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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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Measuring economic complexity of countries and products: which metric to use?

Manuel Sebastian Mariani,Alexandre Vidmer,Matus Medo,Yi-Cheng Zhang

The Principle of the Malevolent Hiding Hand; or, the Planning Fallacy Writ Large

Bent Flyvbjerg,Cass R. Sunstein

Correction to Black-Scholes formula due to fractional stochastic volatility

Josselin Garnier,Knut Solna

Impact of Artificial Intelligence on Economic Theory

Tshilidzi Marwala

Lévy Processes For Finance: An Introduction In R

D. J. Manuge

Numerical approximations for Heston-Hull-White type models

M. Briani,L. Caramellino,A. Zanette

Symmetry structure and solution of evolution-type equations with time dependent parameters in financial Mathematics

Michael Okelola,Keshlan Govinder

A Quantization Approach to the Counterparty Credit Exposure Estimation

M. Bonollo,L. Di Persio,I. Oliva,A. Semmoloni

Re-visiting the Distance Coefficient in Gravity Model

Haonan Wu

An expansion in the model space in the context of utility maximization

Kasper Larsen,Oleksii Mostovyi,Gordan ？itkovi？

Arbitrage theory without a numéraire

Michael R. Tehranchi

Benford's law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions

Tariq Ahmad Mir,Marcel Ausloos,Roy Cerqueti

Global Value Trees

Zhen Zhu,Michelangelo Puliga,Federica Cerina,Alessandro Chessa,Massimo Riccaboni

An econophysical approach of polynomial distribution applied to income and expenditure

Elvis Oltean

Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA

Giovanni Mottola

Rationality parameter for exercising American put

K. Gad,J. L. Pedersen

The non-linear trade-off between return and risk: a regime-switching multi-factor framework

John Cotter,Enrique Salvador

Stock fluctuations are correlated and amplified across networks of interlocking directorates

Serguei Saavedra,Luis J. Gilarranz,Rudolf P. Rohr,Michael Schnabel,Brian Uzzi,Jordi Bascompte

Is mathematics able to give insight into current questions in finance, economics and politics?

Larry Shepp,Michael Imerman

Randomisation and recursion methods for mixed-exponential Levy models, with financial applications

Aleksandar Mijatovic,Martijn Pistorius,Johannes Stolte

4-Factor Model for Overnight Returns

Zura Kakushadze

A new multivariate dependence measure based on comonotonicity

Ying Zhang,Chuancun Yin

Verification of internal risk measure estimates

Mark H. A. Davis

An initial approach to Risk Management of Funding Costs

Damiano Brigo,Cyril Durand

Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model

Dmitry Kramkov,Sergio Pulido

Volatility is rough

Jim Gatheral,Thibault Jaisson,Mathieu Rosenbaum

Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending

Vladimir Dombrovskii,Tatyana Obedko

On volatility smile and an investment strategy with out-of-the-money calls

Jarno Talponen

A polynomial distribution applied to income and wealth distribution

Elvis Oltean,Fedor Kusmartsev

Applications of statistical physics distributions to several types of income

Elvis Oltean,Fedor V. Kusmartsev

Global convergence and stability of a convolution method for numerical solution of BSDEs

Cody Blaine Hyndman,Polynice Oyono Ngou

Communication impacting financial markets

Jorgen Vitting Andersen,Ioannis Vrontos,Petros Dellaportas,Serge Galam

A statistical physics analysis of expenditure in the UK

Elvis Oltean,Fedor Kusmartsev

The Precautionary Principle (with Application to the Genetic Modification of Organisms)

Nassim Nicholas Taleb,Rupert Read,Raphael Douady,Joseph Norman,Yaneer Bar-Yam

A study of Methods from Statistical Mechanics applied to income distribution

Elvis Oltean,Fedor Kusmartsev

An Econophysical dynamic approach of expenditure and income distribution in the UK

Elvis Oltean,Fedor Kusmartsev

Conditional Preference Orders and their Numerical Representations

Samuel Drapeau,Asgar Jamneshan

Pricing and Hedging GMWB Riders in a Binomial Framework

Cody B. Hyndman,Menachem Wenger

RHOMOLO: A Dynamic Spatial General Equilibrium Model for Assessing the Impact of Cohesion Policy

Andries Brandsma,d'Artis Kancs,Philippe Monfort,Alexandra Rillaers

Pricing Currency Derivatives with Markov-modulated Levy Dynamics

Anatoliy Swishchuk,Maksym Tertychnyi,Robert Elliott

Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate

Anatoliy Swishchuk,Maksym Tertychnyi,Winsor Hoang

Stock portfolio structure of individual investors infers future trading behavior

Ludvig Bohlin,Martin Rosvall

Faster Comparison of Stopping Times by Nested Conditional Monte Carlo

Fabian Dickmann,Nikolaus Schweizer

Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium

Sorin Solomon,Natasa Golo

Pricing and Hedging Long-Term Options

Hyungbin Park

Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis

Hao-Che Chen

Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets

Ladislav Kristoufek,Petra Lunackova

Identification of cross and autocorrelations in time series within an approach based on Wigner eigenspectrum of random matrices

Michal Sawa,Dariusz Grech

Non-linear filtering and optimal investment under partial information for stochastic volatility models

Dalia Ibrahim,Frédéric Abergel

Non-arbitrage for Informational Discrete Time Market Models

Tahir Choulli,Jun Deng

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