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Quantitative Finance Papers
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2009: Basic kinetic wealth-exchange models: common features and open problems
Marco Patriarca , Els Heinsalu and Anirban Chakraborti
2009: Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities
Nathalie Rey
2009: The StressVaR: A New Risk Concept for Superior Fund Allocation
Cyril Coste , Raphael Douady and Ilija . Zovko
2009: A Coupled Markov Chain approach to risk analysis of credit default swap index products
Ronald Hochreiter and David Wozabal
2009: On the Existence of Consistent Price Systems
Erhan Bayraktar and Hasanjan Sayit
2009: Utility maximization in models with conditionally independent increments
Jan Kallsen and Muhle-Karbe, Johannes
2009: Les G\'en\'erateurs de Sc\'enarios \'Economiques: quelle utilisation en assurance?
Alaeddine Faleh , Planchet, Fr\'ed\'eric and Rulli\`ere, Didier (Didier Rulliere )
2009: Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
Damiano Brigo , Andrea Pallavicini and Vasileios Papatheodorou
2009: Mutual Fund Theorem for continuous time markets with random coefficients
Nikolai Dokuchaev
2009: Optimal investment with inside information and parameter uncertainty
Albina Danilova , Michael Monoyios and Andrew Ng
2009: Financial crises and the evaporation of trust
Kartik Anand , Prasanna Gai and Matteo Marsili
2009: Sign and amplitude representation of the forex networks
Sylwia Gworek , Jaroslaw Kwapien and Stanislaw Drozdz
2009: Robust utility maximization for diffusion market model with misspecified coefficients
R. Tevzadze and T. Toronjadze
2009: Asymptotic formulae for implied volatility in the Heston model
Martin Forde , Antoine Jacquier and Aleksandar Mijatovic
2009: Coupling Index and Stocks
Benjamin Jourdain and Mohamed Sbai
2009: Bernstein processes, Euclidean Quantum Mechanics and Interest Rate Models
Paul Lescot
2009: Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times
Li Lin and Didier Sornette
2009: Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model
Vladimir G. Ivancevic
2009: Regularizing Portfolio Optimization
Susanne Still and Imre Kondor
2009: A Dynamic Model for Credit Index Derivatives
Louis Paulot
2009: Pricing Fixed-Income Securities in an Information-Based Framework
Lane P. Hughston and Andrea Macrina
2009: Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups
Hongzhong Zhang and Olympia Hadjiliadis
2009: Bonds with volatilities proportional to forward rates
Michal Baran and Jerzy Zabczyk
2009: Empirical asset pricing with nonlinear risk premia
Aleksandar Mijatovic and Paul Schneider
2009: Market Implied Probability Distributions and Bayesian Skew Estimation
Ulrich Kirchner
2009: Discrete-Time Interest Rate Modelling
Lane P. Hughston and Andrea Macrina
2009: A remark on Gatheral's 'most-likely path approximation' of implied volatility
Keller-Ressel, Martin and Josef Teichmann
2009: The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations
Didier Sornette , Maxim Fedorovsky , Stefan Reimann , Hilary Woodard , Ryan Woodard and Zhou, Wei-Xing
2009: Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models
Ernst Eberlein , Kathrin Glau and Antonis Papapantoleon
2009: Analytical Framework for Credit Portfolios. Part I: Systematic Risk
Mikhail Voropaev
2009: Optimal Stopping for Dynamic Convex Risk Measures
Erhan Bayraktar , Ioannis Karatzas and Song Yao
2009: World stock market: more sizeable trend reversal likely in February/March 2010
Stanislaw Drozdz and Pawel Oswiecimka
2009: Strict Local Martingale Deflators and Pricing American Call-Type Options
Erhan Bayraktar , Constantinos Kardaras and Hao Xing
2009: Credit Risk Premia and Quadratic Bsdes with a Single Jump
Stefan Ankirchner , Blanchet-Scalliet, Christophette and Eyraud-Loisel, Anne
2009: Weakly nonlinear analysis of the Hamilton-Jacobi-Bellman equation arising from pension savings management
Zuzana Macova and Daniel Sevcovic
2009: Num\'eraire-invariant preferences in financial modeling
Constantinos Kardaras
2009: Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
Damiano Brigo and Agostino Capponi
2009: Computation of VaR and CVaR using stochastic approximations and unconstrained importance sampling
Olivier Aj Bardou , Noufel Frikha and Pag\`es, G.
2009: Esscher transform and the duality principle for multidimensional semimartingales
Ernst Eberlein , Antonis Papapantoleon and Albert N. Shiryaev
2009: The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
Constantinos Kardaras
2009: On the semimartingale property of discounted asset-price processes
Constantinos Kardaras and Eckhard Platen
2009: Modeling interaction of trading volume in financial dynamics
F. Ren , B. Zheng and P. Chen
2009: Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control
Erhan Bayraktar and Virginia R. Young
2009: Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios
S. Mori , K. Kitsukawa and M. Hisakado
2009: Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis
Ljudmila A. Bordag
2009: Scaling and memory in the non-poisson process of limit order cancelation
Ni, Xiao-Hui , Jiang, Zhi-Qiang , Gu, Gao-Feng , Fei Ren , Wei Chen and Zhou, Wei-Xing
2009: Dual Quantization for random walks with application to credit derivatives
Pag\`es, Gilles and Benedikt Wilbertz
2009: Inf-convolution of G-expectations
Xuepeng Bai and Rainer Buckdahn
2009: Nonparametric methods for volatility density estimation
Bert van Es , Peter Spreij and Harry van Zanten
2009: Optimal partial hedging in a discrete-time market as a knapsack problem
Peter G. Lindberg
2009: A Heat Kernel Approach to Interest Rate Models
Jiro Akahori , Yuji Hishida , Josef Teichmann and Takahiro Tsuchiya
2009: Old and new approaches to LIBOR modeling
Antonis Papapantoleon
2009: Complex Systems: From Nuclear Physics to Financial Markets
J. Speth , S. Drozdz and F. Gruemmer
2009: Obstacle problem for Arithmetic Asian options
Laura Monti and Andrea Pascucci
2009: Exact Simulation of Bessel Diffusions
Roman N. Makarov and Devin Glew
2009: Admissible Strategies in Semimartingale Portfolio Selection
Sara Biagini and \v{C}ern\'y, Ale\v{s}
2009: Has the world economy reached its globalization limit?
Janusz Miskiewicz and Marcel Ausloos
2009: Hedging in an equilibrium-based model for a large investor
David German
2009: Compensating asynchrony effects in the calculation of financial correlations
M\"unnix, Michael C. , Sch\"afer, Rudi and Thomas Guhr
2009: Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
Igor Halperin
2009: Universal and nonuniversal allometric scaling behaviors in the visibility graphs of world stock market indices
Qian, Meng-Cen , Jiang, Zhi-Qiang and Zhou, Wei-Xing
2009: Multifractal analysis and instability index of prior-to-crash market situations
M. Piacquadio and F. O. Redelico
2009: Activity Dependent Branching Ratios in Stocks, Solar X-ray Flux, and the Bak-Tang-Wiesenfeld Sandpile Model
Elliot Martin , Amer Shreim and Maya Paczuski
2009: Risk Concentration and Diversification: Second-Order Properties
Matthias Degen , Dominik D. Lambrigger and Johan Segers
2009: Closed form asymptotics for local volatility models
Wen Cheng , Nick Costanzino , John Liechty , Anna Mazzucato and Victor Nistor
2009: BSDEs with random default time and their applications to default risk
Shige Peng and Xiaoming Xu
2009: Geometric Arbitrage Theory and Market Dynamics
Simone Farinelli
2009: State price density estimation via nonparametric mixtures
Ming Yuan
2009: Statistical mixing and aggregation in Feller diffusion
Celia Anteneodo and Silvio M. Duarte Queiros
2009: Financial Applications of Random Matrix Theory: a short review
J. P. Bouchaud and Marc Potters
2009: Optimal split of orders across liquidity pools: a stochastic algorithm approach
Sophie Laruelle , Lehalle, Charles-Albert and Pag\`es, Gilles
2009: A general "bang-bang" principle for predicting the maximum of a random walk
Pieter C. Allaart
2009: Joint Modelling of Gas and Electricity spot prices
Noufel Frikha and Vincent Lemaire
2009: Affine processes on positive semidefinite matrices
Christa Cuchiero , Filipovi\'c, Damir , Eberhard Mayerhofer and Josef Teichmann
2009: Wavelet Based Volatility Clustering Estimation of Foreign Exchange Rates
A. N. Sekar Iyengar
2009: Eroding market stability by proliferation of financial instruments
Fabio Caccioli , Matteo Marsili and Pierpaolo Vivo
2009: Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
Jiang, Zhi-Qiang , Zhou, Wei-Xing , Didier Sornette , Ryan Woodard , Ken Bastiaensen and Peter Cauwels
2009: The Multi-Network of International Trade: A Commodity-Specific Analysis
Matteo Barigozzi , Giorgio Fagiolo and Diego Garlaschelli
2009: The components of empirical multifractality in financial returns
Zhou, Wei-Xing
2009: The Structure and Growth of Weighted Networks
Massimo Riccaboni and Stefano Schiavo
2009: Continuous-time trading and the emergence of probability
Vladimir Vovk
2009: A long-range memory stochastic model of the return in financial markets
V. Gontis , J. Ruseckas and A. Kononovicius
2009: An Apology of money
Karl Svozil
2009: Calibration of transparency risks: a note
Jiro Akahori , Yuuki Kanishi and Yuichi Morimura
2009: Analysis of continuous strict local martingales via h-transforms
Soumik Pal and Philip Protter
2009: Financial heat machine
Andrei Khrennikov
2009: A Steady State Solution to a Mortgage Pricing Problem
Dejun Xie
2009: Stability analysis with applications of a two-dimensional dynamical system arising from a stochastic model of an asset market
Vladimir Belitsky , Antonio L. Pereira and Fernando P. de Almeida Prado
2009: Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models
Jacek Jakubowski and Maciej Wisniewolski
2009: Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
Wael Bahsoun , Igor V. Evstigneev and Michael . Taksar
2009: Defaultable bonds with an infinite number of Levy factors
Jacek Jakubowski and Mariusz Nieweglowski
2009: Weighted Trade Network in a Model of Preferential Bipartite Transactions
Abhijit Chakraborty and S. S. Manna
2009: A Generalized Fourier Transform Approach to Risk Measures
G. Bormetti , V. Cazzola , G. Livan , G. Montagna and O. Nicrosini
2009: Stock Market Trading Via Stochastic Network Optimization
Michael J. Neely
2009: The Building Blocks of Economic Complexity
Cesar A. Hidalgo and Ricardo Hausmann
2009: Utility Function and Optimum Consumption in the models with Habit Formation and Catching up with the Joneses
Roman Naryshkin and Matt Davison
2009: On the rates of convergence of simulation based optimization algorithms for optimal stopping problems
Denis Belomestny
2009: Schumpeterian economic dynamics as a quantifiable minimum model of evolution
Stefan Thurner , Peter Klimek and Rudolf Hanel
2009: Introduction into "Local Correlation Modelling"
Alex Langnau
2009: Optimal double stopping time
Magdalena Kobylanski , Quenez, Marie-Claire and Rouy-Mironescu, Elisabeth
2009: Modeling non-Markovian, nonstationary scaling dynamics
Fulvio Baldovin , Dario Bovina and Attilio L. Stella
2009: Dynamic risk indifference pricing in incomplete markets
Xavier De Scheemaekere
2009: Financial bubbles analysis with a cross-sectional estimator
Frederic Abergel , Nicolas Huth and Ioane Muni Toke
2009: Double Kernel estimation of sensitivities
Romuald Elie
2009: Generalized Integrands and Bond Portfolios: Pitfalls and Counter Examples
Erik Taflin
2009: Econophysics: Empirical facts and agent-based models
Anirban Chakraborti , Ioane Muni Toke , Marco Patriarca and Frederic Abergel
2009: The scale of market quakes
T. Bisig , A. Dupuis , V. Impagliazzo and R. B. Olsen
2009: Disentangling collective trends from local dynamics
Marc Barthelemy , Jean-Pierre Nadal and Henri Berestycki
2009: Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme
Tetsuya Takaishi
2009: Hidden Noise Structure and Random Matrix Models of Stock Correlations
Ivailo . Dimov , Petter N. Kolm , Lee Maclin and Dan Y. C. Shiber
2009: Optimal intervention in the foreign exchange market when interventions affect market dynamics
Alec N. Kercheval and Juan F. Moreno
2009: Recurrence interval analysis of high-frequency financial returns and its application to risk estimation
Fei Ren and Zhou, Wei-Xing
2009: Portfolio Optimization Under Uncertainty
Alex Dannenberg
2009: On the uniqueness of classical solutions of Cauchy problems
Erhan Bayraktar and Hao Xing
2009: Phenomenology of minority games in efficient regime
Karol Wawrzyniak and Wojciech Wislicki
2009: Variance-covariance based risk allocation in credit portfolios: analytical approximation
Mikhail Voropaev
2009: Collective firm bankruptcies and phase transition in rating dynamics
Sieczka, Pawe{\l} and Ho{\l}yst, Janusz A.
2009: Market viability via absence of arbitrages of the first kind
Constantinos Kardaras
2009: Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence
Erik Van der Straeten and Christian Beck
2009: Probability of Large Movements in Financial Markets
Robert Kitt , Maksim Sakki and Jaan Kalda
2009: Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon
Blanchet-Scalliet, Christophette , Eyraud-Loisel, Anne and Royer-Carenzi, Manuela
2009: Analysis of Fourier transform valuation formulas and applications
Ernst Eberlein , Kathrin Glau and Antonis Papapantoleon
2009: Fractional term structure models: No-arbitrage and consistency
Alberto Ohashi
2009: On the Stickiness Property
Erhan Bayraktar and Hasanjan Sayit
2009: Approximation of the distribution of a stationary Markov process with application to option pricing
Pag\`es, Gilles and Fabien Panloup
2009: Hybrid Atlas Models
Tomoyuki Ichiba , Vassilios Papathanakos , Adrian Banner , Ioannis Karatzas and Robert Fernholz
2009: A Computational View of Market Efficiency
Jasmina Hasanhodzic , Andrew W. Lo and Emanuele Viola
2009: Optimal reinsurance/investment problems for general insurance models
Yuping Liu and Jin Ma
2009: Correlation breakdown, copula credit default models and arbitrage
Rodanthy Tzani and Alexios P. Polychronakos
2009: Continuously monitored barrier options under Markov processes
Aleksandar Mijatovic and Martijn Pistorius
2009: A policyholder's utility indifference valuation model for the guaranteed annuity option
Matheus R Grasselli and Sebastiano Silla
2009: Gauge Invariance, Geometry and Arbitrage
Samuel E. Vazquez and Simone Farinelli
2009: Bayesian inference with an adaptive proposal density for GARCH models
Tetsuya Takaishi
2009: Second Order Risk
Peter G. Shepard
2009: The International-Trade Network: Gravity Equations and Topological Properties
Giorgio Fagiolo
2009: High order discretization schemes for stochastic volatility models
Benjamin Jourdain and Mohamed Sbai
2009: Most Efficient Homogeneous Volatility Estimators
A. Saichev , D. Sornette and V. Filimonov
2009: Leverage Causes Fat Tails and Clustered Volatility
Stefan Thurner , J. Doyne Farmer and John Geanakoplos
2009: Optimal execution of Portfolio transactions with geometric price process
Hernandez-del-Valle, Gerardo and Pacheco-Gonzalez, Carlos
2009: Selling a stock at the ultimate maximum
Jacques du Toit and Goran Peskir
2009: A queueing theory description of cascades in financial markets and fat-tailed price returns
H. Lamba
2009: Robust mean-variance hedging in the single period model
R. Tevzadze and T. Uzunashvili
2009: Global risk minimization in financial markets
Andreas Martin Lisewski
2009: 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 and Rosario N. Mantegna
2009: Statistical Signatures in Times of Panic: Markets as a Self-Organizing System
Lisa Borland
2009: Shaping tail dependencies by nesting box copulas
Christoph Hummel
2009: Scaling and memory in the return intervals of realized volatility
Fei Ren , Gu, Gao-Feng and Zhou, Wei-Xing
2009: A new approach for scenario generation in Risk management
Ortega, Juan-Pablo , Rainer Pullirsch , Josef Teichmann and Julian Wergieluk
2009: On Azema-Yor processes, their optimal properties and the Bachelier-Drawdown equation
Laurent Carraro , Nicole El Karoui and Jan Obloj
2009: Backbone of complex networks of corporations: The flow of control
J. B. Glattfelder and S. Battiston
2009: A model of returns for the post-credit-crunch reality: Hybrid Brownian motion with price feedback
William T. Shaw
2009: The universal shape of economic recession and recovery after a shock
Damien Challet , Sorin Solomon and Gur Yaari
2009: Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions
Anca Gheorghiu and Ion Spanulescu
2009: Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
Denis Belomestny
2009: Dynamical complexity and symplectic integrability
Marco, Jean-Pierre
2009: Systemic Risk in a Unifying Framework for Cascading Processes on Networks
Jan Lorenz , Stefano Battiston and Frank Schweitzer
2009: Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme
Tetsuya Takaishi
2009: A note on heterogeneous beliefs with CRRA utilities
A. A. Brown
2009: Heterogeneous Beliefs with Finite-Lived Agents
A. A. Brown and Leonard C G Rogers
2009: Heterogeneous Beliefs with Partial Observations
A. A. Brown
2009: Binomial Approximations for Barrier Options of Israeli Style
Yan Dolinsky and Yuri Kifer
2009: Preferences Yielding the "Precautionary Effect"
Michel De Lara
2009: A stochastic reachability approach to portfolio construction in finance industry
Giordano Pola and Gianni Pola
2009: Modified detrended fluctuation analysis based on empirical mode decomposition
Qian, Xi-Yuan , Zhou, Wei-Xing and Gu, Gao-Feng
2009: Optimal Execution Problem with Market Impact
Takashi Kato
2009: New procedures for testing whether stock price processes are martingales
Kei Takeuchi , Akimichi Takemura and Masayuki Kumon
2009: Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
Nicola Cufaro Petroni and Piergiacomo Sabino
2009: Solvable Nonlinear Volatility Diffusion Models with Affine Drift
Giuseppe Campolieti and Roman N. Makarov
2009: Quantitative features of multifractal subtleties in time series
Stanislaw Drozdz , Jaroslaw Kwapien , Pawel Oswiecimka and Rafal Rak
2009: Perfect and partial hedging for swing game options in discrete time
Y. Dolinsky , Y. Iron and Y. Kifer
2009: A quantum statistical approach to simplified stock markets
Fabio Bagarello
2009: Optimal investment on finite horizon with random discrete order flow in illiquid markets
Paul Gassiat , Huyen Pham and Mihai Sirbu
2009: Housing Market Microstructure
Hazer Inaltekin , Robert Jarrow , Mehmet Saglam and Yildiray Yildirim
2009: The Chinese Equity Bubble: Ready to Burst
K. Bastiaensen , P. Cauwels , D. Sornette , R. Woodard and Zhou, W. -X.
2009: An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
Giorgia Callegaro and Abass Sagna
2009: Temporal structure and gain/loss asymmetry for real and artificial stock indices
Johannes Vitalis Siven and Jeffrey Todd Lins
2009: Correlations, Risk and Crisis: From Physiology to Finance
A. N. Gorban , E. V. Smirnova and T. A. Tyukina
2009: Modeling operational risk data reported above a time-varying threshold
Pavel V. Shevchenko and Grigory Temnov
2009: Dynamic operational risk: modeling dependence and combining different sources of information
Gareth W. Peters , Pavel V. Shevchenko and W\"uthrich, Mario V.
2009: Implementing Loss Distribution Approach for Operational Risk
Pavel V. Shevchenko
2009: Liquidity Crisis, Granularity of the Order Book and Price Fluctuations
M. Cristelli , V. Alfi , L. Pietronero and A. Zaccaria
2009: The role of a matchmaker in buyer-vendor interactions
L\"u, Linyuan , Matus Medo and Zhang, Yi-Cheng
2009: Dynamic communities in multichannel data: An application to the foreign exchange market during the 2007--2008 credit crisis
Daniel J. Fenn , Mason A. Porter , Mark McDonald , Stacy Williams , Neil F. Johnson and Nick S. Jones
2009: Predator-Prey Model for Stock Market Fluctuations
Miquel Montero
2009: The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures
Damien Challet and Pier Paolo Peirano
2009: Modeling wealth distribution in growing markets
Urna Basu and P. K. Mohanty
2009: Strong Taylor approximation of Stochastic Differential Equations and application to the L\'evy LIBOR model
Antonis Papapantoleon and Maria Siopacha
2009: Improved and Developed Upper Bound of Price of Anarchy in Two Echelon Case
T. Shinzato and . Kaku
2009: Universal Correlations and Power-Law Tails in Financial Covariance Matrices
Gernot Akemann , Jonit Fischmann and Pierpaolo Vivo
2009: Forecasting Model for Crude Oil Price Using Artificial Neural Networks and Commodity Futures Prices
Siddhivinayak Kulkarni and Imad Haidar
2009: Path integral approach to Asian options in the Black-Scholes model
J. A. Devreese , D. Lemmens and J. Tempere
2009: Gravity Dual for Reggeon Field Theory and Non-linear Quantum Finance
Yu Nakayama
2009: Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
Daniel T. Cassidy , Michael J. Hamp and Rachid Ouyed
2009: A Bayesian Networks Approach to Operational Risk
V. Aquaro , M. Bardoscia , R. Bellotti , A. Consiglio , F. De Carlo and Giovanni Ferri
2009: On the Origin of Non-Gaussian Intraday Stock Returns
Austin Gerig , Javier Vicente and Miguel A. Fuentes
2009: Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
Laetitia Andrieu , Michel De Lara and Babacar Seck
2009: Portfolio optimization when expected stock returns are determined by exposure to risk
Carl Lindberg
2009: Money Distributions in Chaotic Economies
Pellicer-Lostao, Carmen and Lopez-Ruiz, Ricardo
2009: Economic interactions and the distribution of wealth
Davide Fiaschi and Matteo Marsili
2009: Spiraling toward market completeness and financial instability
Matteo Marsili
2009: High frequency market microstructure noise estimates and liquidity measures
A\"it-Sahalia, Yacine and Jialin Yu
2009: The asymmetric statistics of order books: The role of discreteness and non-uniform limit order deposition
A. Zaccaria , M. Cristelli , V. Alfi , F. Ciulla and L. Pietronero
2009: The premium of dynamic trading
Chun Hung Chiu and Xun Yu Zhou
2009: Optimal Redeeming Strategy of Stock Loans
Min Dai and Zuo Quan Xu
2009: Continuous-Time Markowitz's Model with Transaction Costs
Min Dai , Zuo Quan Xu and Xun Yu Zhou
2009: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
Louis Paulot
2009: Analysis of a network structure of the foreign currency exchange market
Jaroslaw Kwapien , Sylwia Gworek , Stanislaw Drozdz and Andrzej Gorski
2009: Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
A. Gulisashvili
2009: Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
A. Gulisashvili and E. M. Stein
2009: Stochastic equilibria and stability in a class of incomplete continuous-time financial environments
Gordan Zitkovic
2009: The Problem of Modeling of Economic Dynamics
S. . Chernyshov , A. V. Voronin and S. A. Razumovsky
2009: Timed tuplix calculus and the Wesseling and van den Bergh equation
J. A. Bergstra and C. A. Middelburg
2009: The Spread of the Credit Crisis: View from a Stock Correlation Network
Reginald D. Smith
2009: Studies of the limit order book around large price changes
Bence Toth , Janos Kertesz and J. Doyne Farmer
2009: Effect of changing data size on eigenvalues in the Korean and Japanese stock markets
Cheoljun Eom , Jung, Woo-Sung , Taisei Kaizoji and Seunghwan Kim
2009: Multi-market minority game: breaking the symmetry of choice
Karol Wawrzyniak and Wojciech Wislicki
2009: Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents
Sch\"utz, Gunter M. , Fernando Pigeard de Almeida Prado , Rosemary J. Harris and Vladimir Belitsky
2009: Dynamical Clustering of Exchange Rates
Daniel J. Fenn , Mason A. Porter , Peter J. Mucha , Mark McDonald , Stacy Williams , Neil F. Johnson and Nick S. Jones
2009: Trading leads to scale-free self-organization
M. Ebert and W. Paul
2009: Class formation in a social network with asset exchange
Christian H. Sanabria , Huerta-Quintanilla, R. and Rodriguez-Achach, M.
2009: Jump-Diffusion Risk-Sensitive Asset Management
Mark H. A. Davis and Sebastien Lleo
2009: Indifference price with general semimartingales
Sara Biagini , Marco Frittelli and Matheus R. Grasselli
2009: Stock Market and Motion of a Variable Mass Spring
Enrique Canessa
2009: Complementarity between private and public investment in R&D: A Dynamic Panel Data analysis
Sadraoui Tarek and Naceur Ben Zina
2009: Statistical Properties of Fluctuations: A Method to Check Market Behavior
Prasanta K. Panigrahi , Sayantan Ghosh , P. Manimaran and Dilip P. Ahalpara
2009: A Prediction Market for Toxic Assets Prices
Alan Holland
2009: Estimating discriminatory power and PD curves when the number of defaults is small
Dirk Tasche
2009: La prime de risque dans un cadre international: le risque de change est-il appr\'eci\'e ?
Mohamed El Hedi Arouri
2009: Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects
Mohamed El Hedi Arouri
2009: Stock market integration in the Latin American markets: further evidence from nonlinear modeling
Fredj JAWADI , Nicolas Million and Mohamed El Hedi Arouri
2009: Structural Breaks in the Mexico's Integration into the World Stock Market
Mohamed El Hedi Arouri and Jamel Jouini
2009: A la Recherche des Facteurs D\'eterminants de l'Int\'egration Internationale des March\'es Boursiers: une Analyse sur Donn\'ees de Panel
Mohamed El Hedi Arouri
2009: On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
Mohamed El Hedi Arouri and Julien Fouquau
2009: Simulation and Use of Heuristics for Peripheral Economic Policy
Mattheos K. Protopapas and Elias B. Kosmatopoulos
2009: Income and Poverty in a Developing Economy
Amit K Chattopadhyay , Graeme J Ackland and Sushanta K. Mallick
2009: Volatility derivatives in market models with jumps
A. Mijatovic and H. Lo
2009: One-Dimensional Pricing of CPPI
Louis Paulot and Xavier Lacroze
2009: Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Marco Bianchetti
2009: Presentation Du Nouvel Accord De Bale Sur Les Fonds Propres
Hamza Fekir
2009: Emergence of Price Divergence in a Model Short-Term Electric Power Market
Randall A. LaViolette , Lory A. Ellebracht , Kevin L. Stamber , Charles J. Gieseler and Benjamin K. Cook
2009: Spectral methods for volatility derivatives
Claudio Albanese , Harry Lo and Mijatovi\'c, Aleksandar
2009: The effect of a market factor on information flow between stocks using minimal spanning tree
Cheoljun Eom , Okyu Kwon , Jung, Woo-Sung and Seunghwan Kim
2009: Option Pricing Under Ornstein-Uhlenbeck Stochastic Volatility
Giacomo Bormetti , Valentina Cazzola and Danilo Delpini
2009: Colloquium: Statistical Mechanics of Money, Wealth, and Income
Victor M. Yakovenko and Barkley Rosser
2009: Empirical regularities of opening call auction in Chinese stock market
Gu, Gao-Feng , Fei Ren , Ni, Xiao-Hui , Wei Chen and Zhou, Wei-Xing
2009: A Markovian Model Market - Akerlof's Lemmons and the Asymmetry of Information
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2009: Model uncertainty in claims reserving within Tweedie's compound Poisson models
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J Mallett
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2009: A Review of Volatility and Option Pricing
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2009: Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
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2009: Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation
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P. V. Shevchenko and W\"uthrich, M. V.
2009: Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
Mu, Guo-Hua , Wei Chen , Kert\'esz, J\'anos and Zhou, Wei-Xing
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2009: Risk Measures in Quantitative Finance
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2009: Threshold levels in Economics
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Paolo Laureti , Matus Medo and Zhang, Yi-Cheng
2009: Unemployment and inflation in Western Europe: solution by the boundary element method
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Gon\c{c}alves, Rui and Alberto Pinto
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2009: Time and symmetry in models of economic markets
Lee Smolin
2009: T-Systems and the lower Snell envelope
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2009: Scale Invariance, Bounded Rationality and Non-Equilibrium Economics
Samuel E. Vazquez
2009: The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets
Cheoljun Eom , Jongwon Park , Jung, Woo-Sung , Taisei Kaizoji and Yong H. Kim
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T. R. Hurd and Zhuowei Zhou
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2009: Optimal leverage from non-ergodicity
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2009: Optimal Trade Execution in Illiquid Markets
Erhan Bayraktar and Mike Ludkovski
2009: A Unified Framework for Dynamic Pari-Mutuel Information Market Design
Shipra Agrawal , Erick Delage , Mark Peters , Zizhuo Wang and Yinyu Ye
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M. Ali Saif and Prashant M. Gade
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Rasoul Behboudi and Zhu, You-Lan
2009: Production Copula
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2009: Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]
Amparo Baillo
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2009: The Reality Game
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Fabio Clementi , Mauro Gallegati and G. Kaniadakis
2009: Differential Equations for Monte Carlo Recycling and a GPU-Optimized Normal Quantile
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2009: Perpetual American vanilla option pricing under single regime change risk. An exhaustive study
Miquel Montero
2009: Network effects in a human capital based economic growth model
Teresa Vaz Martins , Tanya Araujo , Maria Augusta Santos and Miguel St. Aubyn
2009: SURE shrinkage of Gaussian paths and signal identification
Nicolas Privault and R\'eveillac, Anthony
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2009: A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays
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2009: On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps
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2009: Structure and evolution of the foreign exchange networks
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C. P. Kwong
2009: The Minimal Model of Financial Complexity
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2009: Climbing Down from the Top: Single Name Dynamics in Credit Top Down Models
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2009: BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
Matthias Arnsdorf and Igor Halperin
2009: Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability
Michail Anthropelos and Gordan Zitkovic
2009: Kinetic models for wealth exchange on directed networks
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2009: Optimal systems of subalgebras for a nonlinear Black-Scholes equation
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2009: Information geometries and Microeconomic Theories
Richard Nock , Brice Magdalou , Nicolas SANZ , Eric Briys , Fred Celimene and Frank Nielsen
2009: An Analysis of the Japanese Credit Network
G. De Masi , Y. Fujiwara , Mauro Gallegati , B. Greenwald and Joseph Stiglitz
2009: Visualizing a large-scale structure of production network by N-body simulation
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2009: Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models
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2009: On the Dybvig-Ingersoll-Ross Theorem
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2009: State-dependent utility maximization in L\'evy markets
Figueroa-Lopez, Jose E. and Jin Ma
2009: A mathematical proof of the existence of trends in financial time series
Michel Fliess and Join, C\'edric
2009: Agent-Based Model Approach to Complex Phenomena in Real Economy
Hiroshi Iyetomi , Hideaki Aoyama , Yoshi Fujiwara , Yuichi Ikeda and Wataru Souma
2009: Efficient swaptions price in Hull-White one factor model
Marc Henrard
2009: Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors
Hideaki Aoyama , Yoshi Fujiwara , Yuichi Ikeda , Hiroshi Iyetomi and Wataru Souma
2009: Stochastic Volatility Models Including Open, Close, High and Low Prices
Abel Rodriguez , Henryk Gzyl , German Molina and Enrique ter Horst
2009: Efficient Pricing of CPPI using Markov Operators
Louis Paulot and Xavier Lacroze
2009: Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation
Damiano Brigo , Kyriakos Chourdakis and Imane Bakkar
2009: Economic Models with Chaotic Money Exchange
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2009: An Adaptive Markov Chain Monte Carlo Method for GARCH Model
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2009: Robust pricing and hedging of double no-touch options
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2009: Evaluating the performance of adapting trading strategies with different memory lengths
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2009: The alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map
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2009: From Physics to Economics: An Econometric Example Using Maximum Relative Entropy
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2009: On the Financial Crisis 2008 from a Physicist's viewpoint: A Spin-Glass Interpretation
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2009: Cooperation Evolution in Random Multiplicative Environments
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2009: On discrete stochastic processes with long-lasting time dependence
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2009: Correlations in commodity markets
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2009: Stochastic calculus for uncoupled continuous-time random walks
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2009: No Arbitrage Conditions For Simple Trading Strategies
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