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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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We've walked a million miles for one of these smiles

L. De Leo,V. Vargas,S. Ciliberti,J. -P. Bouchaud

Evolutionary Model of the Personal Income Distribution

Joachim Kaldasch

From Nuclear Reactions to High-Frequency Trading: an R-function Approach

Frank W. K. Firk

Implied Probability Measures of Volatility

Carlos Fuertes,Andrew Papanicolaou

The Wishart short rate model

Alessandro Gnoatto

Using Decision Tree Learner to Classify Solvency Position for Thai Non-life Insurance Companies

Phaiboon Jhongpita,Sukree Sinthupinyo,Thitivadee Chaiyawat

Bounds for rating override rates

Dirk Tasche

Large deviations for the extended Heston model: the large-time case

Antoine Jacquier,Aleksandar Mijatovic

Implied volatility formula of European Power Option Pricing

Jingwei Liu,Xing Chen

Empirical Evidence for the Structural Recovery Model

Alexander Becker,Alexander F. R. Koivusalo,Rudi Sch？fer

Capital requirements with defaultable securities

Walter Farkas,Pablo Koch-Medina,Cosimo Munari

Eigenvector dynamics: general theory and some applications

Romain Allez,Jean-Philippe Bouchaud

Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias

José E. Figueroa-López,Peter Tankov

Ordinal Classification Method for the Evaluation Of Thai Non-life Insurance Companies

Phaiboon Jhonpita,Sukree Sinthupinyo,Thitivadee Chaiyawat

Percentiles of sums of heavy-tailed random variables: Beyond the single-loss approximation

Lorenzo Hernández,Jorge Tejero,Alberto Suárez,Santiago Carrillo-Menéndez

Maximum likelihood approach for several stochastic volatility models

Jordi Camprodon,Josep Perelló

Counterparty Risk Valuation: A Marked Branching Diffusion Approach

Pierre Henry-Labordere

Quantile Mechanics 3: Series Representations and Approximation of some Quantile Functions appearing in Finance

Asad Munir,William Shaw

The maximum maximum of a martingale with given n marginals

Pierre Henry-Labordere,Jan Obloj,Peter Spoida,Nizar Touzi

Heavy-Tail Distribution from Correlation of Discrete Stochastic Process

Jongwook Kim,Teppei Okumura

Libor model with expiry-wise stochastic volatility and displacement

Marcel Ladkau,John G. M. Schoenmakers,Jianing Zhang

Optimal simulation schemes for Lévy driven stochastic differential equations

Arturo Kohatsu-Higa,Salvador Ortiz-Latorre,Peter Tankov

On Pricing Basket Credit Default Swaps

Jia-Wen Gu,Wai-Ki Ching,Tak-Kuen Siu,Harry Zheng

Description of the Operational Mechanics of a Basel Regulated Banking System

Jacky Mallett

Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance

Michael B. Giles,Christoph Reisinger

Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods

Jan Baldeaux,Eckhard Platen

Equivalence of interest rate models and lattice gases

Dan Pirjol

Efficient Discretization of Stochastic Integrals

Masaaki Fukasawa

Double Exponential Instability of Triangular Arbitrage Systems

Rod Cross,Victor Kozyakin

A proposal for impact-adjusted valuation: Critical leverage and execution risk

Fabio Caccioli,Jean-Philippe Bouchaud,J. Doyne Farmer

The potential approach in practice

Tino Kluge,L. C. G. Rogers

Arbitrage-free SVI volatility surfaces

Jim Gatheral,Antoine Jacquier

The monetary growth order

Günter von Kiedrowski,E？rs Szathmáry

Pricing Variable Annuity Guarantees in a Local Volatility framework

Griselda Deelstra,Grégory Rayée

Heat kernel methods in finance: the SABR model

Carmelo Vaccaro

Smiles all around: FX joint calibration in a multi-Heston model

Alvise De Col,Alessandro Gnoatto,Martino Grasselli

On the concentration of large deviations for fat tailed distributions, with application to financial data

Mario Filiasi,Giacomo Livan,Matteo Marsili,Maria Peressi,Erik Vesselli,Elia Zarinelli

Econophysics of a religious cult: the Antoinists in Belgium [1920-2000]

Marcel R. Ausloos

Determinants of immediate price impacts at the trade level in an emerging order-driven market

Wei-Xing Zhou

Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis

Lukas Vacha,Jozef Barunik

On Hurst exponent estimation under heavy-tailed distributions

Jozef Barunik,Ladislav Kristoufek

Modeling electricity spot prices using mean-reverting multifractal processes

Martin Rypdal,Ola L？vsletten

Asymmetric correlation matrices: an analysis of financial data

Giacomo Livan,Luca Rebecchi

Dynamical fluctuations in a simple housing market model

Rémi Lemoy,Eric Bertin

Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity

Ladislav Kristoufek

Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook

Valeriy Zakamulin

UPDATE February 2012 - The Food Crises: Predictive validation of a quantitative model of food prices including speculators and ethanol conversion

Marco Lagi,Yavni Bar-Yam,Karla Z. Bertrand,Yaneer Bar-Yam

A new look at short-term implied volatility in asset price models with jumps

Aleksandar Mijatovi？,Peter Tankov

The financial framework of the sustainability of health universal coverage in Italy. A quantitative financial model for the assessment of the italian stability and reform program of public health financing

Stefano Olgiati,Alessandro Danovi

Entangled Economy: an ecosystems approach to modeling systemic level dynamics

Juan David Robalino,Henrik Jeldtoft Jensen

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