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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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Random Matrix Theory and Cross-correlations in Global Financial Indices and Local Stock Market Indices

Ashadun Nobi,Seong Eun Maeng,Gyeong Gyun Ha,Jae Woo Lee

Optimal dividends problem with a terminal value for spectrally positive Levy processes

Chuancun Yin,Yuzhen Wen

How to make Dupire's local volatility work with jumps

Peter K. Friz,Stefan Gerhold,Marc Yor

Critical reflexivity in financial markets: a Hawkes process analysis

Stephen J. Hardiman,Nicolas Bercot,Jean-Philippe Bouchaud

Estimating the efficient price from the order flow: a Brownian Cox process approach

Sylvain Delattre,Christian Y. Robert,Mathieu Rosenbaum

Structural and topological phase transitions on the German Stock Exchange

M. Wiliński,A. Sienkiewicz,T. Gubiec,R. Kutner,Z. R. Struzik

Modeling of income distribution in the European Union with the Fokker-Planck equation

Maciej Jagielski,Ryszard Kutner

Dynamics of episodic transient correlations in currency exchange rate returns and their predictability

Milan ？ukovi？

Hawkes model for price and trades high-frequency dynamics

E. Bacry,J. F Muzy

A second-order stock market model

Robert Fernholz,Tomoyuki Ichiba,Ioannis Karatzas

Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models

Lingfei Li,Vadim Linetsky

Maximum principles for boundary-degenerate second-order linear elliptic differential operators

Paul M. N. Feehan

Negative Call Prices

Johannes Ruf

Comparison results for Garch processes

Fabio Bellini,Franco Pellerey,Carlo Sgarra,Salimeh Yasaei Sekeh

Optimal portfolios in commodity futures markets

Fred Espen Benth,Jukka Lempa

Comparative and qualitative robustness for law-invariant risk measures

Volker Kr？tschmer,Alexander Schied,Henryk Z？hle

Large deviations for a mean field model of systemic risk

Josselin Garnier,George Papanicolaou,Tzu-Wei Yang

Local Volatility Pricing Models for Long-dated FX Derivatives

Griselda Deelstra,Grégory Rayée

On break-even correlation: the way to price structured credit derivatives by replication

Jean-David Fermanian,Olivier Vigneron

The leading digit distribution of the worldwide Illicit Financial Flows

Tariq Ahmad Mir

How news affect the trading behavior of different categories of investors in a financial market

Fabrizio Lillo,Salvatore Miccichè,Michele Tumminello,Jyrki Piilo,Rosario Nunzio Mantegna

A new approach to unbiased estimation for SDE's

Chang-han Rhee,Peter W. Glynn

Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets

Frederik Herzberg,Frank Riedel

Conditional sampling for barrier option pricing under the Heston model

Nico Achtsis,Ronald Cools,Dirk Nuyens

Digital double barrier options: Several barrier periods and structure floors

Sühan Altay,Stefan Gerhold,Karin Hirhager

Wrong-way risk in credit and funding valuation adjustments

Mihail Turlakov

Large liquidity expansion of super-hedging costs

Dylan Possama？,Nizar Touzi,H. Mete Soner

Quadratic BSDEs with jumps: a fixed-point approach

M. Nabil Kazi-Tani,Dylan Possama？,Chao Zhou

General Balance Functions in the Theory of Interest

David Spring

Large tick assets: implicit spread and optimal tick size

Khalil Dayri,Mathieu Rosenbaum

Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration

Jean-Pierre Fouque,Matthew Lorig,Ronnie Sircar

A Test of the Adaptive Market Hypothesis in Japan: A Non-Bayesian Time-Varying Model Approach

Akihiko Noda

Structural distortions in the Euro interbank market: The role of 'key players' during the recent market turmoil

Caterina Liberati,Massimiliano Marzo,Paolo Zagaglia,Paola Zappa

From Minority Game to Black & Scholes pricing

Matteo Ortisi,Valerio Zuccolo

The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels

Rene Carmona,Michael Coulon,Daniel Schwarz

Electricity price modeling and asset valuation: a multi-fuel structural approach

Rene Carmona,Michael Coulon,Daniel Schwarz

Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause

Lorenzo Giada,Claudio Nordio

New solvable stochastic volatility models for pricing volatility derivatives

Andrey Itkin

No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs

Tomasz R. Bielecki,Igor Cialenco,Rodrigo Rodriguez

Structural Hamiltonian of the international trade network

Agata Fronczak

Interlinkages and structural changes in cross-border liabilities: a network approach

Alessandro Spelta,Tanya Araújo

Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment

Jiri Kukacka,Jozef Barunik

Optimal multifactor trading under proportional transaction costs

Richard J. Martin

Modeling and forecasting exchange rate volatility in time-frequency domain

Jozef Barunik,Tomas Krehlik,Lukas Vacha

Restructuring the Italian NHS: a case study of the regional hospital network

Carlo Castellana

Applications of statistical mechanics to economics: Entropic origin of the probability distributions of money, income, and energy consumption

Victor M. Yakovenko

Record Statistics for Multiple Random Walks

Gregor Wergen,Satya N. Majumdar,Gregory Schehr

Study of statistical correlations in intraday and daily financial return time series

Gayatri Tilak,Tamas Szell,Remy Chicheportiche,Anirban Chakraborti

A Multi-Level Lorentzian Analysis of the Basic Structures of the Daily DJIA

Frank W. K. Firk

Involving copula functions in Conditional Tail Expectation

Brahim Brahimi

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