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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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Transaction Costs, Shadow Prices, and Duality in Discrete Time

Christoph Czichowsky,Johannes Muhle-Karbe,Walter Schachermayer

La structure du capital et la profitabilité: Le cas des entreprises industrielles fran？aises

Mazen Kebewar

Extreme value statistics and recurrence intervals of NYMEX energy futures volatility

Wen-Jie Xie,Zhi-Qiang Jiang,Wei-Xing Zhou

Testing the weak-form efficiency of the WTI crude oil futures market

Zhi-Qiang Jiang,Wen-Jie Xie,Wei-Xing Zhou

An overview of the goodness-of-fit test problem for copulas

Jean-David Fermanian

Modeling First Line Of An Order Book With Multivariate Marked Point Processes

Alexis Fauth,Ciprian A. Tudor

Analysis of short term price trends in daily stock-market index data

H. F. Coronel-Brizio,A. R. Hernández Montoya,H. R Olivares Sánchez,E. Scalas

Hurst Exponents For Short Time Series

Jingzhao Qi,Huijie Yang

Inference on Sets in Finance

Victor Chernozhukov,Emre Kocatulum,Konrad Menzel

High-Frequency Trading Synchronizes Prices in Financial Markets

Austin Gerig

On optimal dividends in the dual model

Erhan Bayraktar,Andreas Kyprianou,Kazutoshi Yamazaki

The Calculus of Expected Loss: Backtesting Parameter-Based Expected Loss in a Basel II Framework

Wolfgang Reitgruber

Econophysics in Belgium. The first (?) 15 years

Marcel Ausloos

Momentum universe shrinkage effect in price momentum

Jaehyung Choi,Sungsoo Choi,Wonseok Kang

High Frequency Trading and Mini Flash Crashes

Anton Golub,John Keane,Ser-Huang Poon

Can we predict long-run economic growth?

Timothy J. Garrett

Can We Explain Unexpected Fluctuation of Long-Term Real Interest Rate?

Barbora Volna

Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives

Karolina Bujok,Ben Hambly,Christoph Reisinger

A Model of Market Limit Orders By Stochastic PDE's, Parameter Estimation, and Investment Optimization

Zhi Zheng,Richard B. Sowers

Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets

Kylie-Anne Richards,Gareth W. Peters,William Dunsmuir

Execution and block trade pricing with optimal constant rate of participation

Olivier Guéant

Active margin system for margin loans using cash and stock as collateral and its application in Chinese market

Guanghui Huang,Weiqing Gu,Wenting Xing,Hongyu Li

A Dynamical Approach to Operational Risk Measurement

Marco Bardoscia,Roberto Bellotti

Active margin system for margin loans and its application in Chinese market: using cash and randomly selected stock as collateral

Guanghui Huang,Wenting Xin,Weiqing Gu

A trajectorial interpretation of Doob's martingale inequalities

B. Acciaio,M. Beiglb？ck,F. Penkner,W. Schachermayer,J. Temme

Correlation, Network and Multifractal Analysis of Global Financial Indices

Sunil Kumar,Nivedita Deo

Option calibration of exponential Lévy models: Confidence intervals and empirical results

Jakob S？hl,Mathias Trabs

A structural approach to pricing credit default swaps with credit and debt value adjustments

Alexander Lipton,Ioana Savescu

Confidence sets in nonparametric calibration of exponential Lévy models

Jakob S？hl

A simple microstructure return model explaining microstructure noise and Epps effects

A. Saichev,D. Sornette

Hedging of game options in discrete markets with transaction costs

Yuri Kifer

State-independent Importance Sampling for Random Walks with Regularly Varying Increments

Karthyek R. A. Murthy,Sandeep Juneja,Jose Blanchet

Heavy-tails in economic data: fundamental assumptions, modelling and analysis

Jo？o P. da Cruz,Pedro G. Lind

Trading networks, abnormal motifs and stock manipulation

Zhi-Qiang Jiang,Wen-Jie Xie,Xiong Xiong,Wei Zhang,Yong-Jie Zhang,W. -X. Zhou

Modeling Financial Volatility in the Presence of Abrupt Changes

Gordon J. Ross

Information Percolation: Some General Cases with an Application to Econophysics

Alain Bélanger,Gaston Giroux

A Note on "A Family of Maximum Entropy Densities Matching Call Option Prices"

Cassio Neri,Lorenz Schneider

Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models

Guoping Xu,Harry Zheng

A unified approach to pricing and risk management of equity and credit risk

Claudio Fontana,Juan Miguel A. Montes

Agent-based Versus Macroscopic Modeling of Competition and Business Processes in Economics and Finance

Aleksejus Kononovicius,Vygintas Gontis,Valentas Daniunas

Coherent Price Systems and Uncertainty-Neutral Valuation

Patrick Bei？ner

Optimal arbitrage under model uncertainty

Daniel Fernholz,Ioannis Karatzas

On the Hedging of Options On Exploding Exchange Rates

Peter Carr,Travis Fisher,Johannes Ruf

Dynamic quasi-concave performance measures

Sara Biagini,Jocelyne Bion-Nadal

The art of probability-of-default curve calibration

Dirk Tasche

Spectral Risk Measures, With Adaptions For Stochastic Optimization

Alois Pichler

Quadratic hedging schemes for non-Gaussian GARCH models

Alexandru Badescu,Robert J. Elliott,Juan-Pablo Ortega

Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging

I. Halperin,A. Itkin

Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions

Christoph Reisinger,Rasmus Wissmann

Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering

Masaaki Fujii

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