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Leverage Causes Fat Tails and Clustered Volatility

Economy – Quantitative Finance – Statistical Finance
Scientific paper

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Levy Random Bridges and the Modelling of Financial Information

Economy – Quantitative Finance – General Finance
Scientific paper

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LGD credit risk model: estimation of capital with parameter uncertainty using MCMC

Economy – Quantitative Finance – Risk Management
Scientific paper

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Libor model with expiry-wise stochastic volatility and displacement

Economy – Quantitative Finance – Pricing of Securities
Scientific paper

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Life time of correlation between stocks prices on established and emerging markets

Economy – Quantitative Finance – General Finance
Scientific paper

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Likelihood-based inference for correlated diffusions

Economy – Quantitative Finance – Statistical Finance
Scientific paper

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Limit of the Solutions for the Finite Horizon Problems as the Optimal Solution to the Infinite Horizon Optimization Problems

Economy – Quantitative Finance – General Finance
Scientific paper

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Limit Order Books

Economy – Quantitative Finance – Trading and Market Microstructure
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Limit Theorems for Partial Hedging Under Transaction Costs

Economy – Quantitative Finance – Computational Finance
Scientific paper

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Liquidation in Limit Order Books with Controlled Intensity

Economy – Quantitative Finance – Trading and Market Microstructure
Scientific paper

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Liquidity Crisis, Granularity of the Order Book and Price Fluctuations

Economy – Quantitative Finance – Trading and Market Microstructure
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Liquidity in Credit Networks: A Little Trust Goes a Long Way

Economy – Quantitative Finance – Trading and Market Microstructure
Scientific paper

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Liquidity-adjusted Market Risk Measures with Stochastic Holding Period

Economy – Quantitative Finance – Risk Management
Scientific paper

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Loan and nonloan flows in the Australian interbank network

Economy – Quantitative Finance – General Finance
Scientific paper

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Local Risk Decomposition for High-frequency Trading Systems

Economy – Quantitative Finance – Risk Management
Scientific paper

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Local time and the pricing of time-dependent barrier options

Economy – Quantitative Finance – Pricing of Securities
Scientific paper

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Local Volatility Pricing Models for Long-dated FX Derivatives

Economy – Quantitative Finance – Pricing of Securities
Scientific paper

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Log-Periodic Oscillation Analysis and Possible Burst of the "Gold Bubble" in April - June 2011

Economy – Quantitative Finance – Statistical Finance
Scientific paper

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Log-supermodularity of weight functions and the loading monotonicity of weighted insurance premiums

Economy – Quantitative Finance – Risk Management
Scientific paper

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Long Horizons, High Risk Aversion, and Endogeneous Spreads

Economy – Quantitative Finance – Portfolio Management
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