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OALib Journal期刊
ISSN: 2333-9721
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Quantitative Finance
ISSN Print:
ISSN Online:
主页:
http://arxiv.org/archive/q-fin
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Do your volatility smiles take care of extreme events?
L. Spadafora
,
G. P. Berman
,
F. Borgonovi
Optimal consumption and investment in incomplete markets with general constraints
Patrick Cheridito
,
Ying Hu
Heath-Jarrow-Morton-Musiela equation with linear volatility
Michal Barski
,
Jerzy Zabczyk
Quantile hedging for multiple assets derivatives
Michal Barski
Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses?
Gareth W. Peters
,
Aaron D. Byrnes
,
Pavel V. Shevchenko
Optimal investment policy and dividend payment strategy in an insurance company
Pablo Azcue
,
Nora Muler
Stock loans in incomplete markets
Matheus R. Grasselli
,
Cesar G. Velez
A Random Matrix Approach to VARMA Processes
Zdzis？aw Burda
,
Andrzej Jarosz
,
Maciej A. Nowak
,
Ma？gorzata Snarska
Adaptive financial networks with static and dynamic thresholds
Tian Qiu
,
Bo Zheng
,
Guang Chen
Order flow dynamics around extreme price changes on an emerging stock market
Guo-Hua Mu
,
Wei-Xing Zhou
,
Wei Chen
,
Janos Kertesz
Sensitivity of the Performance of a Simple Exchange Model to its Topology
Vitus J. Leung
,
Randall A. LaViolette
Large-volatility dynamics in financial markets
X. F. Jiang
,
B. Zheng
,
J. Shen
Cross-Correlation Dynamics in Financial Time Series
Thomas Conlon
,
Heather J. Ruskin
,
Martin Crane
Statistical properties of agent-based models in markets with continuous double auction mechanism
Jie-Jun Tseng
,
Chih-Hao Lin
,
Chih-Ting Lin
,
Sun-Chong Wang
,
Sai-Ping Li
The Gompertz-Pareto Income Distribution
F. Chami Figueira
,
N. J. Moura Jr
,
Marcelo B. Ribeiro
Fifteen Years of Econophysics Research
Bikas K. Chakrabarti
,
Anirban Chakraborti
How to predict and avert economic crisis
Yong Tao
Sequential Monte Carlo pricing of American-style options under stochastic volatility models
Bhojnarine R. Rambharat
,
Anthony E. Brockwell
FX Smile in the Heston Model
Agnieszka Janek
,
Tino Kluge
,
Rafal Weron
,
Uwe Wystup
An Efficient, Distributable, Risk Neutral Framework for CVA Calculation
Dongsheng Lu
,
Frank Juan
Competitive market for multiple firms and economic crisis
Yong Tao
Statistical properties of derivatives: a journey in term structures
Delphine Lautier
,
Franck Raynaud
On low-sampling-rate Kramers-Moyal coefficients
C. Anteneodo
,
S. M. Duarte Queiros
Do price and volatility jump together?
Jean Jacod
,
Viktor Todorov
Market panic on different time-scales
Lisa Borland
,
Yoan Hassid
On detecting the dependence of time series
Nikolai Dokuchaev
Brownian markets
R. Tsekov
Statistical Properties of Cross-Correlation in the Korean Stock Market
Gabjin Oh
,
Cheoljun Eom
,
Fengzhong Wang
,
Woo-Sung Jung
,
H. Eugene Stanley
,
Seunghwan Kim
On Calibrating Stochastic Volatility Models with time-dependent Parameters
Wolfgang Putschoegl
Information-based models for finance and insurance
Edward Hoyle
A time before which insiders would not undertake risk
Constantinos Kardaras
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Markus Rei？
Utilisation des méthodes de Lee-Carter et Log-Poisson pour l'ajustement de tables de mortalité dans le cas de petits échantillons
Frédéric Planchet
,
Vincent Lelieur
Does Security Transaction Volume-Price Behavior Resemble a Probability Wave?
Leilei Shi
Absolute ruin in the Ornstein-Uhlenbeck type risk model
Ronnie L. Loeffen
,
Pierre Patie
Estimating correlation and covariance matrices by weighting of market similarity
Michael C. Münnix
,
Rudi Sch？fer
,
Oliver Grothe
Investigating Causal Relationships in Stock Returns with Temporal Logic Based Methods
Samantha Kleinberg
,
Petter N. Kolm
,
Bud Mishra
Business fluctuations in a credit-network economy
Domenico Delli Gatti
,
Mauro Gallegati
,
Bruce Greenwald
,
Alberto Russo
,
Joseph E. Stiglitz
Interest-Rate Modeling with Multiple Yield Curves
Andrea Pallavicini
,
Marco Tarenghi
Recovery Rates in investment-grade pools of credit assets: A large deviations analysis
Konstantinos Spiliopoulos
,
Richard B. Sowers
Optimizing a basket against the efficient market hypothesis
Frédéric Abergel
,
Mauro Politi
Modelling savings behavior of agents in the kinetic exchange models of market
Anindya S. Chakrabarti
Scaling and multiscaling in financial series: a simple model
Alessandro Andreoli
,
Francesco Caravenna
,
Paolo Dai Pra
,
Gustavo Posta
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model
Leunglung Chan
,
Eckhard Platen
Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture
Archil Gulisashvili
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
Jean-Pierre Fouque
,
Matthew Lorig
Optimal closing of a pair trade with a model containing jumps
Stig Larsson
,
Carl Lindberg
,
Marcus Warfheimer
Fractional processes as models in stochastic finance
Christian Bender
,
Tommi Sottinen
,
Esko Valkeila
Schizophrenic Representative Investors
Philip Z. Maymin
Convenient Multiple Directions of Stratification
Benjamin Jourdain
,
Bernard Lapeyre
,
Piergiacomo Sabino
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