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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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Any Regulation of Risk Increases Risk

Philip Z. Maymin,Zakhar G. Maymin

Variance dispersion and correlation swaps

Antoine Jacquier,Saad Slaoui

WARNING: Physics Envy May Be Hazardous To Your Wealth!

Andrew W. Lo,Mark T. Mueller

Computational LPPL Fit to Financial Bubbles

Vincenzo Liberatore

Explicit solutions for the exit problem for a class of Lévy processes. Applications to the pricing of double barrier options

Sonia Fourati

Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae

Daniel T. Cassidy,Michael J. Hamp,Rachid Ouyed

Complex stock trading network among investors

Zhi-Qiang Jiang,Wei-Xing Zhou

Nonuniversal distributions of stock returns in an emerging market

Guo-Hua Mu,Wei-Xing Zhou

Statistical identification with hidden Markov models of large order splitting strategies in an equity market

Gabriella Vaglica,Fabrizio Lillo,Rosario N. Mantegna

"Market making" behaviour in an order book model and its impact on the bid-ask spread

Ioane Muni Toke

S&P 500 returns revisited

Ivan O. Kitov,Oleg I. Kitov

Overview of utility-based valuation

David German

Multivariate heavy-tailed models for Value-at-Risk estimation

Carlo Marinelli,Stefano d'Addona,Svetlozar T. Rachev

An Econophysics Model for the Currency Exchange with Commission

Ion Spanulescu,Victor A. Stoica,Ion Popescu

Some Remarks on T-copulas

Volf Frishling,David G Maher

Insuring against loss of evidence in game-theoretic probability

A. Philip Dawid,Steven de Rooij,Glenn Shafer,Alexander Shen,Nikolai Vereshchagin,Vladimir Vovk

Robust maximization of asymptotic growth

Constantinos Kardaras,Scott Robertson

Random Matrix Theory and Fund of Funds Portfolio Optimisation

Thomas Conlon,Heather J. Ruskin,Martin Crane

Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look

Hassan Allouba,Victor Goodman

Crude oil and motor fuel: Fair price revisited

Ivan O. Kitov,Oleg I. Kitov

Two-sided estimates for stock price distribution densities in jump-diffusion models

Archil Gulisashvili,Josep Vives

GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries

Periklis Gogas,Ioannis Pragidis

On the fractional Black-Scholes market with transaction costs

Ehsan Azmoodeh

An empirical study of the tails of mutual fund size

Yonathan Schwarzkopf,J. Doyne Farmer

Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems

Baojun Bian,Sheng Miao,Harry Zheng

Robust and Adaptive Algorithms for Online Portfolio Selection

Theodoros Tsagaris,Ajay Jasra,Niall Adams

Inequality reversal: effects of the savings propensity and correlated returns

Anindya S. Chakrabarti,Bikas K. Chakrabarti

A discussion of stock market speculation by Pierre-Joseph Proudhon

Jean-Claude Juhel,Dominique Dufour

On information efficiency and financial stability

Fabio Caccioli,Matteo Marsili

Rough paths in idealized financial markets

Vladimir Vovk

Universal Fluctuations of AEX index

Rui Gon？alves,Helena Ferreira,Alberto Pinto

Universal Fluctuations of the FTSE100

Rui Gon？alves,Helena Ferreira,Alberto Pinto

Characteristics of Real Futures Trading Networks

Junjie Wang,Shuigeng Zhou,Jihong Guan

Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection

Jianqing Fan,Yingying Li,Ke Yu

Sequences of Arbitrages

Victor Kozyakin,Brian O'Callaghan,Alexei Pokrovskii

Modelling Information Flows in Financial Markets

Dorje C. Brody,Lane P. Hughston,Andrea Macrina

Valuation equations for stochastic volatility models

Erhan Bayraktar,Constantinos Kardaras,Hao Xing

Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading

Vladimir Nikulin

Valuation Bound of Tranche Options

Yadong Li,Ariye Shater

A Top-down Model for Cash CLO

Yadong Li,Ziyu Zheng

Consistent Valuation of Bespoke CDO Tranches

Yadong Li

Chain ladder method: Bayesian bootstrap versus classical bootstrap

Gareth W. Peters,Mario V. Wüthrich,Pavel V. Shevchenko

Results on numerics for FBSDE with drivers of quadratic growth

Peter Imkeller,Gon？alo dos Reis,Jianing Zhang

Asymptotic analysis for stochastic volatility: Edgeworth expansion

Masaaki Fukasawa

A maximum principle for forward-backward stochastic Volterra integral equations and applications in finance

Tianxiao Wang,Yufeng Shi

Fast Correlation Greeks by Adjoint Algorithmic Differentiation

Luca Capriotti,Mike Giles

Limit Theorems for Partial Hedging Under Transaction Costs

Yan Dolinsky

Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model

Yan Dolinsky

Error Estimates for Multinomial Approximations of American Options in Merton's Model

Yan Dolinsky

When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators

Ester Pantaleo,Michele Tumminello,Fabrizio Lillo,Rosario N. Mantegna

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