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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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Asymptotic distribution of the Markowitz portfolio

Steven E. Pav

Capital distribution and portfolio performance in the mean-field Atlas model

Benjamin Jourdain,Julien Reygner

Towards a microeconomic theory of the finance-driven business cycle

Alejandro Jenkins

Credit Portfolio Management in a Turning Rates Environment

Arthur M. Berd,Elena Ranguelova,Antonio Baldaque da Silva

Simulating and analyzing order book data: The queue-reactive model

Weibing Huang,Charles-Albert Lehalle,Mathieu Rosenbaum

Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison

Changki Kim,Yangho Choi,Woojoo Lee,Jae Youn Ahn

Analytical models of operational risk and new results on the correlation problem

Vivien Brunel

Mean Field Games and Systemic Risk

Rene Carmona,Jean-Pierre Fouque,Li-Hsien Sun

The Skin In The Game Heuristic for Protection Against Tail Events

Nassim N. Taleb,Constantine Sandis

Efficient immunization strategies to prevent financial contagion

Teruyoshi Kobayashi,Kohei Hasui

Reducing the debt : is it optimal to outsource an investment?

Gilles Edouard Espinosa,Caroline Hillairet,Benjamin Jourdain,Monique Pontier

Monte Carlo approximation to optimal investment

L C G Rogers,Pawel Zaczkowski

Robustification of Elliott's on-line EM algorithm for HMMs

Christina Erlwein,Peter Ruckdeschel

An Information-Theoretic Test for Dependence with an Application to the Temporal Structure of Stock Returns

Galen Sher,Pedro Vitoria

A Fokker-Planck description for the queue dynamics of large tick stocks

A. Gareche,G. Disdier,J. Kockelkoren,J. -P. Bouchaud

A Peer-based Model of Fat-tailed Outcomes

Ben Klemens

Fluctuation analysis of the three agent groups herding model

Vygintas Gontis,Aleksejus Kononovicius

Kinetic exchange models: From molecular physics to social science

Marco Patriarca,Anirban Chakraborti

The Effect of Growth On Equality in Models of the Economy

Kang Liu,N. Lubbers,W. Klein,J. Tobochnik,B. Boghosian,Harvey Gould

Higher Order Binaries with Time Dependent Coefficients and Two Factors - Model for Defaultable Bond with Discrete Default Information

Hyong-Chol O,Yong-Gon Kim,Dong-Hyok Kim

Integrals of Higher Binary Options and Defaultable Bond with Discrete Default Information

Hyong-Chol O,Dong-Hyok Kim,Jong-Jun Jo,Song-Hun Ri

Are Financial Markets an aspect of Quantum World?

Ovidiu Racorean

Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions

Damiano Brigo,Giuseppe Di Graziano

Elasticity theory of structuring

Andrei N. Soklakov

Government Solvency, Austerity and Fiscal Consolidation in the OECD: A Keynesian Appraisal of Transversality and No Ponzi Game Conditions

Karim Azizi,Nicolas Canry,Jean-Bernard Chatelain,Bruno Tinel

Survey data and Bayesian analysis: a cost-efficient way to estimate customer equity

Juha Karvanen,Ari Rantanen,Lasse Luoma

Firm's Information Environment and Stock Liquidity : Evidence from Tunisian Context,

Nadia Loukil,Ouidad Yousfi

On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems

Dimitri O. Ledenyov,Viktor O. Ledenyov

Overspend? Late? Failure? What the Data Say About IT Project Risk in the Public Sector

Alexander Budzier,Bent Flyvbjerg

Pricing and Valuation under the Real-World Measure

Gabriel Frahm

A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes

Florian Kleinert,Kees van Schaik

Hedging of Game Options under Model Uncertainty in Discrete Time

Yan Dolinsky

On the pricing and hedging of options for highly volatile periods

Youssef El-Khatib,Abdulnasser Hatemi-J

A Stochastic Feedback Model for Volatility

Raoul Golan,Austin Gerig

How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network

Fabio Caccioli,J. Doyne Farmer,Nick Foti,Daniel Rockmore

Goodhart, Charles A.E. and Tsomocos, Dimitros P.: The challenge of financial stability: a new model and its applications

Jean-Bernard Chatelain

Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model

José E. Figueroa-López,Ruoting Gong,Christian Houdré

Optimal dividend problem for a generalized compound Poisson risk model

Chuancun Yin

Optimal portfolios of a long-term investor with floor or drawdown constraints

Vladimir Cherny,Jan Obloj

Exact record and order statistics of random walks via first-passage ideas

Gregory Schehr,Satya N. Majumdar

Multivariate high-frequency financial data via semi-Markov processes

Guglielmo D'Amico,Filippo Petroni

Uncovering the network structure of the world currency market: Cross-correlations in the fluctuations of daily exchange rates

Sitabhra Sinha,Uday Kovur

Model-free CPPI

Alexander Schied

Prices and Asymptotics for Discrete Variance Swaps

Carole Bernard,Zhenyu Cui

Hedging without sweat: a genetic programming approach

Terje Lensberg,Klaus Reiner Schenk-Hoppé

Note on multidimensional Breeden-Litzenberger representation for state price densities

Jarno Talponen,Lauri Viitasaari

B-spline techniques for volatility modeling

Sylvain Corlay

Are your data really Pareto distributed?

Pasquale Cirillo

Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots

Albert Ferreiro-Castilla,Kees van Schaik

On Modeling Economic Default Time: A Reduced-Form Model Approach

Jia-Wen Gu,Bo Jiang,Wai-Ki Ching,Harry Zheng

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