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OALib Journal期刊
ISSN: 2333-9721
费用：99美元
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Quantitative Finance
ISSN Print:
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主页:
http://arxiv.org/archive/q-fin
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Interest rate models and Whittaker functions
Dmitry Muravey
Intensity Process for a Pure Jump Lévy Structural Model with Incomplete Information
Xin Dong
,
Harry Zheng
Valuation of Barrier Options using Sequential Monte Carlo
Pavel V. Shevchenko
,
Pierre Del Moral
Paths and indices of maximal tail dependence
Edward Furman
,
Jianxi Su
,
Ri？ardas Zitikis
Default Probability Estimation via Pair Copula Constructions
Luciana Dalla Valle
,
Maria Elena De Giuli
,
Claudia Tarantola
,
Claudio Manelli
Multilevel path simulation for weak approximation schemes
Denis Belomestny
,
Tigran Nagapetyan
Advisors and indicators based on the SSA models and non-linear generalizations
A. M. Avdeenko
Testing for rational speculative bubbles in the Brazilian residential real-estate market
Marcelo M. de Oliveira
,
Alexandre C. L. Almeida
Optimal investment with time-varying stochastic endowments
An Chen
,
Carla Mereu
,
Robert Stelzer
Informational Efficiency under Short Sale Constraints
Robert A. Jarrow
,
Martin Larsson
The Naive Extrapolation Hypothesis and the Rosy-Gloomy Forecasts
Vasileios Barmpoutis
An Unconventional Attempt to Tame Mandelbrot's Grey Swans
Denis M. Filatov
,
Maksim A. Vanyarkho
Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks
B. Podobnik
,
A. Majdandzic
,
C. Curme
,
Z. Qiao
,
W. -X. Zhou
,
H. E. Stanley
,
B. Li
Microeconomic Structure determines Macroeconomic Dynamics. Aoki defeats the Representative Agent
Sorin Solomon
,
Natasa Golo
Law-invariant risk measures: extension properties and qualitative robustness
Pablo Koch-Medina
,
Cosimo Munari
CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach
Damiano Brigo
,
Andrea Pallavicini
Refined wing asymptotics for the Merton and Kou jump diffusion models
Stefan Gerhold
,
Johannes F. Morgenbesser
,
Axel Zrunek
A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
A. Galichon
,
P. Henry-Labordère
,
N. Touzi
Option Pricing in an Imperfect World
Gianluca Cassese
IIGHGINT: A generalization to the modified GHG intensity universal indicator toward a production/consumption insensitive border carbon tax
Reza Farrahi Moghaddam
,
Fereydoun Farrahi Moghaddam
,
Mohamed Cheriet
On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums
Hirbod Assa
Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence
Matthew Ames
,
Gareth W. Peters
,
Guillaume Bagnarosa
,
Ioannis Kosmidis
Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
Oscar Lopez
,
Rafael Serrano
Mathematical Foundations for the Economy of Giving
W. P. Weijland
Wealth distribution and collective knowledge. A Boltzmann approach
Lorenzo Pareschi
,
Giuseppe Toscani
Why free markets die: An evolutionary perspective
Eduardo Viegas
,
Stuart P. Cockburn
,
Henrik Jeldtoft Jensen
,
Geoffrey B. West
Credit Risk in a Geometric Arbitrage Perspective
Simone Farinelli
Propagation of Economic Shocks in Input-Output Networks: A Cross-Country Analysis
Martha G. Alatriste Contreras
,
Giorgio Fagiolo
How to hedge extrapolated yield curves
Andreas Lager？s
Reduction of systemic risk by means of Pigouvian taxation
Vinko Zlati？
,
Giampaolo Gabbi
,
Hrvoje Abraham
A Creepy World
Didier Sornette
,
Peter Cauwels
Crossing Stocks and the Positive Grassmannian I: The Geometry behind Stock Market
Ovidiu Racorean
Can Analysts Predict Rallies Better Than Crashes?
Ivan Medovikov
Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
Andrey Itkin
Gambling in Contests with Random Initial Law
Han Feng
,
David Hobson
Microscopic Models for Welfare Measures Addressing a Reduction of Economic Inequality
Maria Letizia Bertotti
,
Giovanni Modanese
The Economics of BitCoin Price Formation
Pavel Ciaian
,
Miroslava Rajcaniova
,
d'Artis Kancs
Partial correlation analysis: Applications for financial markets
Dror Y. Kenett
,
Xuqing Huang
,
Irena Vodenska
,
Shlomo Havlin
,
H. Eugene Stanley
Spatial and temporal structures of four financial markets in Greater China
F. Y. Ouyang
,
B. Zheng
,
X. F. Jiang
On Simulation of Various Effects in Consolidated Order Book
A. O. Glekin
,
A. Lykov
,
K. L. Vaninsky
Information ratio analysis of momentum strategies
Fernando F. Ferreira
,
A. Christian Silva
,
Ju-Yi Yen
Are European equity markets efficient? New evidence from fractal analysis
Enrico Onali
,
John Goddard
MVA: Initial Margin Valuation Adjustment by Replication and Regression
Andrew Green
,
Chris Kenyon
KVA: Capital Valuation Adjustment
Andrew Green
,
Chris Kenyon
The systematic structure and predictability of urban business diversity
Hyejin Youn
,
Luís M. A. Bettencourt
,
José Lobo
,
Deborah Strumsky
,
Horacio Samaniego
,
Geoffrey B. West
Structure of local interactions in complex financial dynamics
X. F. Jiang
,
T. T. Chen
,
B. Zheng
A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing
Masaaki Fujii
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
Jean-Francois Chassagneux
,
Antoine Jacquier
,
Ivo Mihaylov
Can Turnover Go to Zero?
Zura Kakushadze
Arbitrage Pricing of Multi-person Game Contingent Claims
Ivan Guo
,
Marek Rutkowski
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