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2014: Visualising stock flow consistent models as directed acyclic graphs
Peter G. Fennell , O'Sullivan, David , Antoine Godin and Stephen Kinsella
2014: Indicators of availability of non-market relations in the sphere of labor market in Ukraine
Valery Tabakov
2014: Rawls' Fairness, Income Distribution and Alarming Level of Gini Coefficient
Yong Tao , Xiangjun Wu and Changshuai Li
2014: Portfolio Selection with Mandatory Bequest
Jiacheng Feng
2014: Instability and network effects in innovative markets
Paolo Sgrignoli , Elena Agliari , Raffaella Burioni and Augusto Schianchi
2014: The World Trade Web: A Multiple-Network Perspective
Paolo Sgrignoli
2014: Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks
Benjamin Vandermarliere , Alexei Karas , Jan Ryckebusch and Koen Schoors
2014: Optimal consumption and sale strategies for a risk averse agent
David Hobson and Yeqi Zhu
2014: Endogenous crisis waves: a stochastic model with synchronized collective behavior
Stanislao Gualdi , Jean-Philippe Bouchaud , Giulia Cencetti , Marco Tarzia and Francesco Zamponi
2014: Synergy cycles in the Norwegian innovation system: The relation between synergy and cycle values
Inga Ivanova , Oivind Strand and Loet Leydesdorff
2014: The effect of the number of states on the validity of credit ratings
P. Lencastre , F. Raischel and P. G. Lind
2014: Contagion in an interacting economy
Pierre Paga and K\"uhn, Reimer
2014: Optimal Execution with Dynamic Order Flow Imbalance
Kyle Bechler and Mike Ludkovski
2014: Custom v. Standardized Risk Models
Zura Kakushadze and Jim Kyung-Soo Liew
2014: Optimal double stopping of a Brownian bridge
Erik J. Baurdoux , Nan Chen , Budhi A. Surya and Kazutoshi Yamazaki
2014: Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
Nien-Lin Liu and Hoang-Long Ngo
2014: Optimal investment with bounded above utilities in discrete time markets
Miklos Rasonyi
2014: A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities
Roberto Casarin , Fabrizio Leisen , German Molina and Enrique ter Horst
2014: Affine Processes
Eberhard Mayerhofer
2014: Discrete Time Term Structure Theory and Consistent Recalibration Models
Anja Richter and Josef Teichmann
2014: Zero-determinant strategies in iterated multi-strategy games
Jin-Li Guo
2014: A spring-block analogy for the dynamics of stock indexes
Bulcsu Sandor and Zoltan Neda
2014: Orthogonal Polynomials for Seminonparametric Instrumental Variables Model
Yevgeniy Kovchegov and Nese Yildiz
2014: Opening discussion on banking sector risk exposures and vulnerabilities from virtual currencies: An operational risk perspective
Gareth W. Peters , Ariane Chapelle and Efstathios Panayi
2014: On the design of sell-side limit and market order tactics
Vladimir Markov
2014: Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands
Vladimir Markov , Slava Mazur and David Saltz
2014: On Correlated Defaults and Incomplete Information
Wai-Ki Ching , Jia-Wen Gu and Harry Zheng
2014: Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models
Pablo Olivares and Matthew Cane
2014: Default contagion risks in Russian interbank market
A. V. Leonidov and E. L. Rumyantsev
2014: Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo
Rosario N. Mantegna
2014: A Lattice Framework for Pricing Display Ad Options with the Stochastic Volatility Underlying Model
Bowei Chen and Jun Wang
2014: Optimal Dynamic Procurement Policies for a Storable Commodity with L\'evy Prices and Convex Holding Costs
Maria B. Chiarolla , Giorgio Ferrari and Gabriele Stabile
2014: Manipulating decision making of typical agents
V. . Yukalov and D. Sornette
2014: Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
Chuancun Yin and Kam Chuen Yuen
2014: Game theory analysis for carbon auction market through electricity market coupling
Mireille Bossy , Nadia Maizi and Odile Pourtallier
2014: Utility indifference pricing and hedging for structured contracts in energy markets
Giorgia Callegaro , Luciano Campi and Tiziano Vargiolu
2014: Microscopic Models for Welfare Measures Addressing a Reduction of Economic Inequality
Maria Letizia Bertotti and Giovanni Modanese
2014: A Bellman View of Jesse Livermore
Nick Polson and Jan Hendrik Witte
2014: Economic Optimal Operation of Community Energy Storage Systems in Competitive Energy Markets
Reza Arghandeh , Jeremy Woyak , Ahmet Onen , Jaesung Jung and Robert P. Broadwater
2014: Income Inequality in the 21st Century -- A biased summary of Piketty's Capital in the Twenty-First Century
Dietrich Stauffer
2014: Change of numeraire in the two-marginals martingale transport problem
Luciano Campi , Ismail Laachir and Claude Martini
2014: A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing
Masaaki Fujii
2014: Efficient Modeling and Forecasting of the Electricity Spot Price
Florian Ziel and Rick Steinert
2014: Information theoretic approach for accounting classification
E. M. S. Ribeiro and G. A. Prataviera
2014: The process of macroprudential oversight in Europe
Peter Sarlin and Henrik J. Nyman
2014: Simulating and analyzing order book data: The queue-reactive model
Weibing Huang , Charles-Albert LEHALLE and Mathieu Rosenbaum
2014: Shapes of implied volatility with positive mass at zero
Stefano De Marco , Caroline Hillairet and Antoine Jacquier
2014: Hedging under an expected loss constraint with small transaction costs
Bruno Bouchard , Ludovic Moreau and Mete H. Soner
2014: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
Paulwin Graewe , Ulrich Horst and Jinniao Qiu
2014: Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models
Laurence Carassus and Miklos Rasonyi
2014: Multivariate risk measures: a constructive approach based on selections
Ignacio Cascos and Ilya Molchanov
2014: C^{1,1} regularity for degenerate elliptic obstacle problems
Panagiota Daskalopoulos and Paul M. N. Feehan
2014: Toehold Purchase Problem: A comparative analysis of two strategies
Iryna Banakh , Taras Banakh , Pavel Trisch and Myroslava Vovk
2014: Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
Takashi Kato
2014: Analysis of Spin Financial Market by GARCH Model
Tetsuya Takaishi
2014: What You Should Know About Megaprojects, and Why: An Overview
Bent Flyvbjerg
2014: Should we build more large dams? The actual costs of hydropower megaproject development
Atif Ansar , Bent Flyvbjerg , Alexander Budzier and Daniel Lunn
2014: Long Term Optimal Investment in Matrix Valued Factor Models
Scott Robertson and Hao Xing
2014: How structurally stable are global socioeconomic systems?
Serguei Saavedra , Rudolf P. Rohr , Luis J. Gilarranz and Jordi Bascompte
2014: Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation
Xiaolin Luo and Pavel V. Shevchenko
2014: Stochastic Perron for Stochastic Target Games
Erhan Bayraktar and Jiaqi Li
2014: Hedging Conditional Value at Risk with Options
Capi\'nski, Maciej J.
2014: Can Google searches help nowcast and forecast unemployment rates in the Visegrad Group countries?
Jaroslav Pavlicek and Ladislav Krištoufek
2014: Spectrum-based estimators of the bivariate Hurst exponent
Ladislav Krištoufek
2014: Efficient solution of structural default models with correlated jumps. A fractional PDE approach
Andrey Itkin and Alexander Lipton
2014: Long time asymptotics for optimal investment
Huyen Pham
2014: A Noisy Principal Component Analysis for Forward Rate Curves
Márcio Laurini and Alberto Ohashi
2014: Intra-day variability of the stock market activity versus stationarity of the financial time series
T. Gubiec and M. Wili\'nski,
2014: VWAP Execution as an Optimal Strategy
Takashi Kato
2014: Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation
Xiangyu Cui , Xun Li , Duan Li and Yun Shi
2014: Shadow prices for continuous processes
Christoph Czichowsky , Walter Schachermayer and Junjian Yang
2014: A Framework of Conjugate Direction Methods for Symmetric Linear Systems in Optimization
Giovanni Fasano
2014: Duality Theory for Portfolio Optimisation under Transaction Costs
Christoph Czichowsky and Walter Schachermayer
2014: Fragility of the Commons under Prospect-Theoretic Risk Attitudes
Ashish R. Hota , Siddharth Garg and Shreyas Sundaram
2014: Asymptotic replication with modified volatility under small transaction costs
Jiatu Cai and Masaaki Fukasawa
2014: Approximating the zero-coupon bond price in a general one-factor model with constant coefficients
Beata Stehlikova
2014: Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies
Hao Meng , Wei-Xing Zhou and Didier Sornette
2014: Hierarchical causality in financial economics
Diane Wilcox and Tim Gebbie
2014: High Performance Financial Simulation Using Randomized Quasi-Monte Carlo Methods
Linlin Xu and \"Okten, Giray
2014: Consistent Price Systems under Model Uncertainty
Bruno Bouchard and Marcel Nutz
2014: The optimal hedging in a semi-Markov modulated market
Anindya Goswami , Jeeten Patel and Poorva Sevgaonkar
2014: Quantile Hedging in a Semi-Static Market with Model Uncertainty
Erhan Bayraktar and Gu Wang
2014: Diversification and Endogenous Financial Networks
H\'eam, Jean-Cyprien and Erwan Koch
2014: Risk Minimization in Markets Imposing Minimal Transaction Costs
Yan Dolinsky and Yuri Kifer
2014: Maximum Entropy Production Principle for Stock Returns
Paweł Fiedor
2014: On Zero-sum Optimal Stopping Games
Erhan Bayraktar and Zhou Zhou
2014: The Random Walk of High Frequency Trading
Eric M. Aldrich , Indra Heckenbach and Gregory Laughlin
2014: Elliptical Tempered Stable Distribution and Fractional Calculus
Hassan A. Fallahgoul and Young S. Kim
2014: Downturn LGD: A More Conservative Approach for Economic Decline Periods
Mauro R. Oliveira and Armando Chinelatto Neto
2014: Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment
V\'yrost, Tom\'a\v{s} , Ly\'ocsa, \v{S}tefan and Baum\"ohl, Eduard
2014: Realization Utility with Reference-Dependent Preferences
Jonathan E. Ingersoll and Lawrence J. Jin
2014: Accelerated Portfolio Optimization with Conditional Value-at-Risk Constraints using a Cutting-Plane Method
Georg Hofmann
2014: Sector-Based Factor Models for Asset Returns
Angela Gu and Patrick Zeng
2014: Value-at-Risk time scaling for long-term risk estimation
Luca Spadafora , Marco Dubrovich and Marcello Terraneo
2014: Agent based models for wealth distribution with preference in interaction
Sanchari Goswami and Parongama Sen
2014: Mean-Reversion and Optimization
Zura Kakushadze
2014: How the Taxonomy of Products Drives the Economic Development of Countries
Andrea Zaccaria , Matthieu Cristelli , Andrea Tacchella and Luciano Pietronero
2014: Dynamics in two networks based on stocks of the US stock market
Leonidas Sandoval Junior
2014: Structural social capital and health in Italy
Damiano Fiorillo and Fabio Sabatini
2014: The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy
David Garcia , Claudio Juan Tessone , Pavlin Mavrodiev and Nicolas Perony
2014: Optimal Consumption With Habit Formation In Markets with Transaction Costs And Unbounded Random Endowment
Xiang Yu
2014: Kinetic Exchange Models in Economics and Sociology
Sanchari Goswami and Anirban Chakraborti
2014: A simple model of local prices and associated risk evaluation
Krzysztof Urbanowicz , Peter Richmond and Ho{\l}yst, Janusz A.
2014: Determining Optimal Trading Rules without Backtesting
Peter P. Carr and Marcos Lopez de Prado
2014: A Note on Kuhn's Theorem with Ambiguity Averse Players
Gaurab Aryal and Ronald Stauber
2014: Bayesian estimation of realized stochastic volatility model by Hybrid Monte Carlo algorithm
Tetsuya Takaishi
2014: A system of quadratic BSDEs arising in a price impact model
Dmitry Kramkov and Sergio Pulido
2014: Ranking the Economic Importance of Countries and Industries
Wei Li , Dror Y. Kenett , Kazuko Yamasaki , H. Eugene Stanley and Shlomo Havlin
2014: Contagious Synchronization and Endogenous Network Formation in Financial Networks
Christoph Aymanns and Co-Pierre Georg
2014: Opinion Dynamics and Price Formation: a Nonlinear Network Model
D'Errico, Marco , Gulnur Muradoglu , Silvana Stefani and Giovanni Zambruno
2014: Optimization of relative arbitrage
Ting-Kam Leonard Wong
2014: Semiparametric Estimation of First-Price Auction Models
Gaurab Aryal , Maria Florencia Gabrielli and Quang Vuong
2014: The dynamics of the leverage cycle
Christoph Aymanns and J. Doyne Farmer
2014: Statistical Arbitrage in the Black-Scholes Framework
Ahmet Goncu
2014: Can Turnover Go to Zero?
Zura Kakushadze
2014: Local martingale deflators for asset processes stopped at a default time $S^\mathfrak{t}$ or just before $S^{\mathfrak{t}-}$
Shiqi Song
2014: KVA: Capital Valuation Adjustment
Andrew Green and Chris Kenyon
2014: Signal-wise performance attribution for constrained portfolio optimisation
Bruno Durin
2014: On small-noise equations with degenerate limiting system arising from volatility models
Giovanni Conforti , Stefano De Marco and Jean-Dominique Deuschel
2014: Dynamic Linkages between Tokyo and Osaka Rice Futures Markets in Prewar Japan
Mikio Ito , Kiyotaka Maeda and Akihiko Noda
2014: Intrinsic Prices Of Risk
Truc Le
2014: Stock portfolio structure of individual investors infers future trading behavior
Ludvig Bohlin and Martin Rosvall
2014: Risk aggregation and stochastic claims reserving in disability insurance
Boualem Djehiche and L\"ofdahl, Bj\"orn
2014: Bartering integer commodities with exogenous prices
Stefano Nasini , Jordi Castro and Pau Fonseca Casas
2014: Optimal Investment with Transaction Costs and Stochastic Volatility
Maxim Bichuch and Ronnie Sircar
2014: Capital distribution and portfolio performance in the mean-field Atlas model
Benjamin Jourdain and Julien Reygner
2014: Option pricing and hedging with execution costs and market impact
Gu\'eant, Olivier and Jiang Pu
2014: Regulatory-Compliant Derivatives Pricing is Not Risk-Neutral
Chris Kenyon and Andrew Green
2014: Sticky continuous processes have consistent price systems
Christian Bender , Mikko S. Pakkanen and Hasanjan Sayit
2014: Regulatory-Optimal Funding
Chris Kenyon and Andrew Green
2014: The Small Maturity Implied Volatility Slope for L\'evy Models
Stefan Gerhold and G\"ul\"um, Ismail Cetin
2014: A note on the Fundamental Theorem of Asset Pricing under model uncertainty
Erhan Bayraktar , Yuchong Zhang and Zhou Zhou
2014: Tipping points in macroeconomic Agent-Based models
Stanislao Gualdi , Marco Tarzia , Francesco Zamponi and Jean-Philippe Bouchaud
2014: Dynamic Assessment Indices
Tomasz R. Bielecki , Igor Cialenco , Samuel Drapeau and Martin Karliczek
2014: A cutting surface algorithm for semi-infinite convex programming with an application to moment robust optimization
Sanjay Mehrotra and David Papp
2014: Robust Portfolios and Weak Incentives in Long-Run Investments
Paolo Guasoni , Johannes Muhle-Karbe and Hao Xing
2014: A note on high-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-L\'opez, Jos\'e E. , Ruoting Gong and Houdr\'e, Christian
2014: Pricing TARN Using a Finite Difference Method
Xiaolin Luo and Pavel Shevchenko
2014: Diversity and no arbitrage
Attila Herczegh , Vilmos Prokaj and R\'asonyi, Mikl\'os
2014: On an Optimal Stopping Problem of an Insider
Erhan Bayraktar and Zhou Zhou
2014: Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Jean-Pierre Fouque , Matthew Lorig and Ronnie Sircar
2014: On Global Stability of Financial Networks
Bhaskar DasGupta and Lakshmi Kaligounder
2014: Physical approach to price momentum and its application to momentum strategy
Jaehyung Choi
2014: Shadow price in the power utility case
Attila Herczegh and Vilmos Prokaj
2014: An Explicit Example Of Optimal Portfolio-Consumption Choices With Habit Formation And Partial Observations
Xiang Yu
2014: Ito calculus without probability in idealized financial markets
Vladimir Vovk
2014: Recurrence plots of exchange rates of currencies
Amelia Carolina Sparavigna
2014: Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
Fernando Cordero and Lavinia Perez-Ostafe
2014: Robust valuation and risk measurement under model uncertainty
Yuhong Xu
2014: Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input
Peter Martey Addo
2014: Convex duality for stochastic singular control problems
Peter Bank and Helena Kauppila
2014: Study of a model for the distribution of wealth
Yves Pomeau and Ricardo Lopez-Ruiz
2014: New analytic approach to address Put - Call parity violation due to discrete dividends
Alexander Buryak and Ivan Guo
2014: Effective and simple VWAP option pricing model
Alexander Buryak and Ivan Guo
2014: Grid Integration Costs of Fluctuating Renewable Energy Sources
M\"uller, Jonas , Marcus Hildmann , Andreas Ulbig and Andersson, G\"oran
2014: Wealth distribution of simple exchange models coupled with extremal dynamics
N. Bagatella-Flores , M. Rodriguez-Achach , H. F. Coronel-Brizio and A. R. Hernandez-Montoya
2014: On the optimal exercise boundaries of swing put options
Tiziano De Angelis and Yerkin Kitapbayev
2014: Fokker-Planck Description of Wealth Dynamics and the Origin of Pareto's Law
Bruce M. Boghosian
2014: On the role of F\"ollmer-Schweizer minimal martingale measure in Risk Sensitive control Asset Management
Amogh Deshpande
2014: A finite set of equilibria for the indeterminacy of linear rational expectations models
Jean-Bernard Chatelain and Kirsten Ralf
2014: Linear vector optimization and European option pricing under proportional transaction costs
Alet Roux and Tomasz Zastawniak
2014: One-level limit order books with sparsity and memory
Ch\'avez-Casillas, Jonathan A. and Figueroa-L\'opez, Jos\'e E.
2014: Arbitrage-free prediction of the implied volatility smile
Petros Dellaportas and Mijatovi\'c, Aleksandar
2014: Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets
Ladislav Krištoufek and Petra Lunackova
2014: Bank-firm credit network in Japan. An analysis of a bipartite network
Luca Marotta , Miccich\`e, Salvatore , Yoshi Fujiwara , Hiroshi Iyetomi , Hideaki Aoyama , Mauro Gallegati and Rosario N. Mantegna
2014: Risk-sensitive investment in a market with animal spirits
Grzegorz Andruszkiewicz , Mark H. A. Davis and Lleo, S\'ebastien
2014: Agent-based model with asymmetric trading and herding for complex financial systems
Jun-jie Chen , Bo Zheng and Lei Tan
2014: Permutation approach, high frequency trading and variety of micro patterns in financial time series
Cina Aghamohammadi , Mehran Ebrahimian and Hamed Tahmooresi
2014: Unanticipated Features of the Multidimensional $G$-Normal Distribution
Erhan Bayraktar and Alexander Munk
2014: An exact and explicit formula for pricing Asian options with regime switching
Leunglung Chan and Song-Ping Zhu
2014: Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns
Vladimir Filimonov and Didier Sornette
2014: Causal Non-Linear Financial Networks
Paweł Fiedor
2014: An exact and explicit formula for pricing lookback options with regime switching
Leunglung Chan and Song-Ping Zhu
2014: Identification of cross and autocorrelations in time series within an approach based on Wigner eigenspectrum of random matrices
Michal Sawa and Dariusz Grech
2014: A convex duality method for optimal liquidation with participation constraints
Gu\'eant, Olivier , Jean-Michel Lasry and Jiang Pu
2014: Exact and asymptotic solutions of the call auction problem
Ioane Muni Toke
2014: New Pricing Framework: Options and Bonds
Nick Laskin
2014: Forecasting future oil production in Norway and the UK: a general improved methodology
Lucas Fievet , Forr\`o, Zal\`an , Peter Cauwels and Didier Sornette
2014: Slow decay of impact in equity markets
X. Brokmann , E. Serie , J. Kockelkoren and J. -P. Bouchaud
2014: Arbitrage in markets with bid-ask spreads
Rola, Przemys{\l}aw
2014: CVA under Partial Risk Warehousing and Tax Implications
Chris Kenyon and Andrew Green
2014: Comparing series of rankings with ties by using complex networks: An analysis of the spanish stock market (IBEX-35 index)
F. Pedroche , R. Criado , E. Garcia , M. Romance and V. E. Sanchez
2014: Portfolio optimization in the case of an asset with a given liquidation time distribution
Ljudmila A. Bordag , Ivan P. Yamshchikov and Dmitry Zhelezov
2014: Impacts of Regional Trade Agreements(RTAs) on Food Security: A Case of ASEAN Free Trade Agreement
H. M. S. P. Herath , Cao Liang and Chen Yongbing
2014: Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps
Friedrich Hubalek , Martin Keller-Ressel and Carlo Sgarra
2014: Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems
\c{C}etin, Umut and Albina Danilova
2014: Cross-correlations in coupled heterogeneous Brownian motions
Paolo Barucca
2014: Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals
Sebastian. E. Ferrando , Alfredo L. Gonzalez , Ivan L. Degano and Massoome Rahsepar
2014: Superstars in politics: the role of the media in the rise and success of Junichiro Koizumi
Eiji Yamamura and Fabio Sabatini
2014: Density of Skew Brownian motion and its functionals with application in finance
Alexander Gairat and Vadim Shcherbakov
2014: Robust Superhedging with Jumps and Diffusion
Marcel Nutz
2014: Non linear filtering and optimal investment under partial information for stochastic volatility models
Dalia Ibrahim and Abergel, Fr\'ed\'eric
2014: Non-arbitrage for Informational Discrete Time Market Models
Tahir Choulli and Jun Deng
2014: Computing Greeks for L\'evy Models: The Fourier Transform Approach
Federico De Olivera and Ernesto Mordecki
2014: On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility
Alessandro Ramponi
2014: Robust Arbitrage under Uncertainty in Discrete Time
Matteo Burzoni , Marco Frittelli and Marco Maggis
2014: Decision-theoretic approaches to non-knowledge in economics
Ekaterina Svetlova and Henk van Elst
2014: Stochastic model of a pension plan
Paz Grimberg and Zeev Schuss
2014: One more no-arbitrage parametric fit of volatility smile
Andrey Itkin
2014: World Input-Output Network
Federica Cerina , Zhen Zhu , Alessandro Chessa and Massimo Riccaboni
2014: A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition
Ulrich Horst , Jinniao Qiu and Qi Zhang
2014: Thermodynamics of inequalities: from precariousness to economic stratification
Matteo Smerlak
2014: Exact fit of simple finite mixture models
Dirk Tasche
2014: A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
Christa Cuchiero and Josef Teichmann
2014: Multilevel path simulation for weak approximation schemes
Denis Belomestny and Tigran Nagapetyan
2014: Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness
J. D. Opdyke
2014: Combining Alpha Streams with Costs
Zura Kakushadze
2014: Valuation and Hedging of Contracts with Funding Costs and Collateralization
Tomasz R. Bielecki and Marek Rutkowski
2014: On a Convex Measure of Drawdown Risk
Lisa R. Goldberg and Ola Mahmoud
2014: Inflation securities valuation with macroeconomic-based no-arbitrage dynamics
Gabriele Sarais and Damiano Brigo
2014: High-speed emergence of financial stock clusters using an unsupervised parallel genetic cluster algorithm
Dieter Hendricks , Dariusz Cieslakiewicz , Diane Wilcox and Tim Gebbie
2014: Consentaneous agent-based and stochastic model of the financial markets
V. Gontis and A. Kononovicius
2014: Purchasing Life Insurance to Reach a Bequest Goal
Erhan Bayraktar , David Promislow and Virginia Young
2014: Information ratio analysis of momentum strategies
Fernando F. Ferreira , A. Christian Silva and Ju-Yi Yen
2014: On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints
Erhan Bayraktar and Zhou Zhou
2014: Cross-correlation asymmetries and causal relationships between stock and market risk
Stanislav S. Borysov and Alexander V. Balatsky
2014: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows
Masaaki Fujii and Akihiko Takahashi
2014: Dynamic Limit Growth Indices in Discrete Time
Tomasz R. Bielecki , Igor Cialenco and Marcin Pitera
2014: Actuarial fairness and solidarity in pooled annuity funds
Catherine Donnelly
2014: Impact of information cost and switching of trading strategies in an artificial stock market
Yi-Fang Liu , Wei Zhang , Chao Xu , Andersen, J{\o}rgen Vitting and Hai-Chuan Xu
2014: Modeling of Volatility with Non-linear Time Series Model
Kim Song Yon and Kim Mun Chol
2014: The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations
Hyong-Chol O , Yong-hwa Ro and Ning Wan
2014: Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations
Matyas Barczy and Gyula Pap
2014: On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Carole Bernard , Zhenyu Cui and Don McLeish
2014: Sequential Design for Optimal Stopping Problems
Robert B. Gramacy and Mike Ludkovski
2014: Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
Vladimir Filimonov and Didier Sornette
2014: Optimal Payoffs under State-dependent Preferences
Carole Bernard , Franck Moraux , Ludger Rueschendorf and Steven Vanduffel
2014: Weak reflection principle for L\'evy processes
Erhan Bayraktar and Sergey Nadtochiy
2014: Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?
Jozef Baruník , Evžen Kočenda and Lukas Vacha
2014: Extracting information from the signature of a financial data stream
Gyurk\'o, Lajos Gergely , Terry Lyons , Mark Kontkowski and Jonathan Field
2014: Random Market Models with an H-Theorem
Ricardo Lopez-Ruiz , Elyas Shivanian and Jose-Luis Lopez
2014: Statistical Mechanics of Competitive Resource Allocation using Agent-based Models
Anirban Chakraborti , Damien Challet , Arnab Chatterjee , Matteo Marsili , Yi-Cheng Zhang and Bikas K. Chakrabarti
2014: Pricing in Complex and Efficient Financial Markets
Gabriel Frahm
2014: Suitability of Capital Allocations for Performance Measurement
Eduard Kromer and Ludger Overbeck
2014: On the Robust Optimal Stopping Problem
Erhan Bayraktar and Song Yao
2014: Optimal Stopping under Adverse Nonlinear Expectation and Related Games
Marcel Nutz and Jianfeng Zhang
2014: Optimal execution and block trade pricing: a general framework
Gu\'eant, Olivier
2014: Approximating stochastic volatility by recombinant trees
Aky{\i}ld{\i}r{\i}m, Erd\.{i}n\c{c} , Yan Dolinsky and H. Mete Soner
2014: Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias
Figueroa-L\'opez, Jos\'e E. and Peter Tankov
2014: Small-time expansions for local jump-diffusion models with infinite jump activity
Figueroa-L\'opez, Jos\'e E. , Yankeng Luo and Cheng Ouyang
2014: An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process
Takashi Kato
2014: Record statistics of financial time series and geometric random walks
Behlool Sabir and M. S. Santhanam
2014: A two-stage model for dealing with temporal degradation of credit scoring
Maria Rocha Sousa , Gama, Jo\~ao and Gon\c{c}alves, Manuel J. Silva
2014: Bank Networks from Text: Interrelations, Centrality and Determinants
R\"onnqvist, Samuel and Peter Sarlin
2014: Active extension portfolio optimization with non-convex risk measures using metaheuristics
Ronald Hochreiter and Christoph Waldhauser
2014: Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy
Xiaoxiao Zheng and Xin Zhang
2014: Optimal investment-reinsurance policy under a long-term perspective
Xiaoxiao Zheng and Xin Zhang
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2014: The Wishart short rate model
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2014: Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs
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2014: Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
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2014: A Multi-Entity Input Output (MEIO) Approach to Sustainability - Water-Energy-GHG (WEG) Footprint Statements in Use Cases from Auto and Telco Industries
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2014: Polynomial Models for interest rates and stochastic volatility
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2014: Incorporating a Volatility Smile into the Markov-Functional Model
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2014: Measurement and Internalization of Systemic Risk in a Global Banking Network
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2014: Towards a Monotonicity-Compliant Price Index for the Art Market
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D\"uring, Bertram and Fourni\'e, Michel
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2014: Spectral Model of Turnover Reduction
Zura Kakushadze
2014: Expected Cash Flow: A Novel Model Of Evaluating Financial Assets
Magomet Yandiev
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Karsten Chipeniuk , Nets Hawk Katz and Todd B. Walker
2014: Modelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models
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2014: The Master Equation in Mean Field Theory
Alain Bensoussan , Jens Frehse and Phillip Yam
2014: Directed Random Market: the equilibrium distribution
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2014: Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing
Mark Higgins
2014: Option Pricing Accuracy for Estimated Heston Models
Robert Azencott , Yutheeka Gadhyan and Roland Glowinski
2014: On the properties of nodal price response matrix in electricity markets
Vadim Borokhov
2014: Smile from the Past: A general option pricing framework with multiple volatility and leverage components
Adam Aleksander Majewski , Giacomo Bormetti and Fulvio Corsi
2014: Stability and Identification with Optimal Macroprudential Policy Rules
Jean-Bernard Chatelain and Kirsten Ralf
2014: Two centuries of trend following
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2014: Regularizing Portfolio Risk Analysis: A Bayesian Approach
Sourish Das and Dipak K. Dey
2014: A Note on the Pricing of Basket Options Using Taylor Approximations
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2014: Estimating nonlinear regression errors without doing regression
Hong Pi and Carsten Peterson
2014: A Dynamical Model of the Industrial Economy of the Humber Region
Christopher J. K. Knight , Alexandra S. Penn and Rebecca B. Hoyle
2014: Pricing of Basket Options Using Polynomial Approximations
Pablo Olivares
2014: Asymptotics for $d$-dimensional L\'evy-type processes
Matthew Lorig , Stefano Pagliarani and Andrea Pascucci
2014: Facelifting in Utility Maximization
Kasper Larsen , H. Mete Soner and Gordan Zitkovic
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2014: Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
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2014: Non-Arbitrage under a Class of Honest Times
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2014: Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models
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2014: A Note on the Quantile Formulation
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2014: Systemic risk in dynamical networks with stochastic failure criterion
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2014: IIGHGINT: A generalization to the modified GHG intensity universal indicator toward a production/consumption insensitive border carbon tax
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2014: Illiquidity and Insolvency: a Double Cascade Model of Financial Crises
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2014: Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials
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2014: Asymptotic arbitrage in the Heston model
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2014: An examination of the effect on the Icelandic Banking System of Ver{\dh}trygg{\dh} L\'{a}n (Indexed-Linked Loans)
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2014: Stochastic target games with controlled loss
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2014: Involving copula functions in Conditional Tail Expectation
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2014: Utility Maximization with Addictive Consumption Habit Formation in Incomplete Semimartingale Markets
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2014: Credit acceptance process strategy case studies - the power of Credit Scoring
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2014: Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies
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2014: The Implied Volatility Analysis: The South African Experience
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2014: Trajectory Based Models, Arbitrage and Continuity
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2014: Multilevel Monte Carlo For Exponential L\'{e}vy Models
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2014: Least quartic Regression Criterion with Application to Finance
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2014: Momentum Strategies with L1 Filter
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2014: A fast Fourier transform method for Mellin-type option pricing
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2014: Testing for Detailed Balance in a Financial Market
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2014: Empirical properties of inter-cancellation durations in the Chinese stock market
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2014: Structural Models under Additional Information
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2014: Coherent Chaos Interest Rate Models
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2014: Detecting informed activities in European-style option tradings
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2014: Merton problem with one additional indivisible asset
Trybu{\l}a, Jakub
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Trybu{\l}a, Jakub and Dariusz Zawisza
2014: Distribution of the asset price movement and market potential
Dong Han Kim and Stefano Marmi
2014: Quadratic BSDEs with jumps: related non-linear expectations
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2014: A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution
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2014: Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models
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2014: Partial Mutual Information Analysis of Financial Networks
Paweł Fiedor
2014: Introduction to Risk Parity and Budgeting
Thierry Roncalli
2014: City growth as a resource utilization problem
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2014: High-Order Splitting Methods for Forward PDEs and PIDEs
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2014: Do Google Trend data contain more predictability than price returns?
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2014: Inside Money, Procyclical Leverage, and Banking Catastrophes
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2014: Modelling the Bid and Ask Prices of Illiquid CDSs
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2014: International Transmission of Shocks and Fragility of a Bank Network
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2014: On the Frequency of Drawdowns for Brownian Motion Processes
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2014: On the Hawkes Process with Different Exciting Functions
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2014: Asset Prices and Risk Aversion
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2014: Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics
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2014: Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
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2014: Multi-period Trading Prediction Markets with Connections to Machine Learning
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2014: Exchange Rate Predictability in a Changing World
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2014: Parameter estimation for subcritical Heston models based on discrete time observations
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2014: Investing and Stopping
Moritz Duembgen and Leonard C G Rogers
2014: Leverage effect in energy futures
Ladislav Krištoufek
2014: Prospect Theory for Online Financial Trading
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2014: Mapping systemic risk: critical degree and failures distribution in financial networks
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2014: The geometry of relative arbitrage
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2014: Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
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2014: Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms
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2014: Global inequality in energy consumption from 1980 to 2010
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2014: No-arbitrage conditions and absolutely continuous changes of measure
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2014: Predicting trend reversals using market instantaneous state
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2014: Power identities for L\'evy risk models under taxation and capital injections
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2014: Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains
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2014: Efficient hedging in general Black-Scholes model
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2014: Do the rich get richer? An empirical analysis of the BitCoin transaction network
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2014: Measuring risk with multiple eligible assets
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2014: Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix
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2014: Gold, Oil, and Stocks
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2014: Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures
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2014: Predicting financial markets with Google Trends and not so random keywords
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2014: Strict Local Martingales with Jumps
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2014: Explicit implied vols for multifactor local-stochastic vol models
Matthew Lorig , Stefano Pagliarani and Andrea Pascucci
2014: Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots
Albert Ferreiro-Castilla and Kees van Schaik
2014: Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk
M. H. A Davis and M. R. Pistorius
2014: Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
Lachapelle, Aim\'e , Jean-Michel Lasry , Charles-Albert LEHALLE and Pierre-Louis Lions
2014: Permanent market impact can be nonlinear
Gu\'eant, Olivier
2014: A convolution method for numerical solution of backward stochastic differential equations
Cody Blaine Hyndman and Polynice Oyono Ngou
2014: Coherence and elicitability
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2014: A Modern Approach to the Efficient-Market Hypothesis
Gabriel Frahm
2014: On the optimal dividend problem for a spectrally positive Levy process
Chuancun Yin , Yuzhen Wen and Yongxia Zhao
2014: The effect of debt on corporate profitability: Evidence from French service sector
Mazen KEBEWAR
2014: Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model
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2014: Quadratic BSDEs with jumps: a fixed-point approach
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2014: Exploiting the flexibility of a family of models for taxation and redistribution
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2014: On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk-process in the presence of a penalty function
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2014: Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders
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2014: Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target
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2014: Finding informed traders in futures and their inderlying assets in intraday trading
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2014: A First-Order BSPDE for Swing Option Pricing: Classical Solutions
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2014: Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift
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2014: The role of information in a two-traders market
F. Bagarello and E. Haven
2014: Time-dependent Heston model
G. S. Vasilev
2014: Estimation Error of Expected Shortfall
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2014: Technology Parks Potential for Small and Medium Enterprises
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2014: Systemic Risk and Default Clustering for Large Financial Systems
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2014: Rebalancing with Linear and Quadratic Costs
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2014: Trading with Small Price Impact
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2014: Densely Entangled Financial Systems
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2014: Accelerating Implicit Finite Difference Schemes Using a Hardware Optimised Implementation of the Thomas Algorithm for FPGAs
Samuel Palmer and David Thomas
2014: Large deviation asymptotics for the left tail of the sum of dependent positive random variables
Peter Tankov
2014: A debt behaviour model
Wenjun Zhang and John Holt
2014: On Simulation of Various Effects in Consolidated Order Book
A. O. Glekin , A. Lykov and K. L. Vaninsky
2014: Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach
M. Koz{\l}owska, , T. Gubiec , T. R. Werner , M. Denys , A. Sienkiewicz , R. Kutner and Z. Struzik
2014: Information-theoretic approach to lead-lag effect on financial markets
Paweł Fiedor
2014: On the shortfall risk control -- a refinement of the quantile hedging method
Barski, Micha{\l}
2014: Systemic Losses Due to Counter Party Risk in a Stylized Banking System
Annika Birch and Tomaso Aste
2014: News Cohesiveness: an Indicator of Systemic Risk in Financial Markets
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2014: Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time
Jianjun Gao , Ke Zhou , Duan Li and Xiren Cao
2014: Reference Vectors in Economic Choice
Teycir Abdelghani Goucha
2014: Model-independent Superhedging under Portfolio Constraints
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2014: Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression
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2014: Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate
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2014: Multi-scale Representation of High Frequency Market Liquidity
Anton Golub , Gregor Chliamovitch , Alexandre Dupuis and Bastien Chopard
2014: Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading
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2014: Pricing Currency Derivatives with Markov-modulated Levy Dynamics
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2014: Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
Erhan Bayraktar and Yuchong Zhang
2014: Using Twitter to Model the EUR/USD Exchange Rate
Dietmar Janetzko
2014: Option Pricing for Symmetric L\'evy Returns with Applications
Kais Hamza , Fima C. Klebaner , Zinoviy Landsman and Ying-Oon Tan
2014: Correlation and Network Topologies in Global and Local Stock Indices
Ashadun Nobi , Sungmin Lee , Doo Hwan Kim and Jae Woo Lee
2014: Are European equity markets efficient? New evidence from fractal analysis
Enrico Onali and John Goddard
2014: Partial correlation analysis: Applications for financial markets
Dror Y. Kenett , Xuqing Huang , Irena Vodenska , Shlomo Havlin and H. Eugene Stanley
2014: Market impact as anticipation of the order flow imbalance
Thibault Jaisson
2014: Crossing Stocks and the Positive Grassmannian I: The Geometry behind Stock Market
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2014: Option Pricing, Historical Volatility and Tail Risks
Samuel E. Vazquez
2014: Optimal allocation of wealth for two consuming agents sharing a portfolio
Oumar Mbodji , Adrien Nguyen Huu and Traian A. Pirvu
2014: Spatial and temporal structures of four financial markets in Greater China
F. Y. Ouyang , B. Zheng and X. F. Jiang
2014: The $500.00 AAPL close: Manipulation or hedging? A quantitative analysis
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2014: Faster Comparison of Stopping Times by Nested Conditional Monte Carlo
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2014: Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium
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2014: The Political Economy of FDI flows into Developing Countries: Does the depth of International Trade Agreements Matter?
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2014: Elimination of systemic risk in financial networks by means of a systemic risk transaction tax
Sebastian Poledna and Stefan Thurner
2014: Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Beatrice Acciaio , Claudio Fontana and Constantinos Kardaras
2014: On the Measurement of Economic Tail Risk
Steven Kou and Xianhua Peng
2014: Capital adequacy tests and limited liability of financial institutions
Pablo Koch-Medina , Santiago Moreno-Bromberg and Cosimo Munari
2014: Mean field approximation for biased diffusion on Japanese inter-firm trading network
Hayafumi Watanabe
2014: The False Premises and Promises of Bitcoin
Brian P. Hanley
2014: Nucleation, condensation and lambda-transition on a real-life stock market
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2014: Non-Arbitrage up to Random Horizon for Semimartingale Models
Anna Aksamit , Tahir Choulli , Jun Deng and Monique Jeanblanc
2014: Control of the socio-economic systems using herding interactions
Aleksejus Kononovicius and Vygintas Gontis
2014: On hedging American options under model uncertainty
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2014: Investment under uncertainty, competition and regulation
Adrien Nguyen Huu
2014: Detrended Cross-Correlation Analysis Consistently Extended to Multifractality
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2014: Revisiting the Merit-Order Effect of Renewable Energy Sources
Marcus Hildmann , Andreas Ulbig and Andersson, G\"oran
2014: Arbitrage and Duality in Nondominated Discrete-Time Models
Bruno Bouchard and Marcel Nutz
2014: Optimal dividend problem for a generalized compound Poisson risk model
Chuancun Yin
2014: 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
2014: Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach
Frey, R\"udiger , Abdelali Gabih and Ralf Wunderlich
2014: Ergodicity and scaling limit of a constrained multivariate Hawkes process
Ban Zheng , Roueff, Fran\c{c}ois and Abergel, Fr\'ed\'eric
2014: Superreplication under Model Uncertainty in Discrete Time
Marcel Nutz
2014: Strategy switches and co-action equilibria in a minority game
V. Sasidevan and Deepak Dhar
2014: Valuation of asset and volatility derivatives using decoupled time-changed L\'{e}vy processes
Lorenzo Torricelli
2014: Strong random correlations in networks of heterogeneous agents
Imre Kondor , Csabai, Istv\'an , Papp, G\'abor , Enys Mones , Czimbalmos, G\'abor and S\'andor, M\'at\'e Csaba
2014: Beyond cash-additive risk measures: when changing the num\'{e}raire fails
Walter Farkas , Pablo Koch-Medina and Cosimo Munari
2014: Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes
Ying Shen , Chuancun Yin and Kam Chuen Yuen
2014: Micro to macro models for income distribution in the absence and in the presence of tax evasion
Maria Letizia Bertotti and Giovanni Modanese
2014: Hedging Expected Losses on Derivatives in Electricity Futures Markets
Adrien Nguyen Huu and Nadia Oudjane
2014: The Integrated Size and Price Optimization Problem
Kie{\ss}ling, Miriam , Sascha Kurz and Rambau, J\"org
2014: Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations
Yoshihiro Yura , Hideki Takayasu , Didier Sornette and Misako Takayasu
2014: A Stochastic Volatility Model for Crude Oil Futures Curves and the Pricing of Calendar Spread Options
Lorenz Schneider
2014: Testing for rational speculative bubbles in the Brazilian residential real-estate market
Marcelo M. de Oliveira and Alexandre C. L. Almeida
2014: Microeconomic Structure determines Macroeconomic Dynamics. Aoki defeats the Representative Agent
Sorin Solomon and Natasa Golo
2014: Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks
B. Podobnik , A. Majdandzic , C. Curme , Z. Qiao , W. -X. Zhou , H. E. Stanley and B. Li
2014: Release of the Kraken: A Novel Money Multiplier Equation's Debut in 21st Century Banking
Brian P. Hanley
2014: Self-affinity in financial asset returns
John Goddard and Enrico Onali
2014: Modeling Credit Spreads Using Nonlinear Regression
Radoslava Mirkov , Thomas Maul , Ronald Hochreiter and Holger Thomae
2014: Option Pricing of Twin Assets
Marcelo J. Villena and Axel A. Araneda
2014: Multidimensional Breeden-Litzenberger representation for state price densities and static hedging
Jarno Talponen and Lauri Viitasaari
2014: Estimate nothing
M. Duembgen and Leonard C G Rogers
2014: Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market
G. Papaioannou , P. Papaioannou and N. Parliaris
2014: On multicurve models for the term structure
Laura Morino and Wolfgang J. Ruggaldier
2014: Why free markets die: An evolutionary perspective
Eduardo Viegas , Stuart P. Cockburn , Henrik Jeldtoft Jensen and Geoffrey B. West
2014: On Convergence in the Spatial AK Growth Models
Gani Aldashev , Serik Aldashev and Timoteo Carletti
2014: Martingale Inequalities and Deterministic Counterparts
Beiglb\"ock, Mathias and Marcel Nutz
2014: Mathematical Foundations for the Economy of Giving
W. P. Weijland
2014: Wealth distribution and collective knowledge. A Boltzmann approach
Lorenzo Pareschi and Giuseppe Toscani
2014: Diversity of scales makes an advantage: The case of the Minority Game
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2014: CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach
Damiano Brigo and Andrea Pallavicini
2014: A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
Alfred Galichon , P. Henry-Labord\`ere, and N. Touzi
2014: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
Worapree Maneesoonthorn , Catherine Scipione Forbes and Gael M. Martin
2014: A Creepy World
Didier Sornette and Peter Cauwels
2014: General indifference pricing with small transaction costs
Possama\"i, Dylan and Guillaume Royer
2014: Quasi-Hadamard differentiability of general risk functionals and its application
Kr\"atschmer, Volker , Alexander Schied and Z\"ahle, Henryk
2014: Law-invariant risk measures: extension properties and qualitative robustness
Pablo Koch-Medina and Cosimo Munari
2014: Hierarchicality of Trade Flow Networks Reveals Complexity of Products
Peiteng Shi , Jiang Zhang , Bo Yang and Jingfei Luo
2014: When Finance Meets Physics: The Impact of the Speed of Light on Financial Markets and their Regulation
James J. Angel
2014: Efficient tree methods for pricing digital barrier options
Elisa Appolloni and Andrea Ligori
2014: Bayesian analysis of redistribution policy with a fixed scale
Guy Cirier
2014: Complex temporal structure of activity in on-line electronic auctions
Frantisek Slanina
2014: Mutual Information Rate-Based Networks in Financial Markets
Paweł Fiedor
2014: Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions
Weiyin Fei
2014: Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile
Nassim Nicholas Taleb
2014: Refined wing asymptotics for the Merton and Kou jump diffusion models
Stefan Gerhold , Johannes F. Morgenbesser and Axel Zrunek
2014: Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting
Tao Xiong , Yukun Bao and Zhongyi Hu
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks
Li-Xin Wang
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models
Li-Xin Wang
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models
Li-Xin Wang
2014: Pricing of basket options I
Alexander Kushpel
2014: Informational Efficiency under Short Sale Constraints
Robert A Jarrow and Martin Larsson
2014: Optimal consumption and portfolio choice with ambiguity
Qian Lin and Frank Riedel
2014: Computation of the "Enrichment" of a Value Functions of an Optimization Problem on Cumulated Transaction-Costs through a Generalized Lax-Hopf Formula
Luxi Chen
2014: An Empirical Method to Measure Stochasticity and Multifractality in Nonlinear Time Series
Chih-Hao Lin , Chia-Seng Chang and Sai-Ping Li
2014: Second order statistics characterization of Hawkes processes and non-parametric estimation
Emmanuel Bacry and Jean-Francois Muzy
2014: Emergence of statistically validated financial intraday lead-lag relationships
Chester Curme , Michele Tumminello , Rosario Nunzio Mantegna , H. Eugene Stanley and Dror Y. Kenett
2014: Accelerated Share Repurchase: pricing and execution strategy
Gu\'eant, Olivier , Jiang Pu and Guillaume Royer
2014: A statistical physics perspective on criticality in financial markets
Thomas Bury
2014: Prospect Agents and the Feedback Effect on Price Fluctuations
Yipeng Yang and Allanus Tsoi
2014: Local Variance Gamma and Explicit Calibration to Option Prices
Peter Carr and Sergey Nadtochiy
2014: Optimal investment for all time horizons and Martin boundary of space-time diffusions
Sergey Nadtochiy and Michael Tehranchi
2014: The Skin In The Game Heuristic for Protection Against Tail Events
Nassim N. Taleb and Constantine Sandis
2014: Cross-border Portfolio Investment Networks and Indicators for Financial Crises
Andreas Joseph , Stephan Joseph and Guanrong Chen
2014: Model-free CPPI
Alexander Schied
2014: Maximum Lebesgue Extension of Monotone Convex Functions
Keita Owari
2014: An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals
Ob{\l}\'oj, Jan and Peter Spoida
2014: Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades
Matthew Ames , Guillaume Bagnarosa and Gareth W. Peters
2014: Rationalizing Investors Choice
Carole Bernard , Jit Seng Chen and Steven Vanduffel
2014: Leverage-induced systemic risk under Basle II and other credit risk policies
Sebastian Poledna , Stefan Thurner , J. Doyne Farmer and John Geanakoplos
2014: A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection
Audrone Virbickaite , Aus\'in, M. Concepci\'on and Pedro Galeano
2014: Generalised central limit theorems for growth rate distribution of complex systems
Misako Takayasu , Hayafumi Watanabe and Hideki Takayasu
2014: Second-order BSDEs with general reflection and game options under uncertainty
Anis Matoussi , Lambert Piozin and Possama\"i, Dylan
2014: Market structure explained by pairwise interactions
Thomas Bury
2014: Hedge and Mutual Funds' Fees and the Separation of Private Investments
Paolo Guasoni and Gu Wang
2014: Statistical pairwise interaction model of stock market
Thomas Bury
2014: Transaction Costs, Shadow Prices, and Duality in Discrete Time
Christoph Czichowsky , Johannes Muhle-Karbe and Walter Schachermayer
2014: Comparative and qualitative robustness for law-invariant risk measures
Kr\"atschmer, Volker , Alexander Schied and Z\"ahle, Henryk
2014: Capital requirements with defaultable securities
Walter Farkas , Pablo Koch-Medina and Cosimo Munari
2014: Killed Brownian motion with a prescribed lifetime distribution and models of default
Boris Ettinger , Steven N. Evans and Alexandru Hening
2014: A model for a large investor trading at market indifference prices. II: continuous-time case
Peter Bank and Dmitry Kramkov
2014: The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
Sergio Pulido
2014: A Coupled Markov Chain Approach to Credit Risk Modeling
David Wozabal and Ronald Hochreiter