Papers

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2012: The Role of Social Feedback in Financing of Technology Ventures

Aleksandar Bradic

2012: Consumers behavior of Portuguese wine

Vítor Martinho

2012: Modelling Information Incorporation in Markets, with Application to Detecting and Explaining Events

David M Pennock, Sandip Debnath, Eric Glover and C. Lee Giles

2012: Trading networks, abnormal motifs and stock manipulation

Zhi-Qiang Jiang, Wen-Jie Xie, Xiong Xiong, Wei Zhang, Yong-Jie Zhang and Wei-Xing Zhou

2012: La structure du capital et la profitabilit\'e: Le cas des entreprises industrielles fran\c{c}aises

Mazen Kebewar

2012: The normaly distributed daily returns in stock trading

Younes Ben-Ghabrit

2012: Modeling Financial Volatility in the Presence of Abrupt Changes

Gordon J. Ross

2012: On the scaling range of power-laws originated from fluctuation analysis

Grech Dariusz and Mazur Zygmunt

2012: Market Impact with Autocorrelated Order Flow under Perfect Competition

Jonathan Donier

2012: Opinion formation model for markets with a social temperature and fear

Sebastian M. Krause and Stefan Bornholdt

2012: Information content of financial markets: a practical approach based on Bohmian quantum mechanics

F. Tahmasebi, S. Meskini, A. Namaki and G. R. Jafari

2012: A Note on "A Family of Maximum Entropy Densities Matching Call Option Prices"

Cassio Neri and Lorenz Schneider

2012: Risk Measures in a Regime Switching Model Capturing Stylized Facts

Rainer Haidinger and Richard Warnung

2012: Dynamic quasi-concave performance measures

Sara Biagini and Jocelyne Bion-Nadal

2012: Smooth Value Function with Applications in Wealth-CVaR Efficient Portfolio and Turnpike Property

Baojun Bian and Harry Zheng

2012: The Illusion of the Perpetual Money Machine

D. Sornette and P. Cauwels

2012: Mining the Web for the Voice of the Herd to Track Stock Market Bubbles

Aaron Gerow and Mark Keane

2012: Transition in the Waiting-Time Distribution of Price-Change Events in a Global Socioeconomic System

Guannan Zhao, Mark McDonald, Dan Fenn, Stacy Williams and Neil F. Johnson

2012: The Greek Public Debt Path: From Zero to Infinity

Dimitris Sardelis

2012: Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources

Ivan Kitov

2012: Multilevel Monte Carlo methods for applications in finance

Mike Giles and Lukasz Szpruch

2012: Predicting economic growth with classical physics and human biology

Hans G. Danielmeyer and Thomas Martinetz

2012: The physics of business cycles and inflation

Hans G. Danielmeyer and Thomas Martinetz

2012: Modeling Movements in Oil, Gold, Forex and Market Indices using Search Volume Index and Twitter Sentiments

Tushar Rao and Saket Srivastava

2012: Maximum Entropy distributions of correlated variables with prespecified marginals

Hern\'an Larralde

2012: A note on estimating stochastic volatility and its volatility: a new simple method

Moawia Alghalith

2012: Effect of detrending on multifractal characteristics

P. O\'swi\k{e}cimka, S. Dro\.zd\.z, J. Kwapie\'n and A. Z. G\'orski

2012: Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling

J. L. van Velsen

2012: Unstable Price Dynamics as a Result of Information Absorption in Speculative Markets

Felix Patzelt and Klaus R. Pawelzik

2012: Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables

J. Martin van Zyl

2012: A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving

Gareth W. Peters, Alice X. D. Dong and Robert Kohn

2012: Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments

Andrea Pallavicini, Daniele Perini and Damiano Brigo

2012: The best gain-loss ratio is a poor performance measure

Sara Biagini and Mustafa Pinar

2012: A generalized statistical model for the size distribution of wealth

Fabio Clementi, Mauro Gallegati and G. Kaniadakis

2012: Option Pricing and Hedging with Small Transaction Costs

Jan Kallsen and Johannes Muhle-Karbe

2012: Entanglement between Demand and Supply in Markets with Bandwagon Goods

Mirta B. Gordon, Jean-Pierre Nadal, Denis Phan and Viktoriya Semeshenko

2012: Crises and collective socio-economic phenomena: simple models and challenges

Jean-Philippe Bouchaud

2012: Conditional sampling for barrier option pricing under the Heston model

Nico Achtsis, Ronald Cools and Dirk Nuyens

2012: Percentiles of sums of heavy-tailed random variables: Beyond the single-loss approximation

Lorenzo Hern\'andez, Jorge Tejero, Alberto Su\'arez and Santiago Carrillo-Men\'endez

2012: MultiDendrograms: Variable-Group Agglomerative Hierarchical Clusterings

Sergio Gomez, Justo Montiel, David Torres and Alberto Fernandez

2012: Time consistency of dynamic risk measures in markets with transaction costs

Zachary Feinstein and Birgit Rudloff

2012: Conditional sampling for barrier option pricing under the LT method

Nico Achtsis, Ronald Cools and Dirk Nuyens

2012: On a stochastic differential equation arising in a price impact model

Peter Bank and Dmitry Kramkov

2012: Stability of exponential utility maximization with respect to market perturbations

Erhan Bayraktar and Ross Kravitz

2012: Utility based pricing and hedging of jump diffusion processes with a view to applications

Jochen Zahn

2012: Option Pricing from Wavelet-Filtered Financial Series

V. T. X. de Almeida and L. Moriconi

2012: Self-organized criticality in a network of economic agents with finite consumption

Jo\~ao P. da Cruz and Pedro G. Lind

2012: Reflected Backward Stochastic Difference Equations with Finite State and their applications

Lifen An and Shaolin Ji

2012: Econophysics in Belgium. The first (?) 15 years

Marcel Ausloos

2012: Statistical Microeconomics

Belal E. Baaquie

2012: High Frequency Trading and Mini Flash Crashes

Anton Golub, John Keane and Ser-Huang Poon

2012: The Pricing Mechanism of Contingent Claims and its Generating Function

Shige Peng

2012: Momentum universe shrinkage effect in price momentum

Jaehyung Choi, Sungsoo Choi and Wonseok Kang

2012: Will Central Counterparties become the New Rating Agencies?

Chris Kenyon and Andrew Green

2012: An FBSDE Approach to American Option Pricing with an Interacting Particle Method

Masaaki Fujii, Seisho Sato and Akihiko Takahashi

2012: New stochastic calculus

Moawia Alghalith

2012: Application of simplest random walk algorithms for pricing barrier options

M. Krivko and M. V. Tretyakov

2012: Optimal portfolio model based on WVAR

Tianyu Hao

2012: Heterogeneous Enterprises in a Macroeconomic Agent-Based Model

Cornelia Metzig and Mirta Gordon

2012: CDS pricing under Basel III: capital relief and default protection

Chris Kenyon and Andrew Green

2012: Extreme value statistics and recurrence intervals of NYMEX energy futures volatility

Wen-Jie Xie, Zhi-Qiang Jiang and Wei-Xing Zhou

2012: Optimal hedging in discrete time

Bruno R\'emillard and Sylvain Rubenthaler

2012: Can there be an explicit formula for implied volatility?

Stefan Gerhold

2012: Testing the weak-form efficiency of the WTI crude oil futures market

Zhi-Qiang Jiang, Wen-Jie Xie and Wei-Xing Zhou

2012: An overview of the goodness-of-fit test problem for copulas

Jean-David Fermanian

2012: European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis

R. E. Caflisch, G. Gambino, M. Sammartino and C. Sgarra

2012: Inference on Sets in Finance

Victor Chernozhukov, Emre Kocatulum and Konrad Menzel

2012: Closed form solutions of measures of systemic risk

Manfred Jaeger-Ambrozewicz

2012: Modeling First Line Of An Order Book With Multivariate Marked Point Processes

Alexis Fauth and Ciprian A. Tudor

2012: On the Risk Management with Application of Econophysics Analysis in Central Banks and Financial Institutions

Dimitri Ledenyov and Viktor Ledenyov

2012: Les r\'eservations et les suspensions de cotation sont-elles un frein \`a l'efficience informationnelle des march\'es ?

Karine Michalon

2012: Network analysis of correlation strength between the most developed countries

Janusz Mi\'skiewicz

2012: Can we predict long-run economic growth?

Timothy J. Garrett

2012: Analysis of short term price trends in daily stock-market index data

H. F. Coronel-Brizio, A. R. Hern\'andez Montoya, H. R Olivares S\'anchez and Enrico Scalas

2012: Hurst Exponents For Short Time Series

Jingzhao Qi and Huijie Yang

2012: Coal Enterprise Management and Asynchronism of Return

Kenan Qiao

2012: Market Liquidity and Convexity of Order Book (Evidence From China)

Kenan Qiao

2012: A quantum mechanical model for the rate of return

Liviu-Adrian Cotfas

2012: High-Frequency Trading Synchronizes Prices in Financial Markets

Austin Gerig

2012: On the new central bank strategy toward monetary and financial instabilities management in finances: Econophysical analysis of nonlinear dynamical financial systems

Dimitri Ledenyov and Viktor Ledenyov

2012: Funded Bilateral Valuation Adjustment

Lorenzo Giada and Claudio Nordio

2012: Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets

Salvatore Federico and Paul Gassiat

2012: Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs

Irene Klein, Emmanuel Lépinette and Lavinia Ostafe

2012: The full-tails gamma distribution applied to model extreme values

Joan Del Castillo, Jalila Daoudi and Isabel Serra

2012: Measuring and Analysing Marginal Systemic Risk Contribution using CoVaR: A Copula Approach

Brice Hakwa, Manfred J\"ager-Ambro\.zewicz and Barbara R\"udiger

2012: The Exact Smile of some Local Volatility Models

Matthew Lorig

2012: The numeraire property and long-term growth optimality for drawdown-constrained investments

Constantinos Kardaras, Jan Obloj and Eckhard Platen

2012: Transmission of distress in a bank credit network

Yoshiharu Maeno, Satoshi Morinaga, Hirokazu Matsushima and Kenichi Amagai

2012: Identifying financial crises in real time

Eder Lucio Fonseca, Fernando F. Ferreira, Paulsamy Muruganandam and Hilda A. Cerdeira

2012: Dynamical fluctuations in a simple housing market model

R\'emi Lemoy and Eric Bertin

2012: The leading digit distribution of the worldwide Illicit Financial Flows

Tariq Ahmad Mir

2012: Impact of meta-order in the Minority Game

Andre Cardoso Barato, Iacopo Mastromatteo, Marco Bardoscia and Matteo Marsili

2012: Recovering a time-homogeneous stock price process from perpetual option prices

Erik Ekstr\"om and David Hobson

2012: A Linear Belief Function Approach to Portfolio Evaluation

Liping Liu, Catherine Shenoy and Prakash P. Shenoy

2012: The role of the Model Validation function to manage and mitigate model risk

Alberto Elices

2012: A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation

Ren\'e A\"id, Luciano Campi, Nicolas Langren\'e and Huy\^en Pham

2012: Halton-type sequences from global function fields

Harald Niederreiter and Anderson Siang Jing Yeo

2012: The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management

Marco Bianchetti

2012: A Model of Market Limit Orders By Stochastic PDE's, Parameter Estimation, and Investment Optimization

Zhi Zheng and Richard B. Sowers

2012: Complex Systems with Trivial Dynamics

Ricardo Lopez-Ruiz

2012: A case for FDI in Multi-brand retail in India

Jatin Prasad and Dr Jyoti Singh

2012: Game Theory in Oligopoly

Marx Boopathi

2012: Food for fuel: The price of ethanol

Dominic K. Albino, Karla Z. Bertrand and Yaneer Bar-Yam

2012: Solvency assessment within the ORSA framework: issues and quantitative methodologies

Julien Vedani and Laurent Devineau

2012: Stability analysis of financial contagion due to overlapping portfolios

Fabio Caccioli, Munik Shrestha, Cristopher Moore and J. Farmer

2012: Determination the Parameters of Markowitz Portfolio Optimization Model

Ertugrul Bayraktar and Ayse Humeyra Bilge

2012: High Frequency Market Making

Rene Carmona and Kevin Webster

2012: Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives

Rene Carmona, Francois Delarue, Gilles-Edouard Espinosa and Nizar Touzi

2012: High order splitting schemes with complex timesteps and their application in mathematical finance

Philipp Doersek and Eskil Hansen

2012: Simple arbitrage

Christian Bender

2012: Ethics and Finance: the role of mathematics

Timothy C. Johnson

2012: The Merton Problem with a Drawdown Constraint on Consumption

T. Arun

2012: A construction of (t,s)-sequences with finite-row generating matrices using global function fields

Roswitha Hofer and Harald Niederreiter

2012: Counterparty Risk and Funding: The Four Wings of the TVA

St\'ephane Cr\'epey, R\'emi Gerboud, Zorana Grbac and Nathalie Ngor

2012: An Approximate Solution Method for Large Risk-Averse Markov Decision Processes

Marek Petrik and Dharmashankar Subramanian

2012: Probability and Asset Updating using Bayesian Networks for Combinatorial Prediction Markets

Wei Sun, Robin Hanson, Kathryn Blackmond Laskey and Charles Twardy

2012: Weighted Sets of Probabilities and MinimaxWeighted Expected Regret: New Approaches for Representing Uncertainty and Making Decisions

Joseph Halpern and Samantha Leung

2012: Designing Informative Securities

Yiling Chen, Mike Ruberry and Jennifer Wortman Vaughan

2012: Towards international E-stat for monitoring the socio-economic activities across the globe

Aki-Hiro Sato and Ken Umeno

2012: Price-Setting of Market Makers: A Filtering Problem with an Endogenous Filtration

Christoph K\"uhn and Matthias Riedel

2012: Opinion Mining for Relating Subjective Expressions and Annual Earnings in US Financial Statements

Chien-Liang Chen, Chao-Lin Liu, Yuan-Chen Chang and Hsiang-Ping Tsai

2012: An introduction to particle integration methods: with applications to risk and insurance

P. Del Moral, G. W. Peters and Ch. Verg\'e

2012: Russian interbank networks: main characteristics and stability with respect to contagion

A. V. Leonidov and Evgeny Rumyantsev

2012: Redistribution spurs growth by using a portfolio effect on human capital

Jan Lorenz, Fabian Paetzel and Frank Schweitzer

2012: Physical assets replacement: an analytical approach

Igor Gimenes Cesca and Douglas Duarte Novaes

2012: The role of distances in the World Trade Web

Francesco Picciolo, Tiziano Squartini, Franco Ruzzenenti, Riccardo Basosi and Diego Garlaschelli

2012: A Semi-Markov Modulated Interest Rate Model

Guglielmo D'Amico, Raimondo Manca and Giovanni Salvi

2012: Characterization of Differentiable Copulas

Saikat Mukherjee, Farhad Jafari and Jong-Min Kim

2012: The solution of discretionary stopping problems with applications to the optimal timing of investment decisions

Timothy C. Johnson

2012: Local Risk-Minimization under the Benchmark Approach

Francesca Biagini, Alessandra Cretarola and Eckhard Platen

2012: Equalitarian Societies are Economically Impossible

Bojin Zheng, Wenhua Du, Wanneng Shu, Jianmin Wang and Deyi Li

2012: Mod\`eles de co\^uts en fonderie sable: les limites d'une approche g\'en\'erique

Nicolas Perry, Magali Mauchand and Alain Bernard

2012: Smooth Nonparametric Bernstein Vine Copulas

Gregor Wei{\ss} and Marcus Scheffer

2012: Fostering Project Scheduling and Controlling Risk Management

Abdul Razaque, Christian Bach, Nyembo Salama and Aziz Alotaibi

2012: How We Tend To Overestimate Powerlaw Tail Exponents

Nassim N. Taleb

2012: Portfolio Choice in Markets with Contagion

Yacine A\"it-Sahalia and T. R. Hurd

2012: A New Kind of Finance

Philip Z. Maymin

2012: A New Trinomial Recombination Tree Algorithm and Its Applications

Peter C. L. Lin

2012: A Stochastic Delay Model For Pricing Debt And Loan Guarantees: Theoretical Results

Elisabeth Kemajou, Salah-Eldin Mohammed and Antoine Tambue

2012: Weighted Kolmogorov-Smirnov test: Accounting for the tails

R\'emy Chicheportiche and Jean-Philippe Bouchaud

2012: Option calibration of exponential L\'evy models: Confidence intervals and empirical results

Jakob S\"ohl and Mathias Trabs

2012: A tractable LIBOR model with default risk

Zorana Grbac and Antonis Papapantoleon

2012: Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

Ulrich Horst, Michael Kupper, Andrea Macrina and Christoph Mainberger

2012: Bivariate Semi-Markov Process for Counterparty Credit Risk

Guglielmo D'Amico, Raimondo Manca and Giovanni Salvi

2012: Optimal decision under ambiguity for diffusion processes

S\"oren Christensen

2012: Integral representation of martingales motivated by the problem of endogenous completeness in financial economics

Dmitry Kramkov and Silviu Predoiu

2012: Optimal investment with intermediate consumption and random endowment

Oleksii Mostovyi

2012: Risk Premia and Optimal Liquidation of Credit Derivatives

Tim Leung and Peng Liu

2012: The string prediction models as an invariants of time series in forex market

Richard Pincak and Marian Repasan

2012: On optimal investment for a behavioural investor in multiperiod incomplete market models

Laurence Carassus and Miklos Rasonyi

2012: Weak Dynamic Programming for Generalized State Constraints

Bruno Bouchard and Marcel Nutz

2012: Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion

Yuri Imamura and Katsuya Takagi

2012: Convex order of discrete, continuous and predictable quadratic variation & applications to options on variance

Martin Keller-Ressel and Claus Griessler

2012: Applying hedging strategies to estimate model risk and provision calculation

Alberto Elices and Eduard Gim\'enez

2012: Error bounds for small jumps of L\'evy processes

El Hadj Aly Dia

2012: Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems

Christian Fries and Joerg Kampen

2012: Systems of Brownian particles with asymmetric collisions

Ioannis Karatzas, Soumik Pal and Mykhaylo Shkolnikov

2012: Consumer finance data generator - a new approach to Credit Scoring technique comparison

Karol Przanowski and Jolanta Mamczarz

2012: Bootstrapping topology and systemic risk of complex network using the fitness model

Nicol\'o Musmeci, Stefano Battiston, Guido Caldarelli, Michelangelo Puliga and Andrea Gabrielli

2012: Maximising Survival, Growth, and Goal Reaching Under Borrowing Constraints

Haluk Yener

2012: UPDATE July 2012 | The Food Crises: The US Drought

Marco Lagi, Yavni Bar-Yam and Yaneer Bar-Yam

2012: The European debt crisis: Defaults and market equilibrium

Marco Lagi and Yaneer Bar-Yam

2012: Optimization problem and mean variance hedging on defaultable claims

Stéphane Goutte and Armand Ngoupeyou

2012: Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process

Christian Bayer and Bezirgen Veliyev

2012: Iterated Function Systems with Economic Applications

Shilei Wang

2012: Stock Price Dynamics and Option Valuations under Volatility Feedback Effect

Juho Kanniainen and Robert Pich\'e

2012: The Transition from Brownian Motion to Boom-and-Bust Dynamics in Financial and Economic Systems

Harbir Lamba

2012: Hierarchical structure of stock price fluctuations in financial markets

Ya-Chun Gao, Shi-Min Cai and Bing-Hong Wang

2012: Sparsifying Defaults: Optimal Bailout Policies for Financial Networks in Distress

Zhang Li and Ilya Pollak

2012: Spectral Risk Measures, With Adaptions For Stochastic Optimization

Alois Pichler

2012: Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging

I. Halperin and Andrey Itkin

2012: Preferential Attachment in the Interaction between Dynamically Generated Interdependent Networks

Boris Podobnik, Davor Horvatic, Mark Dickison and H. Eugene Stanley

2012: The competitiveness versus the wealth of a country

Boris Podobnik, Davor Horvatic, Dror Y. Kenett and H. Eugene Stanley

2012: Wealth distribution on complex networks

Takashi Ichinomiya

2012: Bouchaud-M\'ezard model on a random network

Takashi Ichinomiya

2012: The Future Has Thicker Tails than the Past: Model Error As Branching Counterfactuals

Nassim N. Taleb

2012: How is non-knowledge represented in economic theory?

Ekaterina Svetlova and Henk van Elst

2012: Roles of discount rate, risk premium, and device performance in estimating the cost of energy for photovoltaics

Sergei Manzhos

2012: Dynkin Games and Israeli Options

Yuri Kifer

2012: General Equilibrium as a Topological Field Theory

Eric Kemp-Benedict

2012: On Geometric Ergodicity of Skewed - SVCHARME models

Jerzy P. Rydlewski and Malgorzata Snarska

2012: Time-Frequency Dynamics of Biofuels-Fuels-Food System

Lukas Vacha, Karel Janda, Ladislav Krištoufek and David Zilberman

2012: Scenarios and their Aggregation in the Regulatory Risk Measurement Environment

Andreas Haier and Thorsten Pfeiffer

2012: On the changeover timescales of technology transitions and induced efficiency changes: an overarching theory

Jean-Francois Mercure

2012: First order strong approximations of scalar SDEs with values in a domain

Andreas Neuenkirch and Lukasz Szpruch

2012: Finite quantum mechanical model for the stock market

Liviu-Adrian Cotfas

2012: Vine Constructions of Levy Copulas

Oliver Grothe and Stephan Nicklas

2012: Signal processing with Levy information

Dorje C. Brody, Lane P. Hughston and Xun Yang

2012: A quantum mechanical model for the relationship between stock price and stock ownership

Liviu-Adrian Cotfas

2012: Financial instability from local market measures

Marco Bardoscia, Giacomo Livan and Matteo Marsili

2012: Stock prices assessment: proposal of a new index based on volume weighted historical prices through the use of computer modeling

Tiago Colliri and Fernando F. Ferreira

2012: A finite-dimensional quantum model for the stock market

Liviu-Adrian Cotfas

2012: Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility

Masaaki Fujii and Akihiko Takahashi

2012: Robust Hedging of Withdrawal Guarantees (Extended Version)

Andreas Kunz

2012: Risk Measures on $\mathcal{P}(\mathbb{R})$ and Value At Risk with Probability/Loss function

Marco Frittelli, Marco Maggis and Ilaria Peri

2012: Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type

Marco Frittelli and Marco Maggis

2012: A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification

Davide La Torre and Marco Maggis

2012: Null Models of Economic Networks: The Case of the World Trade Web

Giorgio Fagiolo, Tiziano Squartini and Diego Garlaschelli

2012: Optimal posting price of limit orders: learning by trading

Sophie Laruelle, Charles-Albert Lehalle and Gilles Pag\`es

2012: Archimedean Survival Processes

Edward Hoyle and Levent Ali Menguturk

2012: Default Swap Games Driven by Spectrally Negative Levy Processes

Masahiko Egami, Tim Leung and Kazutoshi Yamazaki

2012: On the drawdown of completely asymmetric Levy processes

Aleksandar Mijatovic and Martijn R. Pistorius

2012: Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model

Mark Davis and Sebastien Lleo

2012: Optimal dividend control for a generalized risk model with investment incomes and debit interest

Jinxia Zhu

2012: Approximating Functional of Local Martingale Under the Lack of Uniqueness of Black-Scholes PDE

Qingshuo Song

2012: American Step-Up and Step-Down Default Swaps under Levy Models

Tim Leung and Kazutoshi Yamazaki

2012: Arbitrage Bounds for Prices of Weighted Variance Swaps

Mark H. A. Davis, Jan Obloj and Vimal Raval

2012: On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation

Laurent Carraro, Nicole El Karoui and Jan Ob{\l}\'oj

2012: Kinetic models for the trading of goods

G. Toscani, C. Brugna and S. Demichelis

2012: Benford's law and Theil transform of financial data

Paulette Clippe and Marcel Ausloos

2012: Portfolio optimization with insider's initial information and counterparty risk

Caroline Hillairet and Ying Jiao

2012: Wrong-way risk in credit and funding valuation adjustments

Mihail Turlakov

2012: How Non-linearity will Transform Information Systems

Paolo Magrassi

2012: Hedging Swing contract on gas markets

Xavier Warin

2012: Common Mistakes when Applying Computational Intelligence and Machine Learning to Stock Market modelling

E. Hurwitz and T. Marwala

2012: Yard-Sale exchange on networks: Wealth sharing and wealth appropriation

R. Bustos-Guajardo and Cristian F. Moukarzel

2012: Small time central limit theorems for semimartingales with applications

Stefan Gerhold, Max Kleinert, Piet Porkert and Mykhaylo Shkolnikov

2012: Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series

Ying-Hui Shao, Gao Feng Gu, Zhi-Qiang Jiang, Wei-Xing Zhou and Didier Sornette

2012: Inverse Thinking in Economic Theory: A Radical Approach to Economic Thinking

Jaime Gomez-Ramirez

2012: Interest Rate Manipulation Detection using Time Series Clustering Approach

Murphy Choy, Enoch Chng and Koo Ping Shung

2012: Distribution Of Wealth In A Network Model Of The Economy

Tao Ma, John G. Holden and R. A. Serota

2012: Why, when, and how fast innovations are adopted

Sebastian Goncalves, M. F. Laguna and J. R. Iglesias

2012: Risk minimizing of derivatives via dynamic g-expectation and related topics

Tianxiao Wang

2012: General Balance Functions in the Theory of Interest

David Spring

2012: Measuring capital market efficiency: Global and local correlations structure

Ladislav Krištoufek and Miloslav Vošvrda

2012: Mathematical Definition, Mapping, and Detection of (Anti)Fragility

Nassim N. Taleb and Raphael Douady

2012: Relations between allometric scalings and fluctuations in complex systems: The case of Japanese firms

Hayafumi Watanabe, Hideki Takayasu and Misako Takayasu

2012: Evolutionary Model of the Growth and Size of Firms

Joachim Kaldasch

2012: Does GDP measure growth in the economy or simply growth in the money supply?

Jacky Mallett and Charles Keen

2012: Directed Random Markets: Connectivity determines Money

Ismael Martínez-Martínez and Ricardo Lopez-Ruiz

2012: Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust

John Cotter, Stuart Gabriel and Richard Roll

2012: Scaling, stability and distribution of the high-frequency returns of the IBEX35 index

Pablo Su\'arez-Garc\'ia and David G\'omez-Ullate

2012: Option prices with call prices

Lauri Viitasaari

2012: On dependence consistency of CoVaR and some other systemic risk measures

Georg Mainik and Eric Schaanning

2012: Record statistics and persistence for a random walk with a drift

Satya N. Majumdar, Gregory Schehr and Gregor Wergen

2012: A Numerical Scheme Based on Semi-Static Hedging Strategy

Yuri Imamura, Yuta Ishigaki, Takuya Kawagoe and Toshiki Okumura

2012: An assessement of global energy resource economic potentials

Jean-Francois Mercure and P. Salas

2012: Large deviations for a mean field model of systemic risk

Josselin Garnier, George Papanicolaou and Tzu-Wei Yang

2012: A proposal for impact-adjusted valuation: Critical leverage and execution risk

Fabio Caccioli, Jean-Philippe Bouchaud and J. Farmer

2012: Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model

Jan Baldeaux and Alexander Badran

2012: Bounds for rating override rates

Dirk Tasche

2012: Portfolio liquidation in dark pools in continuous time

Peter Kratz and Torsten Sch\"oneborn

2012: High-order short-time expansions for ATM option prices under the CGMY model

Jos\'e E. Figueroa-L\'opez, Ruoting Gong and Christian Houdr\'e

2012: Exploring complex networks via topological embedding on surfaces

Tomaso Aste, Ruggero Gramatica and T. Di Matteo

2012: Dealing with the Inventory Risk. A solution to the market making problem

Olivier Gu\'eant, Charles-Albert Lehalle and Joaquin Fernandez Tapia

2012: Small-time asymptotics for fast mean-reverting stochastic volatility models

Jin Feng, Jean-Pierre Fouque and Rohini Kumar

2012: Outperforming the market portfolio with a given probability

Erhan Bayraktar, Yu-Jui Huang and Qingshuo Song

2012: Robust maximization of asymptotic growth

Constantinos Kardaras and Scott Robertson

2012: What are the limits on Commercial Bank Lending?

Jacky Mallett

2012: Portfolio Choice with Transaction Costs: a User's Guide

Paolo Guasoni and Johannes Muhle-Karbe

2012: Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach

Alessandro Ramponi

2012: Adaptive Execution: Exploration and Learning of Price Impact

Beomsoo Park and Benjamin Van Roy

2012: A note on asymptotic exponential arbitrage with exponentially decaying failure probability

Kai Du and Ariel David Neufeld

2012: The financial framework of the sustainability of health universal coverage in Italy. A quantitative financial model for the assessment of the italian stability and reform program of public health financing

Stefano Olgiati and Alessandro Danovi

2012: A Dynamical Model for Operational Risk in Banks

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