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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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Rationalizing Investors Choice

Carole Bernard,Jit Seng Chen,Steven Vanduffel

Quality Control and Due Diligence in Project Management: Getting Decisions Right by Taking the Outside View

Bent Flyvbjerg

A Modern Approach to the Efficient-Market Hypothesis

Gabriel Frahm

Bimodality in the firm size distributions: a kinetic exchange model approach

Anindya S. Chakrabarti

An examination of the effect on the Icelandic Banking System of Veretrygge Lán (Indexed-Linked Loans)

Jacky Mallett

Inflation-rate Derivatives: From Market Model to Foreign Currency Analogy

Lixin Wu

Theory of Performance Participation Strategies

Julia Kraus,Philippe Bertrand,Rudi Zagst

Dynamical Trading Mechanism in Limit Order Markets

Shilei Wang

Econophysics of adaptive power markets: When a market does not dampen fluctuations but amplifies them

Sebastian M. Krause,Stefan Boerries,Stefan Bornholdt

The Convexity of the Free Boundary for the American put option

Hsuan-Ku Liu

Deriving Derivatives

Andrei N. Soklakov

Existence of an endogenously complete equilibrium driven by a diffusion

Dmitry Kramkov

Megaprojects and Risk: An Anatomy of Ambition

Bent Flyvbjerg,Nils Bruzelius,Werner Rothengatter

Pathwise stochastic integrals for model free finance

Nicolas Perkowski,David J. Pr？mel

Spin Glasses and Nonlinear Constraints in Portfolio Optimization

M. Andrecut

A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios

Théophile Griveau-Billion,Jean-Charles Richard,Thierry Roncalli

Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals

Sigrid K？llblad

Does Banque de France control inflation and unemployment?

Ivan Kitov,Oleg Kitov

Unified Growth Theory: A puzzling collection of myths based on hyperbolic illusions

Ron W Nielsen

Actuarial fairness and solidarity in pooled annuity funds

Catherine Donnelly

On strong binomial approximation for stochastic processes and applications for financial modelling

Nikolai Dokuchaev

Varadhan's formula, conditioned diffusions, and local volatilities

Stefano De Marco,Peter Friz

Filters and smoothers for self-exciting Markov modulated counting processes

Samuel N. Cohen,Robert J. Elliott

A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing

Claudio Fontana

Left-wing asymptotics of the implied volatility in the presence of atoms

Archil Gulisashvili

Default Clustering in Large Pools: Large Deviations

Konstantinos Spiliopoulos,Richard B. Sowers

CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?

Damiano Brigo,Andrea Pallavicini

Recursive formula for arithmetic Asian option prices

Kyungsub Lee

Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield

Francesca Biagini,Alessandro Gnoatto,Maximilian H？rtel

Remark on repo and options

Andrei Kapaev

High moment variations and their application

Geon Ho Choe,Kyungsub Lee

There is a VaR beyond usual approximations

Marie Kratz

Community detection for correlation matrices

Mel MacMahon,Diego Garlaschelli

Prévision du risque de crédit : Une étude comparative entre l'Analyse Discriminante et l'Approche Neuronale

Younes Boujelbène,Sihem Khemakhem

Sticky continuous processes have consistent price systems

Christian Bender,Mikko S. Pakkanen,Hasanjan Sayit

The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations

Hyong-chol O,Yong-hwa Ro,Ning Wan

Restructuring the "one-way CSA" counterparty risk in a CDO

Lorenzo Giada,Claudio Nordio

Seven Sins in Portfolio Optimization

Thomas Schmelzer,Raphael Hauser

Random Matrix Application to Correlations Among Volatility of Assets

Ajay Singh,Dinghai Xu

Convergence of the discrete variance swap in time-homogeneous di?usion models

Carole Bernard,Zhenyu Cui,Don McLeish

Arbitrage-Free Pricing Before and Beyond Probabilities

Louis Paulot

Power identities for Lévy risk models under taxation and capital injections

Hansjoerg Albrecher,Jevgenijs Ivanovs

Asymptotic Glosten Milgrom equilibrium

Cheng Li,Hao Xing

Multiscale Stochastic Volatility Model for Derivatives on Futures

Jean-Pierre Fouque,Yuri F. Saporito,Jorge P. Zubelli

Functional Ito Calculus, Path-dependence and the Computation of Greeks

Samy Jazaerli,Yuri F. Saporito

Multiagent's model of stock market with p-adic description of prices

Viktor Zharkov

Option Pricing with Lie Symmetry Analysis and Similarity Reduction Method

Wenqing Bao,ChunLi Chen,Jin E. Zhang

Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets

Benjamin Myers,Austin Gerig

The multiplex structure of interbank networks

Leonardo Bargigli,Giovanni di Iasio,Luigi Infante,Fabrizio Lillo,Federico Pierobon

A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization

Idris Kharroubi,Nicolas Langrené,Huyên Pham

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