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Quantitative Finance

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主页: http://arxiv.org/archive/q-fin

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The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions

Sergio Pulido

A unified approach to determining the early exercise boundary position at expiry for American style of general class of derivatives

Tomas Bokes

The Impossible Trio in CDO Modeling

Emmanuel Schertzer,Yadong Li,Umer Khan

Punctuated Equilibrium and Power Law in Economic Dynamics

Abhijit Kar Gupta

An statistical analysis of stratification and inequity in the income distribution

Juan C. Ferrero

Preliminaries to an investigation of reduced product set finance

J. A. Bergstra,C. A. Middelburg

Fundamental and Real-World Challenges in Economics

Dirk Helbing,Stefano Balietti

Fully Flexible Views: Theory and Practice

Attilio Meucci

The economic default time and the Arcsine law

Xin Guo,Robert A Jarrow,Adrien de Larrard

Robust Estimation of Operational Risk

Nataliya Horbenko,Peter Ruckdeschel,Taehan Bae

Insider Trading in the Market with Rational Expected Price

Fuzhou Gong,Deqing Zhou

Testing the Capital Asset Pricing Model (CAPM) on the Uganda Stock Exchange

David Wakyiku

Zipf's law and maximum sustainable growth

Y. Malevergne,A. Saichev,D. Sornette

Accounting for risk of non linear portfolios: a novel Fourier approach

Giacomo Bormetti,Valentina Cazzola,Danilo Delpini,Giacomo Livan

The nature of price returns during periods of high market activity

Khalil al Dayri,Emmanuel Bacry,Jean-Francois Muzy

A Mathematical Approach to Order Book Modeling

Frederic Abergel,Aymen Jedidi

Hermitian and non-Hermitian covariance estimators for multivariate Gaussian and non-Gaussian assets from random matrix theory

Andrzej Jarosz

Morse Potential, Contour Integrals, and Asian Options

Peng Zhang

Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions

Rudra P. Jena,Kyoung-Kuk Kim,Hao Xing

A Subjective and Probabilistic Approach to Derivatives

Ulrich Kirchner

Diverse Beliefs

Angus A Brown,L C G Rogers

Consistency properties of a simulation-based estimator for dynamic processes

Manuel S. Santos

Mesure de l'incertitude tendancielle sur la mortalité ? application à un régime de rentes

Frédéric Planchet,Marc Juillard

Martingale representation for Poisson processes with applications to minimal variance hedging

Guenter Last,Mathew D. Penrose

A framework for adaptive Monte-Carlo procedures

Bernard Lapeyre,Jér？me Lelong

Is the minimum value of an option on variance generated by local volatility?

Mathias Beiglboeck,Peter Friz,Stephan Sturm

Asymptotics of the probability minimizing a "down-side" risk

Hiroaki Hata,Hideo Nagai,Shuenn-Jyi Sheu

Simulation de trajectoires de processus continus

Frédéric Planchet,Pierre-Emanuel Thérond

A comprehensive method for exotic option pricing

Rossella Agliardi

On refined volatility smile expansion in the Heston model

P. Friz,S. Gerhold,A. Gulisashvili,S. Sturm

Optimal Reversible Annuities to Minimize the Probability of Lifetime Ruin

Ting Wang,Virginia R. Young

Hidden Regular Variation: Detection and Estimation

Abhimanyu Mitra,Sidney I. Resnick

Allocation d'actifs selon le critère de maximisation des fonds propres économiques en assurance non-vie

Frédéric Planchet,Pierre-Emanuel Thérond

Dual Representation of Quasiconvex Conditional Maps

Marco Frittelli,Marco Maggis

Security Pricing with Information-Sensitive Discounting

Andrea Macrina,Priyanka A. Parbhoo

Mesure des risques de marché et de souscription vie en situation d'information incomplète pour un portefeuille de prévoyance

Jean-Paul Félix,Frédéric Planchet

Stochastic discount factors

Constantinos Kardaras

Multiscaled Cross-Correlation Dynamics in Financial Time-Series

Thomas Conlon,Heather J. Ruskin,Martin Crane

The impact of uncertainties on the pricing of contingent claims

Simone Scotti

Recovery Swaps

Arthur M. Berd

Analyzing the prices of the most expensive sheet iron all over the world: Modeling, prediction and regime change

Fu-Tie Song,Wei-Xing Zhou

Experimental evidence for the interplay between individual wealth and transaction network

Jie-Jun Tseng,Sai-Ping Li,Sun-Chong Wang

Econophysics on Real Economy -The First Decade of the Kyoto Econophysics Group-

Hideaki Aoyama,Yoshi Fujiwara,Yuichi Ikeda,Hiroshi Iyetomi,Wataru Souma

Wealth Distributions in Asset Exchange Models

P. L. Krapivsky,S. Redner

Econophysics: A new discipline

Sonia R. Bentes

Numerical methods for an optimal order execution problem

Fabien Guilbaud,Mohamed Mnif,Huyên Pham

Recent progress in random metric theory and its applications to conditional risk measures

Tiexin Guo

A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk

Luis H. R. Alvarez,Jani Sainio

Alarm System for Insurance Companies: A Strategy for Capital Allocation

Shubhabrata Das,Marie Kratz

A Dynamical Model for Forecasting Operational Losses

Marco Bardoscia,Roberto Bellotti

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