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How Non-linearity will Transform Information Systems
Complexity Nonlinearity Econophysics Rational Expectations Risk Business intelligence corporate performance management
2012/9/17
One “problem” with the 21st century world, particularly the economic and business worlds, is the phenomenal and increasing number of interconnections between economic agents (consumers, firms, banks, ...
Benford's law and Theil transform of financial data
income expenses religious community Benford's laws Theil map time series.
2012/9/14
Among econophysics investigations, studies of religious groups have been of interest. On one hand, the present paper concerns the Antoinist community nancial reports, - a community which appeared at ...
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach
regime switching jump-diffusion models Value at Risk risk management Fourier transform methods.
2012/9/14
In this paper we consider the problem of calculating the quantiles of a risky position,the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transfor...
The explicit Laplace transform for the Wishart process
Affine processes Wishart process ODE Laplace Transform
2011/7/19
We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru (1991). We compare our methodology with the alter...
Laplace transform analysis of a multiplicative asset transfer model
wealth distribution master equation Laplace transform Boltzmann entropy
2010/10/20
We analyze a simple asset transfer model in which the transfer amount is a fixed fraction $f$ of the giver's wealth. The model is analyzed in a new way by Laplace transforming the master equation, sol...
A Generalized Fourier Transform Approach to Risk Measures
Generalized Fourier Transform Risk Measures
2010/11/2
We introduce the formalism of generalized Fourier transforms in the context of risk management.
We develop a general framework to efficiently compute the most popular risk measures, Valueat-
Risk an...
A Fourier transform method for spread option pricing
Spread options multivariate spread options jump-diffusions fast Fourier transform gamma function
2010/10/29
Spread options are a fundamental class of derivative contract written on multiple assets,
and are widely used in a range of financial markets. There is a long history of approximation
methods for co...
Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups
Laplace Transform Drawdowns and Drawups
2010/11/3
In this work we study drawdowns and drawups of general diffu-sion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the drawup process is de...