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ISSN: 2333-9721
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Quantitative Finance

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主页: http://arxiv.org/archive/q-fin

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Wrong-Way Bounds in Counterparty Credit Risk Management

Amir Memartoluie,David Saunders,Tony Wirjanto

Convergence of binomial tree method and explicit difference scheme for American put options with time dependent coefficients

Hyong-Chol O,Mun-Chol Kim,Gyong-Ryol Kim

Portfolio Optimization

Aizhan Issagali,Damira Alshimbayeva,Aidana Zhalgas

An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting

Tim Leung,Kazutoshi Yamazaki,Hongzhong Zhang

Commodity Prices Rise Sharply at Turning Points

Bin Li,K. Y. Michael Wong,Amos H. M. Chan,Tsz Yan So,Hermanni Heimonen,David Saad

A Model for Tax Evasion with Some Realistic Properties

Richard Vale

Semimartingale detection and goodness-of-fit tests

Adam D. Bull

Record statistics for random walk bridges

Claude Godreche,Satya N. Majumdar,Gregory Schehr

Realized Volatility Analysis in A Spin Model of Financial Markets

Tetsuya Takaishi

It's a Trap: Emperor Palpatine's Poison Pill

Zachary Feinstein

Disentangling bipartite and core-periphery structure in financial networks

Paolo Barucca,Fabrizio Lillo

Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms

Jean-David Fermanian,Olivier Guéant,Arnaud Rachez

Getting started with particle Metropolis-Hastings for inference in nonlinear dynamical models

Johan Dahlin,Thomas B. Sch？n

Optimal Trading with Linear and (small) Non-Linear Costs

A. Rej,R. Benichou,J. de Lataillade,G. Zérah,J. -Ph. Bouchaud

Capital allocation and risk appetite under Solvency II framework

Ivan Granito,Paolo De Angelis

On real growth and run-off companies in insurance ruin theory

Harri Nyrhinen

Deleveraging, short sale constraints and market crash

Liang Wu,Lei Zhang,Zhiming Fu

A Generalized Probability Framework to Model Economic Agents' Decisions Under Uncertainty

Emmanuel Haven,Sandro Sozzo

Early Warning Signs of the Economic Crisis in Greece: A Warning for Other Countries and Regions

Ron W Nielsen

Approximate Option Pricing in the Lévy Libor Model

Zorana Grbac,David Krief,Peter Tankov

An Application of Correlation Clustering to Portfolio Diversification

Hannah Cheng Juan Zhan,William Rea,Alethea Rea

How predictable is technological progress?

J. Doyne Farmer,Francois Lafond

An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions

Eric Dahlgren,Tim Leung

The 20-60-20 Rule

Piotr Jaworski,Marcin Pitera

Monetary Policy and Dark Corners in a stylized Agent-Based Model

Stanislao Gualdi,Marco Tarzia,Francesco Zamponi,Jean-Philippe Bouchaud

The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs

Tim Leung,Brian Ward

Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures

Rohini Kumar

Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach

Jinbeom Kim,Tim Leung

On financial applications of the two-parameter Poisson-Dirichlet distribution

Sergey Sosnovskiy

An optimal trading problem in intraday electricity markets

René A？d,Pierre Gruet,Huyên Pham

Optimal Trading with Alpha Predictors

Filippo Passerini,Samuel E. Vazquez

Explicit solution to dynamic portfolio choice problem : The continuous-time detour

Fran？ois Legendre,Djibril Togola

Reflected BSDEs when the obstacle is not right-continuous and optimal stopping

Miryana Grigorova,Peter Imkeller,Elias Offen,Youssef Ouknine,Marie-Claire Quenez

Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective

Aki-Hiro Sato,Paolo Tasca

Black-Scholes equation

Natanael Karjanto,Binur Yermukanova,Laila Zhexembay

Random Time Forward Starting Options

Fabio Antonelli,Alessandro Ramponi,Sergio Scarlatti

Role of non-timber forest products in sustaining forest-based livelihoods and rural households' resilience capacity in and around protected area- a Bangladesh study

S. A. Mukul,A. Z. M. M. Rashid,M. B. Uddin,N. A. Khan

ESO Valuation with Job Termination Risk and Jumps in Stock Price

Tim Leung,Haohua Wan

Transitions in the Stock Markets of the US, UK, and Germany

Matthias Raddant,Friedrich Wagner

Network Structure and Counterparty Credit Risk

Alexander von Felbert

Liquidity crises on different time scales

Francesco Corradi,Andrea Zaccaria,Luciano Pietronero

Communication Strategies for Low-Latency Trading

Mina Karzand,Lav R. Varshney

Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces

Xi-Yuan Qian,Ya-Min Liu,Zhi-Qiang Jiang,Boris Podobnik,Wei-Xing Zhou,H. Eugene Stanley

Effects of polynomial trends on detrending moving average analysis

Ying-Hui Shao,Gao-Feng Gu,Zhi-Qiang Jiang,Wei-Xing Zhou

Estimation of connectivity measures in gappy time series

G. Papadopoulos,D. Kugiumtzis

DebtRank: A microscopic foundation for shock propagation

Marco Bardoscia,Stefano Battiston,Fabio Caccioli,Guido Caldarelli

Operational risk modeled analytically II: the consequences of classification invariance

Vivien Brunel

Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations

Assaf Almog,Ferry Besamusca,Mel MacMahon,Diego Garlaschelli

Testing the performance of technical trading rules in the Chinese market

Shan Wang,Zhi-Qiang Jiang,Sai-Ping Li,Wei-Xing Zhou

On the Forecast Combination Puzzle

Wei Qian,Craig A. Rolling,Gang Cheng,Yuhong Yang

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©2008-2020 OALib, Inc | Public user content licensed CC-BY 4.0 unless otherwise specified. OALib ISSN Online: 2333-9721 OALib ISSN Print: 2333-9705