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ISSN: 2333-9721
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Quantitative Finance

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主页: http://arxiv.org/archive/q-fin

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Optimal execution of ASR contracts with fixed notional

Olivier Guéant

Are news important to predict large losses?

Mauro Bernardi,Leopoldo Catania,Lea Petrella

The Model Confidence Set package for R

Mauro Bernardi,Leopoldo Catania

Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing

Likuan Qin,Vadim Linetsky

Super-replication with nonlinear transaction costs and volatility uncertainty

Peter Bank,Yan Dolinsky,Selim G？kay

The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels

Jihun Han,Hyungbin Park

Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia

Marek Rutkowski,Silvio Tarca

Randomized versions of Mazur lemma and Krein-？mulian Theorem with application to conditional convex risk measures for portfolio vectors

José Miguel Zapata

Misspecified Recovery

Jaroslav Borovi？ka,Lars Peter Hansen,José A. Scheinkman

Income Distribution in the European Union Versus in the United States

Maciej Jagielski,Rafa？ Duczmal,Ryszard Kutner

Theories of Accounting: Evolution & Developments, Income-Determination and Diversities in Use

Angus O. Unegbu

Large deviations of the realized (co-)volatility vector

Hacène Djellout,Arnaud Guillin,Yacouba Samoura

A General Equilibrium Theorem for the Economy of Giving

W. P. Weijland

Asymptotic behaviour of the fractional Heston model

Hamza Guennoun,Antoine Jacquier,Patrick Roome

Optimizing Credit Portfolio Using a Quadratic Nonlinear Projection Method

Boguk Kim

Comparing series of rankings with ties by using complex networks: An analysis of the spanish stock market (IBEX-35 index)

F. Pedroche,R. Criado,E. Garcia,M. Romance,V. E. Sanchez

Density of Skew Brownian motion and its functionals with application in finance

Alexander Gairat,Vadim Shcherbakov

Arbitrage in markets with bid-ask spreads

Przemys？aw Rola

Portfolio optimization in the case of an asset with a given liquidation time distribution

Ljudmila A. Bordag,Ivan P. Yamshchikov,Dmitry Zhelezov

Grid Integration Costs of Fluctuating Renewable Energy Sources

Jonas Müller,Marcus Hildmann,Andreas Ulbig,G？ran Andersson

Risk-sensitive investment in a market with animal spirits

Grzegorz Andruszkiewicz,Mark H. A. Davis,Sébastien Lleo

An exact and explicit formula for pricing lookback options with regime switching

Leunglung Chan,Song-Ping Zhu

Theory of pricing as relativistic kinematics

S. I. Melnyk,I. G. Tuluzov

Comparing the $G$-Normal Distribution to its Classical Counterpart

Erhan Bayraktar,Alexander Munk

Towards a formalization of a two traders market with information exchange

F. Bagarello,E. Haven

Dynamic Conic Finance via Backward Stochastic Difference Equations

Tomasz R. Bielecki,Igor Cialenco,Tao Chen

Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics

Gabriele Ranco,Ilaria Bordino,Giacomo Bormetti,Guido Caldarelli,Fabrizio Lillo,Michele Treccani

Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$

Denis Belomestny,Tigran Nagapetyan

A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models

Galina Andreeva,Raffaella Calabrese,Silvia Angela Osmetti

Micro to macro models for income distribution in the absence and in the presence of tax evasion

Maria Letizia Bertotti,Giovanni Modanese

Measures of Causality in Complex Datasets with application to financial data

Anna Zaremba,Tomaso Aste

Information theoretic approach for accounting classification

E. M. S. Ribeiro,G. A. Prataviera

On Convergence in the Spatial AK Growth Models

Gani Aldashev,Serik Aldashev,Timoteo Carletti

Martingale Inequalities and Deterministic Counterparts

Mathias Beiglb？ck,Marcel Nutz

Multidimensional Breeden-Litzenberger representation for state price densities and static hedging

Jarno Talponen,Lauri Viitasaari

Option Pricing of Twin Assets

Marcelo J. Villena,Axel A. Araneda

Efficient tree methods for pricing digital barrier options

Elisa Appolloni,Andrea Ligori

Bayesian analysis of redistribution policy with a fixed scale

Guy Cirier

Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile

Nassim Nicholas Taleb

Hierarchicality of Trade Flow Networks Reveals Complexity of Products

Peiteng Shi,Jiang Zhang,Bo Yang,Jingfei Luo

A First-Order BSPDE for Swing Option Pricing: Classical Solutions

Christian Bender,Nikolai Dokuchaev

Phynance

Zura Kakushadze

Quantum Brownian motion model for the stock market

Xiangyi Meng,Jian-Wei Zhang,Hong Guo

Field Theory of Macroeconomics

Heribert Genreith

Expected Cash Flow: A Novel Model Of Evaluating Financial Assets

Magomet Yandiev

A Spectral Model of Turnover Reduction

Zura Kakushadze

Towards a Monotonicity-Compliant Price Index for the Art Market

Ventura Charlin,Arturo Cifuentes

A Multi-Entity Input Output (MEIO) Approach to Sustainability - Water-Energy-GHG (WEG) Footprint Statements in Use Cases from Auto and Telco Industries

Reza Farrahi Moghaddam,Fereydoun Farrahi Moghaddam,Mohamed Cheriet

Measurement and Internalization of Systemic Risk in a Global Banking Network

Xiaobing Feng,Haibo Hu

Futures Premium and Efficiency of the Rice Futures Markets in Prewar Japan

Mikio Ito,Kiyotaka Maeda,Akihiko Noda

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