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Quantitative Finance Papers
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2010: Recurrence interval analysis of trading volumes
Fei Ren and Zhou, Wei-Xing 2010: The Lehman Brothers Effect and Bankruptcy Cascades
Sieczka, Pawe{\l} , Didier Sornette and Ho{\l}yst, Janusz A. 2010: Fitting the Log Periodic Power Law to financial crashes: a critical analysis
David S. Bree and Nathan Lael Joseph 2010: Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
Martin Lauko and Daniel Sevcovic 2010: A Random Matrix Approach to VARMA Processes
Burda, Zdzis{\l}aw , Andrzej Jarosz , Maciej A. Nowak and Snarska, Ma\l{}gorzata 2010: Statistical properties of agent-based models in markets with continuous double auction mechanism
Tseng, Jie-Jun , Lin, Chih-Hao , Lin, Chih-Ting , Wang, Sun-Chong and Li, Sai-Ping 2010: Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
Ljudmila A. Bordag 2010: A new space-time model for volatility clustering in the financial market
Maria Boguta and J\"arpe, Eric 2010: Exit times in non-Markovian drifting continuous-time random walk processes
Miquel Montero and Javier Villarroel 2010: A New Approximation to the Normal Distribution Quantile Function
Paul M. Voutier 2010: Should economists adopt methods from physics?
Austin Gerig 2010: Cross-Correlation Dynamics in Financial Time Series
Thomas Conlon , Heather J. Ruskin and Martin Crane 2010: Asset returns and volatility clustering in financial time series
Tseng, Jie-Jun and Li, Sai-Ping 2010: Inflation and unemployment in Japan: from 1980 to 2050
Ivan Kitov 2010: Extra-Dimensional Approach to Option Pricing and Stochastic Volatility
Minh Q. Truong 2010: Stochastic Switching Games and Duopolistic Competition in Emissions Markets
Michael Ludkovski 2010: An Economic analogy to Electrodynamics
Sanjay Dasari and Anindya Kumar Biswas 2010: Diagnosis and Prediction of Tipping Points in Financial Markets: Crashes and Rebounds
Wanfeng Yan , Ryan Woodard and Didier Sornette 2010: Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
Damiano Brigo , Andrea Pallavicini and Vasileios Papatheodorou 2010: Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis
Ljudmila A. Bordag 2010: Quantitative features of multifractal subtleties in time series
Stanislaw Drozdz , Jaroslaw Kwapien , Pawel Oswiecimka and Rafal Rak 2010: Path integral approach to Asian options in the Black-Scholes model
J. P. A. Devreese , D. Lemmens and J. Tempere 2010: The asymmetric statistics of order books: The role of discreteness and evidences for strategic order placement
A. Zaccaria , M. Cristelli , V. Alfi , F. Ciulla and L. Pietronero 2010: One-Dimensional Pricing of CPPI
Louis Paulot and Xavier Lacroze 2010: An extension of Davis and Lo's contagion model
Rulli\`ere, Didier , Diana Dorobantu and Areski Cousin (Didier Rulliere )2010: Computing Tails of Compound Distributions Using Direct Numerical Integration
Xiaolin Luo and Pavel V. Shevchenko 2010: Optimal execution strategies in limit order books with general shape functions
Alfonsi, Aur\'elien , Antje Fruth and Alexander Schied 2010: Exact retrospective Monte Carlo computation of arithmetic average Asian options
Benjamin Jourdain and Mohamed Sbai 2010: The tick-by-tick dynamical consistency of price impact in limit order books
Damien Challet 2010: Pricing options with VG model using FFT
Andrey Itkin 2010: A note on evolutionary stochastic portfolio optimization and probabilistic constraints
Ronald Hochreiter 2010: The impact of uncertainties on the pricing of contingent claims
Simone Scotti 2010: Impact of the tick-size on financial returns and correlations
M\"unnix, Michael C. , Sch\"afer, Rudi and Thomas Guhr 2010: Modelling and predicting labor force productivity
Ivan Kitov 2010: A Spectral Analysis of Business Cycle Patterns in UK Sectoral Output
Peijie Wang and Trefor Jones 2010: The level crossing analysis of German stock market index (DAX) and daily oil price time series
F. Shayeganfar , M. Holling , J. Peinke and M. Reza Rahimi Tabar 2010: Optimal Reversible Annuities to Minimize the Probability of Lifetime Ruin
Ting Wang and Virginia R. Young 2010: New Financial Research Program: General Option-Price Wave Modeling
Vladimir G. Ivancevic 2010: Is the minimum value of an option on variance generated by local volatility?
Mathias Beiglboeck , Peter Friz and Stefan Sturm 2010: Martingale representation for Poisson processes with applications to minimal variance hedging
Guenter Last and Mathew D. Penrose 2010: Experimental evidence for the interplay between individual wealth and transaction network
Tseng, Jie-Jun , Li, Sai-Ping and Wang, Sun-Chong 2010: Jump-diffusion modeling in emission markets
K. Borovkov , G. Decrouez and J. Hinz 2010: Dual Representation of Quasiconvex Conditional Maps
Marco Frittelli and Marco Maggis 2010: Securities Pricing with Information-Sensitive Discounting
Andrea Macrina and Priyanka A. Parbhoo 2010: A framework for adaptive Monte-Carlo procedures
Bernard Lapeyre and Lelong, J\'er\^ome 2010: Chaos Models in Economics
Sorin Vlad , Paul Pascu and Nicolae Morariu 2010: A comprehensive method for exotic option pricing
Rossella Agliardi 2010: Optimal stopping of expected profit and cost yields in an investment under uncertainty
Boualem Djehiche , Hamad\`ene, Said and Morlais, Marie Am\'elie 2010: Option pricing in multivariate stochastic volatility models of OU type
Muhle-Karbe, Johannes , Oliver Pfaffel and Robert Stelzer 2010: Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture
Chancelier, Jean-Philippe , Lelong, J\'er\^ome and Bernard Lapeyre 2010: Analyzing the prices of the most expensive sheet iron all over the world: Modeling, prediction and regime change
Song, Fu-Tie and Zhou, Wei-Xing 2010: Discrete Time and Finite State Reflected Backward Stochastic Difference Equations
Lifen An and Shaolin Ji 2010: Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Rei\ss, Markus 2010: On refined volatility smile expansion in the Heston model
P. Friz , S. Gerhold , A. Gulisashvili and S. Sturm 2010: Quantum Model of Bertrand Duopoly
Salman Khan , M. Ramzan and M. K. Khan 2010: Arbitrage Bounds for Weighted Variance Swap Prices
Mark H. A. Davis , Jan Obloj and Vimal Raval 2010: Point Processes Modeling of Time Series Exhibiting Power-Law Statistics
B. Kaulakys , M. Alaburda and V. Gontis 2010: Segmentation algorithm for non-stationary compound Poisson processes
Bence Toth , Fabrizio Lillo and J. Doyne Farmer 2010: Consistency properties of a simulation-based estimator for dynamic processes
Manuel S. Santos 2010: Asymptotics of the probability minimizing a "down-side" risk
Hiroaki Hata , Hideo Nagai and Sheu, Shuenn-Jyi 2010: Etude du risque syst\'ematique de mortalit\'e
Planchet, Fr\'ed\'eric , Laurent Faucillon and Marc Juillard 2010: Mesure de l'incertitude tendancielle sur la mortalit\'e ? application \`a un r\'egime de rentes
Planchet, Fr\'ed\'eric and Marc Juillard 2010: Utilisation des m\'ethodes de Lee-Carter et Log-Poisson pour l'ajustement de tables de mortalit\'e dans le cas de petits \'echantillons
Planchet, Fr\'ed\'eric and Vincent Lelieur 2010: Rentes en cours de service: un nouveau crit\`ere d'allocation d'actif
Planchet, Fr\'ed\'eric and Th\'erond, Pierre-Emanuel 2010: Simulation de trajectoires de processus continus
Planchet, Fr\'ed\'eric and Th\'erond, Pierre-Emanuel 2010: Mesure des risques de march\'e et de souscription vie en situation d'information incompl\`ete pour un portefeuille de pr\'evoyance
F\'elix, Jean-Paul and Planchet, Fr\'ed\'eric 2010: L'utilisation des splines bidimensionnels pour l'estimation de lois de maintien en arr\^et de travail
Planchet, Fr\'ed\'eric and Pascal Winter 2010: Allocation d'actifs selon le crit\`ere de maximisation des fonds propres \'economiques en assurance non-vie
Planchet, Fr\'ed\'eric and Th\'erond, Pierre-Emanuel 2010: A Subjective and Probabilistic Approach to Derivatives
Ulrich Kirchner 2010: Diverse Beliefs
Angus A Brown and L C G Rogers 2010: Using Financial Ratios to Identify Romanian Distressed Companies
Madalina Ecaterina Andreica , Mugurel Ionut Andreica and Marin Andreica 2010: Forward equations for option prices in semimartingale models
Rama Cont and Amel Bentata 2010: Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Mark Davis and Sebastien Lleo 2010: Stochastic discount factors
Constantinos Kardaras 2010: Does Security Transaction Volume-Price Behavior Resemble a Probability Wave?
Leilei Shi 2010: The Underlying Dynamics of Credit Correlations
Arthur M. Berd , Robert F. Engle and Artem Voronov 2010: Recovery Swaps
Arthur M. Berd 2010: A Trading Conditioning Model in Stock Market
Leilei Shi , Yiwen Wang , Ding Chen , Liyan Han , Yan Piao and Chengling Gou 2010: Adaptive Wave Models for Option Pricing Evolution: Nonlinear and Quantum Schr\"odinger Approaches
Vladimir G. Ivancevic 2010: Multiscaled Cross-Correlation Dynamics in Financial Time-Series
Thomas Conlon , Heather J. Ruskin and Martin Crane 2010: Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
Damiano Brigo , Andrea Pallavicini and Roberto Torresetti 2010: Consumer Expenditure Distribution in India, 1983-2007: Evidence of a Long Pareto Tail
Abhik Ghosh , Kausik Gangopadhyay and B. Basu 2010: Truncated Variation, Upward Truncated Variation and Downward Truncated Variation of Brownian Motion with Drift - their Characteristics and Applications
{\L}ochowski, Rafa{\l} 2010: Evolutionary multi-stage financial scenario tree generation
Ronald Hochreiter 2010: Old and new approaches to LIBOR modeling
Antonis Papapantoleon 2010: Leverage Causes Fat Tails and Clustered Volatility
Stefan Thurner , J. Doyne Farmer and John Geanakoplos 2010: Systemic Risk in a Unifying Framework for Cascading Processes on Networks
Jan Lorenz , Stefano Battiston and Frank Schweitzer 2010: Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Marco Bianchetti 2010: Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
Giacomo Bormetti , Valentina Cazzola and Danilo Delpini 2010: Executing large orders in a microscopic market model
Alexander Weiss 2010: Generalized supermartingale deflators under limited information
Constantinos Kardaras 2010: Market viability via absence of arbitrages of the first kind
Constantinos Kardaras 2010: GARCH options via local risk minimization
Ortega, Juan-Pablo 2010: Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
Samuel N. Cohen and Robert J. Elliott 2010: Cooperation Evolution in Random Multiplicative Environments
Gur Yaari and Sorin Solomon 2010: A new formulation of asset trading games in continuous time with essential forcing of variation exponent
Kei Takeuchi , Masayuki Kumon and Akimichi Takemura 2009: Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
Tetsuya Takaishi 2009: Universal Behavior of Extreme Price Movements in Stock Markets
Miguel A. Fuentes , Austin Gerig and Javier Vicente 2009: Probabilities of Positive Returns and Values of Call Options
Guanghui Huang and Jianping Wan 2009: Universal patterns of inequality
Anand Banerjee and Victor M. Yakovenko 2009: Finite-size effect and the components of multifractality in financial volatility
Zhou, Wei-Xing 2009: Traders' collective portfolio optimization with transaction costs: towards microscopic validation of agent-based models
David Morton de Lachapelle and Damien Challet 2009: A Guide to Modeling Credit Term Structures
Arthur M. Berd 2009: Dynamic Estimation of Credit Rating Transition Probabilities
Arthur M. Berd 2009: Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis
Arthur M. Berd , Roy Mashal and Peili Wang 2009: Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures
Arthur M. Berd , Roy Mashal and Peili Wang 2009: Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures
Arthur M. Berd , Roy Mashal and Peili Wang 2009: Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
Damiano Brigo , Massimo Morini and Marco Tarenghi 2009: From the decompositions of a stopping time to risk premium decompositions
Delia Coculescu 2009: Tremor price dynamics in the world's network of stock exchanges
Jorgen Vitting Andersen , Andrzej Nowak , Giulia Rotundo and Lael Parrott 2009: Levy Random Bridges and the Modelling of Financial Information
Edward Hoyle , Lane P. Hughston and Andrea Macrina 2009: Tails of correlation mixtures of elliptical copulas
Hans Manner and Johan Segers 2009: Multifractal dynamics of stock markets
Dariusz Grech and Lukasz Czarnecki 2009: On Asymptotic Power Utility-Based Pricing and Hedging
Jan Kallsen , Muhle-Karbe, Johannes and Richard Vierthauer 2009: Multiple defaults and contagion risks
Ying Jiao 2009: Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
Damiano Brigo and Marco Tarenghi 2009: Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
Damiano Brigo and Marco Tarenghi 2009: The Bivariate Normal Copula
Christian Meyer 2009: Exotic derivatives in a dense class of stochastic volatility models with jumps
Mijatovi\'c, Aleksandar and Martijn Pistorius 2009: Superfamily classification of nonstationary time series based on DFA scaling exponents
Chuang Liu and Zhou, Wei-Xing 2009: Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations
Hiroshi Iyetomi , Yasuhiro Nakayama , Hideaki Aoyama , Yoshi Fujiwara , Yuichi Ikeda and Wataru Souma 2009: The first passage event for sums of dependent L\'evy processes with applications to insurance risk
Irmingard Eder and Kl\"uppelberg, Claudia 2009: Power Utility Maximization in Constrained Exponential L\'evy Models
Marcel Nutz 2009: The Bellman Equation for Power Utility Maximization with Semimartingales
Marcel Nutz 2009: The Opportunity Process for Optimal Consumption and Investment with Power Utility
Marcel Nutz 2009: A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances
Brice Franke and Michael Stolz 2009: Homogeneous Volatility Bridge Estimators
Alexander Saichev , Didier Sornette , Vladimir Filimonov and Fulvio Corsi 2009: Time consistency and moving horizons for risk measures
Samuel N. Cohen and Robert J. Elliott 2009: Early exercise boundary for American type of floating strike Asian option and its numerical approximation
Tomas Bokes and Daniel Sevcovic 2009: About Some Applications of Kolmogorov Equations to the Simulation of Financial Institutions Activity
Mikhail I. Rumyantsev 2009: What Causes Business Cycles? Analysis of the Japanese Industrial Production Data
Hiroshi Iyetomi , Yasuhiro Nakayama , Hiroshi Yoshikawa , Hideaki Aoyama , Yoshi Fujiwara , Yuichi Ikeda and Wataru Souma 2009: Appraisal of a contour integral method for the Black-Scholes and Heston equations
Hout, K. J. in 't and J. A. C. Weideman 2009: Variance Optimal Hedging for continuous time processes with independent increments and applications
Goutte, St\'ephane , Nadia Oudjane and Francesco Russo 2009: The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations
Didier Sornette , Ryan Woodard , Maxim Fedorovsky , Stefan Reimann , Hilary Woodard and Zhou, Wei-Xing 2009: Risk Concentration and Diversification: Second-Order Properties
Matthias Degen , Dominik D. Lambrigger and Johan Segers 2009: Dynamic risk indifference pricing in incomplete markets
Xavier De Scheemaekere 2009: Hidden Noise Structure and Random Matrix Models of Stock Correlations
Ivailo . Dimov , Petter N. Kolm , Lee Maclin and Dan Y. C. Shiber 2009: Strict Local Martingale Deflators and Pricing American Call-Type Options
Erhan Bayraktar , Constantinos Kardaras and Hao Xing 2009: The Structure and Growth of Weighted Networks
Massimo Riccaboni and Stefano Schiavo 2009: Model for Non-Gaussian Intraday Stock Returns
Austin Gerig , Javier Vicente and Miguel A. Fuentes 2009: Colloquium: Statistical mechanics of money, wealth, and income
Victor M. Yakovenko and Barkley Rosser 2009: What are the limits on Commercial Bank Lending?
J Mallett 2009: Num\'eraire-invariant preferences in financial modeling
Constantinos Kardaras 2009: Estimation of the instantaneous volatility and detection of volatility jumps
A. Alvarez , F. Panloup , M. Pontier and N. Savy 2009: Pricing and hedging barrier options in a hyper-exponential additive model
Marc Jeannin and Martijn Pistorius 2009: Liquidity Risk, Price Impacts and the Replication Problem
Alexandre F. Roch 2009: A dual characterization of self-generation and exponential forward performances
\v{Z}itkovi\'c, Gordan 2009: What Determines Mutual Fund Size?
Yonathan Schwarzkopf and J. Doyne Farmer 2009: Risk Aversion and Portfolio Selection in a Continuous-Time Model
Jianming Xia 2009: Representation of the penalty term of dynamic concave utilities
Freddy Delbaen , Shige Peng and Emanuela Rosazza Gianin 2009: Basic kinetic wealth-exchange models: common features and open problems
Marco Patriarca , Els Heinsalu and Anirban Chakraborti 2009: Asymptotic behavior of prices of path dependent options
Yuji Hishida and Kenji Yasutomi 2009: Finitely additive probabilities and the Fundamental Theorem of Asset Pricing
Constantinos Kardaras 2009: Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
Benjamin Jourdain and Michel Vellekoop 2009: Resilience of Volatility
Sergey S. Stepanov 2009: On the Performance of Delta Hedging Strategies in Exponential L\'evy Models
Stephan Denkl , Martina Goy , Jan Kallsen , Muhle-Karbe, Johannes and Arnd Pauwels 2009: On the Existence of Shadow Prices in Finite Discrete Time
Jan Kallsen and Muhle-Karbe, Johannes 2009: Causal Links Between US Economic Sectors
Gladys Hui Ting Lee , Yiting Zhang , Jian Cheng Wong , Manamohan Prusty and Siew Ann Cheong 2009: Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect
Johannes Vitalis Siven and Jeffrey Todd Lins 2009: Financial rogue waves
Zhenya Yan 2009: Statistical Regularities of Equity Market Activity
Fengzhong Wang , Kazuko Yamasaki , Shlomo Havlin and H. Eugene Stanley 2009: An information theoretic approach to statistical dependence: copula information
Rafael S. Calsaverini and Renato Vicente 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: 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: 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 split of orders across liquidity pools: a stochastic algorithm approach
Sophie Laruelle , Lehalle, Charles-Albert and Pag\`es, Gilles 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: Optimal execution of Portfolio transactions with geometric price process
Hernandez-del-Valle, Gerardo and Pacheco-Gonzalez, Carlos 2009: Credit Risk Premia and Quadratic Bsdes with a Single Jump
Stefan Ankirchner , Blanchet-Scalliet, Christophette and Eyraud-Loisel, Anne 2009: De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process
Irmina Czarna and Zbigniew Palmowski 2009: Weakly nonlinear analysis of the Hamilton-Jacobi-Bellman equation arising from pension savings management
Zuzana Macova and Daniel Sevcovic 2009: The Problem of Modeling of Economic Dynamics
S. . Chernyshov , A. V. Voronin and S. A. Razumovsky 2009: Quantitative law describing market dynamics before and after interest rate change
Alexander M. Petersen , Fengzhong Wang , Shlomo Havlin and H. Eugene Stanley 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: 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: 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: 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: 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: 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: 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
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Nicola Cufaro Petroni and Piergiacomo Sabino 2009: Solvable Nonlinear Volatility Diffusion Models with Affine Drift
Giuseppe Campolieti and Roman N. Makarov 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
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Paul Gassiat , Huyen Pham and Mihai Sirbu 2009: Housing Market Microstructure
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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
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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
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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
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Gernot Akemann , Jonit Fischmann and Pierpaolo Vivo 2009: Forecasting Model for Crude Oil Price Using Artificial Neural Networks and Commodity Futures Prices
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Yu Nakayama 2009: Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
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V. Aquaro , M. Bardoscia , R. Bellotti , A. Consiglio , F. De Carlo and Giovanni Ferri 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 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: 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: 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: 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
Paulo F. C. Tilles , Fernando F. Ferreira , Gerson Francisco , Carlos de B. Pereira and Flavia Mori Sarti 2009: Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
Didier Sornette and Ryan Woodard 2009: A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals
L. Lin , Ren R. E and D. Sornette 2009: Information of Interest
Dorje C. Brody and Robyn L. Friedman 2009: Structure and temporal change of the credit network between banks and large firms in Japan
Yoshi Fujiwara , Hideaki Aoyama , Yuichi Ikeda , Hiroshi Iyetomi and Wataru Souma 2009: Statistical properties of information flow in financial time series
Cheoljun Eom , Okyu Kwon and Jung, Woo-Sung 2009: Bayesian Analysis of Value-at-Risk with Product Partition Models
Giacomo Bormetti , Maria Elena De Giuli , Danilo Delpini and Claudia Tarantola 2009: Dynamic modeling of mean-reverting spreads for statistical arbitrage
Kostas Triantafyllopoulos and Giovanni Montana 2009: Emergence of long memory in stock volatility from a modified Mike-Farmer model
Gu, Gao-Feng and Zhou, Wei-Xing 2009: Boom and bust in continuous time evolving economic model
Lawrence Mitchell and G. J. Ackland 2009: Correlated multi-asset portfolio optimisation with transaction cost
Siu Lung Law , Chiu Fan Lee , Sam Howison and Jeff N. Dewynne 2009: Implied Correlation for Pricing multi-FX options
Pavel V. Shevchenko 2009: Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses
Josep J. Masdemont and Ortiz-Gracia, Luis 2009: Local Risk Decomposition for High-frequency Trading Systems
M. Bartolozzi and C. Mellen 2009: La Loi organique relative aux lois de finances (LOLF) dans les institutions culturelles publiques du spectacle vivant en France
Ammar Kessab 2009: Simplified stock markets described by number operators
F. Bagarello 2009: Stock markets and quantum dynamics: a second quantized description
F. Bagarello 2009: Macroeconomic Phase Transitions Detected from the Dow Jones Industrial Average Time Series
Wong Jian Cheng , Lian Heng and Cheong Siew Ann 2009: Law of the exponential functional of one-sided L\'evy processes and Asian options
Pierre Patie 2009: Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
Xiaolin Luo , Pavel V. Shevchenko and John B. Donnelly 2009: An Introduction to Hedge Funds
Sovan Mitra 2009: Credit risk modeling using time-changed Brownian motion
T. R. Hurd 2009: Doves and hawks in economics revisited. An evolutionary quantum game theory-based analysis of financial crises
Matthias Hanauske , Jennifer Kunz , Steffen Bernius and K\"onig, Wolfgang 2009: Minimizing the expected market time to reach a certain wealth level
Constantinos Kardaras and Eckhard Platen 2009: A "Toy" Model for Operational Risk Quantification using Credibility Theory
B\"uhlmann, Hans , Pavel V. Shevchenko and W\"uthrich, Mario V. 2009: Estimation of Operational Risk Capital Charge under Parameter Uncertainty
Pavel V. Shevchenko 2009: Regime Switching Stochastic Volatility with Perturbation Based Option Pricing
Sovan Mitra 2009: Regime Switching Volatility Calibration by the Baum-Welch Method
Sovan Mitra 2009: Model uncertainty in claims reserving within Tweedie's compound Poisson models
Gareth W. Peters , Pavel V. Shevchenko and W\"uthrich, Mario V. 2009: The Size Variance Relationship of Business Firm Growth Rates
Massimo Riccaboni , Fabio Pammolli , Sergey V. Buldyrev , Linda Ponta and H. Eugene Stanley 2009: Perturbation theory in a pure exchange non-equilibrium economy
Samuel E. Vazquez and Simone Severini 2009: The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions
Dominik D. Lambrigger , Pavel V. Shevchenko and W\"uthrich, Mario V. 2009: A Review of Volatility and Option Pricing
Sovan Mitra 2009: Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
P. V. Shevchenko 2009: Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation
Sovan Mitra 2009: Vanna-Volga methods applied to FX derivatives: from theory to market practice
Bossens, Fr\'ed\'eric , Ray\'ee, Gr\'egory , Nikos S. Skantzos and Griselda Deelstra 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
Zoltan Eisler , Bouchaud, Jean-Philippe and Julien Kockelkoren 2009: An operatorial approach to stock markets
F. Bagarello 2009: Risk Measures in Quantitative Finance
Sovan Mitra 2009: The (unfortunate) complexity of the economy
Bouchaud, Jean-Philippe 2009: Does economics need a scientific revolution?
Ivan Kitov 2009: A new approach to LIBOR modeling
Keller-Ressel, Martin , Antonis Papapantoleon and Josef Teichmann 2009: Introducing Chaos in Economic Gas-like Models
Pellicer-Lostao, C. and Lopez-Ruiz, R. 2009: Threshold levels in Economics
V. P. Maslov 2009: Laplace transformation method for the Black-Scholes equation
Hyoseop Lee and Dongwoo Sheen 2009: Multivariate utility maximization with proportional transaction costs
Luciano Campi and Mark P. Owen 2009: Arbitrage and deflators in illiquid markets
Teemu Pennanen 2009: Analysis of Kelly-optimal portfolios
Paolo Laureti , Matus Medo and Zhang, Yi-Cheng 2009: Unemployment and inflation in Western Europe: solution by the boundary element method
Ivan Kitov and Oleg Kitov 2009: Recovering a time-homogeneous stock price process from perpetual option prices
Erik Ekstrom and David Hobson 2009: Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
C. Neri and L. Schneider 2009: Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool
Richard B. Sowers 2009: Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
Richard B. Sowers 2009: Statistical thermodynamics of economic systems
H. Quevedo and M. N. Quevedo 2009: Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets
Lampros Boukas , Diogo Pinheiro , Alberto Pinto , Stylianos Xanthopoulos and Athanasios Yannacopoulos 2009: The Transfer Pricing Problem with Non-Linearities
S. Zverovich 2009: Mapping markets to the statistical mechanics: the derivatives act against the self-regulation of stock market
David B. Saakian 2009: Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes
Yingdong Lv and Bernhard K. Meister 2009: Price Impact
J. P. Bouchaud and Capital Fund Management 2009: A Generalization of the Shannon-McMillan-Breiman Theorem and the Kelly Criterion Leading to a Definition of Pragmatic Information
Edward D. Weinberger 2009: Financial Atoms and Molecules
Yik Wen Goo , Tong Wei Lian , Wei Guang Ong , Wen Ting Choi and Cheong, Siew-Ann 2009: A Simplified Approach to modeling the credit-risk of CMO
K. Rajaratnam 2009: Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
Mauro Politi , Enrico Scalas , Daniel Fulger and Guido Germano 2009: Monte Carlo sampling given a Characteristic Function: Quantile Mechanics in Momentum Space
William T. Shaw and Jonathan McCabe 2009: Inference on multivariate ARCH processes with large sizes
Gilles Zumbach 2009: The empirical properties of large covariance matrices
Gilles Zumbach 2009: Statistical analysis of the overnight and daytime return
Fengzhong Wang , Shieh, Shwu-Jane , Shlomo Havlin and H. Eugene Stanley 2009: Quantum Neural Computation for Option Price Modelling
Vladimir G. Ivancevic 2009: What is the best firm size to invest?
Ivan Kitov 2009: A dynamic nonlinear model for saturation in industrial growth
Arnab K. Ray 2009: Mechanical Model of Personal Income Distribution
Ivan Kitov 2009: Quantized Interest Rate at the Money for American Options
L. M. Dieng 2009: Semi-static hedging under exchangeability type conditions
Ilya Molchanov and Michael Schmutz 2009: Consumption and Portfolio Rules for Time-Inconsistent Investors
Marin-Solano, Jesus and Jorge Navas 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
Victor Lebreton 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
Paolo Dai Pra , Wolfgang J. Runggaldier , Elena Sartori and Marco Tolotti 2009: Time and symmetry in models of economic markets
Lee Smolin 2009: T-Systems and the lower Snell envelope
Erick Trevino Aguilar 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
Ole Peters 2009: Monitoring dates of maximal risk
Erick Trevino Aguilar 2009: First-passage and risk evaluation under stochastic volatility
Jaume Masoliver and Josep Perelló 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
Subrata Chakrabarty 2009: The Reality Game
Dmitriy Cherkashin , J. Doyne Farmer and Seth Lloyd 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
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 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: 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
2010 
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