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OALib Journal期刊
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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Invariant features of spatial inequality in consumption: the case of India
Arnab Chatterjee
,
Anindya S. Chakrabarti
,
Asim Ghosh
,
Anirban Chakraborti
,
Tushar K. Nandi
Rational insurance with linear utility and perfect information
Ole Peters
,
Alexander Adamou
Return spillovers around the globe: A network approach
Stefan Lyocsa
,
Tomas Vyrost
,
Eduard Baumohl
Darwinian Adverse Selection
Wolfgang Kuhle
Violation of Invariance of Measurement for GDP Growth Rate and its Consequences
Ali Hosseiny
Model Risk Analysis via Investment Structuring
Andrei N. Soklakov
Detecting the bipartite World Trade Web evolution across 2007: a motifs-based analysis
Fabio Saracco
,
Riccardo Di Clemente
,
Andrea Gabrielli
,
Tiziano Squartini
The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates
Francesca Biagini
,
Alessandro Gnoatto
,
Maximilian H?rtel
Autoregressive approaches to import-export time series I: basic techniques
Luca Di Persio
It?'s formula for finite variation Lévy processes: The case of non-smooth functions
Ramin Okhrati
,
Uwe Schmock
Systemic risk in multiplex networks with asymmetric coupling and threshold feedback
Rebekka Burkholz
,
Matt V. Leduc
,
Antonios Garas
,
Frank Schweitzer
Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns
Marcel Wollschl?ger
,
Rudi Sch?fer
Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
Giacomo Bormetti
,
Damiano Brigo
,
Marco Francischello
,
Andrea Pallavicini
Measuring the frequency dynamics of financial and macroeconomic connectedness
Jozef Barunik
,
Tomas Krehlik
Inequality and risk aversion in economies open to altruistic attitudes
Eleonora Perversi
,
Eugenio Regazzini
Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model
Nicolas Langrené
,
Geoffrey Lee
,
Zili Zhu
Banking Networks and Leverage Dependence: Evidence from Selected Emerging Countries
Diego Aparicio
,
Daniel Fraiman
Copula based hierarchical risk aggregation - Tree dependent sampling and the space of mild tree dependence
Fabio Derendinger
Financial Contagion and Asset Liquidation Strategies
Zachary Feinstein
Numerical analysis on local risk-minimization forexponential Lévy models
Takuji Arai
,
Yuto Imai
,
Ryoichi Suzuki
Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets
Lorenz Schneider
,
Bertrand Tavin
Hedging, arbitrage and optimality with superlinear frictions
Paolo Guasoni
,
Miklós Rásonyi
Markets, herding and response to external information
Adrián Carro
,
Raúl Toral
,
Maxi San Miguel
Measuring Financial Sentiment to Predict Financial Instability: A New Approach based on Text Analysis
Paul Ormerod
,
Rickard Nyman
,
David Tuckett
Quantum Gates and Quantum Circuits of Stock Portfolio
Ovidiu Racorean
The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives
Vahan Nanumyan
,
Antonios Garas
,
Frank Schweitzer
Too dynamic to fail. Empirical support for an autocatalytic model of Minsky's financial instability hypothesis
Natasa Golo
,
David S. Bree
,
Guy Kelman
,
Leanne Usher
,
Marco Lamieri
,
Sorin Solomon
Double-jump stochastic volatility model for VIX: evidence from VVIX
Xin Zang
,
Jun Ni
,
Jing-Zhi Huang
,
Lan Wu
Time-scale analysis of co-movement in EU sovereign bond markets
Filip Smolik
,
Lukas Vacha
An Exchange Rate Target Zone Model with a Terminal Condition and Mean-Reverting Fundamentals
Viktors Ajevskis
Autonomics: an autonomous and intelligent economic platform and next generation money tool
Benjamin Munro
,
Julia McLachlan
The Poker-Litigation Game
Enrique Guerra-Pujol
Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights
Jonathan Donier
,
Jean-Philippe Bouchaud
Measuring Systemic Risk: Robust Ranking Techniques Approach
Amirhossein Sadoghi
A study of co-movements between USA and Latin American stock markets: a cross-bicorrelations perspective
Semei Coronado
,
Omar Rojas
,
Rafael Romero-Meza
,
Francisco Venegas-Martinez
Compounding approach for univariate time series with non-stationary variances
Rudi Sch?fer
,
Sonja Barkhofen
,
Thomas Guhr
,
Hans-Jürgen St?ckmann
,
Ulrich Kuhl
Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data
Frederik Meudt
,
Martin Theissen
,
Rudi Sch?fer
,
Thomas Guhr
Principal Components Analysis for Semi-Martingales and Stochastic PDE
Alberto Ohashi
,
Alexandre B Simas
Black-Scholes in a CEV random environment: a new approach to smile modelling
Antoine Jacquier
,
Patrick Roome
Pricing of Warrants with Stock Price Dependent Threshold Conditions
Ander Olvik
,
Raul Kangro
The affine inflation market models
Stefan Waldenberger
Dynamic indifference pricing via the G-expectation
Qian Lin
A Unified Approach to Systemic Risk Measures via Acceptance Sets
Francesca Biagini
,
Jean-Pierre Fouque
,
Marco Frittelli
,
Thilo Meyer-Brandis
About the decomposition of pricing formulas under stochastic volatility models
Raul Merino
,
Josep Vives
Dynamic Games with Almost Perfect Information
Wei He
,
Yeneng Sun
On robust pricing-hedging duality in continuous time
Zhaoxu Hou
,
Jan Obloj
Affine LIBOR models driven by real-valued affine processes
Stefan Waldenberger
,
Wolfgang Müller
Almost-sure hedging with permanent price impact
B. Bouchard
,
G. Loeper
,
Y. Zou
Canonical Sectors and Evolution of Firms in the US Stock Markets
Lorien X. Hayden
,
Ricky Chachra
,
Alexander A. Alemi
,
Paul H. Ginsparg
,
James P. Sethna
A Robust Statistics Approach to Minimum Variance Portfolio Optimization
Liusha Yang
,
Romain Couillet
,
Matthew R. McKay
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