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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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A Numerical Scheme Based on Semi-Static Hedging Strategy

Yuri Imamura,Yuta Ishigaki,Takuya Kawagoe,Toshiki Okumura

Beyond cash-additive risk measures: when changing the numéraire fails

Walter Farkas,Pablo Koch-Medina,Cosimo Munari

Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework

A. Gabrielsen,P. Zagaglia,A. Kirchner,Z. Liu

Effective Trade Execution

Riccardo Cesari,Massimiliano Marzo,Paolo Zagaglia

Pricing joint claims on an asset and its realized variance under stochastic volatility models

Lorenzo Torricelli

Characterization of Differentiable Copulas

Saikat Mukherjee,Farhad Jafari,Jong-Min Kim

The Merton Problem with a Drawdown Constraint on Consumption

T. Arun

Fostering Project Scheduling and Controlling Risk Management

Abdul Razaque,Christian Bach,Nyembo salama,Aziz Alotaibi

Smooth Nonparametric Bernstein Vine Copulas

Gregor Wei？,Marcus Scheffer

Solvency assessment within the ORSA framework: issues and quantitative methodologies

Julien Vedani,Laurent Devineau

Uniqueness of Kusuoka Representations

Alois Pichler,Alexander Shapiro

A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving

Gareth W. Peters,Alice X. D. Dong,Robert Kohn

Counterparty Risk and Funding: The Four Wings of the TVA

Stéphane Crépey,Rémi Gerboud,Zorana Grbac,Nathalie Ngor

A New Kind of Finance

Philip Z. Maymin

Local Risk-Minimization under the Benchmark Approach

Francesca Biagini,Alessandra Cretarola,Eckhard Platen

Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method

Hideyuki Tanaka,Toshihiro Yamada

A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation

René A？d,Luciano Campi,Nicolas Langrené,Huyên Pham

A construction of (t,s)-sequences with finite-row generating matrices using global function fields

Roswitha Hofer,Harald Niederreiter

A New Trinomial Recombination Tree Algorithm and Its Applications

Peter C. L. Lin

Modeling Spatial Equilibrium in Cities: the Isobenefit Lines

Luca D'Acci

The beneficial role of random strategies in social and financial systems

Alessio Emanuele Biondo,Alessandro Pluchino,Andrea Rapisarda

Iterated Function Systems with Economic Applications

Shilei Wang

Coupled effects of market impact and asymmetric sensitivity in financial markets

Li-Xin Zhong,Wen-Juan Xu,Fei Ren,Yong-Dong Shi

The European debt crisis: Defaults and market equilibrium

Marco Lagi,Yaneer Bar-Yam

On Geometric Ergodicity of Skewed - SVCHARME models

Jerzy P. Rydlewski,Ma？gorzata Snarska

Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables

J. Martin van Zyl

Income distribution patterns from a complete social security database

N. Derzsy,Z. Neda,M. A. Santos

International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach

Mikio Ito,Akihiko Noda,Tatsuma Wada

Aftershock prediction for high-frequency financial markets' dynamics

Fulvio Baldovin,Francesco Camana,Michele Caraglio,Attilio L. Stella,Marco Zamparo

Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations

Ladislav Kristoufek

Heavy-tail driven by memory

Jongwook Kim,Gabjin Oh

Incorporating fat tails in financial models using entropic divergence measures

Santanu Dey,Sandeep Juneja

Global Inflation Dynamics: regularities & forecasts

Askar Akaev,Andrey Korotayev,Alexey Fomin

The Exact Smile of some Local Volatility Models

Matthew Lorig

A quantum mechanical model for the relationship between stock price and stock ownership

Liviu-Adrian Cotfas

A multi-agent nonlinear Markov model of the order book

Kirill Vaninsky,Stepan Myzuchka,Alexander Lukov

Yard-Sale exchange on networks: Wealth sharing and wealth appropriation

R. Bustos-Guajardo,Cristian F. Moukarzel

Distribution Of Wealth In A Network Model Of The Economy

Tao Ma,John G. Holden,R. A. Serota

Risk minimizing of derivatives via dynamic g-expectation and related topics

Tianxiao Wang

Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust

John Cotter,Stuart Gabriel,Richard Roll

Evolutionary Model of the Growth and Size of Firms

Joachim Kaldasch

Adaptive Execution: Exploration and Learning of Price Impact

Beomsoo Park,Benjamin Van Roy

Financial instability from local market measures

Marco Bardoscia,Giacomo Livan,Matteo Marsili

On the non-stationarity of financial time series: impact on optimal portfolio selection

Giacomo Livan,Jun-ichi Inoue,Enrico Scalas

European Option Pricing with Liquidity Shocks

Michael Ludkovski,Qunying Shen

Statistical Outliers and Dragon-Kings as Bose-Condensed Droplets

V. I. Yukalov,D. Sornette

Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices

Tomasz R. Bielecki,Igor Cialenco,Ismail Iyigunler,Rodrigo Rodriguez

Collateralized CVA Valuation with Rating Triggers and Credit Migrations

Tomasz R. Bielecki,Igor Cialenco,Ismail Iyigunler

From Risk Measures to Research Measures

Marco Frittelli,Ilaria Peri

A multivariate piecing-together approach with an application to operational loss data

Stefan Aulbach,Verena Bayer,Michael Falk

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