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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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The International-Trade Network: Gravity Equations and Topological Properties

Giorgio Fagiolo

A policyholder's utility indifference valuation model for the guaranteed annuity option

Matheus R Grasselli,Sebastiano Silla

Statistical Signatures in Times of Panic: Markets as a Self-Organizing System

Lisa Borland

Most Efficient Homogeneous Volatility Estimators

A. Saichev,D. Sornette,V. Filimonov

Second Order Risk

Peter G. Shepard

Continuously monitored barrier options under Markov processes

Aleksandar Mijatovic,Martijn Pistorius

Leverage Causes Fat Tails and Clustered Volatility

Stefan Thurner,J. Doyne Farmer,John Geanakoplos

Market impact and trading profile of large trading orders in stock markets

Esteban Moro,Javier Vicente,Luis G. Moyano,Austin Gerig,J. Doyne Farmer,Gabriella Vaglica,Fabrizio Lillo,Rosario N. Mantegna

Portfolio Optimization Under Uncertainty

Alex Dannenberg

A queueing theory description of fat-tailed price returns in imperfect financial markets

H. Lamba

Correlation breakdown, copula credit default models and arbitrage

Rodanthy Tzani,Alexios P. Polychronakos

Global risk minimization in financial markets

Andreas Martin Lisewski

Gauge Invariance, Geometry and Arbitrage

Samuel E. Vazquez,Simone Farinelli

Strict Local Martingale Deflators and Pricing American Call-Type Options

Erhan Bayraktar,Constantinos Kardaras,Hao Xing

Regularizing Portfolio Optimization

Susanne Still,Imre Kondor

The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations

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

Optimal investment with inside information and parameter uncertainty

Albina Danilova,Michael Monoyios,Andrew Ng

A Coupled Markov Chain Approach to Credit Risk Modeling

David Wozabal,Ronald Hochreiter

Financial Atoms and Molecules

Yik Wen Goo,Tong Wei Lian,Wei Guang Ong,Wen Ting Choi,Siew-Ann Cheong

GARCH options via local risk minimization

Juan-Pablo Ortega

The Problem of Modeling of Economic Dynamics

S. I. Chernyshov,A. V. Voronin,S. A. Razumovsky

Credit risk modeling using time-changed Brownian motion

T. R. Hurd

Regime Switching Stochastic Volatility with Perturbation Based Option Pricing

Sovan Mitra

An extension of Davis and Lo's contagion model

Didier Rullière,Diana Dorobantu,Areski Cousin

A Review of Volatility and Option Pricing

Sovan Mitra

Modeling operational risk data reported above a time-varying threshold

Pavel V. Shevchenko,Grigory Temnov

Local Risk Decomposition for High-frequency Trading Systems

M. Bartolozzi,C. Mellen

Estimation of Operational Risk Capital Charge under Parameter Uncertainty

Pavel V. Shevchenko

An example of a stochastic equilibrium with incomplete markets

Gordan Zitkovic

Scaling and memory in the return intervals of realized volatility

Fei Ren,Gao-Feng Gu,Wei-Xing Zhou

The price impact of order book events: market orders, limit orders and cancellations

Zoltan Eisler,Jean-Philippe Bouchaud,Julien Kockelkoren

Perturbation theory in a pure exchange non-equilibrium economy

Samuel E. Vazquez,Simone Severini

Simplified stock markets described by number operators

F. Bagarello

The (unfortunate) complexity of the economy

Jean-Philippe Bouchaud

Preferences Yielding the "Precautionary Effect"

Michel De Lara

A note on heterogeneous beliefs with CRRA utilities

A. A. Brown

Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates

Denis Belomestny

The Chinese Equity Bubble: Ready to Burst

K. Bastiaensen,P. Cauwels,D. Sornette,R. Woodard,W. -X. Zhou

Systemic Risk in a Unifying Framework for Cascading Processes on Networks

Jan Lorenz,Stefano Battiston,Frank Schweitzer

The premium of dynamic trading

Chun Hung Chiu,Xun Yu Zhou

Universal patterns of inequality

Anand Banerjee,Victor M. Yakovenko

A Markovian Model Market - Akerlof's Lemmons and the Asymmetry of Information

Paulo F. C. Tilles,Fernando F. Ferreira,Gerson Francisco,Carlos de B. Pereira,Flavia Mori Sarti

The StressVaR: A New Risk Concept for Superior Fund Allocation

Cyril Coste,Raphael Douady,Ilija I. Zovko

A Fourier transform method for spread option pricing

T. R. Hurd,Zhuowei Zhou

Monitoring dates of maximal risk

Erick Trevino Aguilar

Scale Invariance, Bounded Rationality and Non-Equilibrium Economics

Samuel E. Vazquez

Mapping markets to the statistical mechanics: the derivatives act against the self-regulation of stock market

David B. Saakian

Optimal leverage from non-ergodicity

Ole Peters

The role of a matchmaker in buyer-vendor interactions

Linyuan Lü,Matus Medo,Yi-Cheng Zhang

T-Systems and the lower Snell envelope

Erick Trevino Aguilar

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