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OALib Journal期刊
ISSN: 2333-9721
费用：99美元
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Quantitative Finance
ISSN Print:
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主页:
http://arxiv.org/archive/q-fin
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A model-insensitive determination of First-hitting-time densities with Application to Equity default-swaps
Alex Langnau
Recurrence interval analysis of trading volumes
Fei Ren
,
Wei-Xing Zhou
L'effet de levier de trésorerie
Jean-Claude Juhel
Quantum Portfolios of Observables and the Risk Neutral Valuation Model
Fredrick Michael
Laplace transform analysis of a multiplicative asset transfer model
Andrey Sokolov
,
Andrew Melatos
,
Tien Kieu
Fundamental defect of the macroeconomic thinking as one of the main causes of the crisis endured
Eugen Perchik
Dynamics on/in financial markets: dynamical decoupling and stylized facts
Stefan Reimann
,
Andreas Tupak
A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage
Mathias Beiglb？ck
,
Walter Schachermayer
,
Bezirgen Veliyev
Discretization error of Stochastic Integrals
Masaaki Fukasawa
Outsider Trading
Dorje C. Brody
,
Julian Brody
,
Bernhard K. Meister
,
Matthew F. Parry
Persistent collective trend in stock markets
Emeric Balogh
,
Ingve Simonsen
,
Balint Zs. Nagy
,
Zoltan Neda
On the estimation of integrated covariance matrices of high dimensional diffusion processes
Xinghua Zheng
,
Yingying Li
The Euler-Maruyama approximations for the CEV model
V. Abramov
,
F. Klebaner
,
R. Liptser
Robust Estimators in Generalized Pareto Models
Peter Ruckdeschel
,
Nataliya Horbenko
A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms
Yu-Min Yen
A Multi Agent Model for the Limit Order Book Dynamics
Marco Bartolozzi
A contribution to the systematics of stochastic volatility models
Frantisek Slanina
Mesoscopic modelling of financial markets
S. Cordier
,
L. Pareschi
,
C. Piatecki
Financial LPPL Bubbles with Mean-Reverting Noise in the Frequency Domain
Vincenzo Liberatore
A quantum model for the stock market
Chao Zhang
,
Lu Huang
The joint distribution of stock returns is not elliptical
Rémy Chicheportiche
,
Jean-Philippe Bouchaud
Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
Damiano Brigo
,
Claudio Nordio
On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
Daniel Sevcovic
Small-time asymptotics for fast mean-reverting stochastic volatility models
Jin Feng
,
Jean-Pierre Fouque
,
Rohini Kumar
Log-supermodularity of weight functions and the loading monotonicity of weighted insurance premiums
Hristo S. Sendov
,
Ying Wang
,
Ricardas Zitikis
The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options
Sam Howison
,
Christoph Reisinger
,
Jan Hendrik Witte
Note on log-periodic description of 2008 financial crash
Katarzyna Bolonek-Lason
,
Piotr Kosinski
Phase transition in a log-normal Markov functional model
Dan Pirjol
Analytical Framework for Credit Portfolios
Mikhail Voropaev
Asymptotics of Random Contractions
Enkelejd Hashorva
,
Anthony G. Pakes
,
Qihe Tang
Empirical Limitations on High Frequency Trading Profitability
Michael Kearns
,
Alex Kulesza
,
Yuriy Nevmyvaka
Regulation Simulation
Philip Maymin
Inflation and unemployment in Japan: from 1980 to 2050
Ivan O. Kitov
Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
Yuri A. Katz
,
Nikolai V. Shokhirev
The two defaults scenario for stressing credit portfolio loss distributions
Dirk Tasche
Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
Beatrice Acciaio
,
Hans Foellmer
,
Irina Penner
Information Asymmetry in Pricing of Credit Derivatives
Caroline Hillairet
,
Ying Jiao
Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
Martin Lauko
,
Daniel Sevcovic
Sequential optimizing investing strategy with neural networks
Ryo Adachi
,
Akimichi Takemura
Free Lunch
Constantinos Kardaras
Arbitrage Opportunities in Misspecified Stochastic volatility Models
Rudra P. Jena
,
Peter Tankov
On using shadow prices in portfolio optimization with transaction costs
J. Kallsen
,
J. Muhle-Karbe
Conditional Density Models for Asset Pricing
Damir Filipovi？
,
Lane P. Hughston
,
Andrea Macrina
Dynamic Coherent Acceptability Indices and their Applications to Finance
Tomasz R. Bielecki
,
Igor Cialenco
,
Zhao Zhang
Entering New Markets-a Challenge in Times of Crisis
Anca Gheorghiu
,
Anda Gheorghiu
The additive property of the inconsistency degree in intertemporal decision making through the generalization of psychophysical laws
Natalia Destefano
,
Alexandre Souto Martinez
Time-Changed Fast Mean-Reverting Stochastic Volatility Models
Matthew Lorig
Constrained NonSmooth Utility Maximization on the Positive Real Line
Nicholas Westray
,
Harry Zheng
Holder-extendible European option: corrections and extensions
Pavel V. Shevchenko
A la Carte of Correlation Models: Which One to Choose?
Harry Zheng
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