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OALib Journal期刊
ISSN: 2333-9721
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Quantitative Finance
ISSN Print:
ISSN Online:
主页:
http://arxiv.org/archive/q-fin
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Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression
Jozef Barunik
,
Michaela Barunikova
Modeling and Forecasting Persistent Financial Durations
Filip Zikes
,
Jozef Barunik
,
Nikhil Shenai
Interest Rate Manipulation Detection using Time Series Clustering Approach
Murphy Choy
,
Enoch Chng
,
Koo Ping Shung
European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
R. E. Caflisch
,
G. Gambino
,
M. Sammartino
,
C. Sgarra
Can there be an explicit formula for implied volatility?
Stefan Gerhold
General Smooth Solutions to the HJB PDE: Applications to Finance
Moawia Alghalith
Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators
Alexander Saichev
,
Svetlana Lapinova
Financial black swans driven by ultrafast machine ecology
Neil Johnson
,
Guannan Zhao
,
Eric Hunsader
,
Jing Meng
,
Amith Ravindar
,
Spencer Carran
,
Brian Tivnan
Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility
Masaaki Fujii
,
Akihiko Takahashi
A Black--Scholes Model with Long Memory
John A. D. Appleby
,
John A. Daniels
,
Katja Krol
Choix stratégiques de la firme et contr?le financier
Jean-Claude Juhel
Why are quadratic normal volatility models analytically tractable?
Peter Carr
,
Travis Fisher
,
Johannes Ruf
Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations
Martin Rypdal
,
Espen Sirnes
,
Ola L?vsletten
,
Kristoffer Rypdal
Set-valued average value at risk and its computation
Andreas H. Hamel
,
Birgit Rudloff
,
Mihaela Yankova
Identifying States of a Financial Market
Michael C. Münnix
,
Takashi Shimada
,
Rudi Sch?fer
,
Francois Leyvraz Thomas H. Seligman
,
Thomas Guhr
,
H. E. Stanley
The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach
Mikio Ito
,
Akihiko Noda
,
Tatsuma Wada
Ensemble properties of high frequency data and intraday trading rules
Fulvio Baldovin
,
Francesco Camana
,
Massimiliano Caporin
,
Michele Caraglio
,
Attilio L. Stella
A multifractal approach towards inference in finance
Ola L?vsletten
,
Martin Rypdal
Parametric estimation of hidden stochastic model by contrast minimization and deconvolution: application to the Stochastic Volatility Model
Salima El Kolei
Second-order Price Dynamics: Approach to Equilibrium with Perpetual Arbitrage
Eric Kemp-Benedict
Quantum decision making by social agents
V. I. Yukalov
,
D. Sornette
A parsimonious model for intraday European option pricing
Enrico Scalas
,
Mauro Politi
Pricing for Large Positions in Contingent Claims
Scott Robertson
A tractable LIBOR model with default risk
Zorana Grbac
,
Antonis Papapantoleon
Robust Hedging of Withdrawal Guarantees (Extended Version)
Andreas Kunz
A mathematical treatment of bank monitoring incentives
Henri Pagès
,
Dylan Possama?
Short-time asymptotics for marginal distributions of semimartingales
Amel Bentata
,
Rama Cont
On the role of backauditing for tax evasion in an agent-based Econophysics model
G. Seibold
,
M. Pickhardt
A generalized statistical model for the size distribution of wealth
F. Clementi
,
M. Gallegati
,
G. Kaniadakis
Systems of Brownian particles with asymmetric collisions
Ioannis Karatzas
,
Soumik Pal
,
Mykhaylo Shkolnikov
Interest Rate Risk of Bond Prices on Macedonian Stock Exchange - Empirical Test of the Duration, Modified Duration and Convexity and Bonds Valuation
Zoran Ivanovski
,
Toni Draganov Stojanovski
,
Nadica Ivanovska
A physical theory of economic growth
Hans G. Danielmeyer
,
Thomas Martinetz
The numeraire property and long-term growth optimality for drawdown-constrained investments
Constantinos Kardaras
,
Jan Obloj
,
Eckhard Platen
Robust utility maximization for Lévy processes: Penalization and solvability
Daniel Hernández-Hernández
,
Leonel Pérez-Hernández
Designing the new architecture of international financial system in era of great changes by globalization
Viktor O. Ledenyov
,
Dimitri O. Ledenyov
Shaping the international financial system in century of globalization
Viktor O. Ledenyov
,
Dimitri O. Ledenyov
A CB (corporate bond) pricing probabilities and recovery rates model for deriving default probabilities and recovery rates
Takeaki Kariya
Hierarchical structure of stock price fluctuations in financial markets
Ya-Chun Gao
,
Shi-Min Cai
,
Bing-Hong Wang
The Transition from Brownian Motion to Boom-and-Bust Dynamics in Financial and Economic Systems
Harbir Lamba
Time-Frequency Dynamics of Biofuels-Fuels-Food System
Lukas Vacha
,
Karel Janda
,
Ladislav Kristoufek
,
David Zilberman
Robust utility maximization in non-dominated models with 2BSDEs
Anis Matoussi
,
Dylan Possama?
,
Chao Zhou
Quantifying reflexivity in financial markets: towards a prediction of flash crashes
Vladimir Filimonov
,
Didier Sornette
A drift formulation of Gresham's Law
Reginald D. Smith
Fossil fuel consumption and economic growth: causality relationship in the world
Hazuki Ishida
Anti-correlation and subsector structure in financial systems
X. F. Jiang
,
B. Zheng
Self-dual continuous processes
Thorsten Rheinl?nder
,
Michael Schmutz
Futures pricing in electricity markets based on stable CARMA spot models
Fred Espen Benth
,
Claudia Klüppelberg
,
Gernot Müller
,
Linda Vos
Survivability and centrality measures for networks of financial market indices
Leonidas Sandoval Junior
Exploiting the flexibility of a family of models for taxation and redistribution
Maria Letizia Bertotti
,
Giovanni Modanese
Do arbitrage-free prices come from utility maximization?
Pietro Siorpaes
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