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.

2009: Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo

Tetsuya Takaishi

2009: Universal Behavior of Extreme Price Movements in Stock Markets

Miguel A. Fuentes, Austin Gerig and Javier Vicente

2009: Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks

Victor Chernozhukov and Ivan Fernandez-Val

2009: Probabilities of Positive Returns and Values of Call Options

Guanghui Huang and Jianping Wan

2009: Finite-size effect and the components of multifractality in financial volatility

Wei-Xing Zhou

2009: A Guide to Modeling Credit Term Structures

Arthur M. Berd

2009: Dynamic Estimation of Credit Rating Transition Probabilities

Arthur M. Berd

2009: Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis

Arthur M. Berd, Roy Mashal and Peili Wang

2009: Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures

Arthur M. Berd, Roy Mashal and Peili Wang

2009: Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures

Arthur M. Berd, Roy Mashal and Peili Wang

2009: Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk

Damiano Brigo, Massimo Morini and Marco Tarenghi

2009: Tremor price dynamics in the world's network of stock exchanges

Jorgen Vitting Andersen, Andrzej Nowak, Giulia Rotundo and Lael Parrott

2009: Tails of correlation mixtures of elliptical copulas

Hans Manner and Johan Segers

2009: Multifractal dynamics of stock markets

Dariusz Grech and Lukasz Czarnecki

2009: Multiple defaults and contagion risks

Ying Jiao

2009: Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model

Damiano Brigo and Marco Tarenghi

2009: Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model

Damiano Brigo and Marco Tarenghi

2009: The Bivariate Normal Copula

Christian Meyer

2009: Superfamily classification of nonstationary time series based on DFA scaling exponents

Chuang Liu and Wei-Xing Zhou

2009: The first passage event for sums of dependent L\'evy processes with applications to insurance risk

Irmingard Eder and Claudia Kl\"uppelberg

2009: A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances

Brice Franke and Michael Stolz

2009: Homogeneous Volatility Bridge Estimators

Alexander Saichev, Didier Sornette, Vladimir Filimonov and Fulvio Corsi

2009: Early exercise boundary for American type of floating strike Asian option and its numerical approximation

Tomas Bokes and Daniel Sevcovic

2009: About Some Applications of Kolmogorov Equations to the Simulation of Financial Institutions Activity

Mikhail Rumyantsev

2009: Variance Optimal Hedging for continuous time processes with independent increments and applications

Stéphane Goutte, Nadia Oudjane and Francesco Russo

2009: Risk Concentration and Diversification: Second-Order Properties

Matthias Degen, Dominik D. Lambrigger and Johan Segers

2009: Hidden Noise Structure and Random Matrix Models of Stock Correlations

Ivailo I. Dimov, Petter N. Kolm, Lee Maclin and Dan Y. C. Shiber

2009: Strict Local Martingale Deflators and Pricing American Call-Type Options

Erhan Bayraktar, Constantinos Kardaras and Hao Xing

2009: The Structure and Growth of Weighted Networks

Massimo Riccaboni and Stefano Schiavo

2009: Model for Non-Gaussian Intraday Stock Returns

Austin Gerig, Javier Vicente and Miguel A. Fuentes

2009: Colloquium: Statistical mechanics of money, wealth, and income

Victor Yakovenko and J. Barkley Rosser

2009: Pricing and hedging barrier options in a hyper-exponential additive model

Marc Jeannin and Martijn Pistorius

2009: Liquidity Risk, Price Impacts and the Replication Problem

Alexandre F. Roch

2009: A dual characterization of self-generation and exponential forward performances

Gordan \v{Z}itkovi\'c

2009: Representation of the penalty term of dynamic concave utilities

Freddy Delbaen, Shige Peng and Emanuela Rosazza Gianin

2009: Basic kinetic wealth-exchange models: common features and open problems

Marco Patriarca, Els Heinsalu and Anirban Chakraborti

2009: Asymptotic behavior of prices of path dependent options

Yuji Hishida and Kenji Yasutomi

2009: Finitely additive probabilities and the Fundamental Theorem of Asset Pricing

Constantinos Kardaras

2009: Resilience of Volatility

Sergey S. Stepanov

2009: Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect

Johannes Vitalis Siven and Jeffrey Lins

2009: Statistical Regularities of Equity Market Activity

Fengzhong Wang, Kazuko Yamasaki, Shlomo Havlin and H. Eugene Stanley

2009: An information theoretic approach to statistical dependence: copula information

Rafael S. Calsaverini and Renato Vicente

2009: Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities

Nathalie Rey

2009: The StressVaR: A New Risk Concept for Superior Fund Allocation

Cyril Coste, Raphael Douady and Ilija Zovko

2009: Utility maximization in models with conditionally independent increments

Jan Kallsen and Johannes Muhle-Karbe

2009: Les G\'en\'erateurs de Sc\'enarios \'Economiques: quelle utilisation en assurance?

Alaeddine Faleh, Fr\'ed\'eric Planchet and Didier Rulli\`ere

2009: Mutual Fund Theorem for continuous time markets with random coefficients

Nikolai Dokuchaev

2009: Financial crises and the evaporation of trust

Kartik Anand, Prasanna Gai and Matteo Marsili

2009: Sign and amplitude representation of the forex networks

Sylwia Gworek, Jaroslaw Kwapien and Stanislaw Drozdz

2009: Robust utility maximization for diffusion market model with misspecified coefficients

R. Tevzadze and T. Toronjadze

2009: Coupling Index and Stocks

Benjamin Jourdain and Mohamed Sbai

2009: Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times

Li Lin and Didier Sornette

2009: Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model

Vladimir G. Ivancevic

2009: Regularizing Portfolio Optimization

Susanne Still and Imre Kondor

2009: A Dynamic Model for Credit Index Derivatives

Louis Paulot

2009: Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups

Hongzhong Zhang and Olympia Hadjiliadis

2009: Bonds with volatilities proportional to forward rates

Michal Baran and Jerzy Zabczyk

2009: Empirical asset pricing with nonlinear risk premia

Aleksandar Mijatovic and Paul Schneider

2009: Market Implied Probability Distributions and Bayesian Skew Estimation

Ulrich Kirchner

2009: Discrete-Time Interest Rate Modelling

Lane P. Hughston and Andrea Macrina

2009: Optimal Stopping for Dynamic Convex Risk Measures

Erhan Bayraktar, Ioannis Karatzas and Song Yao

2009: World stock market: more sizeable trend reversal likely in February/March 2010

Stanislaw Drozdz and Pawel Oswiecimka

2009: Optimal execution of Portfolio transactions with geometric price process

Gerardo Hernández-del-Valle and Carlos Pacheco-Gonzalez

2009: Weakly nonlinear analysis of the Hamilton-Jacobi-Bellman equation arising from pension savings management

Zuzana Macova and Daniel Sevcovic

2009: The Problem of Modeling of Economic Dynamics

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

2009: Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps

Damiano Brigo and Agostino Capponi

2009: Esscher transform and the duality principle for multidimensional semimartingales

Ernst Eberlein, Antonis Papapantoleon and Albert N. Shiryaev

2009: The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints

Constantinos Kardaras

2009: On the semimartingale property of discounted asset-price processes

Constantinos Kardaras and Eckhard Platen

2009: Modeling interaction of trading volume in financial dynamics

F. Ren, B. Zheng and P. Chen

2009: Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios

S. Mori, K. Kitsukawa and M. Hisakado

2009: Scaling and memory in the non-poisson process of limit order cancelation

Xiao-Hui Ni, Zhi-Qiang Jiang, Gao-Feng Gu, Fei Ren, Wei Chen and Wei-Xing Zhou

2009: Dual Quantization for random walks with application to credit derivatives

Gilles Pag\`es and Benedikt Wilbertz

2009: Inf-convolution of G-expectations

Xuepeng Bai and Rainer Buckdahn

2009: Nonparametric methods for volatility density estimation

Bert van Es, Peter Spreij and Harry van Zanten

2009: Optimal partial hedging in a discrete-time market as a knapsack problem

Peter G. Lindberg

2009: A Heat Kernel Approach to Interest Rate Models

Jiro Akahori, Yuji Hishida, Josef Teichmann and Takahiro Tsuchiya

2009: Complex Systems: From Nuclear Physics to Financial Markets

J. Speth, S. Drozdz and F. Gruemmer

2009: Obstacle problem for Arithmetic Asian options

Laura Monti and Andrea Pascucci

2009: Exact Simulation of Bessel Diffusions

Roman N. Makarov and Devin Glew

2009: Has the world economy reached its globalization limit?

Janusz Miskiewicz and Marcel Ausloos

2009: Hedging in an equilibrium-based model for a large investor

David German

2009: Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives

Igor Halperin

2009: Universal and nonuniversal allometric scaling behaviors in the visibility graphs of world stock market indices

Meng-Cen Qian, Zhi-Qiang Jiang and Wei-Xing Zhou

2009: Multifractal analysis and instability index of prior-to-crash market situations

M. Piacquadio and F. O. Redelico

2009: Activity Dependent Branching Ratios in Stocks, Solar X-ray Flux, and the Bak-Tang-Wiesenfeld Sandpile Model

Elliot Martin, Amer Shreim and Maya Paczuski

2009: BSDEs with random default time and their applications to default risk

Shige Peng and Xiaoming Xu

2009: State price density estimation via nonparametric mixtures

Ming Yuan

2009: Statistical mixing and aggregation in Feller diffusion

Celia Anteneodo and Silvio M. Duarte Queiros

2009: Financial Applications of Random Matrix Theory: a short review

J. P. Bouchaud and Marc Potters

2009: A general "bang-bang" principle for predicting the maximum of a random walk

Pieter C. Allaart

2009: Wavelet Based Volatility Clustering Estimation of Foreign Exchange Rates

A. N. Sekar Iyengar

2009: Eroding market stability by proliferation of financial instruments

Fabio Caccioli, Matteo Marsili and Pierpaolo Vivo

2009: Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles

Zhi-Qiang Jiang, Wei-Xing Zhou, Didier Sornette, Ryan Woodard, Ken Bastiaensen and Peter Cauwels

2009: The components of empirical multifractality in financial returns

Wei-Xing Zhou

2009: A long-range memory stochastic model of the return in financial markets

V. Gontis, J. Ruseckas and A. Kononovicius

2009: Calibration of transparency risks: a note

Jiro Akahori, Yuuki Kanishi and Yuichi Morimura

2009: Financial heat machine

Andrei Khrennikov

2009: A Steady State Solution to a Mortgage Pricing Problem

Dejun Xie

2009: Stability analysis with applications of a two-dimensional dynamical system arising from a stochastic model of an asset market

Vladimir Belitsky, Antonio L. Pereira and Fernando P. de Almeida Prado

2009: Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model

Wael Bahsoun, Igor Evstigneev and Michael I. Taksar

2009: Defaultable bonds with an infinite number of Levy factors

Jacek Jakubowski and Mariusz Nieweglowski

2009: Weighted Trade Network in a Model of Preferential Bipartite Transactions

Abhijit Chakraborty and S. S. Manna

2009: Stock Market Trading Via Stochastic Network Optimization

Michael J. Neely

2009: The Building Blocks of Economic Complexity

Cesar Hidalgo and Ricardo Hausmann

2009: Utility Function and Optimum Consumption in the models with Habit Formation and Catching up with the Joneses

Roman Naryshkin and Matt Davison

2009: On the rates of convergence of simulation based optimization algorithms for optimal stopping problems

Denis Belomestny

2009: Schumpeterian economic dynamics as a quantifiable minimum model of evolution

Stefan Thurner, Peter Klimek and Rudolf Hanel

2009: Introduction into "Local Correlation Modelling"

Alex Langnau

2009: Optimal double stopping time

Magdalena Kobylanski, Marie-Claire Quenez and Elisabeth Rouy-Mironescu

2009: Financial bubbles analysis with a cross-sectional estimator

Frederic Abergel, Nicolas Huth and Ioane Muni Toke

2009: Double Kernel estimation of sensitivities

Romuald Elie

2009: The scale of market quakes

T. Bisig, A. Dupuis, V. Impagliazzo and Richard Olsen

2009: Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme

Tetsuya Takaishi

2009: Optimal intervention in the foreign exchange market when interventions affect market dynamics

Alec N. Kercheval and Juan F. Moreno

2009: Recurrence interval analysis of high-frequency financial returns and its application to risk estimation

Fei Ren and Wei-Xing Zhou

2009: Portfolio Optimization Under Uncertainty

Alex Dannenberg

2009: On the uniqueness of classical solutions of Cauchy problems

Erhan Bayraktar and Hao Xing

2009: Variance-covariance based risk allocation in credit portfolios: analytical approximation

Mikhail Voropaev

2009: Collective firm bankruptcies and phase transition in rating dynamics

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

2009: Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence

Erik Van der Straeten and Christian Beck

2009: Probability of Large Movements in Financial Markets

Robert Kitt, Maksim Sakki and Jaan Kalda

2009: Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon

Christophette Blanchet-Scalliet, Anne Eyraud-Loisel and Manuela Royer-Carenzi

2009: Analysis of Fourier transform valuation formulas and applications

Ernst Eberlein, Kathrin Glau and Antonis Papapantoleon

2009: Fractional term structure models: No-arbitrage and consistency

Alberto Ohashi

2009: On the Stickiness Property

Erhan Bayraktar and Hasanjan Sayit

2009: Approximation of the distribution of a stationary Markov process with application to option pricing

Gilles Pag\`es and Fabien Panloup

2009: A Computational View of Market Efficiency

Jasmina Hasanhodzic, Andrew Lo and Emanuele Viola

2009: Optimal reinsurance/investment problems for general insurance models

Yuping Liu and Jin Ma

2009: Correlation breakdown, copula credit default models and arbitrage

Rodanthy Tzani and Alexios P. Polychronakos

2009: A policyholder's utility indifference valuation model for the guaranteed annuity option

Matheus R Grasselli and Sebastiano Silla

2009: Gauge Invariance, Geometry and Arbitrage

Samuel E. Vazquez and Simone Farinelli

2009: Bayesian inference with an adaptive proposal density for GARCH models

Tetsuya Takaishi

2009: Second Order Risk

Peter G. Shepard

2009: The International-Trade Network: Gravity Equations and Topological Properties

Giorgio Fagiolo

2009: Most Efficient Homogeneous Volatility Estimators

A. Saichev, D. Sornette and V. Filimonov

2009: Selling a stock at the ultimate maximum

Jacques du Toit and Goran Peskir

2009: Robust mean-variance hedging in the single period model

R. Tevzadze and T. Uzunashvili

2009: Global risk minimization in financial markets

Andreas Martin Lisewski

2009: Market impact and trading profile of large trading orders in stock markets

Esteban Moro, Javier Vicente, Luis G. Moyano, Austin Gerig, J. Farmer, Gabriella Vaglica, Fabrizio Lillo and Rosario Mantegna

2009: Statistical Signatures in Times of Panic: Markets as a Self-Organizing System

Lisa Borland

2009: Shaping tail dependencies by nesting box copulas

Christoph Hummel

2009: Scaling and memory in the return intervals of realized volatility

Fei Ren, Gao-Feng Gu and Wei-Xing Zhou

2009: A new approach for scenario generation in Risk management

Juan-Pablo Ortega, Rainer Pullirsch, Josef Teichmann and Julian Wergieluk

2009: Backbone of complex networks of corporations: The flow of control

James Glattfelder and Stefano Battiston

2009: A model of returns for the post-credit-crunch reality: Hybrid Brownian motion with price feedback

William T. Shaw

2009: The universal shape of economic recession and recovery after a shock

Damien Challet, Sorin Solomon and Gur Yaari

2009: Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions

Anca Gheorghiu and Ion Spanulescu

2009: Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates

Denis Belomestny

2009: Dynamical complexity and symplectic integrability

Jean-Pierre Marco

2009: Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme

Tetsuya Takaishi

2009: A note on heterogeneous beliefs with CRRA utilities

A. A. Brown

2009: Heterogeneous Beliefs with Finite-Lived Agents

A. A. Brown and L. C. G. Rogers

2009: Heterogeneous Beliefs with Partial Observations

A. A. Brown

2009: Binomial Approximations for Barrier Options of Israeli Style

Yan Dolinsky and Yuri Kifer

2009: Preferences Yielding the "Precautionary Effect"

Michel De Lara

2009: A stochastic reachability approach to portfolio construction in finance industry

Giordano Pola and Gianni Pola

2009: Modified detrended fluctuation analysis based on empirical mode decomposition

Xi-Yuan Qian, Wei-Xing Zhou and Gao-Feng Gu

2009: Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations

Nicola Cufaro Petroni and Piergiacomo Sabino

2009: Perfect and partial hedging for swing game options in discrete time

Y. Dolinsky, Y. Iron and Y. Kifer

2009: A quantum statistical approach to simplified stock markets

Fabio Bagarello

2009: Optimal investment on finite horizon with random discrete order flow in illiquid markets

Paul Gassiat, Huyen Pham and Mihai Sirbu

2009: Housing Market Microstructure

Hazer Inaltekin, Robert Jarrow, Mehmet Saglam and Yildiray Yildirim

2009: The Chinese Equity Bubble: Ready to Burst

K. Bastiaensen, P. Cauwels, D. Sornette, R. Woodard and Wei-Xing Zhou

2009: An application to credit risk of a hybrid Monte Carlo-Optimal quantization method

Giorgia Callegaro and Abass Sagna

2009: Temporal structure and gain/loss asymmetry for real and artificial stock indices

Johannes Vitalis Siven and Jeffrey Lins

2009: Modeling operational risk data reported above a time-varying threshold

Pavel V. Shevchenko and Grigory Temnov

2009: Dynamic operational risk: modeling dependence and combining different sources of information

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

2009: Implementing Loss Distribution Approach for Operational Risk

Pavel V. Shevchenko

2009: Liquidity Crisis, Granularity of the Order Book and Price Fluctuations

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

2009: The role of a matchmaker in buyer-vendor interactions

Linyuan L\"u, Matus Medo and Yi-Cheng Zhang

2009: Dynamic communities in multichannel data: An application to the foreign exchange market during the 2007--2008 credit crisis

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

2009: Predator-Prey Model for Stock Market Fluctuations

Miquel Montero

2009: The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures

Damien Challet and Pier Paolo Peirano

2009: Modeling wealth distribution in growing markets

Urna Basu and P. K. Mohanty

2009: Improved and Developed Upper Bound of Price of Anarchy in Two Echelon Case

T. Shinzato and I. Kaku

2009: Universal Correlations and Power-Law Tails in Financial Covariance Matrices

Gernot Akemann, Jonit Fischmann and Pierpaolo Vivo

2009: Forecasting Model for Crude Oil Price Using Artificial Neural Networks and Commodity Futures Prices

Siddhivinayak Kulkarni and Imad Haidar

2009: Gravity Dual for Reggeon Field Theory and Non-linear Quantum Finance

Yu Nakayama

2009: Pricing European Options with a Log Student's t-Distribution: a Gosset Formula

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

2009: Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions

Laetitia Andrieu, Michel De Lara and Babacar Seck

2009: Portfolio optimization when expected stock returns are determined by exposure to risk

Carl Lindberg

2009: Money Distributions in Chaotic Economies

Carmen Pellicer-Lostao and Ricardo Lopez-Ruiz

2009: Economic interactions and the distribution of wealth

Davide Fiaschi and Matteo Marsili

2009: Spiraling toward market completeness and financial instability

Matteo Marsili

2009: High frequency market microstructure noise estimates and liquidity measures

Yacine A\"it-Sahalia and Jialin Yu

2009: The premium of dynamic trading

Chun Hung Chiu and Xun Yu Zhou

2009: Optimal Redeeming Strategy of Stock Loans

Min Dai and Zuo Quan Xu

2009: Continuous-Time Markowitz's Model with Transaction Costs

Min Dai, Zuo Quan Xu and Xun Yu Zhou

2009: Analysis of a network structure of the foreign currency exchange market

Jaroslaw Kwapien, Sylwia Gworek, Stanislaw Drozdz and Andrzej Gorski

2009: Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes

A. Gulisashvili

2009: Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models

A. Gulisashvili and E. M. Stein

2009: The Spread of the Credit Crisis: View from a Stock Correlation Network

Reginald D. Smith

2009: Studies of the limit order book around large price changes

Bence Toth, Janos Kertesz and J. Farmer

2009: Effect of changing data size on eigenvalues in the Korean and Japanese stock markets

Cheoljun Eom, Woo-Sung Jung, Taisei Kaizoji and Seunghwan Kim

2009: Multi-market minority game: breaking the symmetry of choice

Karol Wawrzyniak and Wojciech Wislicki

2009: Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents

Gunter M. Sch\"utz, Fernando Pigeard de Almeida Prado, Rosemary J. Harris and Vladimir Belitsky

2009: Trading leads to scale-free self-organization

M. Ebert and W. Paul

2009: Indifference price with general semimartingales

Sara Biagini, Marco Frittelli and Matheus R. Grasselli

2009: Stock Market and Motion of a Variable Mass Spring

Enrique Canessa

2009: Complementarity between private and public investment in R&D: A Dynamic Panel Data analysis

Tarek Sadraoui and Naceur Ben Zina

2009: Statistical Properties of Fluctuations: A Method to Check Market Behavior

Prasanta K. Panigrahi, Sayantan Ghosh, P. Manimaran and Dilip P. Ahalpara

2009: A Prediction Market for Toxic Assets Prices

Alan Holland

2009: La prime de risque dans un cadre international: le risque de change est-il appr\'eci\'e ?

Mohamed Arouri

2009: Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects

Mohamed Arouri

2009: Stock market integration in the Latin American markets: further evidence from nonlinear modeling

Fredj Jawadi, Nicolas Million and Mohamed Arouri

2009: Structural Breaks in the Mexico's Integration into the World Stock Market

Mohamed Arouri and Jamel Jouini

2009: A la Recherche des Facteurs D\'eterminants de l'Int\'egration Internationale des March\'es Boursiers: une Analyse sur Donn\'ees de Panel

Mohamed Arouri

2009: On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses

Mohamed Arouri and Julien Fouquau

2009: Simulation and Use of Heuristics for Peripheral Economic Policy

Mattheos Protopapas and Elias B. Kosmatopoulos

2009: Income and Poverty in a Developing Economy

Amit K Chattopadhyay, Graeme J Ackland and Sushanta Mallick

2009: Volatility derivatives in market models with jumps

A. Mijatovic and H. Lo

2009: Presentation Du Nouvel Accord De Bale Sur Les Fonds Propres

Hamza Fekir

2009: Emergence of Price Divergence in a Model Short-Term Electric Power Market

Randall A. LaViolette, Lory A. Ellebracht, Kevin L. Stamber, Charles J. Gieseler and Benjamin K. Cook

2009: Spectral methods for volatility derivatives

Claudio Albanese, Harry Lo and Aleksandar Mijatovi\'c

2009: The effect of a market factor on information flow between stocks using minimal spanning tree

Cheoljun Eom, Okyu Kwon, Woo-Sung Jung and Seunghwan Kim

2009: Empirical regularities of opening call auction in Chinese stock market

Gao-Feng Gu, Fei Ren, Xiao-Hui Ni, Wei Chen and Wei-Xing Zhou

2009: A Markovian Model Market - Akerlof's Lemmons and the Asymmetry of Information

Paulo F. C. Tilles, Fernando F. Ferreira, Gerson Francisco, Carlos de B. Pereira and Flavia Mori Sarti

2009: Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis

Didier Sornette and Ryan Woodard

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

L. Lin, Ren R. E and D. Sornette

2009: Information of Interest

Dorje C. Brody and Robyn L. Friedman

2009: Structure and temporal change of the credit network between banks and large firms in Japan

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

2009: Statistical properties of information flow in financial time series

Cheoljun Eom, Okyu Kwon and Woo-Sung Jung

2009: Bayesian Analysis of Value-at-Risk with Product Partition Models

Giacomo Bormetti, Maria Elena De Giuli, Danilo Delpini and Claudia Tarantola

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

Kostas Triantafyllopoulos and Giovanni Montana

2009: Emergence of long memory in stock volatility from a modified Mike-Farmer model

Gao-Feng Gu and Wei-Xing Zhou

2009: Boom and bust in continuous time evolving economic model

Lawrence Mitchell and G. J. Ackland

2009: Correlated multi-asset portfolio optimisation with transaction cost

Siu Lung Law, Chiu Fan Lee, Sam Howison and Jeff N. Dewynne

2009: Implied Correlation for Pricing multi-FX options

Pavel V. Shevchenko

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

Josep J. Masdemont and Luis Ortiz-Gracia

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

Ammar Kessab

2009: Simplified stock markets described by number operators

F. Bagarello

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

F. Bagarello

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

Wong Jian Cheng, Lian Heng and Cheong Siew Ann

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

Pierre Patie

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

Xiaolin Luo, Pavel V. Shevchenko and John B. Donnelly

2009: An Introduction to Hedge Funds

Sovan Mitra

2009: Credit risk modeling using time-changed Brownian motion

T. R. Hurd

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

Matthias Hanauske, Jennifer Kunz, Steffen Bernius and Wolfgang K\"onig

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

Constantinos Kardaras and Eckhard Platen

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

Hans B\"uhlmann, Pavel V. Shevchenko and Mario V. W\"uthrich

2009: Estimation of Operational Risk Capital Charge under Parameter Uncertainty

Pavel V. Shevchenko

2009: Regime Switching Stochastic Volatility with Perturbation Based Option Pricing

Sovan Mitra

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

Sovan Mitra

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

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

2009: The Size Variance Relationship of Business Firm Growth Rates

Massimo Riccaboni, Fabio Pammolli, Sergey V. Buldyrev, Linda Ponta and H. Eugene Stanley

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

Samuel E. Vazquez and Simone Severini

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

Dominik D. Lambrigger, Pavel V. Shevchenko and Mario V. W\"uthrich

2009: A Review of Volatility and Option Pricing

Sovan Mitra

2009: Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling

P. V. Shevchenko

2009: Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation

Sovan Mitra

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

P. V. Shevchenko and M. V. W\"uthrich

2009: Long-term correlations and multifractal analysis of trading volumes for Chinese stocks

Guo-Hua Mu, Wei Chen, J\'anos Kert\'esz and Wei-Xing Zhou

2009: An operatorial approach to stock markets

F. Bagarello

2009: Risk Measures in Quantitative Finance

Sovan Mitra

2009: The (unfortunate) complexity of the economy

Jean-Philippe Bouchaud

2009: Does economics need a scientific revolution?

Ivan Kitov

2009: Introducing Chaos in Economic Gas-like Models

C. Pellicer-Lostao and R. Lopez-Ruiz

2009: Threshold levels in Economics

V. P. Maslov

2009: Laplace transformation method for the Black-Scholes equation

Hyoseop Lee and Dongwoo Sheen

2009: Multivariate utility maximization with proportional transaction costs

Luciano Campi and Mark P. Owen

2009: Arbitrage and deflators in illiquid markets

Teemu Pennanen

2009: Analysis of Kelly-optimal portfolios

Paolo Laureti, Matus Medo and Yi-Cheng Zhang

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

Ivan Kitov and Oleg Kitov

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

Richard B. Sowers

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

Richard B. Sowers

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

Lampros Boukas, Diogo Pinheiro, Alberto Pinto, Stylianos Xanthopoulos and Athanasios Yannacopoulos

2009: The Transfer Pricing Problem with Non-Linearities

S. Zverovich

2009: Mapping markets to the statistical mechanics: the derivatives act against the self-regulation of stock market

David B. Saakian

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

Yingdong Lv and Bernhard K. Meister

2009: Price Impact

J. P. Bouchaud

2009: Financial Atoms and Molecules

Yik Wen Goo, Tong Wei Lian, Wei Guang Ong, Wen Ting Choi and Siew-Ann Cheong

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

Mauro Politi, Enrico Scalas, Daniel Fulger and Guido Germano

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

William T. Shaw and Jonathan McCabe

2009: Inference on multivariate ARCH processes with large sizes

Gilles Zumbach

2009: The empirical properties of large covariance matrices

Gilles Zumbach

2009: Statistical analysis of the overnight and daytime return

Fengzhong Wang, Shwu-Jane Shieh, Shlomo Havlin and H. Eugene Stanley

2009: Quantum Neural Computation for Option Price Modelling

Vladimir G. Ivancevic

2009: What is the best firm size to invest?

Ivan Kitov

2009: A dynamic nonlinear model for saturation in industrial growth

Arnab K. Ray

2009: Mechanical Model of Personal Income Distribution

Ivan Kitov

2009: Quantized Interest Rate at the Money for American Options

L. M. Dieng

2009: Consumption and Portfolio Rules for Time-Inconsistent Investors

Jesus Marin-Solano and Jorge Navas

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

Marc Jeannin and Martijn Pistorius

2009: Le trading algorithmique

Victor Lebreton

2009: Universality in the stock exchange

Rui Gon\c{c}alves and Alberto Pinto

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

Ilya Molchanov and Michael Schmutz

2009: Cross-correlation of long-range correlated series

Sergio Arianos and Anna Carbone

2009: Large portfolio losses: A dynamic contagion model

Paolo Dai Pra, Wolfgang J. Runggaldier, Elena Sartori and Marco Tolotti

2009: Time and symmetry in models of economic markets

Lee Smolin

2009: T-Systems and the lower Snell envelope

Erick Treviño

2009: Scale Invariance, Bounded Rationality and Non-Equilibrium Economics

Samuel E. Vazquez

2009: The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets

Cheoljun Eom, Jongwon Park, Woo-Sung Jung, Taisei Kaizoji and Yong H. Kim

2009: A Fourier transform method for spread option pricing

T. R. Hurd and Zhuowei Zhou

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

Wolfgang Kluge and Antonis Papapantoleon

2009: Monitoring dates of maximal risk

Erick Treviño

2009: First-passage and risk evaluation under stochastic volatility

Jaume Masoliver and Josep Perelló

2009: Optimal Trade Execution in Illiquid Markets

Erhan Bayraktar and Mike Ludkovski

2009: A Unified Framework for Dynamic Pari-Mutuel Information Market Design

Shipra Agrawal, Erick Delage, Mark Peters, Zizhuo Wang and Yinyu Ye

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

M. Ali Saif and Prashant M. Gade

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

M. Ali Saif and Prashant M. Gade

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

Rasoul Behboudi and You-Lan Zhu

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

Amparo Baillo

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

Subrata Chakrabarty

2009: The Reality Game

Dmitriy Cherkashin, J. Farmer and Seth Lloyd

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

Fabio Clementi, Mauro Gallegati and G. Kaniadakis

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

Miquel Montero

2009: Network effects in a human capital based economic growth model

Teresa Vaz Martins, Tanya Araújo, Maria Augusta Santos and Miguel Aubyn

2009: SURE shrinkage of Gaussian paths and signal identification

Nicolas Privault and Anthony R\'eveillac

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

Matus Medo, Chi Ho Yeung and Yi-Cheng Zhang

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

Erhan Bayraktar and Masahiko Egami

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

Erhan Bayraktar

2009: Structure and evolution of the foreign exchange networks

Jaroslaw Kwapien, Sylwia Gworek and Stanislaw Drozdz

2009: Mathematical analysis of Soros's theory of reflexivity

C. P. Kwong

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

Igor Halperin and Pascal Tomecek

2009: BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives

Matthias Arnsdorf and Igor Halperin

2009: Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability

Michail Anthropelos and Gordan Zitkovic

2009: Kinetic models for wealth exchange on directed networks

Arnab Chatterjee

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

Maxim Bobrov

2009: Information geometries and Microeconomic Theories

Richard Nock, Brice Magdalou, Nicolas Sanz, Eric Briys, Fred Celimene and Frank Nielsen

2009: Visualizing a large-scale structure of production network by N-body simulation

Yoshi Fujiwara

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

Gilles Zumbach

2009: State-dependent utility maximization in L\'evy markets

Jose E. Figueroa-Lopez and Jin Ma

2009: A mathematical proof of the existence of trends in financial time series

Michel Fliess and C\'edric Join

2009: Agent-Based Model Approach to Complex Phenomena in Real Economy

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

2009: Efficient swaptions price in Hull-White one factor model

Marc Henrard

2009: Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors

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

2009: Stochastic Volatility Models Including Open, Close, High and Low Prices

Abel Rodriguez, Henryk Gzyl, German Molina and Enrique ter Horst

2009: Efficient Pricing of CPPI using Markov Operators

Louis Paulot and Xavier Lacroze

2009: Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation

Damiano Brigo, Kyriakos Chourdakis and Imane Bakkar

2009: Economic Models with Chaotic Money Exchange

Carmen Pellicer-Lostao and Ricardo Lopez-Ruiz

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

Tetsuya Takaishi

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

Alexander M. G. Cox and Jan Obloj

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

Andreas Krause

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

William T. Shaw and Ian R. C. Buckley

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

Adom Giffin

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

U. Krey

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

V. P. Maslov and V. E. Nazaikinskii

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

Silvio M. Duarte Queiros

2009: Correlations in commodity markets

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

2009: Stochastic calculus for uncoupled continuous-time random walks

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

2009: No Arbitrage Conditions For Simple Trading Strategies

Erhan Bayraktar and Hasanjan Sayit