic Output***by*Ricardo Hausmann & Cesar A. Hidalgo**1101.1148 A Mispricing Model of Stocks Under Asymmetric Information***by*Winston Buckley & Garfield Brown & Mario Marshall**1101.0975 Swing Options Valuation: a BSDE with Constrained Jumps Approach***by*Marie Bernhart & Huy^en Pham & Peter Tankov & Xavier Warin**1101.0945 Abstract, Classic, and Explicit Turnpikes***by*Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing**1101.0446 Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes***by*Ying Shen & Chuancun Yin & Kam Chuen Yuen

### 2010

**1101.0240 Generalised Wishart Processes***by*Andrew Gordon Wilson & Zoubin Ghahramani**1101.0184 Testing the Capital Asset Pricing Model (CAPM) on the Uganda Stock Exchange***by*David Wakyiku**1101.0079 Market-consistent valuation of insurance liabilities by cost of capital***by*Christoph Moehr**1012.5986 Bayesian estimation of GARCH model with an adaptive proposal density***by*Tetsuya Takaishi**1012.5932 An statistical analysis of stratification and inequity in the income distribution***by*Juan C. Ferrero**1012.5896 Punctuated Equilibrium and Power Law in Economic Dynamics***by*Abhijit Kar Gupta**1012.5832 On the Existence of Bertrand-Nash Equilibrium Prices Under Logit Demand***by*W. Ross Morrow & Steven J. Skerlos**1012.4976 On the Use of Policy Iteration as an Easy Way of Pricing American Options***by*Christoph Reisinger & Jan Hendrik Witte**1012.4674 Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets***by*Alex Langnau & Daniel Cangemi**1012.4446 Fundamental and Real-World Challenges in Economics***by*Dirk Helbing & Stefano Balietti**1012.4291 Preliminaries to an investigation of reduced product set finance***by*J. A. Bergstra & C. A. Middelburg**1012.4118 Log-Periodic Oscillation Analysis and Possible Burst of the "Gold Bubble" in April - June 2011***by*Sergey V. Tsirel & Askar Akaev & Alexey Fomin & Andrey V. Korotayev**1012.3234 American Step-Up and Step-Down Default Swaps under Levy Models***by*Tim Siu-Tang Leung & Kazutoshi Yamazaki**1012.3102 The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions***by*Sergio Pulido**1012.2848 Fully Flexible Views: Theory and Practice***by*Attilio Meucci**1012.2279 Size-Dependency of Income Distributions and Its Implications***by*Jiang Zhang & You-Gui Wang**1012.2160 Insider Trading in the Market with Rational Expected Price***by*Fuzhou Gong & Deqing Zhou**1012.1878 Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes***by*Jiro Akahori & Andrea Macrina**1012.1793 Rational term structure models with geometric Levy martingales***by*Dorje C. Brody & Lane P. Hughston & Ewan Mackie**1012.1535 Financial markets with volatility uncertainty***by*Joerg Vorbrink**1012.1412 Controlled options: derivatives with added flexibility***by*Nikolai Dokuchaev**1012.1297 LASSO Methods for Gaussian Instrumental Variables Models***by*Alexandre Belloni & Victor Chernozhukov & Christian Hansen**1012.1188 Equilibrium notions and framing effects***by*Christian Hilbe**1012.1037 Pricing of barrier options by marginal functional quantization***by*Abass Sagna**1012.0843 The economic default time and the Arcsine law***by*Xin Guo & Robert A Jarrow & Adrien de Larrard**1012.0754 Pricing and Hedging in Affine Models with Possibility of Default***by*Patrick Cheridito & Alexander Wugalter**1012.0475 The Impossible Trio in CDO Modeling***by*Emmanuel Schertzer & Yadong Li & Umer Khan**1012.0349 Limit Order Books***by*Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison**1012.0348 A unified approach to determining the early exercise boundary position at expiry for American style of general class of derivatives***by*Tomas Bokes**1012.0249 Robust Estimation of Operational Risk***by*Nataliya Horbenko & Peter Ruckdeschel & Taehan Bae**1012.0199 Zipf's law and maximum sustainable growth***by*Y. Malevergne & A. Saichev & D. Sornette**1011.6532 Stability of central finite difference schemes for the Heston PDE***by*K. J. in 't Hout & K. Volders**1011.6402 The Price Impact of Order Book Events***by*Rama Cont & Arseniy Kukanov & Sasha Stoikov**1011.6284 Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?***by*Stefan Kerbl**1011.6097 Currency Forecasting using Multiple Kernel Learning with Financially Motivated Features***by*Tristan Fletcher & Zakria Hussain & John Shawe-Taylor**1011.5986 Set-valued risk measures for conical market models***by*Andreas H. Hamel & Frank Heyde & Birgit Rudloff**1011.5983 Minimal model of financial stylized facts***by*Danilo Delpini & Giacomo Bormetti**1011.5978 Comprehending environmental and economic sustainability: Comparative analysis of stability principles in the biosphere and free market economy***by*Victor G. Gorshkov & Anastassia M. Makarieva & Bai-Lian Li**1011.5810 Principal Regression Analysis and the index leverage effect***by*Pierre-Alain Reigneron & Romain Allez & Jean-Philippe Bouchaud**1011.5792 On fair pricing of emission-related derivatives***by*Juri Hinz & Alex Novikov**1011.5716 Costs Models in Design and Manufacturing of Sand Casting Products***by*Nicolas Perry & Magali Mauchand & Alain Bernard**1011.5715 Quotation for the Value Added Assessment during Product Development and Production Processes***by*Alain Bernard & Nicolas Perry & Jean-Charles Delplace & Serge Gabriel**1011.5714 Cost objective PLM and CE***by*Nicolas Perry & Alain Bernard**1011.5650 A Numerical Study of Radial Basis Function Based Methods for Options Pricing under the One Dimension Jump-diffusion Model***by*Ron T. L. Chan & Simon Hubbert**1011.5343 Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration***by*Wanfeng Yan & Ryan Woodard & Didier Sornette**1011.5187 Transition from Exponential to Power Law Distributions in a Chaotic Market***by*Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz**1011.5020 Wavelet-Based Prediction for Governance, Diversification and Value Creation Variables***by*Ines Kahloul & Anouar Ben Mabrouk & Slah-Eddine Hallara**1011.4991 Optimal mean-variance investment strategy under value-at-risk constraints***by*Jun Ye & Tiantian Li**1011.4830 The Hartman-Watson Distribution revisited: Asymptotics for Pricing Asian Options***by*Stefan Gerhold**1011.4795 Static replications with traffic light options***by*Michael Schmutz & Thomas Zurcher**1011.4732 Solving Optimal Dividend Problems via Phase-type Fitting Approximation of Scale Functions***by*Masahiko Egami & Kazutoshi Yamazaki**1011.4547 Calibration of One- and Two-Factor Models For Valuation of Energy Multi-Asset Derivative Contracts***by*Josh Gray & Konstantin Palamarchuk**1011.4499 A Functional Approach to FBSDEs and Its Application in Optimal Portfolios***by*G. Liang & T. Lyons & Z. Qian**1011.4404 The time resolution of the St. Petersburg paradox***by*Ole Peters**1011.4336 Impact of the topology of global macroeconomic network on the spreading of economic crises***by*Kyu-Min Lee & Jae-Suk Yang & Gunn Kim & Jaesung Lee & Kwang-Il Goh & In-mook Kim**1011.3975 Cumulant Expansion and Monthly Sum Derivative***by*V. M. Belyaev**1011.3834 Ising-like agent-based technology diffusion model: adoption patterns vs. seeding strategies***by*Carlos E. Laciana & Santiago L. Rovere**1011.3736 Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach***by*Sam Howison & Daniel Schwarz**1011.3707 Networks of Economic Market Interdependence and Systemic Risk***by*Dion Harmon & Blake Stacey & Yavni Bar-Yam & Yaneer Bar-Yam**1011.3685 Multidimensional dynamic risk measure via conditional g-expectation***by*Yuhong Xu**1011.3599 A finite dimensional approximation for pricing moving average options***by*Marie Bernhart & Peter Tankov & Xavier Warin**1011.3355 Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions***by*Damiano Brigo & Massimo Morini**1011.3247 A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing***by*Chantal Labb'e & Bruno R'emillard & Jean-Franc{c}ois Renaud**1011.3246 Reduced form models of bond portfolios***by*Matti Koivu & Teemu Pennanen**1011.3225 Temporal Evolution of Financial Market Correlations***by*Daniel J. Fenn & Mason A. Porter & Stacy Williams & Mark McDonald & Neil F. Johnson & Nick S. Jones**1011.2958 Superhedging and Dynamic Risk Measures under Volatility Uncertainty***by*Marcel Nutz & H. Mete Soner**1011.2882 The Financial Bubble Experiment: Advanced Diagnostics and Forecasts of Bubble Terminations, Volume III***by*Ryan Woodard & Didier Sornette & Maxim Fedorovsky**1011.2827 Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor***by*Xiaolin Luo & Pavel V. Shevchenko**1011.2674 Cross-correlations between volume change and price change***by*Boris Podobnik & Davor Horvatic & Alexander M. Petersen & H. Eugene Stanley**1011.2670 Bankruptcy risk model and empirical tests***by*Boris Podobnik & Davor Horvatic & Alexander M. Petersen & Branko Urov{s}evi'c & H. Eugene Stanley**1011.2651 A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations***by*Philipp Doersek & Josef Teichmann**1011.2385 The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect***by*Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka & Rafal Rak**1011.1796 Using The Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default***by*Fabio Sigrist & Werner A. Stahel**1011.1475 Applications of the quadratic covariation differentiation theory: variants of the Clark-Ocone and Stroock's formulas***by*Hassan Allouba & Ramiro Fontes**1011.1329 Ruin probability in the presence of risky investments***by*Serguei Pergamenchtchikov & Zeitouny Omar**1011.1234 Storage option an Analytic approach***by*Dmitry Lesnik**1011.1175 Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model***by*L. Z. J. Liang & D. Lemmens & J. Tempere**1011.1011 Financial correlations at ultra-high frequency: theoretical models and empirical estimation***by*Iacopo Mastromatteo & Matteo Marsili & Patrick Zoi**1011.0828 Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics***by*Nicola Moreni & Andrea Pallavicini**1011.0748 Response of double-auction markets to instantaneous Selling-Buying signals with stochastic Bid-Ask spread***by*Takero Ibuki & Jun-ichi Inoue**1011.0458 Leverage Bubble***by*Wanfeng Yan & Ryan Woodard & Didier Sornette**1011.0423 A note comprising a negative resolution of the Efficient Market Hypothesis***by*Robert Viragh**1011.0248 Hedging Pure Endowments with Mortality Derivatives***by*Ting Wang & Virginia R. Young**1010.6050 Entering New Markets-a Challenge in Times of Crisis***by*Anca Gheorghiu & Anda Gheorghiu**1010.6026 Statistical properties of derivatives: a journey in term structures***by*Delphine Lautier & Franck Raynaud**1010.5810 Quantile hedging for basket derivatives***by*Micha{l} Barski**1010.5808 Heath-Jarrow-Morton-Musiela equation with linear volatility***by*Michal Barski & Jerzy Zabczyk**1010.5653 Topology of the correlation networks among major currencies using hierarchical structure methods***by*Mustafa Keskin & Bayram Deviren & Yusuf Kocakaplan**1010.5648 The additive property of the inconsistency degree in intertemporal decision making through the generalization of psychophysical laws***by*Natalia Destefano & Alexandre Souto Martinez**1010.5203 Time-Changed Fast Mean-Reverting Stochastic Volatility Models***by*Matthew Lorig**1010.5171 Ordering of multivariate probability distributions with respect to extreme portfolio losses***by*Georg Mainik & Ludger Ruschendorf**1010.5154 How to predict and avert economic crisis***by*Yong Tao**1010.5136 A Mathematical Approach to Order Book Modeling***by*Frederic Abergel & Aymen Jedidi**1010.4990 Do price and volatility jump together?***by*Jean Jacod & Viktor Todorov**1010.4989 On using shadow prices in portfolio optimization with transaction costs***by*J. Kallsen & J. Muhle-Karbe**1010.4988 Optimal investment policy and dividend payment strategy in an insurance company***by*Pablo Azcue & Nora Muler**1010.4987 On optimal arbitrage***by*Daniel Fernholz & Ioannis Karatzas**1010.4917 Market panic on different time-scales***by*Lisa Borland & Yoan Hassid**1010.4831 Replicating financial market dynamics with a simple self-organized critical lattice model***by*B. Dupoyet & H. R. Fiebig & D. P. Musgrove**1010.4406 Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses?***by*Gareth W. Peters & Aaron D. Byrnes & Pavel V. Shevchenko