Papers

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2008: Diffusive behavior and the modeling of characteristic times in limit order executions

Zoltan Eisler, Janos Kertesz, Fabrizio Lillo and Rosario Mantegna

2008: A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions

Erhan Bayraktar

2008: Illiquidity and Derivative Valuation

Ulrich Horst and Felix Naujokat

2008: Measuring expectations in options markets: An application to the SP500 index

Abel Rodriguez and Enrique ter Horst

2008: Economic law of increase of Kolmogorov complexity. Transition from financial crisis 2008 to the zero-order phase transition (social explosion)

V. P. Maslov

2008: A method of moments approach to pricing double barrier contracts driven by a general class of jump diffusions

Bjorn Eriksson and Martijn Pistorius

2008: A Stochastic Processes Toolkit for Risk Management

Damiano Brigo, Antonio Dalessandro, Matthias Neugebauer and Fares Triki

2008: An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model

Damiano Brigo and Naoufel El-Bachir

2008: Default correlation, cluster dynamics and single names: The GPCL dynamical loss model

Damiano Brigo, Andrea Pallavicini and Roberto Torresetti

2008: Constant Maturity Credit Default Swap Pricing with Market Models

Damiano Brigo

2008: Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis

Massimo Morini and Damiano Brigo

2008: The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation

Damiano Brigo

2008: On three filtering problems arising in mathematical finance

Damiano Brigo and Bernard Hanzon

2008: Steady coexistence of the subjects of the market representing the private and state capital

Viktor I. Shapovalov

2008: Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing

Damiano Brigo and Fabio Mercurio

2008: A Finite Element Framework for Option Pricing with the Bates Model

Edie Miglio and Carlo Sgarra

2008: Evidence for the Gompertz Curve in the Income Distribution of Brazil 1978-2005

Newton J. Moura and Marcelo Ribeiro

2008: Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios

Jianqing Fan, Jingjin Zhang and Ke Yu

2008: Computational modeling of collective human behavior: Example of financial markets

Andy Kirou, Blazej Ruszczycki, Markus Walser and Neil F. Johnson

2008: Market bubbles and crashes

Taisei Kaizoji and D. Sornette

2008: Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type

Alexandre F. Roch

2008: On properties of Continuous-Time Random Walks with Non-Poissonian jump-times

Javier Villarroel and Miquel Montero

2008: Correlated Random Walks and the Joint Survival Probability

Mark B. Wise and Vineer Bhansali

2008: Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market

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

2008: The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market

Daniel J. Fenn, Sam D. Howison, Mark McDonald, Stacy Williams and Neil F. Johnson

2008: Option Pricing Model Based on a Markov-modulated Diffusion with Jumps

Nikita Ratanov

2008: Locally adaptive estimation methods with application to univariate time series

Mstislav Elagin

2008: International Comparison of Labor Productivity Distribution for Manufacturing and Non-Manufacturing Firms

Yuichi Ikeda and Wataru Souma

2008: A mixed relaxed singular maximum principle for linear SDEs with random coefficients

Daniel Andersson

2008: Ruin models with investment income

Jostein Paulsen

2008: Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping

A. M. G. Cox, David Hobson and Jan Ob{\l}\'oj

2008: Mechanisms of Self-Organization and Finite Size Effects in a Minimal Agent Based Model

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

2008: Fluctuations of company yearly profits versus scaled revenue: Fat tail distribution of Levy type

H. E. Roman, R. A. Siliprandi, C. Dose, C. Riccardi and M. Porto

2008: Quantile hedging for an insider

Przemyslaw Klusik, Zbigniew Palmowski and Jakub Zwierz

2008: A multiscale view on inverse statistics and gain/loss asymmetry in financial time series

Johannes Vitalis Siven, Jeffrey Lins and Jonas Lundbek Hansen

2008: GDP growth rate and population

Ivan Kitov

2008: The driving force of labor productivity

Ivan Kitov and Oleg Kitov

2008: A model of subjective supply-demand: the maximum Boltzmann/Shannon entropy solution

Edward Piotrowski and Jan Sladkowski

2008: Binomial approximations of shortfall risk for game options

Yan Dolinsky and Yuri Kifer

2008: Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance

Michel Fliess and C\'edric Join

2008: Modelling the transition from a socialist to capitalist economic system

Ivan Kitov

2008: Transition from Pareto to Boltzmann-Gibbs behavior in a deterministic economic model

J. Gonzalez-Estevez, M. G. Cosenza, O. Alvarez-Llamoza and R. Lopez-Ruiz

2008: Relationship between inflation, unemployment and labor force change rate in France: cointegration test

Ivan Kitov, Oleg Kitov and Svetlana A. Dolinskaya

2008: Inflation as a function of labor force change rate: cointegration test for the USA

Ivan Kitov, Oleg Kitov and Svetlana A. Dolinskaya

2008: Real GDP per capita in developed countries

Ivan Kitov

2008: The instability of downside risk measures

Istvan Varga-Haszonits and Imre Kondor

2008: On the singular limit of solutions to the CIR interest rate model with stochastic volatility

B. Stehlikova and Daniel Sevcovic

2008: Modelling real GDP per capita in the USA: cointegration test

Ivan Kitov, Oleg Kitov and Svetlana A. Dolinskaya

2008: Modelling the average income dependence on work experience

Ivan Kitov

2008: On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures

B. Stehlikova and Daniel Sevcovic

2008: Exact prediction of S&P 500 returns

Ivan Kitov and Oleg Kitov

2008: Modeling the evolution of Gini coefficient for personal incomes in the USA between 1947 and 2005

Ivan Kitov

2008: Evolution of the personal income distribution in the USA: High incomes

Ivan Kitov

2008: Market Mill Dependence Pattern in the Stock Market: Multiscale Conditional Dynamics

Sergey Zaitsev, Alexander Zaitsev, Andrei Leonidov and Vladimir Trainin

2008: Breakdown of the mean-field approximation in a wealth distribution model

Matus Medo

2008: Random walker in a temporally deforming higher-order potential forces observed in financial crisis

Kota Watanabe, Hideki Takayasu and Misako Takayasu

2008: Informed Traders

Dorje C. Brody, Mark H. A. Davis, Robyn L. Friedman and Lane P. Hughston

2008: Inconsistency of the judgment matrix in the AHP method and the decision maker's knowledge

Anna Szczypinska and Edward Piotrowski

2008: Improving Point and Interval Estimates of Monotone Functions by Rearrangement

Victor Chernozhukov, Ivan Fernandez-Val and Alfred Galichon

2008: An explicit solution for an optimal stopping/optimal control problem which models an asset sale

Vicky Henderson and David Hobson

2008: Optimal Investment Strategy to Minimize Occupation Time

Erhan Bayraktar and Virginia R. Young

2008: An introduction to L\'{e}vy processes with applications in finance

Antonis Papapantoleon

2008: Mirror-time diffusion discount model of options pricing

Pavel Levin

2008: A case study of speculative financial bubbles in the South African stock market 2003-2006

Wei-Xing Zhou and Didier Sornette

2008: Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance

Barbara Forster, Eva Luetkebohmert and Josef Teichmann

2008: The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options

Said Hamadene and Jianfeng Zhang

2008: Economics need a scientific revolution

Jean-Philippe Bouchaud

2008: Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect

Simone Bianco, Fulvio Corsi and Roberto Renò

2008: Trust! Why it Has Been Lost and How to Regain It

D. Sornette

2008: Hedging of claims with physical delivery under convex transaction costs

Teemu Pennanen and Irina Penner

2008: Look-Ahead Benchmark Bias in Portfolio Performance Evaluation

Gilles Daniel, Didier Sornette and Peter Wohrmann

2008: Volatility Effects on the Escape Time in Financial Market Models

Bernardo Spagnolo and Davide Valenti

2008: Scale free effects in world currency exchange network

A. Z. Gorski, S. Drozdz and J. Kwapien

2008: Measuring the "non-stopping timeness" of ends of previsible sets

Ju-Yi Yen and Marc Yor

2008: Hedging and production decisions under uncertainty: A survey

Moawia Alghalith

2008: Portfolio Optimization under Habit Formation

Roman Naryshkin and Matt Davison

2008: Affine Models

Christa Cuchiero, Damir Filipovic and Josef Teichmann

2008: Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models

Friedrich Hubalek and Petra Posedel Šimović

2008: Probability distribution of returns in the exponential Ornstein-Uhlenbeck model

Giacomo Bormetti, Valentina Cazzola, Guido Montagna and Oreste Nicrosini

2008: Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models

Martin Keller-Ressel

2008: Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market

Wing Yan Yip, Sofia Olhede and David Stephens

2008: Market completion using options

Mark Davis and Jan Obloj

2008: Understanding the volatility smile of options markets through microsimulation

G. Qiu, D. Kandhai and P. M. A. Sloot

2008: Models with time-dependent parameters using transform methods: application to Heston's model

A. Elices

2008: Correlation Structures of Correlated Binomial Models and Implied Default Distribution

S. Mori, K. Kitsukawa and M. Hisakado

2008: Capital process and optimality properties of a Bayesian Skeptic in coin-tossing games

Masayuki Kumon, Akimichi Takemura and Kei Takeuchi

2008: Correlation, hierarchies, and networks in financial markets

M. Tumminello, F. Lillo and Rosario Mantegna

2008: Stock market volatility: An approach based on Tsallis entropy

Sonia R. Bentes, Rui Menezes and Diana A. Mendes

2008: Ruin probabilities under general investments and heavy-tailed claims

Henrik Hult and Filip Lindskog

2008: Clustering of discretely observed diffusion processes

Alessandro De Gregorio and Stefano Iacus

2008: Time Consistent Dynamic Limit Order Books Calibrated on Options

Jocelyne Bion-Nadal

2008: Existence, uniqueness and a constructive solution algorithm for a class of finite Markov moment problems

Laurent Gosse and Olof Runborg

2008: Labour Productivity Superstatistics

Hideaki Aoyama, Hiroshi Yoshikawa, Hiroshi Iyetomi and Yoshi Fujiwara

2008: Smile dynamics -- a theory of the implied leverage effect

Stefano Ciliberti, Jean-Philippe Bouchaud and Marc Potters

2008: Implied volatility explosions: European calls and implied volatilities close to expiry in exponential L\'evy models

Michael Roper

2008: Non-Gibrat's law in the middle scale region

Masashi Tomoyose, Shouji Fujimoto and Atushi Ishikawa

2008: Optimal Time to Sell a Stock in Black-Scholes Model: Comment on "Thou shall buy and hold", by A. Shiryaev, Z. Xu and X.Y. Zhou

Satya N. Majumdar and Jean-Philippe Bouchaud

2008: Local time and the pricing of time-dependent barrier options

Aleksandar Mijatovic

2008: Correlated continuous time random walks

Mark M. Meerschaert, Erkan Nane and Yimin Xiao

2008: Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland

Katarzyna Sznajd-Weron, Rafa{\l} Weron and Maja W{\l}oszczowska

2008: Graphical models for correlated defaults

I. Onur Filiz, Xin Guo, Jason Morton and Bernd Sturmfels

2008: Fractality feature in oil price fluctuations

M. Momeni, I. Kourakis and K. Talebi

2008: A housing-demographic multi-layered nonlinear model to test regulation strategies

Ramon Huerta, Fernando Corbacho and Luis F. Lago-Fernandez

2008: How markets slowly digest changes in supply and demand

Jean-Philippe Bouchaud, J. Farmer and Fabrizio Lillo

2008: Solvable Stochastic Dealer Models for Financial Markets

Kenta Yamada, Hideki Takayasu, Takatoshi Ito and Misako Takayasu

2008: The Stock Market as a Game: An Agent Based Approach to Trading in Stocks

Eric Engle

2008: Minimal Spanning Tree graphs and power like scaling in FOREX networks

A Z Gorski, S. Drozdz and J. Kwapien

2008: Multiscaling behavior in the volatility return intervals of Chinese indices

Fei Ren and Wei-Xing Zhou

2008: Risk-Seeking versus Risk-Avoiding Investments in Noisy Periodic Environments

J. Emeterio Navarro Barrientos, Frank E. Walter and Frank Schweitzer

2008: Smart expansion and fast calibration for jump diffusion

Eric Benhamou, Emmanuel Gobet and Mohammed Miri

2008: Investments in Random Environments

Emeterio Navarro, Ruben Cantero, Joao Rodrigues and Frank Schweitzer

2008: Relaxation in statistical many-agent economy models

Marco Patriarca, Anirban Chakraborti, Els Heinsalu and Guido Germano

2008: Robust hedging of double touch barrier options

Alexander M. G. Cox and Jan K. Ob{\l}\'oj

2008: Minimal Agent Based Model for Financial Markets II: Statistical Properties of the Linear and Multiplicative Dynamics

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

2008: Minimal Agent Based Model for Financial Markets I: Origin and Self-Organization of Stylized Facts

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

2008: Criticality Characteristics of Current Oil Price Dynamics

Stanislaw Drozdz, Jaroslaw Kwapien and Pawel Oswiecimka

2008: Dynamic scaling approach to study time series fluctuations

Alexander S. Balankin

2008: Multifactor Analysis of Multiscaling in Volatility Return Intervals

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

2008: Queue-length Variations In A Two-Restaurant Problem

Anindya S. Chakrabarti and Bikas K. Chakrabarti

2008: On honest times in financial modeling

Ashkan Nikeghbali and Eckhard Platen

2008: Theory of Zipf's Law and of General Power Law Distributions with Gibrat's law of Proportional Growth

A. Saichev, Yannick Malevergne and D. Sornette

2008: Shelf space strategy in long-tail markets

R. Alexander Bentley, Paul Ormerod and Mark E. Madsen

2008: Heterogeneous expectations and long range correlation of the volatility of asset returns

Jerome Coulon and Yannick Malevergne

2008: Changes in the Distribution of Income Volatility

Shane T. Jensen and Stephen H. Shore

2008: The distribution of first-passage times and durations in FOREX and future markets

Naoya Sazuka, Jun-ichi Inoue and Enrico Scalas

2008: Theory of market fluctuations

S. V. Panyukov

2008: Maturity-independent risk measures

Thaleia Zariphopoulou and Gordan Zitkovic

2008: Econophysics, Statistical Mechanics Approach to

Victor Yakovenko

2008: Reflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition

Shige Peng and Mingyu Xu

2008: Identifying the covariation between the diffusion parts and the co-jumps given discrete observations

Fabio Gobbi and Cecilia Mancini

2008: Decomposition of order statistics of semimartingales using local times

Raouf Ghomrasni and Olivier Menoukeu Pamen

2008: Hazard processes and martingale hazard processes

Delia Coculescu and Ashkan Nikeghbali

2008: Taxes in a simple wealth distribution model by inelastically scattering particles

Sebastian D. Guala

2008: Financial Time Series Analysis of SV Model by Hybrid Monte Carlo

Tetsuya Takaishi

2008: Existence, uniqueness and efficiency of equilibrium in hedonic markets with multidimenstional types

Ivar Ekeland

2008: Modelling interest rates by correlated multi-factor CIR-like processes

L. Bertini and Luca Passalacqua

2008: Interdisciplinarity in Socio-economics, mathematical analysis and predictability of complex systems

D. Sornette

2008: Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models

Friedrich Hubalek and Petra Posedel Šimović

2008: Superhedging in illiquid markets

Teemu Pennanen

2008: Scaling and efficiency determine the irreversible evolution of a market

Fulvio Baldovin and Attilio L. Stella

2008: An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications

Andrea Macrina

2008: Market dynamics after large financial crash

G. L. Buchbinder and K. M. Chistilin

2008: Minimal Agent Based Model For The Origin And Self-Organization Of Stylized Facts In Financial Markets

V. Alfi, L. Pietronero and A. Zaccaria

2008: The evolution of EU business cycle synchronisation 1981-2007

Paul Ormerod

2008: Statistical properties of volatility return intervals of Chinese stocks

Fei Ren, Liang Guo and Wei-Xing Zhou

2008: Random matrix theory and the evolution of business cycle synchronisation 1886-2006

Paul Ormerod

2008: Global recessions as a cascade phenomenon with heterogenous, interacting agents

Paul Ormerod

2008: On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps

Friedrich Hubalek and Carlo Sgarra

2008: Monte Carlo Greeks for financial products via approximative transition densities

Joerg Kampen, Anastasia Kolodko and John Schoenmakers

2008: Quantitative comparisons between finitary posterior distributions and Bayesian posterior distributions

Federico Bassetti

2008: The escape problem under stochastic volatility: the Heston model

Jaume Masoliver and Josep Perelló

2008: Stochastic resonance and the trade arrival rate of stocks

A. Christian Silva and Ju-Yi J. Yen

2008: The exponentially truncated q-distribution: A generalized distribution for real complex systems

Hari M. Gupta and Jose R. Campanha

2008: Counterparty risk valuation for CDS

Christophette Blanchet-Scalliet and Fr\'ed\'eric Patras

2008: The 2006-2008 Oil Bubble and Beyond

D. Sornette, R. Woodard and Wei-Xing Zhou

2008: A model for interevent times with long tails and multifractality in human communications: An application to financial trading

Josep Perelló, J. Masoliver, A. Kasprzak and Ryszard Kutner

2008: A Theory for Market Impact: How Order Flow Affects Stock Price

Austin Gerig

2008: The Problem of Modelling of Economic Dynamics in Differential Form

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

2008: Topological identification in networks of dynamical systems

Donatello W. Materassi and Giacomo W. Innocenti

2008: Diversification and limited information in the Kelly game

Matus Medo, Yury M. Pis'mak and Yi-Cheng Zhang

2008: Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis

Beata Stehlikova and Daniel Sevcovic

2008: A stochastic theory for temporal fluctuations in self-organized critical systems

Martin Rypdal and Kristoffer Rypdal

2008: Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations

Shaolin Ji

2008: Classification of barrier options

J. C. Ndogmo

2008: Some Control Variates for exotic options

Jc Ndogmo

2008: On a Non-Standard Stochastic Control Problem

Ivar Ekeland and Traian A Pirvu

2008: The Question of Relaxation in the Wealth Exchange Models

Abhijit KarGupta

2008: Heterogeneous credit portfolios and the dynamics of the aggregate losses

Paolo Dai Pra and Marco Tolotti

2008: Fractional derivatives of random walks: Time series with long-time memory

H. Eduardo Roman and Markus Porto

2008: Consequences of increased longevity for wealth, fertility, and population growth

Aleksandar Bogojevic, Antun Balaz and Rasa Karapandza

2008: Anomalous Returns in a Neural Network Equity-Ranking Predictor

J. B. Satinover and D. Sornette

2008: Optimal investment and consumption in a Black--Scholes market with L\'evy-driven stochastic coefficients

{\L}ukasz Delong and Claudia Kl\"uppelberg

2008: Detrended fluctuation analysis of intertrade durations

Zhi-Qiang Jiang, Wei Chen and Wei-Xing Zhou

2008: Measuring Value in Healthcare

Christopher Gardner

2008: Minimizing the Probability of Ruin when Consumption is Ratcheted

Erhan Bayraktar and Virginia R. Young

2008: Detecting speculative bubbles created in experiments via decoupling in agent based models

Magda Roszczynska, Andrzej Nowak, Daniel Kamieniarz, Sorin Solomon and Jorgen Vitting Andersen

2008: A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

D. Lemmens, M. Wouters, J. Tempere and S. Foulon

2008: Risk Premium Impact in the Perturbative Black Scholes Model

Luca Regis and Simone Scotti

2008: Perturbative Approach on Financial Markets

Simone Scotti

2008: Backward Stochastic PDEs related to the utility maximization problem

M. Mania and R. Tevzadze

2008: From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A: The infinite time horizon

Amel Bentata and Marc Yor

2008: Emergence of product differentiation from consumer heterogeneity and asymmetric information

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

2008: Current log-periodic view on future world market development

Stanislaw Drozdz, Jaroslaw Kwapien, Pawel Oswiecimka and Josef Speth

2008: A threshold model of financial markets

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

2008: Renewal equations for option pricing

Miquel Montero

2008: Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle

Dirk Tasche

2008: Capital allocation for credit portfolios with kernel estimators

Dirk Tasche

2008: Utility Maximization in a jump market model

Marie-Amelie Morlais

2008: On the probability distribution of stock returns in the Mike-Farmer model

Gao-Feng Gu and Wei-Xing Zhou

2008: Topological structures in the equities market network

Greg Leibon, Scott D. Pauls, Daniel N. Rockmore and Robert Savell

2008: Using self-similarity and renormalization group to analyze time series

Giovanni Arcioni

2008: Deterministic definition of the capital risk

Anna Szczypinska and Edward Piotrowski

2008: Convergence and cluster structures in EU area according to fluctuations in macroeconomic indices

Mircea Gligor and Marcel Ausloos

2008: Productivity Dispersion: Facts, Theory, and Implications

Hideaki Aoyama, Hiroshi Yoshikawa, Hiroshi Iyetomi and Yoshi Fujiwara

2008: Coherence-based multivariate analysis of high frequency stock market values

Donatello Materassi and Giacomo Innocenti

2008: The structural role of weak and strong links in a financial market network

Antonios Garas, Panos Argyrakis and Shlomo Havlin

2008: Scaling and Memory Effect in Volatility Return Interval of the Chinese Stock Market

Tian Qiu, Liang Guo and Guang Chen

2008: GARCH modelling in continuous time for irregularly spaced time series data

Ross A. Maller, Gernot M\"uller and Alex Szimayer

2008: Market response to external events and interventions in spherical minority games

P. Papadopoulos and A. C. C. Coolen

2008: Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black-Scholes equations

Daniel Sevcovic

2008: Optimal Robust Mean-Variance Hedging in Incomplete Financial Markets

N. Lazrieva and T. Toronjadze

2008: Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model

Josep Perelló, Ronnie Sircar and Jaume Masoliver

2008: Continuous growth models in terms of generalized logarithm and exponential functions

Alexandre Souto Martinez, Rodrigo Silva Gonzalez and Cesar Augusto Sangaletti Tercariol

2008: Reflected backward stochastic differential equations and a class of non linear dynamic pricing rule

Marie-Amelie Morlais

2008: Phase transition in the rich-get-richer mechanism due to finite-size effects

James P. Bagrow, Jie Sun and Daniel ben-Avraham

2008: The non-random walk of stock prices: The long-term correlation between signs and sizes

Gabriele La Spada, J. Farmer and Fabrizio Lillo

2008: Sparse and stable Markowitz portfolios

Joshua Brodie, Ingrid Daubechies, Christine De Mol, Domenico Giannone and Ignace Loris

2008: Difference in nature of correlation between NASDAQ and BSE indices

P. Manimaran, Prasanta K. Panigrahi and Jitendra. C. Parikh

2008: Least-Squares Prices of Games

Yukio Hirashita

2008: No-arbitrage and closure results for trading cones with transaction costs

Saul Jacka, Abdelkarem Berkaoui and Jon Warren

2008: Optimal solution of investment problems via linear parabolic equations generated by Kalman filter

Nikolai Dokuchaev

2008: Adaptive networks of trading agents

Z. Burda, A. Krzywicki and O. C. Martin

2008: Comparison of detrending methods for fluctuation analysis

Amir Bashan, Ronny Bartsch, Jan W. Kantelhardt and Shlomo Havlin

2008: Insurance, Reinsurance and Dividend Payment

D. Goreac

2008: Scaling in the distribution of intertrade durations of Chinese stocks

Zhi-Qiang Jiang, Wei Chen and Wei-Xing Zhou

2008: Convex Risk Measures: Lebesgue Property on one Period and Multi Period Risk Measures and Application in Capital Allocation Problem

Hirbod Assa

2008: A note on wealth in a volatile economy

M. Marsili

2008: Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance

Nicole El Karoui and Asma Meziou

2008: Mathematical analysis of long tail economy using stochastic ranking processes

Kumiko Hattori and Tetsuya Hattori

2008: Demand forecasting for companies with many branches, low sales numbers per product, and non-recurring orderings

Sascha Kurz and Joerg Rambau

2008: Multivariate Feller conditions in term structure models: Why do(n't) we care?

Peter Spreij, Enno Veerman and Peter Vlaar

2008: Time vs. Ensemble Averages for Nonstationary Time Series

Joseph L. McCauley

2008: Nonlinear Fokker-Planck Equation in the Model of Asset Returns

Alexander Shapovalov, Andrey Trifonov and Elena Masalova

2008: Role of scaling in the statistical modeling of finance

Attilio L. Stella and Fulvio Baldovin

2008: Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series

E. Bacry, A. Kozhemyak and J. -F. Muzy

2008: Estimating correlation from high, low, opening and closing prices

L. C. G. Rogers and Fanyin Zhou

2008: Convex pricing by a generalized entropy penalty

Johannes Leitner

2008: Feasibility of Portfolio Optimization under Coherent Risk Measures

Imre Kondor and Istvan Varga-Haszonits

2008: Analytical modelling of terminal properties in industrial growth

Arnabi Marjit, Sudipto Marjit and Arnab K. Ray

2008: Universal price impact functions of individual trades in an order-driven market

Wei-Xing Zhou

2008: A Cultural Market Model

Amac Herdagdelen and Haluk Bingol

2008: The Epps effect revisited

Bence Toth and Janos Kertesz

2008: Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem

Marie-Amelie Morlais

2008: ARCH and GARCH Models vs. Martingale Volatility of Finance Market Returns

Joseph L. McCauley

2008: Consistent price systems and face-lifting pricing under transaction costs

Paolo Guasoni, Mikl\'os R\'asonyi and Walter Schachermayer

2008: The price of bond and European option on bond without credit risk. Classical look and its quantum extension

Edward Piotrowski, Malgorzata Schroeder and Anna Szczypinska

2008: Limit of the Solutions for the Finite Horizon Problems as the Optimal Solution to the Infinite Horizon Optimization Problems

Dapeng Cai and Takashi Gyoshin Nitta

2008: Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems

Dapeng Cai and Takashi Gyoshin Nitta

2008: Integration I(d) of Nonstationary Time Series: Stationary and nonstationary increments

Joseph L. McCauley, Kevin E. Bassler and Gemunu H. Gunaratne

2008: Comment on ``Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets" by Plerou and Stanley, Phys. Rev. E 76, 046109 (2007)

\'Eva R\'acz, Zolt\'an Eisler and J\'anos Kert\'esz

2008: Escaping the Brownian stalkers

Alexander Weiss

2008: Diversity and relative arbitrage in equity markets

Robert Fernholz, Ioannis Karatzas and Constantinos Kardaras

2008: The virtues and vices of equilibrium and the future of financial economics

J. Farmer and John Geanakoplos

2008: Multifractal detrended cross-correlation analysis for two nonstationary signals

Wei-Xing Zhou

2008: Quantitative analysis of privatization

M. Vahabi and G. R. Jafari

2008: On perpetual American put valuation and first-passage in a regime-switching model with jumps

Z. Jiang and M. R. Pistorius

2008: Microscopic Study Reveals the Singular Origins of Growth

Gur Yaari, Andrzej Nowak, Kamil Rakocy and Sorin Solomon

2008: On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets

Michail Anthropelos and Gordan Zitkovic

2008: No-Free-Lunch equivalences for exponential Levy models

Constantinos Kardaras

2008: Business Cycle and Conserved Quantity in Economics

Masa-aki Taniguchi, Masako Bando and Akihiro Nakayama

2008: The numeraire portfolio in semimartingale financial models

Ioannis Karatzas and Constantinos Kardaras

2008: Balance, growth and diversity of financial markets

Constantinos Kardaras

2008: BSDEs with two RCLL Reflecting Obstacles driven by a Brownian Motion and Poisson Measure and related Mixed Zero-Sum Games

S. Hamad\'ene and H. Wang

2008: Stock price jumps: news and volume play a minor role

Armand Joulin, Augustin Lefevre, Daniel Grunberg and Jean-Philippe Bouchaud

2008: Return interval distribution of extreme events and long term memory

M. S. Santhanam and Holger Kantz

2008: A new market model in the large volatility case

Yukio Hirashita

2008: Different fractal properties of positive and negative returns

P. Oswiecimka, J. Kwapien, S. Drozdz, A. Z. Gorski and R. Rak

2008: Double Power Law Decay of the Persistence in Financial Markets

S. Jain and T. Yamano

2008: Cross-correlations in Warsaw Stock Exchange

R. Rak, J. Kwapien, S. Drozdz and P. Oswiecimka

2008: Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time

Kei Takeuchi, Masayuki Kumon and Akimichi Takemura

2008: Intermittency and Localization

G. Yaari, D. Stauffer and Sorin Solomon

2008: Parametric and nonparametric models and methods in financial econometrics

Zhibiao Zhao

2008: Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?

Sonia R. Bentes, Rui Menezes and Diana A. Mendes

2008: Fine-tune your smile: Correction to Hagan et al

Jan Obloj

2008: The International Trade Network: weighted network analysis and modelling

K. Bhattacharya, G. Mukherjee, J. Saramaki, K. Kaski and S. S. Manna

2008: Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin

Erhan Bayraktar and Virginia R. Young

2008: Modified Holder Exponents Approach to Prediction of the USA Stock Market Critical Points and Crashes

Yu. A Kuperin and R. R. Schastlivtsev

2008: Gamma-distribution and wealth inequality

Anirban Chakraborti and Marco Patriarca

2008: Illusory versus Genuine Control in Agent-Based Games

J. B. Satinover and D. Sornette

2008: A theoretical approach for Pareto-Zipf law

Caglar Tuncay

2008: On Equilibrium Prices in Continuous Time

V. Filipe Martins-da-Rocha and Frank Riedel

2008: Finite-time singularity in the evolution of hyperinflation episodes

Martin A. Szybisz and Leszek Szybisz

2008: Projective Expected Utility

Pierfrancesco La Mura

2008: Waiting Times in Simulated Stock Markets

Alessandro Cappellini and Gianluigi Ferraris

2008: Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities

Erhan Bayraktar, Moshe Milevsky, David Promislow and Virginia Young

2008: Information flow between stock indices

Okyu Kwon and Jae-Suk Yang

2008: Effects of time dependency and efficiency on information flow in financial markets

Cheoljun Eom, Woo-Sung Jung, Sunghoon Choi, Gabjin Oh and Seunghwan Kim

2008: Econophysics: historical perspectives

G. Daniel and D. Sornette

2008: Explicit Computations for a Filtering Problem with Point Process Observations with Applications to Credit Risk

Vincent Leijdekker and Peter Spreij

2008: Multivariate stochastic volatility using state space models

Kostas Triantafyllopoulos

2008: Forecasting with time-varying vector autoregressive models

Kostas Triantafyllopoulos

2008: Multivariate stochastic volatility with Bayesian dynamic linear models

Kostas Triantafyllopoulos

2008: Multifractal analysis of Chinese stock volatilities based on partition function approach

Zhi-Qiang Jiang and Wei-Xing Zhou

2008: Infectious Default Model with Recovery and Continuous Limit

Ayaka Sakata, Masato Hisakado and Shintaro Mori

2008: How many independent bets are there?

Daniel Polakow and Tim Gebbie

2008: The log-periodic-AR(1)-GARCH(1,1) model for financial crashes

L. Gazola, C. Fernandes, A. Pizzinga and R. Riera

2008: Emergence of firms in $(d+1)$-dimensional work space

G. Weisbuch, D. Stauffer, D. Mangalagiu, R. Ben-Av and Sorin Solomon

2008: Forecasting volatility with the multifractal random walk model

Jean Duchon, Raoul Robert and Vincent Vargas

2008: Empirical shape function of limit-order books in the Chinese stock market

Gao-Feng Gu, Wei Chen and Wei-Xing Zhou

2008: Trading Model with Pair Pattern Strategies

F. Ren and Y. -C. Zhang

2008: Direct evidence for inversion formula in multifractal financial volatility measure

Zhi-Qiang Jiang and Wei-Xing Zhou

2008: Evolutionarily stable strategies of random games, and the vertices of random polygons

Sergiu Hart, Yosef Rinott and Benjamin Weiss

2008: Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets

Theodoros Tsagaris

2008: From short to fat tails in financial markets: A unified description

A. A. G. Cortines, R. Riera and C. Anteneodo

2008: Intensity process and compensator: A new filtration expansion approach and the Jeulin--Yor theorem

Xin Guo and Yan Zeng

2008: Econometrics as Sorcery

G. Innocenti and D. Materassi

2008: Activity spectrum from waiting-time distribution

Mauro Politi and Enrico Scalas

2008: Analysing tax evasion dynamics via the Ising model

Georg Zaklan, Frank Westerhoff and Dietrich Stauffer

2008: Pareto and Boltzmann-Gibbs behaviors in a deterministic multi-agent system

J. Gonzalez-Estevez, M. G. Cosenza, R. Lopez-Ruiz and J. R. Sanchez

2008: Hausdorff clustering

N. Basalto, R. Bellotti, F. De Carlo, P. Facchi, E. Pantaleo and S. Pascazio

2008: Critical comparison of several order-book models for stock-market fluctuations

Frantisek Slanina

2008: Effects of network topology on wealth distributions

Diego Garlaschelli and Maria I. Loffredo

2008: The k-generalized distribution: A new descriptive model for the size distribution of incomes

Fabio Clementi, T. Di Matteo, Mauro Gallegati and G. Kaniadakis