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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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Quantized Interest Rate at the Money for American Options
L. M. Dieng
Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]
Amparo Baillo
Backbone of complex networks of corporations: The flow of control
J. B. Glattfelder
,
S. Battiston
A Paradigm Shift from Production Function to Production Copula: Statistical Description of Production Activity of Firms
H. Iyetomi
,
H. Aoyama
,
Y. Fujiwara
,
Y. Ikeda
,
W. Souma
Mechanical Model of Personal Income Distribution
Ivan O. Kitov
Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets
Lampros Boukas
,
Diogo Pinheiro
,
Alberto Pinto
,
Stylianos Xanthopoulos
,
Athanasios Yannacopoulos
What is the best firm size to invest?
Ivan O. Kitov
Statistical analysis of the overnight and daytime return
Fengzhong Wang
,
Shwu-Jane Shieh
,
Shlomo Havlin
,
H. Eugene Stanley
Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool
Richard B. Sowers
The Transfer Pricing Problem with Non-Linearities
S. Zverovich
The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions
P. V. Shevchenko
,
M. V. Wüthrich
The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions
Dominik D. Lambrigger
,
Pavel V. Shevchenko
,
Mario V. Wüthrich
A "Toy" Model for Operational Risk Quantification using Credibility Theory
Hans Bühlmann
,
Pavel V. Shevchenko
,
Mario V. Wüthrich
Implementing Loss Distribution Approach for Operational Risk
Pavel V. Shevchenko
Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
P. V. Shevchenko
Model uncertainty in claims reserving within Tweedie's compound Poisson models
Gareth W. Peters
,
Pavel V. Shevchenko
,
Mario V. Wüthrich
Statistical thermodynamics of economic systems
H. Quevedo
,
M. N. Quevedo
Computing Tails of Compound Distributions Using Direct Numerical Integration
Xiaolin Luo
,
Pavel V. Shevchenko
Vanna-Volga methods applied to FX derivatives : from theory to market practice
Frédéric Bossens
,
Grégory Rayée
,
Nikos S. Skantzos
,
Griselda Deelstra
Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation
Sovan Mitra
Does economics need a scientific revolution?
Ivan O. Kitov
Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses
Josep J. Masdemont
,
Luis Ortiz-Gracia
Minimizing the expected market time to reach a certain wealth level
Constantinos Kardaras
,
Eckhard Platen
Implied Correlation for Pricing multi-FX options
Pavel V. Shevchenko
Collective firm bankruptcies and phase transition in rating dynamics
Pawe？ Sieczka
,
Janusz A. Ho？yst
A quantum statistical approach to simplified stock markets
Fabio Bagarello
Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme
Tetsuya Takaishi
A stochastic reachability approach to portfolio construction in finance industry
Giordano Pola
,
Gianni Pola
Heterogeneous Beliefs with Partial Observations
A. A. Brown
Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
Louis Paulot
Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior
David Morton de Lachapelle
,
Damien Challet
Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks
Victor Chernozhukov
,
Ivan Fernandez-Val
A Guide to Modeling Credit Term Structures
Arthur M. Berd
Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures
Arthur M. Berd
,
Roy Mashal
,
Peili Wang
Temporal structure and gain/loss asymmetry for real and artificial stock indices
Johannes Vitalis Siven
,
Jeffrey Todd Lins
Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
Damiano Brigo
,
Marco Tarenghi
Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
Damiano Brigo
,
Marco Tarenghi
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
Damiano Brigo
,
Massimo Morini
,
Marco Tarenghi
Tails of correlation mixtures of elliptical copulas
Hans Manner
,
Johan Segers
Dynamic Estimation of Credit Rating Transition Probabilities
Arthur M. Berd
Optimal systems of subalgebras for a nonlinear Black-Scholes equation
Maxim Bobrov
Climbing Down from the Top: Single Name Dynamics in Credit Top Down Models
Igor Halperin
,
Pascal Tomecek
Analytical Framework for Credit Portfolios. Part I: Systematic Risk
Mikhail Voropaev
Discrete-Time Interest Rate Modelling
Lane P. Hughston
,
Andrea Macrina
Nonparametric methods for volatility density estimation
Bert van Es
,
Peter Spreij
,
Harry van Zanten
Financial Applications of Random Matrix Theory: a short review
J. P. Bouchaud
,
M. Potters
Statistical mixing and aggregation in Feller diffusion
Celia Anteneodo
,
Silvio M. Duarte Queiros
State price density estimation via nonparametric mixtures
Ming Yuan
Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
Igor Halperin
Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
Fulvio Baldovin
,
Dario Bovina
,
Francesco Camana
,
Attilio L. Stella
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