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OALib Journal期刊
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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Micro and Macro Benefits of Random Investments in Financial Markets

Alessio Emanuele Biondo,Alessandro Pluchino,Andrea Rapisarda

R&D Strategy Document

James B. Glattfelder,Thomas Bisig,Richard B. Olsen

Option Pricing in a Dynamic Variance-Gamma Model

Lorenzo Mercuri,Fabio Bellini

Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility

Martino Bardi,Annalisa Cesaroni,Andrea Scotti

On the Frequency of Drawdowns for Brownian Motion Processes

David Landriault,Bin Li,Hongzhong Zhang

Modelling the Bid and Ask Prices of Illiquid CDSs

Michael B. Walker

Are credit ratings time-homogeneous and Markov?

Pedro Lencastre,Frank Raischel,Pedro G. Lind,Tim Rogers

Optimal consumption and portfolio choice with ambiguity

Qian Lin,Frank Riedel

Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors

M. Bernardi,L. Petrella

Quasi-Hadamard differentiability of general risk functionals and its application

Volker Kr？tschmer,Alexander Schied,Henryk Z？hle

Risk aggregation and stochastic claims reserving in disability insurance

Boualem Djehiche,Bj？rn L？fdahl

On the Measurement of Economic Tail Risk

Steven Kou,Xianhua Peng

Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics

Andreas Joseph,Irena Vodenska,Eugene Stanley,Guanrong Chen

Option pricing in constant elasticity of variance model with liquidity costs

Krzysztof Turek

Optimal consumption and sale strategies for a risk averse agent

David Hobson,Yeqi Zhu

An $α$-Stable Limit Theorem Under Sublinear Expectation

Erhan Bayraktar,Alexander Munk

A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time

Tomasz R. Bielecki,Igor Cialenco,Marcin Pitera

Multi-asset consumption-investment problems with infinite transaction costs

David Hobson,Yeqi Zhu

Optimal investment with bounded above utilities in discrete time markets

Miklos Rasonyi

qGaussian model of default

Yuri A. Katz

Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control

Vladimir Dombrovskii,Tatyana Obyedko

A General Duality Relation with Applications in Quantitative Risk Management

Raphael Hauser,Sergey Shahverdyan,Paul Embrechts

Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy

Xiaolin Luo,Pavel Shevchenko

Efficient price dynamics in a limit order market: an utility indifference approach

Masaaki Fukasawa

Large-Maturity Regimes of the Heston Forward Smile

Antoine Jacquier,Patrick Roome

The optimal hedging in a semi-Markov modulated market

Anindya Goswami,Jeeten Patel,Poorva Sevgaonkar

Consistent Price Systems under Model Uncertainty

Bruno Bouchard,Marcel Nutz

Long Term Optimal Investment in Matrix Valued Factor Models

Scott Robertson,Hao Xing

High Performance Financial Simulation Using Randomized Quasi-Monte Carlo Methods

Linlin Xu,Giray ？kten

Stock Market Trend Analysis Using Hidden Markov Models

G. Kavitha,A. Udhayakumar,D. Nagarajan

Optimal Strategies for a Long-Term Static Investor

Lingjiong Zhu

A New Characterization of Comonotonicity and its Application in Behavioral Finance

Zuo Quan Xu

Time--consistent investment under model uncertainty: the robust forward criteria

Sigrid Kallblad,Jan Obloj,Thaleia Zariphopoulou

The Kelly growth optimal strategy with a stop-loss rule

Mads Nielsen

Skew and implied leverage effect: smile dynamics revisited

Vincent Vargas,Tung-Lam Dao,Jean-Philippe Bouchaud

Uncertain growth and the value of the future

Jaume Masoliver,Miquel Montero,Josep Perelló,John Geanakoplos,J. Doyne Farmer

Measures of uncertainty in market network analysis

V. A. Kalyagin,A. P. Koldanov,P. A. Koldanov,P. M. Pardalos,V. A. Zamaraev

Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series

Ladislav Kristoufek

Conditional correlation in asset return and GARCH intensity model

Geon Ho Choe,Kyungsub Lee

Order Estimates for the Exact Lugannani-Rice Expansion

Takashi Kato,Jun Sekine,Kenichi Yoshikawa

Shapes of implied volatility with positive mass at zero

Stefano De Marco,Caroline Hillairet,Antoine Jacquier

A primal-dual algorithm for BSDEs

Christian Bender,Nikolaus Schweizer,Jia Zhuo

Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction

Ankush Agarwal

Quantum harmonic oscillator in option pricing

Liviu-Adrian Cotfas,Nicolae Cotfas

Implicit transaction costs and the fundamental theorems of asset pricing

Erindi Allaj

Non-Arbitrage up to Random Horizon for Semimartingale Models

Anna Aksamit,Tahir Choulli,Jun Deng,Monique Jeanblanc

Geometrization of Econophysics : An Alternative Approach for Measuring Elements of Risk Management of an Economic System

M. E. Kahil

Cascades in real interbank markets

Fariba Karimi,Matthias Raddant

Superreplication when trading at market indifference prices

Peter Bank,Selim G？kay

Estimating the FDI Impact on Economic Growth and Export Performances of the European Economies in Transition

Olivera Kostoska,Pece Mitrevski

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