Papers

From arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

2010: Generalised Wishart Processes

Andrew Gordon Wilson and Zoubin Ghahramani

2010: Testing the Capital Asset Pricing Model (CAPM) on the Uganda Stock Exchange

David Wakyiku

2010: Market-consistent valuation of insurance liabilities by cost of capital

Christoph Moehr

2010: Bayesian estimation of GARCH model with an adaptive proposal density

Tetsuya Takaishi

2010: An statistical analysis of stratification and inequity in the income distribution

Juan C. Ferrero

2010: Punctuated Equilibrium and Power Law in Economic Dynamics

Abhijit Kar Gupta

2010: Fundamental and Real-World Challenges in Economics

Dirk Helbing and Stefano Balietti

2010: Preliminaries to an investigation of reduced product set finance

J. A. Bergstra and C. A. Middelburg

2010: Log-Periodic Oscillation Analysis and Possible Burst of the "Gold Bubble" in April - June 2011

Sergey V. Tsirel, Askar Akaev, Alexey Fomin and Andrey Korotayev

2010: Fully Flexible Views: Theory and Practice

Attilio Meucci

2010: Insider Trading in the Market with Rational Expected Price

Fuzhou Gong and Deqing Zhou

2010: Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes

Jiro Akahori and Andrea Macrina

2010: Financial markets with volatility uncertainty

Joerg Vorbrink

2010: Pricing of barrier options by marginal functional quantization

Abass Sagna

2010: The Impossible Trio in CDO Modeling

Emmanuel Schertzer, Yadong Li and Umer Khan

2010: Zipf's law and maximum sustainable growth

Yannick Malevergne, A. Saichev and D. Sornette

2010: Cumulant Expansion and Monthly Sum Derivative

V. M. Belyaev

2010: A time before which insiders would not undertake risk

Constantinos Kardaras

2010: Optimal consumption and investment in incomplete markets with general constraints

Patrick Cheridito and Ying Hu

2010: Will the US Economy Recover in 2010? A Minimal Spanning Tree Study

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

2010: Optimal control of risk process in a regime-switching environment

Chao Zhu

2010: CDO term structure modelling with Levy processes and the relation to market models

Thorsten Schmidt and Jerzy Zabczyk

2010: Theoretical and numerical Analysis on Optimal dividend policy of an insurance company with positive transaction cost and higher solvency

Zongxia Liang and Jicheng Yao

2010: Risk measuring under model uncertainty

Jocelyne Bion-Nadal and Magali Kervarec

2010: Diversity and Arbitrage in a Regulatory Breakup Model

Winslow Strong and Jean-Pierre Fouque

2010: Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series

Sayantan Ghosh, P. Manimaran and Prasanta K. Panigrahi

2010: Admissible Strategies in Semimartingale Portfolio Selection

Sara Biagini and Ale\v{s} \v{C}ern\'y

2010: Continuously monitored barrier options under Markov processes

Aleksandar Mijatovic and Martijn Pistorius

2010: Computation of VaR and CVaR using stochastic approximations and unconstrained importance sampling

Olivier Aj Bardou, Noufel Frikha and G. Pag\`es

2010: Stability of central finite difference schemes for the Heston PDE

K. J. in 't Hout and K. Volders

2010: Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?

Stefan Kerbl

2010: Currency Forecasting using Multiple Kernel Learning with Financially Motivated Features

Tristan Fletcher, Zakria Hussain and John Shawe-Taylor

2010: Set-valued risk measures for conical market models

Andreas H. Hamel, Frank Heyde and Birgit Rudloff

2010: Comprehending environmental and economic sustainability: Comparative analysis of stability principles in the biosphere and free market economy

Victor G. Gorshkov, Anastassia M. Makarieva and Bai-Lian Li

2010: On fair pricing of emission-related derivatives

Juri Hinz and Alex Novikov

2010: Costs Models in Design and Manufacturing of Sand Casting Products

Nicolas Perry, Magali Mauchand and Alain Bernard

2010: Quotation for the Value Added Assessment during Product Development and Production Processes

Alain Bernard, Nicolas Perry, Jean-Charles Delplace and Serge Gabriel

2010: Cost objective PLM and CE

Nicolas Perry and Alain Bernard

2010: Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration

Wanfeng Yan, Ryan Woodard and Didier Sornette

2010: Transition from Exponential to Power Law Distributions in a Chaotic Market

Carmen Pellicer-Lostao and Ricardo Lopez-Ruiz

2010: Wavelet-Based Prediction for Governance, Diversification and Value Creation Variables

Ines Kahloul, Anouar Ben Mabrouk and Slah-Eddine Hallara

2010: Optimal mean-variance investment strategy under value-at-risk constraints

Jun Ye and Tiantian Li

2010: Static replications with traffic light options

Michael Schmutz and Thomas Z\"urcher

2010: Solving Optimal Dividend Problems via Phase-type Fitting Approximation of Scale Functions

Masahiko Egami and Kazutoshi Yamazaki

2010: Calibration of One- and Two-Factor Models For Valuation of Energy Multi-Asset Derivative Contracts

Josh Gray and Konstantin Palamarchuk

2010: A Functional Approach to FBSDEs and Its Application in Optimal Portfolios

Gechun Liang, Terry Lyons and Z. Qian

2010: Networks of Economic Market Interdependence and Systemic Risk

Dion Harmon, Blake Stacey, Yavni Bar-Yam and Yaneer Bar-Yam

2010: A finite dimensional approximation for pricing moving average options

Marie Bernhart, Peter Tankov and Xavier Warin

2010: Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions

Damiano Brigo and Massimo Morini

2010: A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing

Chantal Labb\'e, Bruno R\'emillard and Jean-Fran\c{c}ois Renaud

2010: Reduced form models of bond portfolios

Matti Koivu and Teemu Pennanen

2010: Cross-correlations between volume change and price change

Boris Podobnik, Davor Horvatic, Alexander M. Petersen and H. Eugene Stanley

2010: Bankruptcy risk model and empirical tests

Boris Podobnik, Davor Horvatic, Alexander M. Petersen, Branko Uro\v{s}evi\'c and H. Eugene Stanley

2010: A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations

Philipp Doersek and Josef Teichmann

2010: Ruin probability in the presence of risky investments

Serguei Pergamenchtchikov and Zeitouny Omar

2010: Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model

L. Z. J. Liang, D. Lemmens and J. Tempere

2010: Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics

Nicola Moreni and Andrea Pallavicini

2010: Leverage Bubble

Wanfeng Yan, Ryan Woodard and Didier Sornette

2010: Hedging Pure Endowments with Mortality Derivatives

Ting Wang and Virginia R. Young

2010: Heath-Jarrow-Morton-Musiela equation with linear volatility

Michal Barski and Jerzy Zabczyk

2010: Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses?

Gareth W. Peters, Aaron D. Byrnes and Pavel V. Shevchenko

2010: Morse Potential, Contour Integrals, and Asian Options

Peng Zhang

2010: Equilibrium distributions and relaxation times in gas-like economic models: an analytical derivation

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

2010: A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance

Jan Hendrik Witte and Christoph Reisinger

2010: Good-deal bounds in a regime-switching diffusion market

Catherine Donnelly

2010: The Financial Bubble Experiment: Advanced Diagnostics and Forecasts of Bubble Terminations Volume II-Master Document

Didier Sornette, Ryan Woodard, Maxim Fedorovsky, Stefan Reimann, Hilary Woodard and Wei-Xing Zhou

2010: Asymptotic and Exact Pricing of Options on Variance

Martin Keller-Ressel and Johannes Muhle-Karbe

2010: Self-organized model of cascade spreading

Stanislao Gualdi, Matus Medo and Yi-Cheng Zhang

2010: On refined volatility smile expansion in the Heston model

P. Friz, S. Gerhold, A. Gulisashvili and S. Sturm

2010: Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model

Mark Davis and Sebastien Lleo

2010: Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations

Hiroshi Iyetomi, Yasuhiro Nakayama, Hideaki Aoyama, Yoshi Fujiwara, Yuichi Ikeda and Wataru Souma

2010: 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

2010: Existence of Shadow Prices in Finite Probability Spaces

Jan Kallsen and Johannes Muhle-Karbe

2010: Applications of weak convergence for hedging of game options

Yan Dolinsky

2010: Num\'{e}raire-invariant preferences in financial modeling

Constantinos Kardaras

2010: A Paradigm Shift from Production Function to Production Copula: Statistical Description of Production Activity of Firms

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

2010: An Analysis of the Japanese Credit Network

G. De Masi, Y. Fujiwara, Mauro Gallegati, B. Greenwald and Joseph Stiglitz

2010: How to grow a bubble: A model of myopic adapting agents

Georges Harras and Didier Sornette

2010: Improving Estimates of Monotone Functions by Rearrangement

Victor Chernozhukov, Ivan Fernandez-Val and Alfred Galichon

2010: The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect

Stanislaw Drozdz, Jaroslaw Kwapien, Pawel Oswiecimka and Rafal Rak

2010: Entering New Markets-a Challenge in Times of Crisis

Anca Gheorghiu and Anda Gheorghiu

2010: Statistical properties of derivatives: a journey in term structures

Delphine Lautier and Franck Raynaud

2010: Topology of the correlation networks among major currencies using hierarchical structure methods

Mustafa Keskin, Bayram Deviren and Yusuf Kocakaplan

2010: Ordering of multivariate probability distributions with respect to extreme portfolio losses

Georg Mainik and Ludger R\"uschendorf

2010: How to predict and avert economic crisis

Yong Tao

2010: Do price and volatility jump together?

Jean Jacod and Viktor Todorov

2010: On using shadow prices in portfolio optimization with transaction costs

J. Kallsen and J. Muhle-Karbe

2010: Optimal investment policy and dividend payment strategy in an insurance company

Pablo Azcue and Nora Muler

2010: On optimal arbitrage

Daniel Fernholz and Ioannis Karatzas

2010: Market panic on different time-scales

Lisa Borland and Yoan Hassid

2010: Replicating financial market dynamics with a simple self-organized critical lattice model

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

2010: The nature of price returns during periods of high market activity

Khalil al Dayri, Emmanuel Bacry and Jean-Francois Muzy

2010: Constrained NonSmooth Utility Maximization on the Positive Real Line

Nicholas Westray and Harry Zheng

2010: A la Carte of Correlation Models: Which One to Choose?

Harry Zheng

2010: Fifteen Years of Econophysics Research

Bikas K. Chakrabarti and Anirban Chakraborti

2010: On detecting the dependence of time series

Nikolai Dokuchaev

2010: Do your volatility smiles take care of extreme events?

L. Spadafora, G. P. Berman and F. Borgonovi

2010: Stock loans in incomplete markets

Matheus R. Grasselli and Cesar G. Velez

2010: Statistical Properties of Cross-Correlation in the Korean Stock Market

Gabjin Oh, Cheoljun Eom, Fengzhong Wang, Woo-Sung Jung, H. Eugene Stanley and Seunghwan Kim

2010: The Gompertz-Pareto Income Distribution

F. Chami Figueira, N. J. Moura and Marcelo Ribeiro

2010: An Efficient, Distributable, Risk Neutral Framework for CVA Calculation

Dongsheng Lu and Frank Juan

2010: FX Smile in the Heston Model

Agnieszka Janek, Tino Kluge, Rafał Weron and Uwe Wystup

2010: Competitive market for multiple firms and economic crisis

Yong Tao

2010: On Calibrating Stochastic Volatility Models with time-dependent Parameters

Wolfgang Putschoegl

2010: On low-sampling-rate Kramers-Moyal coefficients

C. Anteneodo and S. M. Duarte Queiros

2010: Information-based models for finance and insurance

Edward Hoyle

2010: Structure and Response in the World Trade Network

Jiankui He and Michael W. Deem

2010: A quantum model for the stock market

Chao Zhang and Lu Huang

2010: Liquidity-adjusted Market Risk Measures with Stochastic Holding Period

Damiano Brigo and Claudio Nordio

2010: Tick size and price diffusion

Gabriele La Spada, J. Farmer and Fabrizio Lillo

2010: Horizon dependence of utility optimizers in incomplete models

Kasper Larsen and Hang Yu

2010: Non-Hermitean Wishart random matrices (I)

Eugene Kanzieper and Navinder Singh

2010: Cumulant Approach of Arbitrary Truncated Levy Flight

Dmitry V. Vinogradov

2010: Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws

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

2010: The dual optimizer for the growth-optimal portfolio under transaction costs

Stefan Gerhold, Johannes Muhle-Karbe and Walter Schachermayer

2010: Insuring against loss of evidence in game-theoretic probability

A. Philip Dawid, Steven de Rooij, Glenn Shafer, Alexander Shen, Nikolai Vereshchagin and Vladimir Vovk

2010: A Multi Agent Model for the Limit Order Book Dynamics

Marco Bartolozzi

2010: Quantum Model of Bertrand Duopoly

Salman Khan, M. Ramzan and M. K. Khan

2010: Exotic derivatives under stochastic volatility models with jumps

Aleksandar Mijatovi\'c and Martijn Pistorius

2010: Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models

Ernst Eberlein, Kathrin Glau and Antonis Papapantoleon

2010: Joint Modelling of Gas and Electricity spot prices

Noufel Frikha and Vincent Lemaire

2010: Strong Taylor approximation of stochastic differential equations and application to the L\'evy LIBOR model

Antonis Papapantoleon and Maria Siopacha

2010: Class formation in a social network with asset exchange

Christian H. Sanabria, R. Huerta-Quintanilla and M. Rodriguez-Achach

2010: On the Martingale Property of Certain Local Martingales

Aleksandar Mijatovic and Mikhail Urusov

2010: Generalized supermartingale deflators under limited information

Constantinos Kardaras

2010: Quantitative law describing market dynamics before and after interest-rate change

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

2010: How sensitive are equilibrium pricing models to real-world distortions?

Harbir Lamba

2010: Statistical causes for the Epps effect in microstructure noise

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

2010: Density quantization method in the optimal portfolio choice with partial observation of stochastic volatility

Grzegorz Ha{\l}aj

2010: Kinetic models for socio-economic dynamics of speculative markets

D. Maldarella and L. Pareschi

2010: American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations

Yu. A. Kuperin and P. A. Poloskov

2010: Adaptive Expectations, Confirmatory Bias, and Informational Efficiency

Gani Aldashev, Timoteo Carletti and Simone Righi

2010: Connecting discrete and continuous lookback or hindsight options in exponential L\'evy models

El Hadj Aly Dia and Damien Lamberton

2010: Semi-Closed Form Cubature and Applications to Financial Diffusion Models

Christian Bayer, Peter Friz and Ronnie Loeffen

2010: Individual and collective stock dynamics: intra-day seasonalities

Romain Allez and Jean-Philippe Bouchaud

2010: Efficient Computation of Optimal Trading Strategies

Victor Boyarshinov and Malik Magdon-Ismail

2010: Analytical and Numerical Approaches to Pricing the Path-Dependent Options with Stochastic Volatility

Yu. A. Kuperin and P. A. Poloskov

2010: Complex Networks and Symmetry II: Reciprocity and Evolution of World Trade

Franco Ruzzenenti, Diego Garlaschelli and Riccardo Basosi

2010: A three dimensional stochastic Model for Claim Reserving

Magda Schiegl

2010: On the Savety Loading for Chain Ladder Estimates: A Monte Carlo Simulation Study

Magda Schiegl

2010: About the Justification of Experience Rating: Bonus Malus System and a new Poisson Mixture Model

Magda Schiegl

2010: Asset pricing with random information flow

Dorje C. Brody and Yan Tai Law

2010: Perpetual Cancellable American Call Option

Thomas J. Emmerling

2010: Exponential wealth distribution in different discrete economic models

Ricardo Lopez-Ruiz

2010: Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades

Chris Kenyon

2010: On a free boundary problem for an American put option under the CEV process

Miao Xu and Charles Knessl

2010: The endogenous dynamics of markets: price impact and feedback loops

Jean-Philippe Bouchaud

2010: Mesoscopic modelling of financial markets

S. Cordier, L. Pareschi and C. Piatecki

2010: Convergence of Income Growth Rates in Evolutionary Agent-Based Economics

Volker Nannen

2010: A contribution to the systematics of stochastic volatility models

Frantisek Slanina

2010: Google matrix of business process management

M. Abel and D. L. Shepelyansky

2010: Comparing Prediction Market Structures, With an Application to Market Making

Aseem Brahma, Sanmay Das and Malik Magdon-Ismail

2010: Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk

Zongxia Liang, Lin He and Jiaoling Wu

2010: Coherent Patterns in Nuclei and in Financial Markets

S. Drozdz, J. Kwapien and J. Speth

2010: Are large complex economic systems unstable ?

Sitabhra Sinha

2010: Chaos and Unraveling in Matching Markets

Songzi Du and Yair Livne

2010: Numerical methods for optimal insurance demand under marked point processes shocks

Mohamed Mnif

2010: A simple model for asset price bubble formation and collapse

Alexander Kiselev and Lenya Ryzhik

2010: Normalization for Implied Volatility

Masaaki Fukasawa

2010: Belief Propagation Algorithm for Portfolio Optimization Problems

Takashi Shinzato and Muneki Yasuda

2010: Empirical Limitations on High Frequency Trading Profitability

Michael Kearns, Alex Kulesza and Yuriy Nevmyvaka

2010: Is high-frequency trading inducing changes in market microstructure and dynamics?

Reginald D. Smith

2010: Complex Networks and Symmetry I: A Review

Diego Garlaschelli, Franco Ruzzenenti and Riccardo Basosi

2010: Stock loan with Automatic termination clause, cap and margin

Shuqing Jiang, Zongxia Liang and Weiming Wu

2010: Illiquidity Effects in Optimal Consumption-Investment Problems

Michael Ludkovski and Hyekyung Min

2010: Hidden Regular Variation: Detection and Estimation

Abhimanyu Mitra and Sidney I. Resnick

2010: Power Utility Maximization in Constrained Exponential L\'evy Models

Marcel Nutz

2010: Financial rogue waves

Zhenya Yan

2010: Modeling the non-Markovian, non-stationary scaling dynamics of financial markets

Fulvio Baldovin, Dario Bovina, Francesco Camana and Attilio L. Stella

2010: Upper and lower bounds on dynamic risk indifference prices in incomplete markets

Xavier De Scheemaekere

2010: The price impact of order book events: market orders, limit orders and cancellations

Zoltan Eisler, Jean-Philippe Bouchaud and Julien Kockelkoren

2010: Estimation of the instantaneous volatility

A. Alvarez, F. Panloup, M. Pontier and N. Savy

2010: Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach

Mohamed Mnif

2010: Large systems of diffusions interacting through their ranks

Mykhaylo Shkolnikov

2010: Analysis of the sensitivity to discrete dividends: A new approach for pricing vanillas

Arnaud Gocsei and Fouad Sahel

2010: Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game

Yu. A. Kuperin and M. M. Morozova

2010: Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios

William T. Shaw

2010: Log-supermodularity of weight functions and the loading monotonicity of weighted insurance premiums

Hristo S. Sendov, Ying Wang and Ricardas Zitikis

2010: Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions

Ljudmila A. Bordag and Anna Mikaelyan

2010: Sibuya copulas

Marius Hofert and Frédéric Vrins

2010: Non-existence of Markovian time dynamics for graphical models of correlated default

Steven N. Evans and Alexandru Hening

2010: Statistical mechanics of money, debt, and energy consumption

Victor Yakovenko

2010: Moment Explosion in the LIBOR Market Model

Stefan Gerhold

2010: Is an historical economic crisis upcoming?

Caglar Tuncay

2010: An algorithmic information-theoretic approach to the behaviour of financial markets

Hector Zenil and Jean-Paul Delahaye

2010: Calculation of aggregate loss distributions

Pavel V. Shevchenko

2010: Modeling total expenditure on warranty claims

Abhimanyu Mitra and Sidney I. Resnick

2010: A Chaotic Approach to Market Dynamics

Carmen Pellicer-Lostao and Ricardo Lopez-Ruiz

2010: Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant

Yong-Ping Ruan and Wei-Xing Zhou

2010: Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation

Gareth W. Peters, Balakrishnan B. Kannan, Ben Lasscock, Chris Mellen and Simon Godsill

2010: Optimal control of a big financial company with debt liability under bankrupt probability constraints

Zongxia Liang and Bin Sun

2010: Wealth Distributions in Asset Exchange Models

P. L. Krapivsky and S. Redner

2010: Optimization of dividend and reinsurance strategies under ruin probability constraint

Zongxia Liang and Jicheng Yao

2010: Market behavior and performance of different strategy evaluation schemes

Yongjoo Baek, Sang Hoon Lee and Hawoong Jeong

2010: Comparison of numerical and analytical approximations of the early exercise boundary of the American put option

Martin Lauko and Daniel Sevcovic

2010: Stochastic Switching Games and Duopolistic Competition in Emissions Markets

Michael Ludkovski

2010: A queueing theory description of fat-tailed price returns in imperfect financial markets

H. Lamba

2010: Correlations, Risk and Crisis: From Physiology to Finance

A. N. Gorban, E. V. Smirnova and T. A. Tyukina

2010: Optimal leverage from non-ergodicity

Ole Peters

2010: Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control

Erhan Bayraktar and Virginia R. Young

2010: Asymptotics of Random Contractions

Enkelejd Hashorva, Anthony G. Pakes and Qihe Tang

2010: Analytical Framework for Credit Portfolios

Mikhail Voropaev

2010: Optimization of Financial Instrument Parcels in Stochastic Wavelet Model

A. M. Avdeenko

2010: Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture

Archil Gulisashvili

2010: Volatilities That Change with Time: The Temporal Behavior of the Distribution of Stock-Market Prices

Achilles D. Speliotopoulos

2010: Statistical mechanics approach to the probability distribution of money

Victor Yakovenko

2010: Lowest Unique Bid Auctions

Marco Scarsini, Eilon Solan and Nicolas Vieille

2010: Strategic Insights From Playing the Quantum Tic-Tac-Toe

J. N. Leaw and S. A. Cheong

2010: On-line trading as a renewal process: Waiting time and inspection paradox

Jun-ichi Inoue, Naoya Sazuka and Enrico Scalas

2010: Pricing in an equilibrium based model for a large investor

David German

2010: The fractional volatility model: No-arbitrage, leverage and risk measures

Rui Mendes and Maria Jo\~ao Oliveira

2010: Automated Liquidity Provision and the Demise of Traditional Market Making

Austin Gerig and David Michayluk

2010: Target market risk evaluation

Anda Gheorghiu, Anca Gheorghiu and Ion Spanulescu

2010: Price dynamics in financial markets: a kinetic approach

Dario Maldarella and Lorenzo Pareschi

2010: What risk measures are time consistent for all filtrations?

Samuel N. Cohen

2010: Georg de Buquoy - Founder of Mathematical Economy with South Bohemian Roots

Dalibor Stys and Miroslav Valcihova

2010: How simple regulations can greatly reduce inequality

J. R. Iglesias

2010: Econophysics on Real Economy -The First Decade of the Kyoto Econophysics Group-

Hideaki Aoyama, Yoshi Fujiwara, Yuichi Ikeda, Hiroshi Iyetomi and Wataru Souma

2010: Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae

Daniel T. Cassidy, Michael J. Hamp and Rachid Ouyed

2010: Universal Laws and Economic Phenomena

Austin Gerig

2010: Impact of the tick-size on financial returns and correlations

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

2010: A framework for adaptive Monte-Carlo procedures

Bernard Lapeyre and J\'er\^ome Lelong

2010: Time consistency and moving horizons for risk measures

Samuel N. Cohen and Robert J. Elliott

2010: Compensating asynchrony effects in the calculation of financial correlations

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

2010: Market viability via absence of arbitrage of the first kind

Constantinos Kardaras

2010: Utility maximization in incomplete markets with default

Thomas Lim and Marie-Claire Quenez

2010: Estimating correlation and covariance matrices by weighting of market similarity

Michael C. M\"unnix, Rudi Sch\"afer and Oliver Grothe

2010: Alarm System for Insurance Companies: A Strategy for Capital Allocation

Shubhabrata Das and Marie Kratz

2010: Optimizing a basket against the efficient market hypothesis

Fr\'ed\'eric Abergel and Mauro Politi

2010: Modelling savings behavior of agents in the kinetic exchange models of market

Anindya S. Chakrabarti

2010: Validation of credit default probabilities via multiple testing procedures

Sebastian D\"ohler

2010: Interest-Rate Modeling with Multiple Yield Curves

Andrea Pallavicini and Marco Tarenghi

2010: Reduced form modeling of limit order markets

Pekka Malo and Teemu Pennanen

2010: Fairness Is an Emergent Self-Organized Property of the Free Market for Labor

Venkat Venkatasubramanian

2010: Convex duality in stochastic programming and mathematical finance

Teemu Pennanen

2010: Computation of vector sublattices and minimal lattice-subspaces of R^k. Applications in finance

V. N. Katsikis and I. A. Polyrakis

2010: Econophysics: A new discipline

Sonia R. Bentes

2010: Econophysics studies in Estonia

M. Patriarca, E. Heinsalu, R. Kitt and J. Kalda

2010: Business fluctuations in a credit-network economy

Domenico Delli Gatti, Mauro Gallegati, Bruce Greenwald, Alberto Russo and Joseph Stiglitz

2010: Numerical methods for the L\'evy LIBOR model

Antonis Papapantoleon and David Skovmand

2010: Bounds on Stock Price probability distributions in Local-Stochastic Volatility models

Vlad Bally and Stefano De Marco

2010: Credit Risk, Market Sentiment and Randomly-Timed Default

Dorje C. Brody, Lane P. Hughston and Andrea Macrina

2010: A note on the theory of fast money flow dynamics

Andrey Sokolov, Tien Kieu and Andrew Melatos

2010: Absolute ruin in the Ornstein-Uhlenbeck type risk model

Ronnie L. Loeffen and Pierre Patie

2010: The individual income distribution in Argentina in the period 2000-2009. A unique source of non stationary data

Juan C. Ferrero

2010: Prediction accuracy and sloppiness of log-periodic functions

David Br\'ee, Damien Challet and Pier Paolo Peirano

2010: Functionals of Exponential Brownian Motion and Divided Differences

Brad Baxter and Raymond Brummelhuis

2010: Investigating Causal Relationships in Stock Returns with Temporal Logic Based Methods

Samantha Kleinberg, Petter N. Kolm and Bud Mishra

2010: Copula Processes

Andrew Gordon Wilson and Zoubin Ghahramani

2010: A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk

Luis Alvarez and Jani Sainio

2010: Numerical methods for an optimal order execution problem

Fabien Guilbaud, Mohamed Mnif and Huy\^en Pham

2010: Emergence of universal scaling in financial markets from mean-field dynamics

S. V. Vikram and Sitabhra Sinha

2010: On the strategic use of risk and undesirable goods in multidimensional screening

Aim\'e Lachapelle and Filippo Santambrogio

2010: A general method for debiasing a Monte Carlo estimator

Don McLeish

2010: Note on log-periodic description of 2008 financial crash

Katarzyna Bolonek-Lason and Piotr Kosinski

2010: Detrending moving average algorithm for multifractals

Gao-Feng Gu and Wei-Xing Zhou

2010: Dynamic Bertrand Oligopoly

Andrew Ledvina and Ronnie Sircar

2010: "Market making" behaviour in an order book model and its impact on the bid-ask spread

Ioane Muni Toke

2010: Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model

Yuri A. Katz and Nikolai V. Shokhirev

2010: Exit times in non-Markovian drifting continuous-time random walk processes

Miquel Montero and Javier Villarroel

2010: Security Pricing with Information-Sensitive Discounting

Andrea Macrina and Priyanka A. Parbhoo

2010: Consumer Expenditure Distribution in India, 1983-2007: Evidence of a Long Pareto Tail

Abhik Ghosh, Kausik Gangopadhyay and B. Basu

2010: Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior

David Morton de Lachapelle and Damien Challet

2010: The Opportunity Process for Optimal Consumption and Investment with Power Utility

Marcel Nutz

2010: Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends

Benjamin Jourdain and Michel Vellekoop

2010: Econophysics: Empirical facts and agent-based models

Anirban Chakraborti, Ioane Muni Toke, Marco Patriarca and Frederic Abergel

2010: Multinetwork of international trade: A commodity-specific analysis

Matteo Barigozzi, Giorgio Fagiolo and Diego Garlaschelli

2010: Credit risk premia and quadratic BSDEs with a single jump

Stefan Ankirchner, Christophette Blanchet-Scalliet and Anne Eyraud-Loisel

2010: An example of a stochastic equilibrium with incomplete markets

Gordan Zitkovic

2010: Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws

James Glattfelder, A. Dupuis and Richard Olsen

2010: Analysis of continuous strict local martingales via h-transforms

Soumik Pal and Philip Protter

2010: The Impact of Credit Risk and Implied Volatility on Stock Returns

Florian Steiger

2010: Random Matrix Theory and Fund of Funds Portfolio Optimisation

Thomas Conlon, Heather J. Ruskin and Martin Crane

2010: Boltzmann legacy and wealth distribution

Giuseppe Toscani

2010: An empirical study of the tails of mutual fund size

Yonathan Schwarzkopf and J. Farmer

2010: Some Remarks on T-copulas

Volf Frishling and David G Maher

2010: Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems

Baojun Bian, Sheng Miao and Harry Zheng

2010: Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look

Hassan Allouba and Victor Goodman

2010: Intraday Patterns in the Cross-section of Stock Returns

Steven L. Heston, Robert Korajczyk and Ronnie Sadka

2010: Inequality reversal: effects of the savings propensity and correlated returns

Anindya S. Chakrabarti and Bikas K. Chakrabarti

2010: Robust and Adaptive Algorithms for Online Portfolio Selection

Theodoros Tsagaris, Ajay Jasra and Niall Adams

2010: Statistically Optimal Strategy Analysis of a Competing Portfolio Market with a Polyvariant Profit Function

Bohdan Yu. Kyshakevych, Anatoliy K. Prykarpatsky, Denis Blackmore and Ivan P. Tverdokhlib

2010: Two-sided estimates for stock price distribution densities in jump-diffusion models

Archil Gulisashvili and Josep Vives

2010: Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models

Aleksandar Mijatovi\'c and Mikhail Urusov

2010: A Short Tale of Long Tail Integration

Xiaolin Luo and Pavel V. Shevchenko

2010: Optimal dividend and investing control of a insurance company with higher solvency constraints

Zongxia Liang and Jianping Huang

2010: Variational inequality method in stock loans

Zongxia Liang and Weiming Wu

2010: GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries

Periklis Gogas and Ioannis Pragidis

2010: No-arbitrage pricing under cross-ownership

Tom Fischer

2010: The Euler-Maruyama approximations for the CEV model

Vyacheslav Abramov, F. Klebaner and R. Liptser

2010: Persistent collective trend in stock markets

Emeric Balogh, Ingve Simonsen, Balint Zs. Nagy and Zoltan Neda

2010: An Econophysics Model for the Currency Exchange with Commission

Ion Spanulescu, Victor A. Stoica and Ion Popescu

2010: A discussion of stock market speculation by Pierre-Joseph Proudhon

Jean-Claude Juhel and Dominique Dufour

2010: On the fractional Black-Scholes market with transaction costs

Ehsan Azmoodeh

2010: Delta Hedging in Financial Engineering: Towards a Model-Free Approach

Michel Fliess and C\'edric Join

2010: Crude oil and motor fuel: Fair price revisited

Ivan Kitov and Oleg Kitov

2010: Wealth distribution: To be or not to be a Gamma?

Mehdi Lallouache, Aymen Jedidi and Anirban Chakraborti

2010: Complex stock trading network among investors

Zhi-Qiang Jiang and Wei-Xing Zhou

2010: Accounting for risk of non linear portfolios: a novel Fourier approach

Giacomo Bormetti, Valentina Cazzola, Danilo Delpini and Giacomo Livan

2010: Markets are efficient if and only if P = NP

Philip Maymin

2010: From the decompositions of a stopping time to risk premium decompositions

Delia Coculescu

2010: Asymptotic formulae for implied volatility in the Heston model

Martin Forde, Antoine Jacquier and Aleksandar Mijatovic

2010: The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations

Didier Sornette, Ryan Woodard, Maxim Fedorovsky, Stefan Reimann, Hilary Woodard and Wei-Xing Zhou

2010: Optimal split of orders across liquidity pools: a stochastic algorithm approach

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

2010: Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement

A. Zaccaria, Matthieu Cristelli, V. Alfi, F. Ciulla and L. Pietronero

2010: Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model

Giacomo Bormetti, Valentina Cazzola and Danilo Delpini

2010: Vanna-Volga methods applied to FX derivatives: from theory to market practice

Fr\'ed\'eric Bossens, Gr\'egory Ray\'ee, Nikos S. Skantzos and Griselda Deelstra

2010: What drives mutual fund asset concentration?

Yonathan Schwarzkopf and J. Farmer

2010: A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage

Mathias Beiglb\"ock, Walter Schachermayer and Bezirgen Veliyev

2010: Memory effect and multifractality of cross-correlations in financial markets

Tian Qiu, Guang Chen, Li-Xin Zhong and Xiao-Wei Lei

2010: Laplace transform analysis of a multiplicative asset transfer model

Andrey Sokolov, Andrew Melatos and Tien Kieu

2010: Convenient Multiple Directions of Stratification

Benjamin Jourdain, Bernard Lapeyre and Piergiacomo Sabino

2010: On information efficiency and financial stability

Fabio Caccioli and Matteo Marsili

2010: Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection

Jianqing Fan, Yingying Li and Ke Yu

2010: Modelling Information Flows in Financial Markets

Dorje C. Brody, Lane P. Hughston and Andrea Macrina

2010: Schizophrenic Representative Investors

Philip Z. Maymin

2010: Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy

Mats Brod\'en and Magnus Wiktorsson

2010: Toy Model for Large Non-Symmetric Random Matrices

Malgorzata Snarska

2010: Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading

Vladimir Nikulin

2010: When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators

Ester Pantaleo, Michele Tumminello, Fabrizio Lillo and Rosario Mantegna

2010: Price Trackers Inspired by Immune Memory

William Wilson, Phil Birkin and Uwe Aickelin

2010: Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model

Gareth W. Peters, Balakrishnan Kannan, Ben Lasscock and Chris Mellen

2010: A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery

Yadong Li

2010: Fractional smoothness and applications in finance

Stefan Geiss and Emmanuel Gobet

2010: Fifteen years of econophysics: worries, hopes and prospects

Bertrand M. Roehner

2010: Fractional processes as models in stochastic finance

Christian Bender, Tommi Sottinen and Esko Valkeila

2010: Transversality Conditions for Higher Order Infinite Horizon Discrete Time Optimization Problems

Dapeng Cai and Takashi Gyoshin Nitta

2010: Fundamental defect of the macroeconomic thinking as one of the main causes of the crisis endured

Eugen Perchik

2010: Optimal closing of a pair trade with a model containing jumps

Stig Larsson, Carl Lindberg and Marcus Warfheimer

2010: A Top-down Model for Cash CLO

Yadong Li and Ziyu Zheng

2010: Chain ladder method: Bayesian bootstrap versus classical bootstrap

Gareth W. Peters, Mario V. W\"uthrich and Pavel V. Shevchenko

2010: Results on numerics for FBSDE with drivers of quadratic growth

Peter Imkeller, Gon\c{c}alo dos Reis and Jianing Zhang

2010: A maximum principle for forward-backward stochastic Volterra integral equations and applications in finance

Tianxiao Wang and Yufeng Shi

2010: Discretization error of Stochastic Integrals

Masaaki Fukasawa

2010: Asymptotic analysis for stochastic volatility: Edgeworth expansion

Masaaki Fukasawa

2010: Fast Correlation Greeks by Adjoint Algorithmic Differentiation

Luca Capriotti and Mike Giles

2010: Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics

Fredrick Michael

2010: Valuation Bound of Tranche Options

Yadong Li and Ariye Shater

2010: Consistent Valuation of Bespoke CDO Tranches

Yadong Li

2010: Limit Theorems for Partial Hedging Under Transaction Costs

Yan Dolinsky

2010: Error Estimates for Multinomial Approximations of American Options in Merton's Model

Yan Dolinsky

2010: Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model

Yan Dolinsky

2010: Dynamics on/in financial markets: dynamical decoupling and stylized facts

Stefan Reimann and Andreas Tupak

2010: Universal Fluctuations of AEX index

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

2010: Universal Fluctuations of the FTSE100

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

2010: Universality in DAX index returns fluctuations

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

2010: Managing Derivative Exposure

Ulrich Kirchner

2010: Quantum Portfolios of Observables and the Risk Neutral Valuation Model

Fredrick Michael

2010: Simple Fuzzy Score for Russian Public Companies Risk of Default

Sergey Ivliev

2010: L'effet de levier de tr\'esorerie

Jean-Claude Juhel

2010: Sequences of Arbitrages

Victor Kozyakin, Brian O'Callaghan and Alexei Pokrovskii

2010: The Anderson-Darling test of fit for the power law distribution from left censored samples

H. F. Coronel-Brizio and A. R. Hernandez-Montoya

2010: Variance dispersion and correlation swaps

Antoine Jacquier and Saad Slaoui

2010: The Validity of Company Valuation Using Discounted Cash Flow Methods

Florian Steiger

2010: Ruin probability with Parisian delay for a spectrally negative L\'evy risk process

Irmina Czarna and Zbigniew Palmowski

2010: Universal patterns of inequality

Anand Banerjee and Victor Yakovenko

2010: Levy Random Bridges and the Modelling of Financial Information

Edward Hoyle, Lane P. Hughston and Andrea Macrina

2010: Pricing Fixed-Income Securities in an Information-Based Framework

Lane P. Hughston and Andrea Macrina

2010: Old and new approaches to LIBOR modeling

Antonis Papapantoleon

2010: Closed form asymptotics for local volatility models

Wen Cheng, Nick Costanzino, John Liechty, Anna Mazzucato and Victor Nistor

2010: 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

2010: S&P 500 returns revisited

Ivan Kitov and Oleg Kitov

2010: Continuous time Ehrenfest process in term structure modelling

Alexander Kaplun

2010: Nonuniversal distributions of stock returns in an emerging market

Guo-Hua Mu and Wei-Xing Zhou

2010: Overview of utility-based valuation

David German

2010: Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges

V. Gontis and A. Kononovicius

2010: Explicit solutions for the exit problem for a class of L\'evy processes. Applications to the pricing of double barrier options

Sonia Fourati

2010: The Problem of Modeling of Economic Dynamics (new version)

S. I. Chernyshov, A. V. Voronin and S. A. Razumovsky

2010: Indifference of Defaultable Bonds with Stochastic Intensity models

Regis Houssou and Olivier Besson

2010: Risk Aversion Asymptotics for Power Utility Maximization

Marcel Nutz

2010: Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model

L. Spadafora, G. P. Berman and F. Borgonovi

2010: Statistical identification with hidden Markov models of large order splitting strategies in an equity market

Gabriella Vaglica, Fabrizio Lillo and Rosario Mantegna

2010: Utility Maximization of an Indivisible Market with Transaction Costs

Qingshuo Song, G. Yin and Chao Zhu

2010: Modeling share prices of banks and bankrupts

Ivan Kitov

2010: WARNING: Physics Envy May Be Hazardous To Your Wealth!

Andrew Lo and Mark T. Mueller

2010: Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach

Mark Davis and Sebastien Lleo

2010: Micro-Macro Relation of Production - The Double Scaling Law for Statistical Physics of Economy -

Hideaki Aoyama, Yoshi Fujiwara and Mauro Gallegati

2010: Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method

Guoping Xu and Harry Zheng

2010: A simple model of mortality trends aiming at universality: Lee Carter + Cohort

Edouard Debonneuil

2010: Credit Default Swaps Liquidity modeling: A survey

Damiano Brigo, Mirela Predescu and Agostino Capponi

2010: Boolean delay equations on networks: An application to economic damage propagation

B. Coluzzi, M. Ghil, Stephane Hallegatte and G. Weisbuch

2010: Outsider Trading

Dorje C. Brody, Julian Brody, Bernhard K. Meister and Matthew F. Parry

2010: Tracking errors from discrete hedging in exponential L\'evy models

Mats Brod\'en and Peter Tankov

2010: A model-insensitive determination of First-hitting-time densities with Application to Equity default-swaps

Alex Langnau

2010: Jump-Diffusion Risk-Sensitive Asset Management

Mark H. A. Davis and Sebastien Lleo

2010: Estimating discriminatory power and PD curves when the number of defaults is small

Dirk Tasche

2010: On the Dybvig-Ingersoll-Ross Theorem

Constantinos Kardaras and Eckhard Platen

2010: Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading

Constantinos Kardaras and Eckhard Platen

2010: Good deal bounds induced by shortfall risk

Takuji Arai

2010: Stability of the utility maximization problem with random endowment in incomplete markets

Constantinos Kardaras and Gordan Zitkovic

2010: Order flow dynamics around extreme price changes on an emerging stock market

Guo-Hua Mu, Wei-Xing Zhou, Wei Chen and Janos Kertesz

2010: A proof of a conjecture in the Cram\'er-Lundberg model with investments

Shimao Fan, Sheng Xiong and Wei-Shih Yang

2010: Sensitivity of the Performance of a Simple Exchange Model to its Topology

Vitus J. Leung and Randall A. LaViolette

2010: Is It Real, or Is It Randomized?: A Financial Turing Test

Jasmina Hasanhodzic, Andrew Lo and Emanuele Viola

2010: Dynamic risk measures

Beatrice Acciaio and Irina Penner

2010: Explicit equilibria in a kinetic model of gambling

Federico Bassetti and Giuseppe Toscani

2010: Optimal investment with bounded VaR for power utility functions

B\'enamar Chouaf and Serguei Pergamenchtchikov

2010: Convergence of Heston to SVI

Jim Gatheral and Antoine Jacquier

2010: Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles

Beatrice Acciaio, Hans Foellmer and Irina Penner

2010: Spin Glass Model of Operational Risk

Marco Bardoscia, P. Facchi, S. Pascazio and A. Trullo

2010: Adaptive financial networks with static and dynamic thresholds

Tian Qiu, Bo Zheng and Guang Chen

2010: Information Asymmetry in Pricing of Credit Derivatives

Caroline Hillairet and Ying Jiao

2010: Free Lunch

Constantinos Kardaras

2010: Arbitrage strategy

Constantinos Kardaras

2010: Scale invariant properties of public debt growth

Alexander M. Petersen, Boris Podobnik, Davor Horvatic and H. Eugene Stanley

2010: Optimal consumption and investment with bounded downside risk for power utility functions

Claudia Kluppelberg and Serguei Pergamenchtchikov

2010: Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions

Claudia Kluppelberg and Serguei Pergamenchtchikov

2010: The Hazards of Propping Up: Bubbles and Chaos

Philip Maymin

2010: Regulation Simulation

Philip Maymin

2010: What is Fair Pay for Executives? An Information Theoretic Analysis of Wage Distributions

Venkat Venkatasubramanian

2010: Sequential optimizing investing strategy with neural networks

Ryo Adachi and Akimichi Takemura

2010: Reverse Engineering Financial Markets with Majority and Minority Games using Genetic Algorithms

J. Wiesinger, D. Sornette and J. Satinover

2010: Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models

Andrey Itkin and Peter Carr

2010: Recurrence interval analysis of trading volumes

Fei Ren and Wei-Xing Zhou

2010: A Random Matrix Approach to VARMA Processes

Zdzis{\l}aw Burda, Andrzej Jarosz, Maciej A. Nowak and Malgorzata Snarska

2010: Statistical properties of agent-based models in markets with continuous double auction mechanism

Jie-Jun Tseng, Chih-Hao Lin, Chih-Ting Lin, Sun-Chong Wang and Sai-Ping Li

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 Eric J\"arpe

2010: A New Approximation to the Normal Distribution Quantile Function

Paul M. Voutier

2010: Cross-Correlation Dynamics in Financial Time Series

Thomas Conlon, Heather J. Ruskin and Martin Crane

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: A Security Price Volatile Trading Conditioning Model

Leilei Shi, Yiwen Wang, Ding Chen, Liyan Han, Yan Piao and Chengling Gou

2010: Diagnosis and Prediction of Tipping Points in Financial Markets: Crashes and Rebounds

Wanfeng Yan, Ryan Woodard and Didier Sornette

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: Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations

Damiano Brigo, Andrea Pallavicini and Vasileios Papatheodorou

2010: Optimal investment with inside information and parameter uncertainty

Albina Danilova, Michael Monoyios and Andrew Ng

2010: Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis

Ljudmila A. Bordag

2010: New procedures for testing whether stock price processes are martingales

Kei Takeuchi, Akimichi Takemura and Masayuki Kumon

2010: Quantitative features of multifractal subtleties in time series

Stanislaw Drozdz, Jaroslaw Kwapien, Pawel Oswiecimka and Rafal Rak

2010: One-Dimensional Pricing of CPPI

Louis Paulot and Xavier Lacroze

2010: An extension of Davis and Lo's contagion model

Didier Rulli\`ere, Diana Dorobantu and Areski Cousin

2010: Computing Tails of Compound Distributions Using Direct Numerical Integration

Xiaolin Luo and Pavel V. Shevchenko

2010: The Minimal Model of Financial Complexity

Philip Maymin

2010: Semi-static hedging for certain Margrabe type options with barriers

Michael Schmutz

2010: The t copula with Multiple Parameters of Degrees of Freedom: Bivariate Characteristics and Application to Risk Management

Xiaolin Luo and Pavel V. Shevchenko

2010: Optimal execution strategies in limit order books with general shape functions

Aur\'elien Alfonsi, 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: 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: 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: 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

Jie-Jun Tseng, Sai-Ping Li and Sun-Chong Wang

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: 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, Said Hamad\`ene and Marie Am\'elie Morlais

2010: Analyzing the prices of the most expensive sheet iron all over the world: Modeling, prediction and regime change

Fu-Tie Song and Wei-Xing Zhou

2010: Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise

Markus Rei\ss

2010: Point Processes Modeling of Time Series Exhibiting Power-Law Statistics

B. Kaulakys, M. Alaburda and V. Gontis

2010: Consistency properties of a simulation-based estimator for dynamic processes

Manuel Santos

2010: Asymptotics of the probability minimizing a "down-side" risk

Hiroaki Hata, Hideo Nagai and Shuenn-Jyi Sheu

2010: Etude du risque syst\'ematique de mortalit\'e

Frédéric Planchet, Laurent Faucillon and Marc Juillard

2010: Mesure de l'incertitude tendancielle sur la mortalit\'e ? application \`a un r\'egime de rentes

Fr\'ed\'eric Planchet 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

Frédéric Planchet and Vincent Lelieur

2010: Rentes en cours de service: un nouveau crit\`ere d'allocation d'actif

Fr\'ed\'eric Planchet and Pierre-Emanuel Th\'erond

2010: Simulation de trajectoires de processus continus

Fr\'ed\'eric Planchet and Pierre-Emanuel Th\'erond

2010: Mesure des risques de march\'e et de souscription vie en situation d'information incompl\`ete pour un portefeuille de pr\'evoyance

Jean-Paul F\'elix and Fr\'ed\'eric Planchet

2010: L'utilisation des splines bidimensionnels pour l'estimation de lois de maintien en arr\^et de travail

Fr\'ed\'eric Planchet and Pascal Winter

2010: Allocation d'actifs selon le crit\`ere de maximisation des fonds propres \'economiques en assurance non-vie

Fr\'ed\'eric Planchet and Pierre-Emanuel Th\'erond

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: 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 Engle and Artem Voronov

2010: Recovery Swaps

Arthur M. Berd

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: Evolutionary multi-stage financial scenario tree generation

Ronald Hochreiter

2010: Leverage Causes Fat Tails and Clustered Volatility

Stefan Thurner, J. Farmer and John Geanakoplos

2010: Systemic Risk in a Unifying Framework for Cascading Processes on Networks

Jan Lorenz, Stefano Battiston and Frank Schweitzer

2010: Executing large orders in a microscopic market model

Alexander Weiss

2010: GARCH options via local risk minimization

Juan-Pablo Ortega

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