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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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Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty

Matteo Burzoni,Marco Frittelli,Marco Maggis

A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition

Ulrich Horst,Jinniao Qiu,Qi Zhang

Indifference pricing for Contingent Claims: Large Deviations Effects

Scott Robertson,Konstantinos Spiliopoulos

One-level limit order books with sparsity and memory

Jonathan A. Chávez-Casillas,José E. Figueroa-López

Optimal Allocation of Trend Following Strategies

Denis S. Grebenkov,Jeremy Serror

Slow decay of impact in equity markets

X. Brokmann,E. Serie,J. Kockelkoren,J. -P. Bouchaud

Recurrence plots of exchange rates of currencies

Amelia Carolina Sparavigna

Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns

Vladimir Filimonov,Didier Sornette

Continuous time analysis of fleeting discrete price moves

Neil Shephard,Justin J. Yang

The Fourier estimation method with positive semi-definite estimators

Jir？ Akahori,Nien-Lin Liu,Maria Elvira Mancino,Yukie Yasuda

Cooperation under Incomplete Information on the Discount Factors

Cy Maor,Eilon Solan

On the Coherent Risk Measure Representations in the Discrete Probability Spaces

Kerem Ugurlu

Methodological thoughts on expected loss estimates for IFRS 9 impairment: hidden reserves, cyclical loss predictions and LGD backtesting

Wolfgang Reitgruber

Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations

Nicole B？uerle,Igor Gilitschenski,Uwe D. Hanebeck

On Stochastic Orders and its applications : Policy limits and Deductibles

Halim Zeghdoudi,Meriem Bouhadjar,Mohamed Riad Remita

Risk measures with the CxLS property

Freddy Delbaen,Fabio Bellini,Valeria Bignozzi,Johanna F. Ziegel

A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection

Ben Hambly,Matthieu Mariapragassam,Christoph Reisinger

Incorporating Views on Market Dynamics in Options Hedging

Antoine E. Zambelli

Characterization of Market Models in the Presence of Traded Vanilla and Barrier Options

Peter Spoida

It's not the economy, stupid! How social capital and GDP relate to happiness over time

Stefano Bartolini,Francesco Sarracino

Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics

Mauricio Junca,Rafael Serrano

Kelly criterion for variable pay-off

Ricardo Pérez-Marco

Improving predictability of time series using maximum entropy methods

Gregor Chliamovitch,Alexandre Dupuis,Bastien Chopard,Anton Golub

Game Theory, Statistical Mechanics and Income Inequality

Venkat Venkatasubramanian,Yu Luo,Jay Sethuraman

On the Depletion Problem for an Insurance Risk Process: New Non-ruin Quantities in Collective Risk Theory

Zied Ben-Salah,Hélène Guérin,Manuel Morales,Hassan Omidi Firouzi

Innovation, competition, diversification: a tree form dynamics of long-term development

Shidong Wang,Cheng Wan

Inflation and speculation in a dynamic macroeconomic model

Matheus Grasselli,Adrien Nguyen Huu

Spanning trees of the World Trade Web: real-world data and the gravity model of trade

Patryk Skowron,Mariusz Karpiarz,Agata Fronczak,Piotr Fronczak

Accounting for Earnings Announcements in the Pricing of Equity Options

Tim Leung,Marco Santoli

An $H$ theorem for Boltzmann's equation for the Yard-Sale Model of asset exchange

Bruce M. Boghosian,Merek Johnson,Jeremy Marcq

Equilibrium in risk-sharing games

Michail Anthropelos,Constantinos Kardaras

Risk measuring under liquidity risk

Erindi Allaj

Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA

Giovanni Mottola

Modellierungskonzepte der Synergetik und der Theorie der Selbstorganisation

Werner Ebeling,Andrea Scharnhorst

Nonparametric Stochastic Discount Factor Decomposition

Timothy Christensen

Firm size distribution in Italy and employment protection

Luca Amendola

Reserve-Dependent Surrender

Kamille Sofie T？gholt Gad,Jeppe Juhl,Mogens Steffensen

On Pareto theory of circulation of elites

Ricardo Pérez-Marco

Conditional Analysis and a Principal-Agent problem

Julio Backhoff,Ulrich Horst

A BSDE approach to fair bilateral pricing under endogenous collateralization

Tianyang Nie,Marek Rutkowski

Indifference prices and implied volatilities

Matthew Lorig

Russian-Doll Risk Models

Zura Kakushadze

Gas Storage valuation with regime switching

Nicole B？uerle,Viola Riess

Robust valuation and risk measurement under model uncertainty

Yuhong Xu

Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets

Fernando Cordero,Lavinia Perez-Ostafe

Stochastic model of a pension plan

Paz Grimberg,Zeev Schuss

Exact and asymptotic solutions of the call auction problem

Ioane Muni Toke

Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets

Omar Rojas,Carlos Trejo-Pech

Nonlinear GARCH model and 1/f noise

Aleksejus Kononovicius,Julius Ruseckas

Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling

Emmanuel Bacry,Thibault Jaisson,Jean-Francois Muzy

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