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OALib Journal期刊
ISSN: 2333-9721
费用：99美元
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Quantitative Finance
ISSN Print:
ISSN Online:
主页:
http://arxiv.org/archive/q-fin
分享:
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Fair and profitable bilateral prices under funding costs and collateralization
Tianyang Nie
,
Marek Rutkowski
Assessing the Inequalities of Wealth in Regions: the Italian Case
Roy Cerqueti
,
Marcel Ausloos
Active extension portfolio optimization with non-convex risk measures using metaheuristics
Ronald Hochreiter
,
Christoph Waldhauser
Optimal Portfolio Problem Using Entropic Value at Risk: When the Underlying Distribution is Non-Elliptical
Hassan Omidi Firouzi
,
Andrew Luong
A Bond Consistent Derivative Fair Value
Johan Gunnesson
,
Alberto Fernández Mu？oz de Morales
Systemic risk through contagion in a core-periphery structured banking network
Oliver Kley
,
Claudia Klüppelberg
,
Lukas Reichel
Exact fit of simple finite mixture models
Dirk Tasche
Investment under Duality Risk Measure
Zuo Quan Xu
Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness
J. D. Opdyke
A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
Christa Cuchiero
,
Josef Teichmann
A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information
Takashi Kato
,
Jun Sekine
,
Hiromitsu Yamamoto
Zooming into market states
Desislava Chetalova
,
Rudi Sch？fer
,
Thomas Guhr
Hierarchical structure of the countries based on electricity consumption and economic growth
Ersin Kantar
,
Alper Aslan
,
Bayram Deviren
,
Mustafa Keskin
Comprehensive Time-Series Regression Models Using GRETL - U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013
Juehui Shi
Hierarchical Structure of the Foreign Trade: The Case of the United State
Ersin Kantar
Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange
Mitsuaki Murota
,
Jun-ichi Inoue
Causal Non-Linear Financial Networks
Pawe？ Fiedor
Smile with the Gaussian term structure model
Abdelkoddousse Ahdida
,
Aurélien Alfonsi
,
Ernesto Palidda
Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model
Q. Feng
,
C. W. Oosterlee
A finite set of equilibria for the indeterminacy of linear rational expectations models
Jean-Bernard Chatelain
,
Kirsten Ralf
Backtest of Trading Systems on Candle Charts
Stanislaus Maier-Paape
,
Andreas Platen
Semiparametric Estimation of First-Price Auction Models
Gaurab Aryal
,
Maria Florencia Gabrielli
,
Quang Vuong
Computing Greeks for Lévy Models: The Fourier Transform Approach
Federico De Olivera
,
Ernesto Mordecki
Regulatory Capital Modelling for Credit Risk
Marek Rutkowski
,
Silvio Tarca
An exact and explicit formula for pricing Asian options with regime switching
Leunglung Chan
,
Song-Ping Zhu
Wealth share analysis with "fundamentalist/chartist" heterogeneous agents
Hai-Chuan Xu
,
Wei Zhang
,
Xiong Xiong
,
Wei-Xing Zhou
Evaluating gambles using dynamics
Ole Peters
,
Murray Gell-Mann
Set-valued shortfall and divergence risk measures
？a？\in Ararat
,
Andreas H. Hamel
,
Birgit Rudloff
Bregman superquantiles. Estimation methods and applications
Tatiana Labopin-Richard
,
Fabrice Gamboa
,
Aurélien Garivier
,
Bertrand Iooss
Correlation structure and principal components in global crude oil market
Yue-Hua Dai
,
Wen-Jie Xie
,
Zhi-Qiang Jiang
,
George J. Jiang
,
Wei-Xing Zhou
Big Data, Socio-Psychological Theory, Algorithmic Text Analysis and Predicting the Michigan Consumer Sentiment Index
Rickard Nyman
,
Paul Ormerod
How does bad and good volatility spill over across petroleum markets?
Jozef Barunik
,
Evzen Kocenda
,
Lukas Vacha
Factor Models for Alpha Streams
Zura Kakushadze
The G？rtner-Ellis theorem, homogenization, and affine processes
Archil Gulisashvili
,
Josef Teichmann
Notes on Alpha Stream Optimization
Zura Kakushadze
Analitic approach to solve a degenerate parabolic PDE for the Heston model
A. Canale
,
R. M. Mininni
,
A. Rhandi
Historical Backtesting of Local Volatility Model using AUD/USD Vanilla Options
Timothy G. Ling
,
Pavel V. Shevchenko
Implied volatility of basket options at extreme strikes
Archil Gulisashvili
,
Peter Tankov
A generalized pricing and hedging framework for multi-currency fixed income desks
Eduard Giménez
,
Alberto Elices
,
Giovanna Villani
Numerical analysis for Spread option pricing model in illiquid underlying asset market: full feedback model
Ahmad Reza Yazdanian
,
T A Pirvu
Accelerating Implicit Finite Difference Schemes Using a Hardware Optimized Tridiagonal Solver for FPGAs
Samuel Palmer
Systemic Risk and Default Clustering for Large Financial Systems
Konstantinos Spiliopoulos
Option Pricing, Historical Volatility and Tail Risks
Samuel E. Vazquez
Model-independent Superhedging under Portfolio Constraints
Arash Fahim
,
Yu-Jui Huang
Purchasing Life Insurance to Reach a Bequest Goal
Erhan Bayraktar
,
David Promislow
,
Virginia Young
A debt behaviour model
Wenjun Zhang
,
John Holt
Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
Bin Zou
,
Abel Cadenillas
Estimation Error of Expected Shortfall
Imre Kondor
Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time
Jianjun Gao
,
Ke Zhou
,
Duan Li
,
Xiren Cao
Left tail of the sum of dependent positive random variables
Peter Tankov
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