Quantitative Finance

Authors and titles for April 2013

[1] arXiv:1304.0212 [pdf, other]

Title: Do wealth distributions follow power laws? Evidence from "rich lists"

Michal Brzezinski

Comments: 17 pages, 6 figures, 1 table, 1 appendix

Subjects: Statistical Finance (q-fin.ST); Physics and Society (physics.soc-ph); Applications (stat.AP)

[2] arXiv:1304.0265 [pdf, other]

Title: Why Your IT Project Might Be Riskier Than You Think

Bent Flyvbjerg, Alexander Budzier

Journal-ref: Harvard Business Review, Vol. 89 (2011), No. 9, pp. 23-25

Subjects: General Finance (q-fin.GN)

[3] arXiv:1304.0353 [pdf, other]

Title: An Information-Theoretic Test for Dependence with an Application to the Temporal Structure of Stock Returns

Galen Sher, Pedro Vitoria

Comments: 22 pages, 7 figures

Subjects: Statistical Finance (q-fin.ST); Information Theory (cs.IT); Methodology (stat.ME)

[4] arXiv:1304.0490 [pdf, other]

Title: Premiums And Reserves, Adjusted By Distortions

Alois Pichler

Comments: arXiv admin note: substantial text overlap with arXiv:1209.3570

Subjects: Risk Management (q-fin.RM)

[5] arXiv:1304.0718 [pdf, other]

Title: A Peer-based Model of Fat-tailed Outcomes

Ben Klemens

Subjects: Trading and Market Microstructure (q-fin.TR); Other Statistics (stat.OT)

[6] arXiv:1304.0923 [pdf, other]

Title: Information, no-arbitrage and completeness for asset price models with a change point

Claudio Fontana, Zorana Grbac, Monique Jeanblanc, Qinghua Li

Comments: 21 pages

Journal-ref: Stochastic Processes and their Applications, 2014, 124, 3009-3030

Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)

[7] arXiv:1304.1186 [pdf, other]

Title: Five Misunderstandings About Case-Study Research

Bent Flyvbjerg

Journal-ref: Qualitative Inquiry, vol. 12, no. 2, April 2006, 219-245

Subjects: General Finance (q-fin.GN)

[8] arXiv:1304.1397 [pdf, other]

Title: Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs

Andrea Pallavicini, Damiano Brigo

Subjects: Pricing of Securities (q-fin.PR)

[9] arXiv:1304.1665 [pdf, other]

Title: Why Mass Media Matter to Planning Research: The Case of Megaprojects

Bent Flyvbjerg

Journal-ref: Journal of Planning Education and Research, vol. 32, no. 2, June 2012, 169-181

Subjects: General Finance (q-fin.GN)

[10] arXiv:1304.1821 [pdf, other]

Title: Optimal initiation of a GLWB in a variable annuity: no arbitrage approach

H. Huang, M.A. Milevsky, T.S. Salisbury

Journal-ref: Insurance Math. Econom. 56 (2014), 102-111

Subjects: Portfolio Management (q-fin.PM)

[11] arXiv:1304.1849 [pdf, other]

Title: Pricing approximations and error estimates for local L\'evy-type models with default

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci

Comments: 36 pages, 4 figures, 1 tables

Subjects: Computational Finance (q-fin.CP)

[12] arXiv:1304.1940 [pdf, other]

Title: Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims

Lingjiong Zhu

Comments: 15 pages

Journal-ref: Insurance: Mathematics and Economics 2013, Volume 53, Issue 3, 544-550

Subjects: Risk Management (q-fin.RM); Probability (math.PR)

[13] arXiv:1304.2141 [pdf, other]

Title: Robust price bounds for the forward starting straddle

David Hobson, Martin Klimmek

Subjects: Pricing of Securities (q-fin.PR); Optimization and Control (math.OC); Probability (math.PR)

[14] arXiv:1304.2942 [pdf, other]

Title: Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions

Damiano Brigo, Giuseppe Di Graziano

Subjects: Trading and Market Microstructure (q-fin.TR); Risk Management (q-fin.RM); Statistical Finance (q-fin.ST)

[15] arXiv:1304.3159 [pdf, other]

Title: Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials

Andrey Itkin

Comments: 29 pages, 3 figures, 4 tables

Subjects: Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

[16] arXiv:1304.3252 [pdf, other]

Title: Jan Tinbergen's legacy for economic networks: from the gravity model to quantum statistics

Tiziano Squartini, Diego Garlaschelli

Comments: 26 pages, 7 figures

Journal-ref: in Econophysics of Agent-Based Models (series: New Economic Windows 8/2014), chapter 9, pp. 161-186, Springer (edited by F. Abergel, H. Ayoama, B. K. Chakrabarti, A. Chakraborti and A. Gosh) (2014)

Subjects: General Finance (q-fin.GN); Disordered Systems and Neural Networks (cond-mat.dis-nn); Data Analysis, Statistics and Probability (physics.data-an); History and Philosophy of Physics (physics.hist-ph); Physics and Society (physics.soc-ph)

[17] arXiv:1304.3350 [pdf, other]

Title: Return on net sales from three companies in the manufacturing of fabricated metal products (except machinery and equipment)

Marta Tomczak, Anna Ziolkowska, Martyna Rosik

Comments: 10 pages A4

Subjects: General Finance (q-fin.GN)

[18] arXiv:1304.3574 [pdf, other]

Title: Hedging of Game Options under Model Uncertainty in Discrete Time

Yan Dolinsky

Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)

[19] arXiv:1304.3722 [pdf, other]

Title: Hierarchy of Frustrations as Supplementary Indices in Complex System Dynamics, Applied to the U.S. Intermarket

Krzysztof Sokalski

Comments: 10 pages 15 figures

Subjects: General Finance (q-fin.GN)

[20] arXiv:1304.3814 [pdf, other]

Title: Measuring the default risk of sovereign debt from the perspective of network

Hongwei Chuang, Hwai-Chung Ho

Subjects: Risk Management (q-fin.RM)

[21] arXiv:1304.3824 [pdf, other]

Title: Pricing and Valuation under the Real-World Measure

Gabriel Frahm

Comments: Previous versions of this paper have been distributed under the titles "Pricing in Complex and Efficient Financial Markets," "Absorbability of Financial Markets," "The Fundamental Theorem of Asset Pricing for Liquid Financial Markets," and "Asset Pricing and Valuation under the Real-World Probability Measure."

Subjects: General Finance (q-fin.GN)

[22] arXiv:1304.4311 [pdf, other]

Title: A Model for Scaling in Firms' Size and Growth Rate Distribution

Cornelia Metzig, Mirta B. Gordon

Comments: accepted for publication in Physica A

Subjects: General Finance (q-fin.GN); Physics and Society (physics.soc-ph)

[23] arXiv:1304.4476 [pdf, other]

Title: What Causes Cost Overrun in Transport Infrastructure Projects?"

Bent Flyvbjerg, Mette K. Skamris Holm, Søren L. Buhl

Journal-ref: Transport Reviews, vol. 24, no. 1, January 2004, 3-18

Subjects: General Finance (q-fin.GN)

[24] arXiv:1304.4525 [pdf, other]

Title: Overspend? Late? Failure? What the Data Say About IT Project Risk in the Public Sector

Alexander Budzier, Bent Flyvbjerg

Comments: Published in Commonwealth Secretariat (Eds.): Commonwealth Governance Handbook 2012/13: Democracy, development and public administration, London: Commonwealth Secretariat, December 2012. ISBN 978-1-908609-04-5

Subjects: General Finance (q-fin.GN)

[25] arXiv:1304.4590 [pdf, other]

Title: Double Whammy - How ICT Projects are Fooled by Randomness and Screwed by Political Intent

Alexander Budzier, Bent Flyvbjerg

Subjects: General Finance (q-fin.GN); Portfolio Management (q-fin.PM)

[26] arXiv:1304.4688 [pdf, other]

Title: On the pricing and hedging of options for highly volatile periods

Youssef El-Khatib, Abdulnasser Hatemi-J

Subjects: Pricing of Securities (q-fin.PR)

[27] arXiv:1304.4690 [pdf, other]

Title: On option pricing in illiquid markets with jumps

Youssef El-Khatib, Abdulnasser Hatemi-J

Subjects: Pricing of Securities (q-fin.PR)

[28] arXiv:1304.4807 [pdf, other]

Title: On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems

Dimitri O. Ledenyov, Viktor O. Ledenyov

Comments: 26 pages, 8 figures, 3 tables

Subjects: General Finance (q-fin.GN)

[29] arXiv:1304.4852 [pdf, other]

Title: Firm's Information Environment and Stock Liquidity : Evidence from Tunisian Context,

Nadia Loukil (Fiesta), Ouidad Yousfi (MRM)

Journal-ref: Journal of Accounting in Emerging Economies, 2, 1 (2011) 30

Subjects: General Finance (q-fin.GN)

[30] arXiv:1304.4929 [pdf, other]

Title: A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role

Yannis G. Yatracos

Subjects: Pricing of Securities (q-fin.PR); Applications (stat.AP)

[31] arXiv:1304.5040 [pdf, other]

Title: Dynamic robust duality in utility maximization

Bernt Øksendal, Agnès Sulem

Subjects: Portfolio Management (q-fin.PM); Optimization and Control (math.OC)

[32] arXiv:1304.5065 [pdf, other]

Title: Central Clearing of OTC Derivatives: bilateral vs multilateral netting

Rama Cont, Thomas Kokholm

Journal-ref: Statistics and Risk Modeling, Vol 31, No. 1, 3-22, March 2014

Subjects: Risk Management (q-fin.RM)

[33] arXiv:1304.5130 [pdf, other]

Title: Non-Stationarity in Financial Time Series and Generic Features

Thilo A. Schmitt, Desislava Chetalova, Rudi Schäfer, Thomas Guhr

Journal-ref: EPL 103 (2013) 58003

Subjects: Statistical Finance (q-fin.ST)

[34] arXiv:1304.5156 [pdf, other]

Title: Option pricing, Bayes risks and Applications

Yannis G. Yatracos

Subjects: Pricing of Securities (q-fin.PR); Applications (stat.AP)

[35] arXiv:1304.5337 [pdf, other]

Title: The Convexity of the Free Boundary for the American put option

Hsuan-Ku Liu

Subjects: Computational Finance (q-fin.CP); General Finance (q-fin.GN)

[36] arXiv:1304.5962 [pdf, other]

Title: The pricing formula for cancellable European options

Hsuan-Ku Liu

Comments: This paper has been withdrawn by the author due to a crucial sign error in equation 13

Subjects: Pricing of Securities (q-fin.PR)

[37] arXiv:1304.6006 [pdf, other]

Title: Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market

Tetsuya Takaishi, Ting Ting Chen, Zeyu Zheng

Comments: 12 pages, reference corrected

Journal-ref: Prog. Theor. Phys. Supplement No.194 (2012) pp. 43-54

Subjects: Statistical Finance (q-fin.ST); Data Analysis, Statistics and Probability (physics.data-an)

[38] arXiv:1304.6165 [pdf, other]

Title: Hedging in bond markets by the Clark-Ocone formula

Nicolas Privault, Timothy Robin Teng

Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)

[39] arXiv:1304.6819 [pdf, other]

Title: A Fokker-Planck description for the queue dynamics of large tick stocks

A. Gareche, G. Disdier, J. Kockelkoren, J.-P. Bouchaud

Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Mechanics (cond-mat.stat-mech)

[40] arXiv:1304.6846 [pdf, other]

Title: Time-independent pricing of options in range bound markets

Ovidiu Racorean

Comments: 17 pages

Subjects: Pricing of Securities (q-fin.PR)

[41] arXiv:1304.7330 [pdf, other]

Title: Government Solvency, Austerity and Fiscal Consolidation in the OECD: A Keynesian Appraisal of Transversality and No Ponzi Game Conditions

Karim Azizi, Nicolas Canry, Jean-Bernard Chatelain, Bruno Tinel

Subjects: General Finance (q-fin.GN)

[42] arXiv:1304.7533 [pdf, other]

Title: Deriving Derivatives

Andrei N. Soklakov

Comments: 13 pages, 2 figures

Journal-ref: Risk, July (2016), pp. 78-83

Subjects: General Finance (q-fin.GN)

[43] arXiv:1304.7535 [pdf, other]

Title: Elasticity theory of structuring

Andrei N. Soklakov

Comments: 16 pages, 3 figures

Journal-ref: Risk, December (2016), pp. 81-86

Subjects: General Finance (q-fin.GN)

[44] arXiv:1304.7562 [pdf, other]

Title: Balancing small fixed and proportional transaction cost in trading strategies

Jose V. Alcala, Arash Fahim

Comments: 9 pages

Subjects: Portfolio Management (q-fin.PM); Optimization and Control (math.OC)

[45] arXiv:1304.7563 [pdf, other]

Title: Pricing TARN Using a Finite Difference Method

Xiaolin Luo, Pavel Shevchenko

Comments: 17 pages, 1 figure

Subjects: Computational Finance (q-fin.CP)

[46] arXiv:1304.7878 [pdf, other]

Title: On the Dividend Strategies with Non-Exponential Discounting

Qian Zhao, Jiaqin Wei, Rongming Wang

Comments: 2 figures

Subjects: Portfolio Management (q-fin.PM)

[47] arXiv:1304.7882 [pdf, other]

Title: Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion

Qian Zhao, Jiaqin Wei, Rongming Wang

Comments: 12 figures

Subjects: Risk Management (q-fin.RM)

[48] arXiv:1304.0368 (cross-list from math.PR) [pdf, other]

Title: An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals

Jan Obłój, Peter Spoida

Subjects: Probability (math.PR); Pricing of Securities (q-fin.PR)

[49] arXiv:1304.1420 (cross-list from math.PR) [pdf, other]

Title: Fluctuation Analysis for the Loss From Default

Konstantinos Spiliopoulos, Justin A. Sirignano, Kay Giesecke

Journal-ref: Stochastic Processes and their Applications, Volume 124, Issue 7, 2014, pp. 2322-2362

Subjects: Probability (math.PR); Portfolio Management (q-fin.PM); Risk Management (q-fin.RM)

[50] arXiv:1304.1783 (cross-list from math.PR) [pdf, other]

Title: A convolution method for numerical solution of backward stochastic differential equations

Cody Blaine Hyndman, Polynice Oyono Ngou

Comments: 29 pages, 4 figures; Revised (Version 3): Editorial changes; Additional references; Section 2: Removed derivation of implicit Euler scheme; Section 3: Further details on numerical implementation and algorithm; Section 4: Improved Error Analysis by adding new Theorem 4.2 on stability and convergence; Section 6: improved discussion of examples and numerical results

Subjects: Probability (math.PR); Computational Finance (q-fin.CP)