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Option Risk Measurement with Time-Dependent Model Parameters
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
An Inverse Problem for Economical Time Series
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Pareto, Poverty and Riches
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Random Matrix Theory and the Structure of Correlation of Financial Assets
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Option Pricing for Truncated Levy Processes
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Financial Friction and Multiplicative Markov Market Games
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Information and Entropy in Incomplete Markets
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Pioneers on a New Continent Physicists in Finance
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Truncated Levy Walks and an Emerging Market Economic Index
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Historical volatility distribution in gaussian, GARCH and stochastic volatility models
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Pricing of an Index-Linked Swaption
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Analysis of Effect of Detrending on Time-Frequency Structures of Financial Data Using Discrete Wavelet Transform
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Defaultable Bonds as Asian Options
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Physics Growth Models: application to market evolution
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Approximate Maximum Likelihood Estimation of Discretely Observed Diffusion Processes
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Zigzag Movements and Near Neighbors in the Foreign Exchange Market
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Universal and Non-Universal Properties of Cross-Correlations in Financial Time Series
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Prediction of Financial Data with Hidden Markov Mixtures of Experts
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Optimal Financing and Dividend Decisions in a Stochastic Framework
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
The Hamming Distance in the Minority Game
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
A Thermal Model for Adaptive Competition in a Market
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Uncertainty versus Randomness: Minimizing Model Dependence
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Finite Element Methods in Bond and Option Pricing
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Dynamics of the Term Structure of Interest Rates: Stochastic PDEs and Random Strings
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
On the Principle of Minimum Entropy in Stochastic Equilibrium Economics
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
The 'Heart' of Financial Time Series
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
The Stable Marriage Problem
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Gains from DFA Technique on Foreign Currency Exchange Markets
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Pricing Portfolio Insurance
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Microscopic Models of Competitive Markets
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Recurrence Plots and Hurst Exponents for Financial Markets and Foreign-Exchange Data
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
ICA in Temporal Direction - Phase Information in Daily Stock Prices
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Nonlinear Dynamics and Chaos in Macroeconomics
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Multifractal Properties of Financial Fluctuations
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
A Microsimulation of Traders Activity in the Stock Market: The Role of Heterogeneity, Agents' Interactions and Trade Frictions
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Markov-properties of high-frequency exchange rate data
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Evaluation of the Capital Asset Pricing Model Using the Monte Carlo Method
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Scale-Invariance and Contingent Claim Pricing
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
A Large Deviation Approach to Portfolio Management
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Learning, Competition and Cooperation in Simple Games
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Brownian Ratchets and an Economic Interpretation of Parrondo's Games
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Nonlinear Oscillations in Business Cycle Model with Time Lags
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Model Space of Economic Events. Fluctuations and Long-Time Dynamics of S&P500 Stock Index
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
An Experience of Using Diffusion Model in Economic Dynamics
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
A Generic, Multi-Agent Modelling Environment for the Simulation of Financial Markets
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
A Stochastic Cascade Model for FX Dynamics
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Principal Component Value at Risk
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Phenomenology of the Interest Rate Curve
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
Recombining Three-Dimensional Tree for GARCH Option Pricing
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics -
A Model of Stock Market Bubble in Transition Economy
British Library Conference Proceedings | 1999|Keywords: physics, statistical physics, non-linear physics
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