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: Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis

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2009: A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals

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2009: Information of Interest

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2009: Dynamic modeling of mean-reverting spreads for statistical arbitrage

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2009: Boom and bust in continuous time evolving economic model

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2009: Correlated multi-asset portfolio optimisation with transaction cost

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2009: Implied Correlation for Pricing multi-FX options

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2009: Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses

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2009: Executing large orders in a microscopic market model

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2009: Local Risk Decomposition for High-frequency Trading Systems

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2009: La Loi organique relative aux lois de finances (LOLF) dans les institutions culturelles publiques du spectacle vivant en France

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2009: Simplified stock markets described by number operators

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2009: Stock markets and quantum dynamics: a second quantized description

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2009: Macroeconomic Phase Transitions Detected from the Dow Jones Industrial Average Time Series

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2009: Law of the exponential functional of one-sided L\'evy processes and Asian options

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2009: Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates

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2009: An Introduction to Hedge Funds

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2009: Credit risk modeling using time-changed Brownian motion

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2009: Doves and hawks in economics revisited. An evolutionary quantum game theory-based analysis of financial crises

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2009: Minimizing the expected market time to reach a certain wealth level

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2009: A "Toy" Model for Operational Risk Quantification using Credibility Theory

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2009: Estimation of Operational Risk Capital Charge under Parameter Uncertainty

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2009: Regime Switching Stochastic Volatility with Perturbation Based Option Pricing

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2009: An extension of Davis and Lo's contagion model

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2009: Regime Switching Volatility Calibration by the Baum-Welch Method

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2009: Model uncertainty in claims reserving within Tweedie's compound Poisson models

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2009: The Infinite Loan Machine. An examination of the effect of loan securitization on the fractional reserve banking system

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2009: The Size Variance Relationship of Business Firm Growth Rates

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2009: Perturbation theory in a pure exchange non-equilibrium economy

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2009: The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions

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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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2009: GARCH options via local risk minimization

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2009: Vanna-Volga methods applied to FX derivatives: from theory to market practice

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2009: The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions

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

2009: The price impact of order book events: market orders, limit orders and cancellations

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2009: An operatorial approach to stock markets

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2009: Risk Measures in Quantitative Finance

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2009: Computing Tails of Compound Distributions Using Direct Numerical Integration

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2009: The (unfortunate) complexity of the economy

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2009: Does economics need a scientific revolution?

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2009: Introducing Chaos in Economic Gas-like Models

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2009: Threshold levels in Economics

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2009: Laplace transformation method for the Black-Scholes equation

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2009: Multivariate utility maximization with proportional transaction costs

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2009: Arbitrage and deflators in illiquid markets

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2009: Analysis of Kelly-optimal portfolios

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2009: Unemployment and inflation in Western Europe: solution by the boundary element method

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2009: Recovering a time-homogeneous stock price process from perpetual option prices

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2009: Maximum Entropy Distributions Inferred from Option Portfolios on an Asset

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2009: Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool

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2009: Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool

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2009: Statistical thermodynamics of economic systems

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2009: Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets

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2009: The Transfer Pricing Problem with Non-Linearities

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2009: Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes

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2009: Price Impact

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2009: A Generalization of the Shannon-McMillan-Breiman Theorem and the Kelly Criterion Leading to a Definition of Pragmatic Information

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2009: Financial Atoms and Molecules

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2009: A Simplified Approach to modeling the credit-risk of CMO

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2009: Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation

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2009: Monte Carlo sampling given a Characteristic Function: Quantile Mechanics in Momentum Space

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2009: Inference on multivariate ARCH processes with large sizes

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2009: The empirical properties of large covariance matrices

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2009: Statistical analysis of the overnight and daytime return

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2009: Quantum Neural Computation for Option Price Modelling

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2009: What is the best firm size to invest?

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2009: A dynamic nonlinear model for saturation in industrial growth

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2009: Mechanical Model of Personal Income Distribution

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2009: Quantized Interest Rate at the Money for American Options

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2009: Semi-static hedging under exchangeability type conditions

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2009: Consumption and Portfolio Rules for Time-Inconsistent Investors

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2009: A transform approach to compute prices and greeks of barrier options driven by a class of Levy processes

Marc Jeannin and Martijn Pistorius

2009: Le trading algorithmique

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2009: Universality in the stock exchange

Gon\c{c}alves, Rui and Alberto Pinto

2009: Geometric extension of put-call symmetry in the multiasset setting

Ilya Molchanov and Michael Schmutz

2009: Cross-correlation of long-range correlated series

Sergio Arianos and Anna Carbone

2009: The t copula with Multiple Parameters of Degrees of Freedom: Bivariate Characteristics and Application to Risk Management

Xiaolin Luo and Pavel V. Shevchenko

2009: Large portfolio losses: A dynamic contagion model

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2009: Interest rate change and Omori dynamics in the stock market

Alexander M. Petersen, Fengzhong Wang, Shlomo Havlin and H. Eugene Stanley

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

2009: A Fourier transform method for spread option pricing

T. R. Hurd and Zhuowei Zhou

2009: On the valuation of compositions in L\'evy term structure models

Wolfgang Kluge and Antonis Papapantoleon

2009: Optimal leverage from non-ergodicity

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2009: Monitoring dates of maximal risk

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2009: First-passage and risk evaluation under stochastic volatility

Jaume Masoliver and Josep Perello

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

2009: Effects of introduction of new resources and fragmentation of existing resources on limiting wealth distribution in asset exchange models

M. Ali Saif and Prashant M. Gade

2009: Emergence of Power Law in a Market with Mixed Models

M. Ali Saif and Prashant M. Gade

2009: Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives

Rasoul Behboudi and Zhu, You-Lan

2009: Production Copula

H. Iyetomi, H. Aoyama, Y. Fujiwara, Y. Ikeda and W. Souma

2009: Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]

Amparo Baillo

2009: A Conceptual Model for Bidirectional Service, Information and Product Quality in an IS Outsourcing Collaboration Environment

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2009: The Reality Game

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2009: A k-generalized statistical mechanics approach to income analysis

Fabio Clementi, Mauro Gallegati and G. Kaniadakis

2009: Differential Equations for Monte Carlo Recycling and a GPU-Optimized Normal Quantile

William T. Shaw and Nick Brickman

2009: Perpetual American vanilla option pricing under single regime change risk. An exhaustive study

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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

2009: How to quantify the influence of correlations on investment diversification

Matus Medo, Chi Ho Yeung and Zhang, Yi-Cheng

2009: A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays

Erhan Bayraktar and Masahiko Egami

2009: On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps

Erhan Bayraktar

2009: Structure and evolution of the foreign exchange networks

Jaroslaw Kwapien, Sylwia Gworek and Stanislaw Drozdz

2009: Mathematical analysis of Soros's theory of reflexivity

C. P. Kwong

2009: The Minimal Model of Financial Complexity

Philip Maymin

2009: Climbing Down from the Top: Single Name Dynamics in Credit Top Down Models

Igor Halperin and Pascal Tomecek

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

Arnab Chatterjee

2009: Optimal systems of subalgebras for a nonlinear Black-Scholes equation

Maxim Bobrov

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

Yoshi Fujiwara

2009: Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models

Gilles Zumbach

2009: On the Dybvig-Ingersoll-Ross Theorem

Constantinos Kardaras and Eckhard Platen

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

Pellicer-Lostao, Carmen and Lopez-Ruiz, Ricardo

2009: An Adaptive Markov Chain Monte Carlo Method for GARCH Model

Tetsuya Takaishi

2009: Robust pricing and hedging of double no-touch options

Alexander M. G. Cox and Jan Obloj

2009: Evaluating the performance of adapting trading strategies with different memory lengths

Andreas Krause

2009: The alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map

William T. Shaw and Ian R. C. Buckley

2009: From Physics to Economics: An Econometric Example Using Maximum Relative Entropy

Adom Giffin

2009: On the Financial Crisis 2008 from a Physicist's viewpoint: A Spin-Glass Interpretation

U. Krey

2009: Mathematics underlying the 2008 financial crisis, and a possible remedy

V. P. Maslov and V. E. Nazaikinskii

2009: Cooperation Evolution in Random Multiplicative Environments

Gur Yaari and Sorin Solomon

2009: On discrete stochastic processes with long-lasting time dependence

Silvio M. Duarte Queiros

2009: Correlations in commodity markets

Sieczka, Pawe{\l} and Ho{\l}yst, Janusz A.

2009: Stochastic calculus for uncoupled continuous-time random walks

Guido Germano, Mauro Politi, Enrico Scalas and Schilling, Ren\'e L.

2009: No Arbitrage Conditions For Simple Trading Strategies

Erhan Bayraktar and Hasanjan Sayit