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Content
2012
- 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
- 1206.2966 Panel Data Models with Nonadditive Unobserved Heterogeneity: Estimation and Inference
by Ivan Fernandez-Val & Joonhwah Lee
- 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 Klock & 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.inc{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 Soren Christensen & Albrecht Irle & Stephan Jurgens
- 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 Husler & 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 Gunter von Kiedrowski & Eors 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 Fuller & Orhan Koroglu & 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 Kratschmer & Alexander Schied & Henryk Zahle
- 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
- 1204.1846 Approximate Revenue Maximization with Multiple Items
by Sergiu Hart & Noam Nisan
- 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