Papers

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2011: Inference for High-Dimensional Sparse Econometric Models

Alexandre Belloni, Victor Chernozhukov and Christian Hansen

2011: Saddlepoint methods in portfolio theory

Richard J Martin

2011: Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance

Xiaoshan Chen, Qingshuo Song, Fahuai Yi and George Yin

2011: Measuring market liquidity: An introductory survey

Alexandros Gabrielsen, Massimiliano Marzo and Paolo Zagaglia

2011: Valuation of Zynga

Zal\'an Forr\'o, Peter Cauwels and Didier Sornette

2011: Periodic Sequences of Arbitrage: A Tale of Four Currencies

Rod Cross, Victor Kozyakin, Brian O'Callaghan, Alexei Pokrovskii and Alexey Pokrovskiy

2011: Dependent default and recovery: MCMC study of downturn LGD credit risk model

Pavel V. Shevchenko and Xiaolin Luo

2011: The topology of cross-border exposures: beyond the minimal spanning tree approach

Alessandro Spelta and Tanya Ara\'ujo

2011: Resilience to Contagion in Financial Networks

Hamed Amini, Rama Cont and Andreea Minca

2011: Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension

Winslow Strong

2011: Efficient simulation and calibration of general HJM models by splitting schemes

Philipp Doersek and Josef Teichmann

2011: An application of the method of moments to volatility estimation using daily high, low, opening and closing prices

Cristin Buescu, Michael Taksar and Fatoumata J. Kon\'e

2011: Monte Carlo methods via a dual approach for some discrete time stochastic control problems

Lajos Gergely Gyurko, Ben Hambly and Jan Hendrik Witte

2011: Optimal Constrained Investment in the Cramer-Lundberg model

Tatiana Belkina, Christian Hipp, Shangzhen Luo and Michael Taksar

2011: Minimal Cost of a Brownian Risk without Ruin

Shangzhen Luo and Michael Taksar

2011: Spurious trend switching phenomena in financial markets

Vladimir Filimonov and Didier Sornette

2011: Pseudo Hermitian formulation of Black-Scholes equation

T. K. Jana and P. Roy

2011: Pricing a Contingent Claim Liability with Transaction Costs Using Asymptotic Analysis for Optimal Investment

Maxim Bichuch

2011: Empirical confirmation of creative destruction from world trade data

Peter Klimek, Ricardo Hausmann and Stefan Thurner

2011: Credit derivatives pricing with default density term structure modelled by L\'evy random fields

Lijun Bo, Ying Jiao and Xuewei Yang

2011: Estimating financial risk using piecewise Gaussian processes

I. Garcia and J. Jimenez

2011: Modeling the International-Trade Network: A Gravity Approach

Marco Duenas and Giorgio Fagiolo

2011: Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs

Maxim Bichuch

2011: Dual representations for general multiple stopping problems

Christian Bender, John Schoenmakers and Jianing Zhang

2011: On the game interpretation of a shadow price process in utility maximization problems under transaction costs

Dmitry B. Rokhlin

2011: Arbitrage-free Self-organizing Markets with GARCH Properties: Generating them in the Lab with a Lattice Model

B. Dupoyet, H. R. Fiebig and D. P. Musgrove

2011: Firm dynamics in a closed, conserved economy: A model of size distribution of employment and related statistics

Anindya S. Chakrabarti

2011: Randomised Mixture Models for Pricing Kernels

Andrea Macrina and Priyanka A. Parbhoo

2011: Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data

E. Bacry, K. Dayri and J. F. Muzy

2011: A Note on the Equivalence between the Normal and the Lognormal Implied Volatility: A Model Free Approach

Cyril Grunspan

2011: Clean Valuation Framework for the USD Silo

Masaaki Fujii and Akihiko Takahashi

2011: Asymptotic Expansions of the Lognormal Implied Volatility: A Model Free Approach

Cyril Grunspan

2011: Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation

Andrea Pallavicini, Daniele Perini and Damiano Brigo

2011: Analysis of fractional Gaussian noises using level crossing method

M. Vahabi, G. R. Jafari and M. Sadegh Movahed

2011: Common persistence in conditional variance: A reconsideration

Changshuai Li

2011: Looking for grass-root sources of systemic risk: the case of "cheques-as-collateral" network

Michalis Vafopoulos

2011: The Nature of Alpha

Arthur M. Berd

2011: Predicting Financial Markets: Comparing Survey, News, Twitter and Search Engine Data

Huina Mao, Scott Counts and Johan Bollen

2011: Non-Gaussianity of the Intraday Returns Distribution: its evolution in time

M. A. Virasoro

2011: RQA Application for the Monitoring of Financial and Commodity markets state

Sergii Piskun, Oleksandr Piskun and Dmitry Chabanenko

2011: Income Tax Evasion Dynamics: Evidence from an Agent-based Econophysics Model

Michael Pickhardt and Goetz Seibold

2011: A semi-Markov model with memory for price changes

Guglielmo D'Amico and Filippo Petroni

2011: Default and Systemic Risk in Equilibrium

Agostino Capponi and Martin Larsson

2011: Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems

Jan Hendrik Witte and Christoph Reisinger

2011: The small-maturity smile for exponential Levy models

Jose E. Figueroa-Lopez and Martin Forde

2011: Optimal consumption and investment for markets with random coefficients

Berdjane Belkacem and Serguei Pergamenchtchikov

2011: Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA

Masaaki Fujii and Akihiko Takahashi

2011: Multivariate heavy-tailed models for Value-at-Risk estimation

Carlo Marinelli, Stefano d'Addona and Svetlozar T. Rachev

2011: Valuation equations for stochastic volatility models

Erhan Bayraktar, Constantinos Kardaras and Hao Xing

2011: Truncated Variation, Upward Truncated Variation and Downward Truncated Variation of Brownian Motion with Drift - their Characteristics and Applications

Rafa{\l} {\L}ochowski

2011: Quantile Mechanics II: Changes of Variables in Monte Carlo methods and GPU-Optimized Normal Quantiles

William T. Shaw, Thomas Luu and Nick Brickman

2011: Risk Aversion and Portfolio Selection in a Continuous-Time Model

Jianming Xia

2011: Mesoscopic approach to minority games in herd regime

Karol Wawrzyniak and Wojciech Wislicki

2011: Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method

Massimiliano Marzo, Daniele Ritelli and Paolo Zagaglia

2011: Adaptive Simulation of the Heston Model

Ian Iscoe and Asif Lakhany

2011: On Markovian solutions to Markov Chain BSDEs

Samuel N. Cohen and Lukasz Szpruch

2011: Multicurrency advisor based on the NSW model. Detailed description and perspectives

A. M. Avdeenko

2011: A Mathematical Method for Deriving the Relative Effect of Serviceability on Default Risk

Graham Andersen and David Chisholm

2011: Heisenberg uncertainty principle and economic analogues of basic physical quantities

Vladimir Soloviev and Vladimir Saptsin

2011: Multifractal modeling of short-term interest rates

M. Rypdal and O. L{\o}vsletten

2011: Markov Chains application to the financial-economic time series prediction

Vladimir Soloviev, Vladimir Saptsin and Dmitry Chabanenko

2011: Privacy-Preserving Methods for Sharing Financial Risk Exposures

Emmanuel A. Abbe, Amir E. Khandani and Andrew Lo

2011: Cluster formation and evolution in networks of financial market indices

Leonidas Sandoval Junior

2011: Biased diffusion on Japanese inter-firm trading network: Estimation of sales from network structure

Hayafumi Watanabe, Hideki Takayasu and Misako Takayasu

2011: Collective behavior of stock prices as a precursor to market crash

Jun-ichi Maskawa

2011: Historical risk measures on stock market indices and energy markets

Wayne Tarrant

2011: Viewing Risk Measures as Information

Dominique Gu/'egan and Wayne Tarrant

2011: On the Necessity of Five Risk Measures

Dominique Gu\'egan and Wayne Tarrant

2011: ADI finite difference schemes for the Heston-Hull-White PDE

Tinne Haentjens and Karel J. in 't Hout

2011: Interest Rates and Information Geometry

Dorje C. Brody and Lane P. Hughston

2011: Black-Scholes model under subordination

Aleksander Stanislavsky

2011: Tracing the temporal evolution of clusters in a financial stock market

Argimiro Arratia and Alejandra Caba\~na

2011: A simplified Capital Asset Pricing Model

Vladimir Vovk

2011: Critical Analysis of the Binomial-Tree approach to Convertible Bonds in the framework of Tsiveriotis-Fernandes model

K. Milanov and O. Kounchev

2011: Numerical Solutions of Optimal Risk Control and Dividend Optimization Policies under A Generalized Singular Control Formulation

Zhuo Jin, George Yin and Chao Zhu

2011: On the scaling of the distribution of daily price fluctuations in Mexican financial market index

Lester Alfonso, Ricardo Mansilla and Cesar A. Terrero-Escalante

2011: Copula-based Hierarchical Aggregation of Correlated Risks. The behaviour of the diversification benefit in Gaussian and Lognormal Trees

Jean-Philippe Bruneton

2011: Time-Inconsistent Stochastic Linear--Quadratic Control

Ying Hu, Hanqing Jin and Xun Yu Zhou

2011: An analytical performance comparison of exchanged traded funds with index funds: 2002-2010

Mohammad Sharifzadeh and Simin Hojat

2011: Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics

Peter Cauwels and Didier Sornette

2011: Parrondo-like behavior in continuous-time random walks with memory

Miquel Montero

2011: Quantifying mortality risk in small defined-benefit pension schemes

Catherine Donnelly

2011: The Emergence of Leadership in Social Networks

T. Clemson and T. S. Evans

2011: Anomalous price impact and the critical nature of liquidity in financial markets

Bence Toth, Yves Lemperiere, Cyril Deremble, Joachim de Lataillade, Julien Kockelkoren and Jean-Philippe Bouchaud

2011: Randomizing world trade. II. A weighted network analysis

Tiziano Squartini, Giorgio Fagiolo and Diego Garlaschelli

2011: Randomizing world trade. I. A binary network analysis

Tiziano Squartini, Giorgio Fagiolo and Diego Garlaschelli

2011: On Mean-Variance Analysis

Yang Li and Traian A Pirvu

2011: Rational term structure models with geometric Levy martingales

Dorje C. Brody, Lane P. Hughston and Ewan Mackie

2011: Conditional Density Models for Asset Pricing

Damir Filipovi\'c, Lane P. Hughston and Andrea Macrina

2011: Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations

Nikolaus Rab and Richard Warnung

2011: Option Pricing in Multivariate Stochastic Volatility Models of OU Type

Johannes Muhle-Karbe, Oliver Pfaffel and Robert Stelzer

2011: A stochastic volatility model with jumps

Youssef El-Khatib

2011: Coupled Oscillator Model of the Business Cycle with Fluctuating Goods Markets

Y. Ikeda, H. Aoyama, Y. Fujiwara, H. Iyetomi, K. Ogimoto, W. Souma and H. Yoshikawa

2011: Fat Tails Quantified and Resolved: A New Distribution to Reveal and Characterize the Risk and Opportunity Inherent in Leptokurtic Data

Lawrence R. Thorne

2011: Hedging of time discrete auto-regressive stochastic volatility options

Joan del Castillo and Juan-Pablo Ortega

2011: Symmetries of the Black-Scholes equation

Paul Lescot

2011: Two-factor capital structure models for equity and credit

Thomas R. Hurd and Zhuowei Zhou

2011: Spatial Autocorrelation and Verdoorn Law in the Portuguese NUTs III

Vítor Martinho

2011: Spatial Effects and Verdoorn Law in the Portuguese Context

Vítor Martinho

2011: Spatial Effects and Convergence Theory in the Portuguese Situation

Vítor Martinho

2011: Analysis of Net Migration Between the Portuguese Regions

Vítor Martinho

2011: Regional Agglomeration in Portugal: A Linear Analysis

Vítor Martinho

2011: Geographic Concentration in Portugal and Regional Specific Factors

Vítor Martinho

2011: Polarization Versus Agglomeration

Vítor Martinho

2011: Spatial Effects in Convergence of Portuguese Product

Vítor Martinho

2011: Sectoral Convergence in Output Per Worker Between Portuguese Regions

Vítor Martinho

2011: An Alternative Use of the Verdoorn Law at the Portuguese NUTs II Level

Vítor Martinho

2011: The Verdoorn Law in the Portuguese Regions: A Panel Data Analysis

Vítor Martinho

2011: The Importance of Increasing Returns to Scale in the Process of Agglomeration in Portugal: A Non-linear Empirical Analysis

Vítor Martinho

2011: Agglomeration and Interregional Mobility of Labor in Portugal

Vítor Martinho

2011: Entrepreneurship: some considerations

Vítor Martinho

2011: Entrepreneurship: what's happening?

Vítor Martinho

2011: Causal modeling and inference for electricity markets

Egil Ferkingstad, Anders L{\o}land and Mathilde Wilhelmsen

2011: A Quantum-like Approach to the Stock Market

Diederik Aerts, Bart D'Hooghe and Sandro Sozzo

2011: Fundamental Measurements in Economics and in the Theory of Consciousness (Manifestation of quantum-mechanical properties of economic objects in slit measurements)

I. G. Tuluzov and Sergiy Melnyk

2011: Fundamental Measurements in Economics and in the Theory of Consciousness

Sergiy Melnyk and I. G. Tuluzov

2011: Exact and asymptotic results for insurance risk models with surplus-dependent premiums

Hansj\"org Albrecher, Corina Constantinescu, Zbigniew Palmowski, Georg Regensburger and Markus Rosenkranz

2011: Memory effects in stock price dynamics: evidences of technical trading

Federico Garzarelli, Matthieu Cristelli, Andrea Zaccaria and Luciano Pietronero

2011: Computing Economic Equilibria by a Homotopy Method

Zoltan Pap

2011: A limit order book model for latency arbitrage

Samuel N. Cohen and Lukasz Szpruch

2011: Bridge Copula Model for Option Pricing

Giuseppe Campolieti, Roman N. Makarov and Andrey Vasiliev

2011: Anti-Robust and Tonsured Statistics

Martin Goldberg

2011: Calculating Variable Annuity Liability 'Greeks' Using Monte Carlo Simulation

Mark J. Cathcart, Steven Morrison and Alexander J. McNeil

2011: Application of Chaotic Number Generators in Econophysics

Carmen Pellicer-Lostao and Ricardo Lopez-Ruiz

2011: Hierarchical information clustering by means of topologically embedded graphs

Won-Min Song, T. Di Matteo and Tomaso Aste

2011: Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market

Tian Qiu, Guang Chen, Li-Xin Zhong and Xiao-Run Wu

2011: Gaussian Process Regression Networks

Andrew Gordon Wilson, David A. Knowles and Zoubin Ghahramani

2011: A framework for analyzing contagion in banking networks

Thomas R. Hurd and James P. Gleeson

2011: Integration and Contagion in US Housing Markets

John Cotter, Stuart Gabriel and Richard Roll

2011: Performance analysis and optimal selection of large mean-variance portfolios under estimation risk

Francisco Rubio, Xavier Mestre and Daniel P. Palomar

2011: Suitability of using technical indicators as potential strategies within intelligent trading systems

Evan Hurwitz and Tshilidzi Marwala

2011: Price impact asymmetry of institutional trading in Chinese stock market

Fei Ren and Li-Xin Zhong

2011: Market inefficiency identified by both single and multiple currency trends

Tom\'a\v{s} Tok\'ar and Denis Horv\'ath

2011: Multi-agent based analysis of financial data

Tom\'a\v{s} Tok\'ar, Denis Horv\'ath and Michal Hnatich

2011: Parallel Binomial American Option Pricing with (and without) Transaction Costs

Nan Zhang, Alet Roux and Tomasz Zastawniak

2011: Distinguishing manipulated stocks via trading network analysis

Xiao-Qian Sun, Xue-Qi Cheng, Hua-Wei Shen and Zhao-Yang Wang

2011: Time Scales in Futures Markets and Applications

Laurent Schoeffel

2011: Menger 1934 revisited

Ole Peters

2011: Detecting Collusive Cliques in Futures Markets Based on Trading Behaviors from Real Data

Junjie Wang, Shuigeng Zhou and Jihong Guan

2011: Returns in futures markets and $\nu=3$ t-distribution

Laurent Schoeffel

2011: Modeling Multiple Risks: Hidden Domain of Attraction

Abhimanyu Mitra and Sidney I. Resnick

2011: Hedging strategies with a put option and their failure rates

Guanghui Huang, Jing Xu and Wenting Xing

2011: The Small and Large Time Implied Volatilities in the Minimal Market Model

Zhi Guo and Eckhard Platen

2011: Density Approximations for Multivariate Affine Jump-Diffusion Processes

Damir Filipovi\'c, Eberhard Mayerhofer and Paul Schneider

2011: Controlled options: derivatives with added flexibility

Nikolai Dokuchaev

2011: Equilibrium notions and framing effects

Christian Hilbe

2011: A Numerical Study of Radial Basis Function Based Methods for Options Pricing under the One Dimension Jump-diffusion Model

Ron T. L. Chan and Simon Hubbert

2011: Dividend problem with Parisian delay for a spectrally negative L\'evy risk process

Irmina Czarna and Zbigniew Palmowski

2011: On affine interest rate models

Paul Lescot

2011: Bernstein processes, Euclidean Quantum Mechanics and Interest Rate Models

Paul Lescot

2011: High order discretization schemes for stochastic volatility models

Benjamin Jourdain and Mohamed Sbai

2011: Conservative self-organized extremal model for wealth distribution

Abhijit Chakraborty, G. Mukherjee and S. S. Manna

2011: Identification of Demand through Statistical Distribution Modeling for Improved Demand Forecasting

Murphy Choy and Michelle L. F. Cheong

2011: Pricing stocks with yardsticks and sentiments

Sebast{\i}an Mart{\i}nez Bustos, Jorgen Vitting Andersen, Michel Miniconi, Andrzej Nowak, Magdalena Roszczynska-Kurasinska and David Bree

2011: The Capital Asset Pricing Model as a corollary of the Black-Scholes model

Vladimir Vovk

2011: The Food Crises: A quantitative model of food prices including speculators and ethanol conversion

Marco Lagi, Yavni Bar-Yam, Karla Z. Bertrand and Yaneer Bar-Yam

2011: Investment Volatility: A Critique of Standard Beta Estimation and a Simple Way Forward

Chris Tofallis

2011: Analysis of the trends in the index of the Dow Jones Industrial Average (DJIA) of the New York Stock Exchange (NYSE)

Caglar Tuncay

2011: Error estimates for finite difference approximations of American put option price

David \v{S}i\v{s}ka

2011: Properties of Doubly Stochastic Poisson Process with affine intensity

Alan De Genaro Dario and Adilson Simonis

2011: Optimal trade execution and price manipulation in order books with time-varying liquidity

Antje Fruth, Torsten Schoeneborn and Mikhail Urusov

2011: Numerical integration of Heath-Jarrow-Morton model of interest rates

M. Krivko and M. V. Tretyakov

2011: The efficient index hypothesis and its implications in the BSM model

Vladimir Vovk

2011: Escalation, timing and severity of insurgent and terrorist events: Toward a unified theory of future threats

Neil F. Johnson

2011: Time-Consistent Actuarial Valuations

Antoon Pelsser

2011: Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle

Scott Willenbrock

2011: Heterogeneity, correlations and financial contagion

Fabio Caccioli, Thomas A. Catanach and J. Farmer

2011: Collective behavior in financial market

Thomas Kau\^e Dal'Maso Peron and Francisco Aparecido Rodrigues

2011: Existence, uniqueness, and global regularity for degenerate elliptic obstacle problems in mathematical finance

Panagiota Daskalopoulos and Paul M. N. Feehan

2011: Losing money with a high Sharpe ratio

Vladimir Vovk

2011: Pruning a Minimum Spanning Tree

Leonidas Sandoval Junior

2011: From microscopic taxation and redistribution models to macroscopic income distributions

Maria Letizia Bertotti and Giovanni Modanese

2011: Dynamical Hurst exponent as a tool to monitor unstable periods in financial time series

Raffaello Morales, T. Di Matteo, Ruggero Gramatica and Tomaso Aste

2011: Individual impact of agent actions in financial markets

Alex J. Bladon, Esteban Moro and Tobias Galla

2011: How much multifractality is included in monofractal signals?

Dariusz Grech and Grzegorz Pamula

2011: The network of global corporate control

Stefania Vitali, James Glattfelder and Stefano Battiston

2011: Scaling properties and universality of first-passage time probabilities in financial markets

Josep Perell\'o, Mario Guti\'errez-Roig and Jaume Masoliver

2011: Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox

Alessandro Fiori Maccioni

2011: High Dimensional Sparse Econometric Models: An Introduction

Alexandre Belloni and Victor Chernozhukov

2011: A model of coopetitive game and the Greek crisis

David Carf\'i and Daniele Schilir\'o

2011: Additive habit formation: Consumption in incomplete markets with random endowments

Roman Muraviev

2011: A projected gradient dynamical system modeling the dynamics of bargaining

Diogo Pinheiro, A. A. Pinto, S. Z. Xanthopoulos and A. N. Yannacopoulos

2011: Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching

Agostino Capponi and Jose E. Figueroa-Lopez

2011: Utility Maximization, Risk Aversion, and Stochastic Dominance

Mathias Beiglboeck, Johannes Muhle-Karbe and Johannes Temme

2011: Shocks in financial markets, price expectation, and damped harmonic oscillators

Leonidas Sandoval Junior and Italo De Paula Franca

2011: On the criticality of inferred models

Iacopo Mastromatteo and Matteo Marsili

2011: On the Use of Policy Iteration as an Easy Way of Pricing American Options

Christoph Reisinger and Jan Hendrik Witte

2011: Robust Estimators in Generalized Pareto Models

Peter Ruckdeschel and Nataliya Horbenko

2011: Arbitrage Opportunities in Misspecified Stochastic volatility Models

Rudra P. Jena and Peter Tankov

2011: The Lehman Brothers Effect and Bankruptcy Cascades

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

2011: Path integral approach to Asian options in the Black-Scholes model

Jeroen P. A. Devreese, Damiaan Lemmens and Jacques Tempere

2011: Factorial Moments in Complex Systems

Laurent Schoeffel

2011: Entropy and equilibrium state of free market models

J. R. Iglesias and R. M. C. de Almeida

2011: Intermittency in Quantitative Finance

Laurent Schoeffel

2011: Living on the multi-dimensional edge: seeking hidden risks using regular variation

Bikramjit Das, Abhimanyu Mitra and Sidney Resnick

2011: Default risk modeling beyond the first-passage approximation: Position-dependent killing

Yuri A. Katz

2011: Pricing Variable Annuity Contracts with High-Water Mark Feature

V. M. Belyaev

2011: Eigenvector dynamics: theory and some applications

Romain Allez and Jean-Philippe Bouchaud

2011: Probability-free pricing of adjusted American lookbacks

A. Philip Dawid, Steven de Rooij, Peter Grunwald, Wouter M. Koolen, Glenn Shafer, Alexander Shen, Nikolai Vereshchagin and Vladimir Vovk

2011: Portfolios and the market geometry

Samuel Eleut\'erio, Tanya Ara\'ujo and Rui Mendes

2011: Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models

Antoine Jacquier, Martin Keller-Ressel and Aleksandar Mijatovic

2011: Estimation in Functional Regression for General Exponential Families

Winston Dou, David Pollard and Harrison H. Zhou

2011: About the non-random Content of Financial Markets

Laurent Schoeffel

2011: Statistical Methods for Estimating the non-random Content of Financial Markets

Laurent Schoeffel

2011: Additive habits with power utility: Estimates, asymptotics and equilibrium

Roman Muraviev

2011: Initial Enlargement in a Markov chain market model

Dario Gasbarra, Jos\'e Igor Morlanes and Esko Valkeila

2011: Time-Bridge Estimators of Integrated Variance

A. Saichev and D. Sornette

2011: Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility

Eusebio Valero, Manuel Torrealba, Lucas Lacasa and Fran\c{c}ois Fraysse

2011: Convex risk measures for good deal bounds

Takuji Arai and Masaaki Fukasawa

2011: Mean--variance portfolio optimization when means and covariances are unknown

Tze Leung Lai, Haipeng Xing and Zehao Chen

2011: Constructing the Best Trading Strategy: A New General Framework

Philip Z. Maymin and Zakhar G. Maymin

2011: Multiplicative Asset Exchange with Arbitrary Return Distributions

Cristian F. Moukarzel

2011: Second-Order, Dissipative T\^atonnement: Economic Interpretation and 2-Point Limit Cycles

Eric Kemp-Benedict

2011: Theory of Information Pricing

Dorje C. Brody and Yan Tai Law

2011: Goodness-of-Fit tests with Dependent Observations

Remy Chicheportiche and Jean-Philippe Bouchaud

2011: Agent based reasoning for the non-linear stochastic models of long-range memory

Aleksejus Kononovicius and Vygintas Gontis

2011: Counterparty Risk and the Impact of Collateralization in CDS Contracts

Tomasz R. Bielecki, Igor Cialenco and Ismail Iyigunler

2011: Asymptotics and Duality for the Davis and Norman Problem

Stefan Gerhold, Johannes Muhle-Karbe and Walter Schachermayer

2011: Optimal execution strategy in the presence of permanent price impact and fixed transaction cost

Mauricio Junca

2011: Recovery Rates in investment-grade pools of credit assets: A large deviations analysis

Konstantinos Spiliopoulos and Richard B. Sowers

2011: The level crossing and inverse statistic analysis of German stock market index (DAX) and daily oil price time series

F. Shayeganfar, M. Holling, J. Peinke and M. Reza Rahimi Tabar

2011: Employment, unemployment and real economic growth

Ivan Kitov and Oleg Kitov

2011: Okun's law revisited. Is there structural unemployment in developed countries?

Ivan Kitov

2011: Detection of Crashes and Rebounds in Major Equity Markets

Wanfeng Yan, Reda Rebib, Ryan Woodard and Didier Sornette

2011: Recurrence Quantification Analysis of Financial Market Crashes and Crises

Oleksandr Piskun and Sergii Piskun

2011: Econophysics: Bridges over a Turbulent Current

Shu-Heng Chen and Sai-Ping Li

2011: A note on essential smoothness in the Heston model

Martin Forde, Antoine Jacquier and Aleksandar Mijatovic

2011: Identification of clusters of investors from their real trading activity in a financial market

Michele Tumminello, Fabrizio Lillo, Jyrki Piilo and Rosario Mantegna

2011: Models for the impact of all order book events

Zoltan Eisler, Jean-Philippe Bouchaud and Julien Kockelkoren

2011: On the Representation of General Interest Rate Models as Square Integrable Wiener Functionals

Lane P. Hughston and Francesco Mina

2011: On the Zipf strategy for short-term investments in WIG20 futures

B. Bieda, P. Chodorowski and D. Grech

2011: Keynesian Economics After All

A. Johansen and I. Simonsen

2011: KISS approach to credit portfolio modeling

Mikhail Voropaev

2011: On Investment-Consumption with Regime-Switching

Traian A. Pirvu and Huayue Zhang

2011: Implied Volatility Surface: Construction Methodologies and Characteristics

Cristian Homescu

2011: Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance

Cristian Homescu

2011: Multiplicative noise, fast convolution, and pricing

Giacomo Bormetti and Sofia Cazzaniga

2011: Finance Without Probabilistic Prior Assumptions

Frank Riedel

2011: Efficiency and Equilibria in Games of Optimal Derivative Design

Ulrich Horst and Santiago Moreno-Bromberg

2011: Role of Diversification Risk in Financial Bubbles

Wanfeng Yan, Ryan Woodard and Didier Sornette

2011: The Second Wave of the Global Crisis? A Log-Periodic Oscillation Analysis of Commodity Price Series

Askar Akaev, Alexei Fomin and Andrey Korotayev

2011: The Stability of the Constrained Utility Maximization Problem - A BSDE Approach

Markus Mocha and Nicholas Westray

2011: Revenue diversification in emerging market banks: implications for financial performance

Saoussen Ben Gamra and Dominique Plihon

2011: Robustness and Contagion in the International Financial Network

Tilman Dette, Scott Pauls and Daniel N. Rockmore

2011: On the Stability the Least Squares Monte Carlo

Oleksii Mostovyi

2011: Pricing and Hedging in Affine Models with Possibility of Default

Patrick Cheridito and Alexander Wugalter

2011: A certain estimate of volatility through return for stochastic volatility models

Mikhail Martynov and Olga Rozanova

2011: BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences

{\L}ukasz Delong

2011: Picard approximation of stochastic differential equations and application to LIBOR models

Antonis Papapantoleon and David Skovmand

2011: Analytical Framework for Credit Portfolios. Part I: Systematic Risk

Mikhail Voropaev

2011: The affine LIBOR models

Martin Keller-Ressel, Antonis Papapantoleon and Josef Teichmann

2011: Can We Learn to Beat the Best Stock

A. Borodin, R. El-Yaniv and V. Gogan

2011: Stock Price Processes with Infinite Source Poisson Agents

Mine Caglar

2011: The path integral representation kernel of evolution operator in Merton-Garman model

L. F. Blazhyevskyi and V. S. Yanishevsky

2011: A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds

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2011: Optimal High Frequency Trading with limit and market orders

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2011: Multilevel Monte Carlo method for jump-diffusion SDEs

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2011: Proportionate vs disproportionate distribution of wealth of two individuals in a tempered Paretian ensemble

G. Oshanin, Yu. Holovatch and G. Schehr

2011: Machine Learning Markets

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2011: Chaos structures. Multicurrency adviser on the basis of NSW model and social-financial nets

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2011: Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach

Song Song

2011: Large Vector Auto Regressions

Song Song and Peter J. Bickel

2011: Impact of the first to default time on Bilateral CVA

Damiano Brigo, Cristin Buescu and Massimo Morini

2011: Applications of a constrained mechanics methodology in economics

Jitka Janov\'a

2011: Learning, investments and derivatives

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2011: Distortion risk measures for sums of dependent losses

Brahim Brahimi, Djamel Meraghni and Abdelhakim Necir

2011: Knowledge Dispersion Index for Measuring Intellectual Capital

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2011: Calibration of Chaotic Models for Interest Rates

Matheus R Grasselli and Tsunehiro Tsujimoto

2011: Duality and Convergence for Binomial Markets with Friction

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2011: Pricing of average strike Asian call option using numerical PDE methods

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2011: Fibrations of financial events

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2011: Market efficiency, anticipation and the formation of bubbles-crashes

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2011: Financial factor influence on scaling and memory of trading volume in stock market

Wei Li, Fengzhong Wang, Shlomo Havlin and H. Eugene Stanley

2011: Volatility of Power Grids under Real-Time Pricing

Mardavij Roozbehani, Munther A Dahleh and Sanjoy K Mitter

2011: Financial Lie groups

David Carf\'i

2011: Asymmetric random matrices: What do we need them for?

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2011: Power Series Representations for European Option Prices under Stochastic Volatility Models

Lucia Caramellino, Giorgio Ferrari and Roberta Piersimoni

2011: Credit contagion and risk management with multiple non-ordered defaults

Younes Kchia and Martin Larsson

2011: A method for pricing American options using semi-infinite linear programming

S\"oren Christensen

2011: A Random Matrix Approach to Credit Risk

Michael C. M\"unnix, Rudi Sch\"afer and Thomas Guhr

2011: Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets

Alex Langnau and Daniel Cangemi

2011: Approximations and asymptotics of upper hedging prices in multinomial models

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2011: Small-Time Asymptotics of Option Prices and First Absolute Moments

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2011: $F$-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point

S. Cawston and L. Vostrikova

2011: Precautionary Measures for Credit Risk Management in Jump Models

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2011: Agent-based model of competition in a social structure

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2011: The near-extreme density of intraday log-returns

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2011: Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option

J. D. Kandilarov and D. Sevcovic

2011: Life time of correlation between stocks prices on established and emerging markets

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2011: Hierarchical structure in phonographic market

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2011: The "S" Curve Relationship between Export Diversity and Economic Size of Countries

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2011: Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts

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2011: Is there a bubble in LinkedIn's stock price?

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2011: Pricing, liquidity and the control of dynamic systems in finance and economics

Geoff Willis

2011: Adding to the Regulator's Toolbox: Integration and Extension of Two Leading Market Models

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2011: Analytic results and weighted Monte Carlo simulations for CDO pricing

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2011: Erratum for: Smile dynamics -- a theory of the implied leverage effect

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2011: Stochastic Price Dynamics Implied By the Limit Order Book

Alex Langnau and Yanko Punchev

2011: Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options

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2011: State-Observation Sampling and the Econometrics of Learning Models

Laurent Calvet and Veronika Czellar

2011: A note on a paper by Wong and Heyde

Aleksandar Mijatovi\'c and Mikhail Urusov

2011: Portfolio selection problems in practice: a comparison between linear and quadratic optimization models

Francesco Cesarone, Andrea Scozzari and Fabio Tardella

2011: Asymptotic Expansion for the Normal Implied Volatility in Local Volatility Models

Viorel Costeanu and Dan Pirjol

2011: Exact Simulation of the 3/2 Model

Jan Baldeaux

2011: The formation of share market prices under heterogeneous beliefs and common knowledge

Yuri Biondi, Pierpaolo Giannoccolo and Serge Galam

2011: Banking retail consumer finance data generator - credit scoring data repository

Karol Przanowski

2011: Adjusted Closing Prices

Vic Norton

2011: Dialectical Roots for Interest Prohibition Theory

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2011: Impact of heterogenous prior beliefs and disclosed insider trades

Fuzhou Gong and Hong Liu

2011: The Bowley Ratio

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2011: Why Money Trickles Up - Wealth & Income Distributions

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2011: A Contextual Risk Model for the Ellsberg Paradox

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2011: Contextual Risk and Its Relevance in Economics

Diederik Aerts and Sandro Sozzo

2011: Don't stay local - extrapolation analytics for Dupire's local volatility

Peter Friz and Stefan Gerhold

2011: Stochastic programs without duality gaps

Teemu Pennanen and Ari-Pekka Perkki\"o

2011: Exercise Boundary of the American Put Near Maturity in an Exponential L\'evy Model

Damien Lamberton and Mohammed Mikou

2011: Stability of the World Trade Web over Time - An Extinction Analysis

N. Foti, S. Pauls and Daniel N. Rockmore

2011: Model independent hedging strategies for variance swaps

David Hobson and Martin Klimmek

2011: A Generalized Continuous Model for Random Markets

R. Lopez-Ruiz, E. Shivanian, S. Abbasbandy and J. L. Lopez

2011: Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un mod\`ele probabiliste en ing\'enierie financi\`ere ?

Michel Fliess, C\'edric Join and Fr\'ed\'eric Hatt

2011: Exponential wealth distribution in a random market. A rigorous explanation

Jose-Luis Lopez, Ricardo Lopez-Ruiz and Xavier Calbet

2011: The Hartman-Watson Distribution revisited: Asymptotics for Pricing Asian Options

Stefan Gerhold

2011: Temporal Evolution of Financial Market Correlations

Daniel J. Fenn, Mason A. Porter, Stacy Williams, Mark McDonald, Neil F. Johnson and Nick S. Jones

2011: The Financial Bubble Experiment: Advanced Diagnostics and Forecasts of Bubble Terminations, Volume III

Ryan Woodard, Didier Sornette and Maxim Fedorovsky

2011: Applications of the quadratic covariation differentiation theory: variants of the Clark-Ocone and Stroock's formulas

Hassan Allouba and Ramiro Fontes

2011: The additive property of the inconsistency degree in intertemporal decision making through the generalization of psychophysical laws

Natalia Destefano and Alexandre Souto Martinez

2011: Dynamic Coherent Acceptability Indices and their Applications to Finance

Tomasz R. Bielecki, Igor Cialenco and Zhao Zhang

2011: Two stock options at the races: Black-Scholes forecasts

Gleb Oshanin and Gregory Schehr

2011: Hedging under arbitrage

Johannes Ruf

2011: Minimizing the Probability of Lifetime Ruin under Stochastic Volatility

Erhan Bayraktar, Xueying Hu and Virginia R. Young

2011: On the Performance of Delta Hedging Strategies in Exponential L\'evy Models

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2011: Statistical thermodynamics of economic systems

H. Quevedo and M. N. Quevedo

2011: An optimal life insurance policy in the investment-consumption problem in an incomplete market

Masahiko Egami and Hideki Iwaki

2011: Notional portfolios and normalized linear returns

Vic Norton

2011: American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods

Lokman Abbas-Turki and Bernard Lapeyre

2011: From the currency rate quotations onto strings and brane world scenarios

D. Horvath and R. Pincak

2011: Price dynamics in a Markovian limit order market

Rama Cont and Adrien De Larrard

2011: Full characterization of the fractional Poisson process

Mauro Politi, Taisei Kaizoji and Enrico Scalas

2011: Strategies used as spectroscopy of financial markets reveal new stylized facts

Wei-Xing Zhou, Guo-Hua Mu, Wei Chen and Didier Sornette

2011: A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process

Bernard Bercu and Frederic Proia

2011: Interest prohibition and financial product innovation

J. A. Bergstra and C. A. Middelburg

2011: Interest Rates and Inflation

Michael Coopersmith

2011: Non - Randomness Stock Market Price Model (Amended)

Aleksey Kharevsky

2011: Collateralized CDS and Default Dependence

Masaaki Fujii and Akihiko Takahashi

2011: If Entry Strategy and Money go Together, What is the Right Side of the Coin?

Jean-Philippe Timsit and Annick Castiaux

2011: Concave Distortion Semigroups

Alexander Cherny and Damir Filipovi\'c

2011: An Application Specific Informal Logic for Interest Prohibition Theory

J. A. Bergstra and C. A. Middelburg

2011: Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products

Nick Bush, Ben M. Hambly, Helen Haworth, Lei Jin and Christoph Reisinger

2011: The Price Impact of Order Book Events

Rama Cont, Arseniy Kukanov and Sasha Stoikov

2011: Impact of the topology of global macroeconomic network on the spreading of economic crises

Kyu-Min Lee, Jae-Suk Yang, Gunn Kim, Jaesung Lee, Kwang-Il Goh and In-mook Kim

2011: On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations

Daniel Sevcovic

2011: Optimal Timing to Purchase Options

Tim Leung and Michael Ludkovski

2011: Asset returns and volatility clustering in financial time series

Jie-Jun Tseng and Sai-Ping Li

2011: Appraisal of a contour integral method for the Black-Scholes and Heston equations

K. J. in 't Hout and J. A. C. Weideman

2011: Complete Characterization of Functions Satisfying the Conditions of Arrow's Theorem

Elchanan Mossel and Omer Tamuz

2011: Affine processes on positive semidefinite matrices

Christa Cuchiero, Damir Filipovi\'c, Eberhard Mayerhofer and Josef Teichmann

2011: Hybrid Atlas models

Tomoyuki Ichiba, Vassilios Papathanakos, Adrian Banner, Ioannis Karatzas and Robert Fernholz

2011: Exchangeability type properties of asset prices

Ilya Molchanov and Michael Schmutz

2011: Optimal dividend distribution under Markov-regime switching

Zhengjun Jiang and Martijn Pistorius

2011: A conjecture on the distribution of firm profit

Ian Wright

2011: The Social Architecture of Capitalism

Ian Wright

2011: The duration of recessions follows an exponential not a power law

Ian Wright

2011: A semi-Markov model for price returns

Guglielmo D'Amico and Filippo Petroni

2011: A win-win monetary policy in Canada

Oleg Kitov and Ivan Kitov

2011: Financial Risks and the Pension Protection Fund: Can it Survive Them?

David Blake, John Cotter and Kevin Dowd

2011: Absolute Return Volatility

John Cotter

2011: A Utility Based Approach to Energy Hedging

John Cotter and Jim Hanly

2011: A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics

John Cotter and Richard Roll

2011: Housing risk and return: Evidence from a housing asset-pricing model

Karl Case, John Cotter and Stuart Gabriel

2011: Time Varying Risk Aversion: An Application to Energy Hedging

John Cotter and Jim Hanly

2011: Hedging: Scaling and the Investor Horizon

John Cotter and Jim Hanly

2011: Scaling conditional tail probability and quantile estimators

John Cotter

2011: Extreme Measures of Agricultural Financial Risk

John Cotter, Kevin Dowd and Wyn Morgan

2011: Multidimensional Quasi-Monte Carlo Malliavin Greeks

Nicola Cufaro Petroni and Piergiacomo Sabino

2011: Spectral Risk Measures: Properties and Limitations

Kevin Dowd, John Cotter and Ghulam Sorwar

2011: How Unlucky is 25-Sigma?

Kevin Dowd, John Cotter, Chris Humphrey and Margaret Woods

2011: Spectral Risk Measures and the Choice of Risk Aversion Function

Kevin Dowd and John Cotter

2011: Estimating financial risk measures for futures positions: a non-parametric approach

John Cotter and Kevin Dowd

2011: Evaluating the Precision of Estimators of Quantile-Based Risk Measures

Kevin Dowd and John Cotter

2011: Intra-Day Seasonality in Foreign Exchange Market Transactions

John Cotter and Kevin Dowd

2011: The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders

John Cotter and Kevin Dowd

2011: Multivariate Modeling of Daily REIT Volatility

John Cotter and Simon Stevenson

2011: U.S. Core Inflation: A Wavelet Analysis

Kevin Dowd and John Cotter

2011: Modelling catastrophic risk in international equity markets: An extreme value approach

John Cotter

2011: Implied correlation from VaR

John Cotter and Fran\c{c}ois Longin

2011: Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements

John Cotter and Kevin Dowd

2011: Uncovering Long Memory in High Frequency UK Futures

John Cotter

2011: Varying the VaR for Unconditional and Conditional Environments

John Cotter

2011: Evolution of worldwide stock markets, correlation structure and correlation based graphs

Dong-Ming Song, Michele Tumminello, Wei-Xing Zhou and Rosario Mantegna

2011: Tail Behaviour of the Euro

John Cotter

2011: Uncovering Volatility Dynamics in Daily REIT Returns

John Cotter and Simon Stevenson

2011: Minimum Capital Requirement Calculations for UK Futures

John Cotter

2011: Modeling Long Memory in REITs

John Cotter and Simon Stevenson

2011: Margin setting with high-frequency data1

John Cotter and Fran\c{c}ois Longin

2011: Hedging Effectiveness under Conditions of Asymmetry

John Cotter and Jim Hanly

2011: Exponential Spectral Risk Measures

Kevin Dowd and John Cotter

2011: Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements

John Cotter and Kevin Dowd

2011: Spin models as microfoundation of macroscopic financial market models

Sebastian M. Krause and Stefan Bornholdt

2011: On interrelations of recurrences and connectivity trends between stock indices

B. Goswami, G. Ambika, N. Marwan and J. Kurths

2011: Google matrix of the world trade network

Leonardo Ermann and Dima L. Shepelyansky

2011: A Note on Delta Hedging in Markets with Jumps

Aleksandar Mijatovi\'c and Mikhail Urusov

2011: An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition

Thomas Conlon and John Cotter

2011: Mean Reversion Pays, but Costs

Richard Martin and Torsten Sch\"oneborn

2011: Defaultable Bonds via HKA

Yuta Inoue and Takahiro Tsuchiya

2011: Noise, risk premium, and bubble

Grzegorz Andruszkiewicz and Dorje C. Brody

2011: Pollution permits, Strategic Trading and Dynamic Technology Adoption

Santiago Moreno-Bromberg and Luca Taschini

2011: Constrained Mixture Models for Asset Returns Modelling

Iead Rezek

2011: Multifractal detrending moving average cross-correlation analysis

Zhi-Qiang Jiang and Wei-Xing Zhou

2011: Do firms share the same functional form of their growth rate distribution? A new statistical test

Jos\`e T. Lunardi, Salvatore Miccich\`e, Fabrizio Lillo, Rosario Mantegna and Mauro Gallegati

2011: The slippage paradox

Steffen Bohn

2011: Emergence of double scaling law in complex system

D. D. Han, J. H. Qian and Y. G. Ma

2011: Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation

Damir Filipovi\'c, Robert Kremslehner and Alexander Muermann

2011: Information Theoretic Limits on Learning Stochastic Differential Equations

Jos\'e Bento, Morteza Ibrahimi and Andrea Montanari

2011: Analysis of trade packages in Chinese stock market

Fei Ren and Wei-Xing Zhou

2011: Exponential wealth distribution: a new approach from functional iteration theory

Ricardo Lopez-Ruiz, Jose-Luis Lopez and Xavier Calbet

2011: Arbitrage and Hedging in a non probabilistic framework

Alexander Alvarez, Sebastian Ferrando and Pablo Olivares

2011: Inside Trading, Public Disclosure and Imperfect Competition

Fuzhou Gong and Hong Liu

2011: Record statistics for biased random walks, with an application to financial data

Gregor Wergen, Miro Bogner and Joachim Krug

2011: A class of CTRWs: Compound fractional Poisson processes

Enrico Scalas

2011: Bayesian Model Choice of Grouped t-copula

Xiaolin Luo and Pavel V. Shevchenko

2011: Dependence of defaults and recoveries in structural credit risk models

Rudi Sch\"afer and Alexander F. R. Koivusalo

2011: Correlation of financial markets in times of crisis

Leonidas Sandoval Junior and Italo De Paula Franca

2011: A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market

Michael C. M\"unnix and Rudi Sch\"afer

2011: An almost linear stochastic map related to the particle system models of social sciences

Anindya S. Chakrabarti

2011: A unified approach to determining the early exercise boundary position at expiry for American style of general class of derivatives

Tomas Bokes

2011: Robust Estimation of Operational Risk

Nataliya Horbenko, Peter Ruckdeschel and Taehan Bae

2011: Minimal model of financial stylized facts

Danilo Delpini and Giacomo Bormetti

2011: The time resolution of the St. Petersburg paradox

Ole Peters

2011: Response of double-auction markets to instantaneous Selling-Buying signals with stochastic Bid-Ask spread

Takero Ibuki and Jun-ichi Inoue

2011: On the Stability of Utility Maximization Problems

Erhan Bayraktar and Ross Kravitz

2011: Price as a matter of choice and nonstochastic randomness

Yaroslav Ivanenko

2011: Recent progress in random metric theory and its applications to conditional risk measures

Tiexin Guo

2011: Quadratic Reflected BSDEs with Unbounded Obstacles

Erhan Bayraktar and Song Yao

2011: Improved Frechet bounds and model-free pricing of multi-asset options

Peter Tankov

2011: Diagnosis and Prediction of Market Rebounds in Financial Markets

Wanfeng Yan, Ryan Woodard and Didier Sornette

2011: Large-volatility dynamics in financial markets

X. F. Jiang, B. Zheng and J. Shen

2011: Phenomenology of minority games in efficient regime

Karol Wawrzyniak and Wojciech Wislicki

2011: A Theoretical Approach for Dynamic Modelling of Sustainable Development

Corina Ene, Anda Gheorghiu and Anca Gheorghiu

2011: The Conflict between Economic Development and Planetary Ecosystem in the Context of Sustainable Development

Corina Ene, Anda Gheorghiu, Cristina Burghelea and Anca Gheorghiu

2011: Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution

William T. Shaw

2011: Arbitrage hedging strategy and one more explanation of the volatility smile

Mikhail Martynov and Olga Rozanova

2011: Extension theorems for linear operators on $L_\infty$ and application to price systems

Jocelyne Bion-Nadal and Giulia Di Nunno

2011: Testing for change in mean of heteroskedastic time series

Mohamed Boutahar

2011: Inflation and unemployment in Switzerland: from 1970 to 2050

Oleg Kitov and Ivan Kitov

2011: Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces

Samuel N. Cohen

2011: Utility Indifference Pricing: A Time Consistent Approach

Traian A Pirvu and Huayue Zhang

2011: Calibration of structural and reduced-form recovery models

Alexander F. R. Koivusalo and Rudi Sch\"afer

2011: Minding impacting events in a model of stochastic variance

Silvio M. Duarte Queiros, Evaldo M. F. Curado and Fernando D. Nobre

2011: Measuring Portfolio Diversification

Ulrich Kirchner and Caroline Zunckel

2011: Portfolio Insurance under a risk-measure constraint

Carmine De Franco and Peter Tankov

2011: Cooperation amongst competing agents in minority games

Deepak Dhar, V. Sasidevan and Bikas K. Chakrabarti

2011: The fine structure of spectral properties for random correlation matrices: an application to financial markets

Giacomo Livan, Simone Alfarano and Enrico Scalas

2011: Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution

Ph. Barbe and W. P. McCormick

2011: Transition Probability Matrix Methodology for Incremental Risk Charge

Tzahi Yavin, Hu Zhang, Eugene Wang and Michael A. Clayton

2011: Black swans or dragon kings? A simple test for deviations from the power law

Joanna Janczura and Rafał Weron

2011: A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation

Olfa Zaafrane and Anouar Ben Mabrouk

2011: Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation

Gareth W. Peters, Pavel Shevchenko, Mark Young and Wendy Yip

2011: Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition

Alberto Elices and Eduard Gim\'enez

2011: Non - Randomness Stock Market Price Model

Aleksey Kharevsky

2011: Predicting economic market crises using measures of collective panic

Dion Harmon, Marcus A. M. de Aguiar, David D. Chinellato, Dan Braha, Irving R. Epstein and Yaneer Bar-Yam

2011: Adelic theory of stock market

V. Zharkov

2011: Statistical Inference for Time-changed Brownian Motion Credit Risk Models

T. R. Hurd and Zhuowei Zhou

2011: Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms

I. Duarte, Diogo Pinheiro, A. A. Pinto and S. R. Pliska

2011: Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices

Duan Wang, Boris Podobnik, Davor Horvati\'c and H. Eugene Stanley

2011: The US stock market leads the Federal funds rate and Treasury bond yields

Kun Guo, Wei-Xing Zhou, Si-Wei Cheng and Didier Sornette

2011: On stochastic calculus related to financial assets without semimartingales

Rosanna Coviello, Cristina Di Girolami and Francesco Russo

2011: The Australian Phillips curve and more

Ivan Kitov and Oleg Kitov

2011: Gaussian Noise Effects on the Evolution of Wealth in a Closed System of n-Economies

J. M. Pellon-Diaz, A. Aragones-Munoz, A. Sandoval-Villalbazo and A. Diaz-Reynoso

2011: The computation of Greeks with multilevel Monte Carlo

Sylvestre Burgos and M. B. Giles

2011: Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange

Angelo Carollo, Gabriella Vaglica, Fabrizio Lillo and Rosario Mantegna

2011: Volatility made observable at last

Michel Fliess, C\'edric Join and Fr\'ed\'eric Hatt

2011: Dynamics of a Service Economy Driven by Random Transactions

Robert W. Easton

2011: A Family of Maximum Entropy Densities Matching Call Option Prices

Cassio Neri and Lorenz Schneider

2011: LASSO Methods for Gaussian Instrumental Variables Models

Alexandre Belloni, Victor Chernozhukov and Christian Hansen

2011: Principal Regression Analysis and the index leverage effect

Pierre-Alain Reigneron, Romain Allez and Jean-Philippe Bouchaud

2011: Financial correlations at ultra-high frequency: theoretical models and empirical estimation

Iacopo Mastromatteo, Matteo Marsili and Patrick Zoi

2011: Socio-economic utility and chemical potential

R\'emi Lemoy, Eric Bertin and Pablo Jensen

2011: Characteristics of Real Futures Trading Networks

Junjie Wang, Shuigeng Zhou and Jihong Guan

2011: Optimal Liquidation Strategies Regularize Portfolio Selection

Fabio Caccioli, Susanne Still, Matteo Marsili and Imre Kondor

2011: Forward-convex convergence in probability of sequences of nonnegative random variables

Constantinos Kardaras and Gordan Zitkovic

2011: Segmentation algorithm for non-stationary compound Poisson processes

Bence Toth, Fabrizio Lillo and J. Farmer

2011: Causal Links Between US Economic Sectors

Gladys Hui Ting Lee, Yiting Zhang, Jian Cheng Wong, Manamohan Prusty and Siew Ann Cheong

2011: De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process

Irmina Czarna and Zbigniew Palmowski

2011: Local Risk Decomposition for High-frequency Trading Systems

M. Bartolozzi and C. Mellen

2011: Maximum Entropy Distributions Inferred from Option Portfolios on an Asset

C. Neri and L. Schneider

2011: An Apology for Money

Karl Svozil

2011: Moving Mini-Max - a new indicator for technical analysis

Z. K. Silagadze

2011: Multivariate GARCH estimation via a Bregman-proximal trust-region method

St\'ephane Chr\'etien and Juan-Pablo Ortega

2011: An Econophysics Model for the Stock-Markets' Analysis and Diagnosis

Ion Spanulescu, Ion Popescu, Victor Stoica, Anca Gheorghiu and Victor Velter

2011: Econophysical Approaches for the Direct Foreign Investments

Anca Gheorghiu, Ion Spanulescu and Anda Gheorghiu

2011: Macrostate Parameter and Investment Risk Diagrams for 2008 and 2009

Anca Gheorghiu and Ion Sp\^anulescu

2011: Ruin probabilities in tough times - Part 1 - Heavy-traffic approximation for fractionally integrated random walks in the domain of attraction of a nonGaussian stable distribution

Ph. Barbe and W. P. McCormick

2011: Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks

Rui Menezes and Andreia Dioniso

2011: An Active Margin System and its Application in Chinese Margin Lending Market

Guanghui Huang, Jianping Wan and Cheng Chen

2011: Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting

Damiano Brigo, Agostino Capponi, Andrea Pallavicini and Vasileios Papatheodorou

2011: Path integral approach to the pricing of timer options with the Duru-Kleinert time transformation

Ling Zhi Liang, Damiaan Lemmens and Jacques Tempere

2011: Modeling microstructure noise with mutually exciting point processes

E. Bacry, S. Delattre, Marc Hoffmann and J. F. Muzy

2011: GPGPUs in computational finance: Massive parallel computing for American style options

Gilles Pag\`es and Benedikt Wilbertz

2011: Financial Rogue Waves Appearing in the Coupled Nonlinear Volatility and Option Pricing Model

Zhenya Yan

2011: Sensitivity analysis of the early exercise boundary for American style of Asian options

Daniel Sevcovic and Martin Takac

2011: Duality in Robust Utility Maximization with Unbounded Claim via a Robust Extension of Rockafellar's Theorem

Keita Owari

2011: Critical Overview of Agent-Based Models for Economics

Matthieu Cristelli, L. Pietronero and A. Zaccaria

2011: A Mispricing Model of Stocks Under Asymmetric Information

Winston Buckley, Garfield Brown and Mario Marshall

2011: Swing Options Valuation: a BSDE with Constrained Jumps Approach

Marie Bernhart, Huy\^en Pham, Peter Tankov and Xavier Warin

2011: Size-Dependency of Income Distributions and Its Implications

Jiang Zhang and You-Gui Wang

2011: The economic default time and the Arcsine law

Xin Guo, Robert Jarrow and Adrien de Larrard

2011: Financial LPPL Bubbles with Mean-Reverting Noise in the Frequency Domain

Vincenzo Liberatore

2011: Transaction fees and optimal rebalancing in the growth-optimal portfolio

Yu Feng, Matus Medo, Liang Zhang and Yi-Cheng Zhang

2011: Maximum penalized quasi-likelihood estimation of the diffusion function

Jeff Hamrick, Yifei Huang, Constantinos Kardaras and Murad Taqqu

2011: Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model

Leunglung Chan and Eckhard Platen

2011: Phase transition in a log-normal Markov functional model

Dan Pirjol

2011: Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management

Lukasz Delong

2011: Computational LPPL Fit to Financial Bubbles

Vincenzo Liberatore

2011: Is the minimum value of an option on variance generated by local volatility?

Mathias Beiglboeck, Peter Friz and Stephan Sturm

2011: Generalized integrands and bond portfolios: Pitfalls and counter examples

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