# arXiv.org

# Papers

**For corrections or technical questions regarding this series, please contact (arXiv administrators)**

**Series handle:**repec:arx:papers

**Citations RSS feed:**at CitEc

### Impact factors

- Simple (last 10 years)
- Recursive (10)
- Discounted (10)
- Recursive discounted (10)
- H-Index (10)
- Aggregate (10)

**Access and download statistics**

**Top item:**

- By citations
- By downloads (last 12 months)

### 2013

**1307.7070 An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit***by*Runhuan Feng & Hans W. Volkmer**1307.6974 Network Topologies of Financial Market During the Global Financial Crisis***by*Ashadun Nobi & Seong Eun Maeng & Gyeong Gyun Ha & Jae Woo Lee**1307.6727 Quantum Tunneling of Stock Price in Range Bound Market Conditions***by*Ovidiu Racorean**1307.6695 Where Do Thin Tails Come From?***by*Nassim Nicholas Taleb**1307.6486 CVA for Bilateral Counterparty Risk under Alternative Settlement Conventions***by*Cyril Durand & Marek Rutkowski**1307.6332 Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes***by*Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart**1307.6322 Option pricing with non-Gaussian scaling and infinite-state switching volatility***by*Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo**1307.6046 Mixed-correlated ARFIMA processes for power-law cross-correlations***by*Ladislav Kristoufek**1307.6036 A Benchmark Approach to Risk-Minimization under Partial Information***by*Claudia Ceci & Katia Colaneri & Alessandra Cretarola**1307.6020 When terminal facelift enforces Delta constraints***by*Jean-Fran\c{c}ois Chassagneux & Romuald Elie & Idris Kharroubi**1307.5981 Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data***by*Krenar Avdulaj & Jozef Barunik**1307.5975 Correct usage of transmission coefficient for timing the market***by*Ovidiu Racorean**1307.5881 A Remark on the Structure of Expectiles***by*Freddy Delbaen**1307.5617 Quantitative Comparative Statics for a Multimarket Paradox***by*Tobias Harks & Philipp von Falkenhausen**1307.5602 Uncertainty and absence of arbitrage opportunity***by*Yaroslav Ivanenko & Illya Pasichnichenko**1307.5540 On the Pricing of Storable Commodities***by*Dorje C. Brody & Lane P. Hughston & Xun Yang**1307.5440 Tick Size Reduction and Price Clustering in a FX Order Book***by*Mehdi Lallouache & Fr\'ed\'eric Abergel**1307.5336 Good Debt or Bad Debt: Detecting Semantic Orientations in Economic Texts***by*Pekka Malo & Ankur Sinha & Pyry Takala & Pekka Korhonen & Jyrki Wallenius**1307.5319 Tipping points in macroeconomic Agent-Based models***by*Stanislao Gualdi & Marco Tarzia & Francesco Zamponi & Jean-Philippe Bouchaud**1307.5268 South African Riots: Repercussion of the Global Food Crisis and US Drought***by*Yavni Bar-Yam & Marco Lagi & Yaneer Bar-Yam**1307.5163 Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures***by*Gordan Zitkovic**1307.5122 Relativistic Black-Scholes model***by*Maciej Trzetrzelewski**1307.4821 Power-law exponent of the Bouchaud-M\'ezard model on regular random network***by*Takashi Ichinomiya**1307.4813 On utility maximization with derivatives under model uncertainty***by*Erhan Bayraktar & Zhou Zhou**1307.4727 Testing power-law cross-correlations: Rescaled covariance test***by*Ladislav Kristoufek**1307.4643 Predicting financial markets with Google Trends and not so random keywords***by*Damien Challet & Ahmed Bel Hadj Ayed**1307.4591 Utility indifference valuation for non-smooth payoffs with an application to power derivatives***by*Giuseppe Benedetti & Luciano Campi**1307.3672 Transformation Method for Solving Hamilton-Jacobi-Bellman Equation for Constrained Dynamic Stochastic Optimal Allocation Problem***by*Sona Kilianova & Daniel Sevcovic**1307.3597 Utility Maximization under Model Uncertainty in Discrete Time***by*Marcel Nutz**1307.3060 Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy***by*Ladislav Kristoufek & Miloslav Vosvrda**1307.2849 Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach***by*Giorgio Ferrari & Frank Riedel & Jan-Henrik Steg**1307.2824 Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693***by*Moshe A. Milevsky & Thomas S. Salisbury**1307.2562 Valuation Perspectives and Decompositions for Variable Annuities with GMWB riders***by*Cody B. Hyndman & Menachem Wenger**1307.2493 On model-independent pricing/hedging using shortfall risk and quantiles***by*Erhan Bayraktar & Zhou Zhou**1307.2465 Contraction or steady state? An analysis of credit risk management in Italy in the period 2008-2012***by*Stefano Olgiati & Alessandro Danovi**1307.2436 Strict Local Martingales with Jumps***by*Philip Protter**1307.2278 Collective Philanthropy: Describing and Modeling the Ecology of Giving***by*William L. Gottesman & Andrew James Reagan & Peter Sheridan Dodds**1307.2218 Importance sampling for jump processes and applications to finance***by*Laetitia Badouraly Kassim & J\'er\^ome Lelong & Imane Loumrhari**1307.2181 Geographical Variation in Project Cost Performance: The Netherlands versus Worldwide***by*Chantal C. Cantarelli & Bent Flyvbjerg & S{\o}ren L. Buhl**1307.2180 Explaining Cost Overruns of Large-Scale Transportation Infrastructure Projects using a Signalling Game***by*Chantal C. Cantarelli & Caspar G. Chorus & Scott W. Cunningham**1307.2179 Different Cost Performance: Different Determinants? The Case of Cost Overruns in Dutch Transportation Infrastructure Projects***by*Chantal C. Cantarelli & Bert van Wee & Eric J. E. Molin & Bent Flyvbjerg**1307.2178 Characteristics of Cost Overruns for Dutch Transport Infrastructure Projects and the Importance of the Decision to Build and Project Phases***by*Chantal C. Cantarelli & Eric J. E. Molin & Bert van Wee & Bent Flyvbjerg**1307.2177 Lock-in and Its Influence on the Project Performance of Large-Scale Transportation Infrastructure Projects. Investigating the Way in Which Lock-in Can Emerge and Affect Cost Overruns***by*Chantal C. Cantarelli & Bent Flybjerg & Bert van Wee & Eric J. E. Molin**1307.2176 Cost overruns in Large-Scale Transportation Infrastructure Projects: Explanations and Their Theoretical Embeddedness***by*Chantal C. Cantarelli & Bent Flybjerg & Eric J. E. Molin & Bert van Wee**1307.2169 Random Market Models with an H-Theorem***by*Ricardo Lopez-Ruiz & Elyas Shivanian & Jose-Luis Lopez**1307.2048 Modeling record-breaking stock prices***by*Gregor Wergen**1307.2014 On the multifractal effects generated by monofractal signals***by*Dariusz Grech & Grzegorz Pamu{\l}a**1307.1685 Evolution of the distribution of wealth in an economic environment driven by local Nash equilibria***by*Pierre Degond & Jian-Guo Liu & Christian Ringhofer**1307.1501 Heavy tailed time series with extremal independence***by*Rafal Kulik & Philippe Soulier**1307.1320 Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem***by*M. Basei & A. Cesaroni & T. Vargiolu**1307.0872 Maximization of recursive utilities under convex portfolio constraints***by*Anis Matoussi & Hanen Mezghani & Mohamed Mnif**1307.0817 A statistical equilibrium representation of markets as complex networks***by*Leonardo Bargigli & Andrea Lionetto & Stefano Viaggiu**1307.0785 Explicit Description of HARA Forward Utilities and Their Optimal Portfolios***by*Tahir Choulli & Junfeng Ma**1307.0684 Assessing Financial Model Risk***by*Pauline Barrieu & Giacomo Scandolo**1307.0450 Portfolio Optimization in R***by*M. Andrecut**1307.0444 Revisiting the Merit-Order Effect of Renewable Energy Sources***by*Marcus Hildmann & Andreas Ulbig & G\"oran Andersson**1307.0190 D-Brane solutions under market panic***by*R. Pincak**1307.0114 Risk Without Return***by*Lisa R. Goldberg & Ola Mahmoud**1306.6715 The Meaning of Probability of Default for Asset-backed Loans***by*David Chisholm & Graham Andersen**1306.6588 Moderate deviations for importance sampling estimators of risk measures***by*Pierre Nyquist**1306.6583 A note on Keen's model: The limits of Schumpeter's "Creative Destruction"***by*Glenn Ierley**1306.6402 On Modeling Economic Default Time: A Reduced-Form Model Approach***by*Jia-Wen Gu & Bo Jiang & Wai-Ki Ching & Harry Zheng**1306.6267 Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity***by*Stefan Tappe & Thorsten Schmidt**1306.5705 Computational Dynamic Market Risk Measures in Discrete Time Setting***by*Babacar Seck & Robert J. Elliott & Jean-Pierre Gueyie**1306.5510 Compound Wishart Matrices and Noisy Covariance Matrices: Risk Underestimation***by*Beno\^it Collins & David McDonald & Nadia Saad**1306.5447 Explicit implied volatilities for multifactor local-stochastic volatility models***by*Matthew Lorig & Stefano Pagliarani & Andrea Pascucci**1306.5302 Factorising equity returns in an emerging market through exogenous shocks and capital flows***by*Diane Wilcox & Tim Gebbie**1306.5198 Dynamic Assessment Indices***by*Tomasz R. Bielecki & Igor Cialenco & Samuel Drapeau & Martin Karliczek**1306.5145 Social Discounting and the Long Rate of Interest***by*Dorje C. Brody & Lane P. Hughston**1306.5082 Non-Equivalent Beliefs and Subjective Equilibrium Bubbles***by*Martin Larsson**1306.4994 Additive versus multiplicative parameters - applications in economics and finance***by*Helena Jasiulewicz & Wojciech Kordecki**1306.4975 A Stochastic Feedback Model for Volatility***by*Raoul Golan & Austin Gerig**1306.4958 Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model***by*M. Hossein Partovi**1306.4769 Evolution of correlation structure of industrial indices of US equity markets***by*Giuseppe Buccheri & Stefano Marmi & Rosario N. Mantegna**1306.4733 Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1***by*Tomasz R. Bielecki & Marek Rutkowski**1306.4619 On the time spent in the red by a refracted L\'evy risk process***by*Jean-Fran\c{c}ois Renaud**1306.4070 Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty***by*Wei Chen**1306.3923 Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots***by*Albert Ferreiro-Castilla & Kees van Schaik**1306.3856 From Text to Bank Interrelation Maps***by*Samuel R\"onnqvist & Peter Sarlin**1306.3704 How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network***by*Fabio Caccioli & J. Doyne Farmer & Nick Foti & Daniel Rockmore**1306.3554 Thermodynamics of long-run economic innovation and growth***by*Timothy J. Garrett**1306.3531 The convergence of regional house prices in the USA in the context of the stress testing of financial institutions***by*Argyn Kuketayev**1306.3479 Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions***by*Helena Jasiulewicz & Wojciech Kordecki**1306.3437 A cutting surface algorithm for semi-infinite convex programming with an application to moment robust optimization***by*Sanjay Mehrotra & David Papp**1306.3422 Spontaneous centralization of control in a network of company ownerships***by*Sebastian M. Krause & Tiago P. Peixoto & Stefan Bornholdt**1306.3395 Evolutionary Model of a Anonymous Consumer Durable Market***by*Joachim Kaldasch**1306.3359 Making Mean-Variance Hedging Implementable in a Partially Observable Market***by*Masaaki Fujii & Akihiko Takahashi**1306.3110 Some applications of first-passage ideas to finance***by*R\'emy Chicheportiche & Jean-Philippe Bouchaud**1306.2834 Bayesian inference for CoVaR***by*Mauro Bernardi & Ghislaine Gayraud & Lea Petrella**1306.2832 VWAP execution and guaranteed VWAP***by*Olivier Gu\'eant & Guillaume Royer**1306.2831 Systemic risk and spatiotemporal dynamics of the US housing market***by*Hao Meng & Wen-Jie Xie & Zhi-Qiang Jiang & Boris Podobnik & Wei-Xing Zhou & H. Eugene Stanley**1306.2820 Modeling and Solving Alternative Financial Solutions Seeking***by*Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Tour\'e**1306.2802 Asymptotics for Fixed Transaction Costs***by*Albert Altarovici & Johannes Muhle-Karbe & H. Mete Soner**1306.2793 On the probability density function of baskets***by*Christian Bayer & Peter Friz & Peter Laurence**1306.2751 Robust Portfolios and Weak Incentives in Long-Run Investments***by*Paolo Guasoni & Johannes Muhle-Karbe & Hao Xing**1306.2728 Mean-Variance and Expected Utility: The Borch Paradox***by*David Johnstone & Dennis Lindley**1306.2719 Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk***by*M. H. A Davis & M. R. Pistorius**1306.2508 Phase Transition in the S&P Stock Market***by*Matthias Raddant & Friedrich Wagner**1306.2251 Some Possible Solution of Problem of Sovereign Debts: a short plan***by*T. S. Kholupenko & E. E. Kholupenko & P. A. Guseva**1306.2245 Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process***by*Vladimir Filimonov & Spencer Wheatley & Didier Sornette**1306.2188 Market-wide price co-movement around crashes in the Tokyo Stock Exchange***by*Jun-ichi Maskawa & Joshin Murai & Koji Kuroda**1306.2073 A theoretical framework for trading experiments***by*Maxence Soumare & J{\o}rgen Vitting Andersen & Francis Bouchard & Alain Elkaim & Dominique Gu\'egan & Justin Leroux & Michel Miniconi & Lars Stentoft**1306.1882 Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation***by*Pavel V. Shevchenko & Gareth W. Peters**1306.1781 The Composition of Wage Differentials between Migrants and Natives***by*Panagiotis Nanos & Christian Schluter**1306.1378 CORN: Correlation-Driven Nonparametric Learning Approach for Portfolio Selection -- an Online Appendix***by*Bin Li & Dingjiang Huang & Steven C. H. Hoi**1306.1062 An alternative proof of a result of Takaoka***by*Shiqi Song**1306.0995 B-spline techniques for volatility modeling***by*Sylvain Corlay**1306.0980 Volatility in options formulae for general stochastic dynamics***by*Kais Hamza & Fima Klebaner & Olivia Mah**1306.0966 A Financial Risk Analysis: Does the 2008 Financial Crisis Give Impact on Weekends Returns of the U.S. Movie Box Office?***by*Novriana Sumarti & Rafki Hidayat**1306.0938 The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments***by*Laszlo F. Korsos**1306.0887 Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization***by*Damiano Brigo & Jan-Frederik Mai & Matthias Scherer**1306.0490 Multifractality and long memory of a financial index***by*Pablo Su\'arez-Garc\'ia & David G\'omez-Ullate**1306.0468 Reserve Requirement Analysis using a Dynamical System of a Bank based on Monti-Klein model of Bank's Profit Function***by*Novriana Sumarti & Iman Gunadi**1306.0345 American option of stochastic volatility model with negative Fichera function on degenerate boundary***by*Chen Xiaoshan & Song Qingshuo**1306.0215 Cross-border Portfolio Investment Networks and Indicators for Financial Crises***by*Andreas Joseph & Stephan Joseph & Guanrong Chen**1306.0100 Are your data really Pareto distributed?***by*Pasquale Cirillo**1305.7309 Optimization problem under change of regime of interest rate***by*Bogdan Iftimie & Monique Jeanblanc & Thomas Lim & Hai-Nam Nguyen**1305.7092 Prices and Asymptotics for Discrete Variance Swaps***by*Carole Bernard & Zhenyu Cui**1305.6988 Integrals of Higher Binary Options and Defaultable Bond with Discrete Default Information***by*Hyong-Chol O & Dong-Hyok Kim & Jong-Jun Jo & Song-Hun Ri**1305.6868 Higher Order Binaries with Time Dependent Coefficients and Two Factors - Model for Defaultable Bond with Discrete Default Information***by*Hyong-Chol O & Yong-Gon Kim & Dong-Hyok Kim**1305.6831 Optimal portfolios of a long-term investor with floor or drawdown constraints***by*Vladimir Cherny & Jan Obloj**1305.6797 Two-step memory within Continuous Time Random Walk. Description of double-action market dynamics***by*Tomasz Gubiec & Ryszard Kutner**1305.6765 Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]***by*J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante**1305.6762 Hedging without sweat: a genetic programming approach***by*Terje Lensberg & Klaus Reiner Schenk-Hopp\'e**1305.6541 BSDEs with singular terminal condition and control problems with constraints***by*Stefan Ankirchner & Monique Jeanblanc & Thomas Kruse**1305.6323 Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis***by*Aim\'e Lachapelle & Jean-Michel Lasry & Charles-Albert Lehalle & Pierre-Louis Lions**1305.6148 Goodhart, Charles A.E. and Tsomocos, Dimitros P.: The challenge of financial stability: a new model and its applications***by*Jean-Bernard Chatelain**1305.6037 Semi-bounded Rationality: A model for decision making***by*Tshilidzi Marwala**1305.6023 A Robust Version of Convex Integral Functionals***by*Keita Owari**1305.6008 Arbitrage and duality in nondominated discrete-time models***by*Bruno Bouchard & Marcel Nutz**1305.5963 Note on multidimensional Breeden-Litzenberger representation for state price densities***by*Jarno Talponen & Lauri Viitasaari**1305.5958 Fluctuation analysis of the three agent groups herding model***by*Vygintas Gontis & Aleksejus Kononovicius**1305.5915 Model-free CPPI***by*Alexander Schied**1305.5656 To the problem of turbulence in quantitative easing transmission channels and transactions network channels at quantitative easing policy implementation by central banks***by*Dimitri O. Ledenyov & Viktor O. Ledenyov**1305.5621 On a Heath-Jarrow-Morton approach for stock options***by*Jan Kallsen & Paul Kr\"uhner**1305.5575 Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios***by*Lijun Bo & Agostino Capponi**1305.5373 Mathematical Analysis of Money in the Scope of Austerity***by*Peter Stallinga**1305.5238 Risk Measure Estimation On Fiegarch Processes***by*Taiane S. Prass & S\'ilvia R. C. Lopes**1305.5220 Pricing bonds with optional sinking feature using Markov Decision Processes***by*Jan-Frederik Mai & Marc Wittlinger**1305.4879 Reducing the debt : is it optimal to outsource an investment?***by*Gilles Edouard Espinosa & Caroline Hillairet & Benjamin Jourdain & Monique Pontier**1305.4719 Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model***by*Jos\'{e} E. Figueroa-L\'{o}pez & Ruoting Gong & Christian Houdr\'{e}**1305.4321 Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes***by*Helin Zhu & Fan Ye & Enlu Zhou**1305.4173 A Model for Stock Returns and Volatility***by*Tao Ma & R. A. Serota**1305.4132 Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE***by*Jacek Jakubowski & Mariusz Niew\k{e}g{\l}owski**1305.4078 Economics 2.0: The Natural Step towards A Self-Regulating, Participatory Market Society***by*Dirk Helbing**1305.4013 A hot-potato game under transient price impact***by*Alexander Schied & Tao Zhang**1305.3988 A First-Order BSPDE for Swing Option Pricing***by*Christian Bender & Nikolai Dokuchaev**1305.3433 Monte Carlo approximation to optimal investment***by*L C G Rogers & Pawel Zaczkowski**1305.3243 Scaling symmetry, renormalization, and time series modeling***by*Marco Zamparo & Fulvio Baldovin & Michele Caraglio & Attilio L. Stella**1305.3184 Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm***by*Tetsuya Takaishi**1305.2824 The Statistical and Econometric Analysis of Asylum Application Trends and their relationship to GDP in the EEA***by*Gerard Keogh**1305.2716 Ergodic transition in a simple model of the continuous double auction***by*Tijana Radivojevi\'c & Jonatha Anselmi & Enrico Scalas**1305.2693 Markov switching quadratic term structure models***by*St\'ephane Goutte**1305.2655 An Exactly Solvable Discrete Stochastic Process with Correlated Properties***by*Jongwook Kim & Junghyo Jo**1305.2271 On the Lebesgue Property of Monotone Convex Functions***by*Keita Owari**1305.2263 Direct Evidence for Synchronization in Japanese Business Cycle***by*Yuichi Ikeda & Hideaki Aoyama & Hiroshi Iyetomi & Hiroshi Yoshikawa**1305.2151 A comparison of techniques for dynamic multivariate risk measures***by*Zachary Feinstein & Birgit Rudloff**1305.2121 Statistical Mechanics of Competitive Resource Allocation using Agent-based Models***by*Anirban Chakraborti & Damien Challet & Arnab Chatterjee & Matteo Marsili & Yi-Cheng Zhang & Bikas K. Chakrabarti**1305.1868 A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation***by*Jiang-Lun Wu & Wei Yang**1305.1747 Optimal dividend problem for a generalized compound Poisson risk model***by*Chuancun Yin**1305.1559 Are Financial Markets an aspect of Quantum World?***by*Ovidiu Racorean**1305.0794 The Effect of Growth On Equality in Models of the Economy***by*Kang Liu & N. Lubbers & W. Klein & J. Tobochnik & B. Boghosian & Harvey Gould**1305.0768 Kinetic exchange models: From molecular physics to social science***by*Marco Patriarca & Anirban Chakraborti**1305.0741 Delusions of Success: Comment on Dan Lovallo and Daniel Kahneman***by*Bent Flyvbjerg**1305.0639 Exact record and order statistics of random walks via first-passage ideas***by*Gregory Schehr & Satya N. Majumdar**1305.0479 A robust tree method for pricing American options with CIR stochastic interest rate***by*Elisa Appolloni & Lucia Caramellino & Antonino Zanette**1305.0436 Multivariate high-frequency financial data via semi-Markov processes***by*Guglielmo D'Amico & Filippo Petroni**1305.0413 Permanent market impact can be nonlinear***by*Olivier Gu\'eant**1305.0239 Uncovering the network structure of the world currency market: Cross-correlations in the fluctuations of daily exchange rates***by*Sitabhra Sinha & Uday Kovur**1305.0144 Relative Robust Portfolio Optimization***by*Raphael Hauser & Vijay Krishnamurthy & Reha T\"ut\"unc\"u**1305.0105 Semi Markov model for market microstructure***by*Pietro Fodra & Huy\^en Pham**1305.0101 Bubbles are rational***by*Pierre Lescanne**1305.0040 A note on replicating a CDS through a repo and an asset swap***by*Lorenzo Giada & Claudio Nordio**1304.7934 Maximum Lebesgue Extension of Monotone Convex Functions***by*Keita Owari**1304.7882 Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion***by*Qian Zhao & Jiaqin Wei & Rongming Wang**1304.7878 On the Dividend Strategies with Non-Exponential Discounting***by*Qian Zhao & Jiaqin Wei & Rongming Wang**1304.7563 Pricing TARN Using a Finite Difference Method***by*Xiaolin Luo & Pavel Shevchenko**1304.7562 Balancing small fixed and proportional transaction cost in trading strategies***by*Jose V. Alcala & Arash Fahim**1304.7535 Elasticity theory of structuring***by*Andrei N. Soklakov**1304.7533 Deriving Derivatives***by*Andrei N. Soklakov**1304.7330 Government Solvency, Austerity and Fiscal Consolidation in the OECD: A Keynesian Appraisal of Transversality and No Ponzi Game Conditions***by*Karim Azizi & Nicolas Canry & Jean-Bernard Chatelain & Bruno Tinel**1304.6846 Time-independent pricing of options in range bound markets***by*Ovidiu Racorean**1304.6819 A Fokker-Planck description for the queue dynamics of large tick stocks***by*A. Gareche & G. Disdier & J. Kockelkoren & J. -P. Bouchaud**1304.6165 Hedging in bond markets by the Clark-Ocone formula***by*Nicolas Privault & Timothy Robin Teng**1304.6006 Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market***by*Tetsuya Takaishi & Ting Ting Chen & Zeyu Zheng**1304.5962 The pricing formula for cancellable European options***by*Hsuan-Ku Liu**1304.5380 Survey data and Bayesian analysis: a cost-efficient way to estimate customer equity***by*Juha Karvanen & Ari Rantanen & Lasse Luoma**1304.5337 The Convexity of the Free Boundary for the American put option***by*Hsuan-Ku Liu**1304.5156 Option pricing, Bayes risks and Applications***by*Yannis G. Yatracos**1304.5130 Non-Stationarity in Financial Time Series and Generic Features***by*Thilo A. Schmitt & Desislava Chetalova & Rudi Sch\"afer & Thomas Guhr**1304.5065 Central Clearing of OTC Derivatives: bilateral vs multilateral netting***by*Rama Cont & Thomas Kokholm**1304.5040 A stochastic control approach to robust duality in utility maximization***by*Bernt \Oksendal & Agn\`es Sulem**1304.4995 Schr\"odinger group and quantum finance***by*Juan M. Romero & Ulises Lavana & Elio Mart\'inez**1304.4929 A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role***by*Yannis G. Yatracos**1304.4853 Risk measures for processes and BSDEs***by*Irina Penner & Anthony Reveillac**1304.4852 Firm's Information Environment and Stock Liquidity : Evidence from Tunisian Context***by*Nadia Loukil & Ouidad Yousfi**1304.4807 On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems***by*Dimitri O. Ledenyov & Viktor O. Ledenyov**1304.4690 On option pricing in illiquid markets with jumps***by*Youssef El-Khatib & Abdulnasser Hatemi-J**1304.4688 On the pricing and hedging of options for highly volatile periods***by*Youssef El-Khatib & Abdulnasser Hatemi-J**1304.4623 Cubature on Wiener space: pathwise convergence***by*Christian Bayer & Peter K. Friz