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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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Optimal Liquidation Strategies Regularize Portfolio Selection

Fabio Caccioli,Susanne Still,Matteo Marsili,Imre Kondor

Managing Derivative Exposure

Ulrich Kirchner

Fractional smoothness and applications in finance

Stefan Geiss,Emmanuel Gobet

Simple Fuzzy Score for Russian Public Companies Risk of Default

Sergey Ivliev

A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery

Yadong Li

Wealth distribution: To be or not to be a Gamma?

Mehdi Lallouache,Aymen Jedidi,Anirban Chakraborti

Convergence of Income Growth Rates in Evolutionary Agent-Based Economics

Volker Nannen

American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations

Yu. A. Kuperin,P. A. Poloskov

Analytical and Numerical Approaches to Pricing the Path-Dependent Options with Stochastic Volatility

Yu. A. Kuperin,P. A. Poloskov

About the Justification of Experience Rating: Bonus Malus System and a new Poisson Mixture Model

Magda Schiegl

Capital allocation for credit portfolios under normal and stressed market conditions

Norbert Jobst,Dirk Tasche

Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations

Nikolaus Rab,Richard Warnung

Asset pricing with random information flow

Dorje C. Brody,Yan Tai Law

Perpetual Cancellable American Call Option

Thomas J. Emmerling

Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

J. E. Figueroa-López,R. Gong,C. Houdré

Transaction fees and optimal rebalancing in the growth-optimal portfolio

Yu Feng,Matus Medo,Liang Zhang,Yi-Cheng Zhang

Connecting discrete and continuous lookback or hindsight options in exponential Lévy models

El Hadj Aly Dia,Damien Lamberton

On the nature of financial leverage

Yaroslav Ivanenko

On the Savety Loading for Chain Ladder Estimates: A Monte Carlo Simulation Study

Magda Schiegl

Error bounds for small jumps of Lévy processes

El Hadj Aly Dia

How sensitive are equilibrium pricing models to real-world distortions?

Harbir Lamba

Semi-Closed Form Cubature and Applications to Financial Diffusion Models

Christian Bayer,Peter Friz,Ronnie Loeffen

Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades

Chris Kenyon

Incomplete Continuous-time Securities Markets with Stochastic Income Volatility

Peter Ove Christensen,Kasper Larsen

Large systems of diffusions interacting through their ranks

Mykhaylo Shkolnikov

Path Integral and Asian Options

Peng Zhang

Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios

William T. Shaw

Analysis of the sensitivity to discrete dividends : A new approach for pricing vanillas

Arnaud Gocsei,Fouad Sahel

Statistical mechanics of money, debt, and energy consumption

Victor M. Yakovenko

Maximum penalized quasi-likelihood estimation of the diffusion function

Jeff Hamrick,Yifei Huang,Constantinos Kardaras,Murad Taqqu

Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant

Yong-Ping Ruan,Wei-Xing Zhou

Normalization for Implied Volatility

Masaaki Fukasawa

BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences

？ukasz Delong

Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions

Ljudmila A. Bordag,Anna Mikaelyan

Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation

Gareth W. Peters,Balakrishnan B. Kannan,Ben Lasscock,Chris Mellen,Simon Godsill

Modeling total expenditure on warranty claims

Abhimanyu Mitra,Sidney I. Resnick

Intraday Patterns in the Cross-section of Stock Returns

Steven L. Heston,Robert A. Korajczyk,Ronnie Sadka

The Financial Bubble Experiment: Advanced Diagnostics and Forecasts of Bubble Terminations Volume II-Master Document

Didier Sornette,Ryan Woodard,Maxim Fedorovsky,Stefan Reimann,Hilary Woodard,Wei-Xing Zhou

Moment Explosion in the LIBOR Market Model

Stefan Gerhold

Is an historical economic crisis upcoming?

Caglar Tuncay

Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game

Yu. A. Kuperin,M. M. Morozova

No-arbitrage of second kind in countable markets with proportional transaction costs

Bruno Bouchard,Erik Taflin

Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes

Jiro Akahori,Andrea Macrina

Pricing of barrier options by marginal functional quantization

Abass Sagna

Volatilities That Change with Time: The Temporal Behavior of the Distribution of Stock-Market Prices

Achilles D. Speliotopoulos

The fractional volatility model: No-arbitrage, leverage and risk measures

R. Vilela Mendes,Maria Jo？o Oliveira

Log-Periodic Oscillation Analysis and Possible Burst of the "Gold Bubble" in April - June 2011

Sergey V. Tsirel,Askar Akaev,Alexey Fomin,Andrey V. Korotayev

Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets

Alex Langnau,Daniel Cangemi

Equilibrium notions and framing effects

Christian Hilbe

Size-Dependency of Income Distributions and Its Implications

Jiang Zhang,You-Gui Wang

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