# Papers
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- 2015: Adaptive Filter Design for Stock Market Prediction Using a Correlation-based Criterion
*J. E. Wesen*, *V. Vv. Vermehren* and *H. M. de Oliveira*
- 2015: Portfolio Optimization under Shortfall Risk Constraint
*Oliver Janke* and *Qinghua Li*
- 2015: Information in stock prices and some consequences
*Yannis G. Yatracos*
- 2015: Liquidity costs: a new numerical methodology and an empirical study
*Christophe Michel*, *Victor Reutenauer*, *Denis Talay* and *Etienne Tanr\'e*
- 2015: Valuation Algorithms for Structural Models of Financial Interconnectedness
*Johannes Hain* and *Tom Fischer*
- 2015: Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk
*Gildas Ratovomirija*
- 2015: Optimal strategies of investment in a linear stochastic model of market
*O. S. Rozanova* and *G. S. Kambarbaeva*
- 2015: Short-time at-the-money skew and rough fractional volatility
*Masaaki Fukasawa*
- 2015: Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach
*Jinbeom Kim* and *Tim Leung*
- 2015: Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates
*Andrei Cozma* and *Christoph Reisinger*
- 2015: Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
*Maxim Bichuch*, *Agostino Capponi* and *Stephan Sturm*
- 2015: Positively-homogeneous Konus-Divisia indices and their applications to demand analysis and forecasting
*Nikolay Klemashev* and *Alexander Shananin*
- 2015: Interbank markets and multiplex networks: centrality measures and statistical null models
*Leonardo Bargigli*, *Giovanni di Iasio*, *Luigi Infante*, *Fabrizio Lillo* and *Federico Pierobon*
- 2015: Cascades in multiplex financial networks with debts of different seniority
*Charles D. Brummitt* and *Teruyoshi Kobayashi*
- 2015: Combining Alphas via Bounded Regression
*Zura Kakushadze*
- 2015: Bin Size Independence in Intra-day Seasonalities for Relative Prices
*Esteban Guevara*
- 2015: On the Modular Dynamics of Financial Market Networks
*Filipi N. Silva*, *Cesar H. Comin*, *Thomas K. DM. Peron*, *Francisco A. Rodrigues*, *Cheng Ye*, *Richard C. Wilson*, *Edwin Hancock* and *Luciano da F. Costa*
- 2015: Interactions between financial and environmental networks in OECD countries
*Franco Ruzzenenti*, *Andreas Joseph*, *Elisa Ticci*, *Pietro Vozzella* and *Giampaolo Gabbi*
- 2015: Consumption investment optimization with Epstein-Zin utility in incomplete markets
*Hao Xing*
- 2015: Toward robust early-warning models: A horse race, ensembles and model uncertainty
*Markus Holopainen* and *Peter Sarlin*
- 2015: An optimal trading problem in intraday electricity markets
*Ren\'e A\"id*, *Pierre Gruet* and *Huy\^en Pham*
- 2015: Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures
*Rohini Kumar*
- 2015: Optional Decomposition for continuous semimartingales under arbitrary filtrations
*Ioannis Karatzas* and *Constantinos Kardaras*
- 2015: Data manipulation detection via permutation information theory quantifiers
*Aurelio Fernandez Bariviera*, *M. Bel\'en Guercio* and *Lisana B. Martinez*
- 2015: On the martingale-fair index of return for investment funds
*Leslaw Gajek* and *Marek Kaluszka*
- 2015: Optimal Trading with Alpha Predictors
*Filippo Passerini* and *Samuel E. Vazquez*
- 2015: A New Approach to Model Free Option Pricing
*Raphael Hauser* and *Sergey Shahverdyan*
- 2015: The asymptotic smile of a multiscaling stochastic volatility model
*Francesco Caravenna* and *Jacopo Corbetta*
- 2015: Google matrix analysis of the multiproduct world trade network
*Leonardo Ermann* and *Dima L. Shepelyansky*
- 2015: Non-concave utility maximisation on the positive real axis in discrete time
*Laurence Carassus*, *Mikl\'os R\'asonyi* and *Andrea M. Rodrigues*
- 2015: Self-Financing Trading and the Ito-Doeblin Lemma
*Chris Kenyon* and *Andrew Green*
- 2015: The 20-60-20 Rule
*Piotr Jaworski* and *Marcin Pitera*
- 2015: Stochastic simulation framework for the Limit Order Book using liquidity motivated agents
*Efstathios Panayi* and *Gareth Peters*
- 2015: Robust Inference of Risks of Large Portfolios
*Jianqing Fan*, *Fang Han*, *Han Liu* and *Byron Vickers*
- 2015: The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs
*Tim Leung* and *Brian Ward*
- 2015: Shortfall Deviation Risk
*Marcelo Brutti Righi* and *Paulo Sergio Ceretta*
- 2015: On financial applications of the two-parameter Poisson-Dirichlet distribution
*Sergey Sosnovskiy*
- 2015: Multiplicative Limit Order Markets with Transient Impact and Zero Spread
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2015: The Two Dimensions of Drawdown: Magnitude and Duration
*Ola Mahmoud*
- 2015: Optimal investment under behavioural criteria in incomplete diffusion market models
*Mikl\'os R\'asonyi* and *Jos\'e Gregorio Rodr\'{i}guez-Villarreal*
- 2015: Entropy-Based Financial Asset Pricing
*Mihaly Ormos* and *David Zibriczky*
- 2015: A Composite Risk Measure Framework for Decision Making under Uncertainty
*Pengyu Qian*, *Zizhuo Wang* and *Zaiwen Wen*
- 2015: A law of large numbers for limit order books
*Ulrich Horst* and *Michael Paulsen*
- 2015: On a class of generalized Takagi functions with linear pathwise quadratic variation
*Alexander Schied*
- 2015: Signs of dependence and heavy tails in non-life insurance data
*Jonas Alm*
- 2015: Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets
*Florian Ziel*, *Rick Steinert* and *Sven Husmann*
- 2015: Monetary Policy and Dark Corners in a stylized Agent-Based Model
*Stanislao Gualdi*, *Marco Tarzia*, *Francesco Zamponi* and *Jean-Philippe Bouchaud*
- 2015: Minimizing the Probability of Ruin in Retirement
*Christopher J. Rook*
- 2015: A note on the spot-forward no-arbitrage relations in an investment-production model for commodities
*Ren\'e A\"id*, *Luciano Campi* and *Delphine Lautier*
- 2015: Comprehensive Time-Series Regression Models Using GRETL - U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013
*Juehui Shi*
- 2015: An Evolutionary Optimization Approach to Risk Parity Portfolio Selection
*Ronald Hochreiter*
- 2015: Identifying A Screening Model with Multidimensional Private Information
*Gaurab Aryal*
- 2015: Methodological thoughts on expected loss estimates for IFRS 9 impairment: hidden reserves, cyclical loss predictions and LGD backtesting
*Wolfgang Reitgruber*
- 2015: Optimizing Credit Portfolio Using a Quadratic Nonlinear Projection Method
*Boguk Kim*
- 2015: On Stochastic Orders and its applications: Policy limits and Deductibles
*Halim Zeghdoudi*, *Meriem Bouhadjar* and *Mohamed Riad Remita*
- 2015: Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
*Ladislav Krištoufek*
- 2015: Continuous time analysis of fleeting discrete price moves
*Neil Shephard* and *Justin J. Yang*
- 2015: Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA
*Giovanni Mottola*
- 2015: Sudden Trust Collapse in Networked Societies
*Jo\~ao da Gama Batista*, *Jean-Philippe Bouchaud* and *Damien Challet*
- 2015: Fact Sheet Research on Bayesian Decision Theory
*H. R. N. van Erp*, *R. O. Linger* and *P. H. A. J. M. van Gelder*
- 2015: Herding interactions as an opportunity to prevent extreme events in financial markets
*Aleksejus Kononovicius* and *Vygintas Gontis*
- 2015: Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks
*Benjamin Vandermarliere*, *Alexei Karas*, *Jan Ryckebusch* and *Koen Schoors*
- 2015: Custom v. Standardized Risk Models
*Zura Kakushadze* and *Jim Kyung-Soo Liew*
- 2015: Game theory analysis for carbon auction market through electricity market coupling
*Mireille Bossy*, *Nadia Maizi* and *Odile Pourtallier*
- 2015: Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences
*Chris Kenyon* and *Andrew Green*
- 2015: Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods
*Nicolo Musmeci*, *Tomaso Aste* and *Tiziana Di Matteo*
- 2015: Combining Alpha Streams with Costs
*Zura Kakushadze*
- 2015: Optimal Execution in Lit and Dark Pools
*M. Alessandra Crisafi* and *Andrea Macrina*
- 2015: MVA: Initial Margin Valuation Adjustment by Replication and Regression
*Andrew Green* and *Chris Kenyon*
- 2015: Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context
*Qinghua Li*
- 2015: On the properties of nodal price response matrix in electricity markets
*Vadim Borokhov*
- 2015: Is It Possible to OD on Alpha?
*Zura Kakushadze* and *Jim Kyung-Soo Liew*
- 2015: Trajectory Based Models, Arbitrage and Continuity
*Alexander Alvarez* and *Sebastian Ferrando*
- 2015: Asymptotic Glosten Milgrom equilibrium
*Cheng Li* and *Hao Xing*
- 2015: Complexity, economic science and possible economic benefits of climate change mitigation policy
*Jean-Francois Mercure*, *H. Pollitt*, *U. Chewpreecha*, *P. Salas*, *A. Foley*, *P. B. Holden* and *N. R. Edwards*
- 2015: High frequency trading and asymptotics for small risk aversion in a Markov renewal model
*Pietro Fodra* and *Huy\^en Pham*
- 2015: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
*Paulwin Graewe*, *Ulrich Horst* and *Jinniao Qiu*
- 2015: Different Cost Performance: Different Determinants? The Case of Cost Overruns in Dutch Transportation Infrastructure Projects
*Chantal C. Cantarelli*, *Bert van Wee*, *Eric J. E. Molin* and *Bent Flyvbjerg*
- 2015: Characteristics of Cost Overruns for Dutch Transport Infrastructure Projects and the Importance of the Decision to Build and Project Phases
*Chantal C. Cantarelli*, *Eric J. E. Molin*, *Bert van Wee* and *Bent Flyvbjerg*
- 2015: A comparison of techniques for dynamic multivariate risk measures
*Zachary Feinstein* and *Birgit Rudloff*
- 2015: On an integral equation for the free-boundary of stochastic, irreversible investment problems
*Giorgio Ferrari*
- 2014: Observing Each Other's Observations in the Electronic Mail Game
*Dominik Grafenhofer* and *Wolgang Kuhle*
- 2014: Community detection in temporal multilayer networks, and its application to correlation networks
*Marya Bazzi*, *Mason A. Porter*, *Stacy Williams*, *Mark McDonald*, *Daniel J. Fenn* and *Sam D. Howison*
- 2014: Optimal Selling Time of a Stock under Capital Gains Taxes
*Christoph K\"uhn*, *Budhi Arta Surya* and *Bj\"orn Ulbricht*
- 2014: Towards a formalization of a two traders market with information exchange
*F. Bagarello* and *E. Haven*
- 2014: Optimal Control Model of Software Quality for Digital Vendors
*James Fan* and *Christopher Griffin*
- 2014: Accounting for Earnings Announcements in the Pricing of Equity Options
*Tim Leung* and *Marco Santoli*
- 2014: Adaptive Market Efficiency of Agricultural Commodity Futures Contracts
*Semei Coronado-Ram\'irez*, *Pedro Celso-Arellano* and *Omar Rojas*
- 2014: Derivatives pricing in energy markets: an infinite dimensional approach
*Fred Espen Benth* and *Paul Kr\"uhner*
- 2014: Optimal switching for pairs trading rule: a viscosity solutions approach
*Minh Man Ngo* and *Huyen Pham*
- 2014: Tail Risk Constraints and Maximum Entropy
*Donald Geman*, *H\'elyette Geman* and *Nassim Nicholas Taleb*
- 2014: A new perspective on the fundamental theorem of asset pricing for large financial markets
*Christa Cuchiero*, *Irene Klein* and *Josef Teichmann*
- 2014: Inflation and speculation in a dynamic macroeconomic model
*Matheus Grasselli* and *Adrien Nguyen Huu*
- 2014: Smile with the Gaussian term structure model
*Abdelkoddousse Ahdida*, *Aur\'elien Alfonsi* and *Ernesto Palidda*
- 2014: Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange
*Mitsuaki Murota* and *Jun-ichi Inoue*
- 2014: An $H$ theorem for Boltzmann's equation for the Yard-Sale Model of asset exchange
*Bruce M. Boghosian*, *Merek Johnson* and *Jeremy Marcq*
- 2014: Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling
*Emmanuel Bacry*, *Thibault Jaisson* and *Jean-Francois Muzy*
- 2014: Fundamental theorem of asset pricing: a strengthened version and $p$-summable markets
*Andrei Lebedev* and *Petr Zabreiko*
- 2014: Visualizing the Invisible Hand of Markets: Simulating complex dynamic economic interactions
*Klaus Jaffe*
- 2014: Risk measuring under liquidity risk
*Erindi Allaj*
- 2014: Dynamic Conic Finance via Backward Stochastic Difference Equations
*Tomasz R. Bielecki*, *Igor Cialenco* and *Tao Chen*
- 2014: Nonlinear GARCH model and 1/f noise
*Aleksejus Kononovicius* and *Julius Ruseckas*
- 2014: Backtest of Trading Systems on Candle Charts
*Stanislaus Maier-Paape* and *Andreas Platen*
- 2014: Indifference prices, implied volatilities and implied Sharpe ratios
*Matthew Lorig*
- 2014: Aggregation operators for the measurement of systemic risk
*Jozsef Mezei* and *Peter Sarlin*
- 2014: A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models
*Galina Andreeva*, *Raffaella Calabrese* and *Silvia Angela Osmetti*
- 2014: Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning
*Chris Kenyon* and *Andrew Green*
- 2014: Convenient liquidity measure for Financial markets
*Oleh Danyliv*, *Bruce Bland* and *Daniel Nicholass*
- 2014: Optimal execution with nonlinear transient market impact
*Gianbiagio Curato*, *Jim Gatheral* and *Fabrizio Lillo*
- 2014: Conditional Analysis and a Principal-Agent problem
*Julio Backhoff* and *Ulrich Horst*
- 2014: On Pareto theory of circulation of elites
*Ricardo P\'erez-Marco*
- 2014: A Million Metaorder Analysis of Market Impact on the Bitcoin
*Jonathan Donier* and *Julius Bonart*
- 2014: Nonparametric Stochastic Discount Factor Decomposition
*Timothy Christensen*
- 2014: Russian-Doll Risk Models
*Zura Kakushadze*
- 2014: Equilibrium in risk-sharing games
*Michail Anthropelos* and *Constantinos Kardaras*
- 2014: Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$
*Denis Belomestny* and *Tigran Nagapetyan*
- 2014: Coupling news sentiment with web browsing data predicts intra-day stock prices
*Gabriele Ranco*, *Ilaria Bordino*, *Giacomo Bormetti*, *Guido Caldarelli*, *Fabrizio Lillo* and *Michele Treccani*
- 2014: Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model
*Q. Feng* and *C. W. Oosterlee*
- 2014: Max-factor individual risk models with application to credit portfolios
*Michel Denuit*, *Anna Kiriliouk* and *Johan Segers*
- 2014: Multilevel approximation of backward stochastic differential equations
*Dirk Becherer* and *Plamen Turkedjiev*
- 2014: Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets
*Omar Rojas* and *Carlos Trejo-Pech*
- 2014: Taxation as an instrument of stimulation of innovation-active business entities
*Andrey Nechaev*
- 2014: A BSDE approach to fair bilateral pricing under endogenous collateralization
*Tianyang Nie* and *Marek Rutkowski*
- 2014: Modellierungskonzepte der Synergetik und der Theorie der Selbstorganisation
*Werner Ebeling* and *Andrea Scharnhorst*
- 2014: Purchasing Term Life Insurance to Reach a Bequest while Consuming
*Erhan Bayraktar*, *David Promislow* and *Virginia Young*
- 2014: Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate
*Elia Zarinelli*, *Michele Treccani*, *J. Doyne Farmer* and *Fabrizio Lillo*
- 2014: Competition of Commodities for the Status of Money in an Agent-based Model
*Robert G\k{e}barowski*, *Stanis{\l}aw Dro\.zd\.z*, *Andrzej Z. G\'orski* and *Pawe{\l} O\'swi\k{e}cimka*
- 2014: Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games
*Erhan Bayraktar* and *Song Yao*
- 2014: Reserve-Dependent Surrender
*Kamille Sofie T{\aa}gholt Gad*, *Jeppe Juhl* and *Mogens Steffensen*
- 2014: Stess-testing the system: Financial shock contagion in the realm of uncertainty
*Stefano Gurciullo*
- 2014: Spanning trees of the World Trade Web: real-world data and the gravity model of trade
*Patryk Skowron*, *Mariusz Karpiarz*, *Agata Fronczak* and *Piotr Fronczak*
- 2014: A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding
*Giovanni Mottola*
- 2014: Model-Independent Pricing of Asian Options via Optimal Martingale Transport
*Florian Stebegg*
- 2014: Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA
*Giovanni Mottola*
- 2014: Gas Storage valuation with regime switching
*Nicole B\"auerle* and *Viola Riess*
- 2014: Skewness and kurtosis analysis for non-Gaussian distributions
*Ahmet Celikoglu* and *Ugur Tirnakli*
- 2014: Regulatory Capital Modelling for Credit Risk
*Marek Rutkowski* and *Silvio Tarca*
- 2014: Firm size distribution in Italy and employment protection
*Luca Amendola*
- 2014: Market impacts and the life cycle of investors orders
*Emmanuel Bacry*, *Adrian Iuga*, *Matthieu Lasnier* and *Charles-Albert Lehalle*
- 2014: The impact of startup costs and the grid operator on the power price equilibrium
*Miha Troha* and *Raphael Hauser*
- 2014: A fully consistent, minimal model for non-linear market impact
*Jonathan Donier*, *Julius Bonart*, *Iacopo Mastromatteo* and *Jean-Philippe Bouchaud*
- 2014: Risk minimization and portfolio diversification
*Farzad Pourbabaee*, *Minsuk Kwak* and *Traian A. Pirvu*
- 2014: Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm
*Frank Gehmlich* and *Thorsten Schmidt*
- 2014: The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels
*Jihun Han* and *Hyungbin Park*
- 2014: On the Coherent Risk Measure Representations in the Discrete Probability Spaces
*Kerem Ugurlu*
- 2014: Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics
*Rafael Serrano*
- 2014: Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations
*Nicole B\"auerle*, *Igor Gilitschenski* and *Uwe D. Hanebeck*
- 2014: Global Value Trees
*Zhen Zhu*, *Michelangelo Puliga*, *Federica Cerina*, *Alessandro Chessa* and *Massimo Riccaboni*
- 2014: Optimal Monitoring and Mitigation of Systemic Risk in Financial Networks
*Zhang Li*, *Xiaojun Lin*, *Borja Peleato-Inarrea* and *Ilya Pollak*
- 2014: Ross Recovery with Recurrent and Transient Processes
*Hyungbin Park*
- 2014: Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
*Cody Hyndman* and *Xinghua Zhou*
- 2014: Fair bilateral prices in Bergman's model
*Tianyang Nie* and *Marek Rutkowski*
- 2014: Fair and profitable bilateral prices under funding costs and collateralization
*Tianyang Nie* and *Marek Rutkowski*
- 2014: On the convergence of the Fitness-Complexity Algorithm
*Emanuele Pugliese*, *Andrea Zaccaria* and *Luciano Pietronero*
- 2014: Classical mechanics of economic networks
*Nima Dehmamy*, *Sergey V. Buldyrev*, *Shlomo Havlin*, *H. Eugene Stanley* and *Irena Vodenska*
- 2014: On the interplay between short and long term memory in the power-law cross-correlations setting
*Ladislav Krištoufek*
- 2014: Optimal double stopping of a Brownian bridge
*Erik J. Baurdoux*, *Nan Chen*, *Budhi A. Surya* and *Kazutoshi Yamazaki*
- 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: VWAP Execution as an Optimal Strategy
*Takashi Kato*
- 2014: Fragility of the Commons under Prospect-Theoretic Risk Attitudes
*Ashish R. Hota*, *Siddharth Garg* and *Shreyas Sundaram*
- 2014: Comparing the $G$-Normal Distribution to its Classical Counterpart
*Erhan Bayraktar* and *Alexander Munk*
- 2014: A convex duality method for optimal liquidation with participation constraints
*Olivier Gu\'eant*, *Jean-Michel Lasry* and *Jiang Pu*
- 2014: To sigmoid-based functional description of the volatility smile
*Andrey Itkin*
- 2014: Modeling FX market activity around macroeconomic news: a Hawkes process approach
*Marcello Rambaldi*, *Paris Pennesi* and *Fabrizio Lillo*
- 2014: Valuation and Hedging of Contracts with Funding Costs and Collateralization
*Tomasz R. Bielecki* and *Marek Rutkowski*
- 2014: Optimal stopping under model uncertainty: randomized stopping times approach
*Denis Belomestny* and *Volker Kraetschmer*
- 2014: A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing
*Masaaki Fujii*
- 2014: An importance sampling approach for copula models in insurance
*Philipp Arbenz*, *Mathieu Cambou* and *Marius Hofert*
- 2014: Model-independent Superhedging under Portfolio Constraints
*Arash Fahim* and *Yu-Jui Huang*
- 2014: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
*Worapree Maneesoonthorn*, *Catherine Forbes* and *Gael M. Martin*
- 2014: Agent-based models for latent liquidity and concave price impact
*Iacopo Mastromatteo*, *Bence Toth* and *Jean-Philippe Bouchaud*
- 2014: Multivariate transient price impact and matrix-valued positive definite functions
*Aur\'elien Alfonsi*, *Alexander Schied* and *Florian Kl\"ock*
- 2014: Implicit transaction costs and the fundamental theorems of asset pricing
*Erindi Allaj*
- 2014: Cascades in real interbank markets
*Fariba Karimi* and *Matthias Raddant*
- 2014: The Convexity of the Free Boundary for the American put option
*Hsuan-Ku Liu*
- 2014: Asset Pricing and Valuation under the Real-World Probability Measure
*Gabriel Frahm*
- 2014: Optimal execution and block trade pricing: a general framework
*Olivier Gu\'eant*
- 2014: An Optimal Execution Problem with Market Impact
*Takashi Kato*
- 2014: Dual Stochastic Transformations of Solvable Diffusions
*Giuseppe Campolieti* and *Roman N. Makarov*
- 2014: Analyses of Statistical Structures in Economic Indices
*Frank W. K. Firk*
- 2014: Budget Imbalance Criteria for Auctions: A Formalized Theorem
*Marco B. Caminati*, *Manfred Kerber* and *Colin Rowat*
- 2014: A biased view of a few possible components when reflecting on the present decade financial and economic crisis
*Marcel Ausloos*
- 2014: Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia
*Marek Rutkowski* and *Silvio Tarca*
- 2014: Misspecified Recovery
*Jaroslav Borovi\v{c}ka*, *Lars Peter Hansen* and *Jos\'e A. Scheinkman*
- 2014: Existence of Steady States for Over-the-Counter Market Models with Several Assets
*Alain Belanger*, *Gaston Giroux* and *Ndoune Ndoune*
- 2014: Evidence of Economic Regularities and Disparities of Italian Regions From Aggregated Tax Income Size Data
*Roy Cerqueti* and *Marcel Ausloos*
- 2014: Improving predictability of time series using maximum entropy methods
*Gregor Chliamovitch*, *Alexandre Dupuis*, *Bastien Chopard* and *Anton Golub*
- 2014: Capital Investment and Liquidity Management with collateralized debt
*Erwan Pierre*, *St\'ephane Villeneuve* and *Xavier Warin*
- 2014: Asymptotic behaviour of the fractional Heston model
*Hamza Guennoun*, *Antoine Jacquier* and *Patrick Roome*
- 2014: Indirect Influences in International Trade
*Rafael Diaz* and *Laura Gomez*
- 2014: Hydrodynamic limit of order book dynamics
*Xuefeng Gao*, *J. G. Dai*, *A. B. Dieker* and *S. J. Deng*
- 2014: Risk-Sensitive Mean-Field Type Control under Partial Observation
*Boualem Djehiche* and *Hamidou Tembine*
- 2014: On Trading American Put Options with Interactive Volatility
*Sigurd Assing* and *Yufan Zhao*
- 2014: On robust representation of conditional risk measures on a $L^\infty$-type module
*Jos\'e Miguel Zapata*
- 2014: Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
*Tim Leung*, *Xin Li* and *Zheng Wang*
- 2014: Two maxentropic approaches to determine the probability density of compound risk losses
*Erika Gomes-Gon\c{c}alves*, *Henryk Gzyl* and *Silvia Mayoral*
- 2014: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization
*Xiaolin Luo* and *Pavel V. Shevchenko*
- 2014: Large deviations of the realized (co-)volatility vector
*Hac\`ene Djellout*, *Arnaud Guillin* and *Yacouba Samoura*
- 2014: Optimal Mean Reversion Trading with Transaction Cost and Stop-Loss Exit
*Tim Leung* and *Xin Li*
- 2014: Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines
*David Walsh-Jones*, *Daniel Jones* and *Christoph Reisinger*
- 2014: Diversification versus specialization -- lessons from a noise driven linear dynamical system
*Gabriell Mate* and *Zoltan Neda*
- 2014: Theories of Accounting: Evolution & Developments, Income-Determination and Diversities in Use
*Angus O. Unegbu*
- 2014: Solving finite time horizon Dynkin games by optimal switching
*Randall Martyr*
- 2014: Characterization of Market Models in the Presence of Traded Vanilla and Barrier Options
*Peter Spoida*
- 2014: Multi-curve HJM modelling for risk management
*Chiara Sabelli*, *Michele Pioppi*, *Luca Sitzia* and *Giacomo Bormetti*
- 2014: Holding Period Information in Options Hedging
*Antoine E. Zambelli*
- 2014: A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
*Ben Hambly*, *Matthieu Mariapragassam* and *Christoph Reisinger*
- 2014: Kelly criterion for variable pay-off
*Ricardo P\'erez-Marco*
- 2014: Trend and Fractality Assessment of Mexico's Stock Exchange
*Javier Morales*, *V\'ictor Tercero*, *Fernando Camacho*, *Eduardo Cordero*, *Luis L\'opez* and *F-Javier Almaguer*
- 2014: Long Term Risk: A Martingale Approach
*Likuan Qin* and *Vadim Linetsky*
- 2014: Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization and Ross Recovery
*Likuan Qin* and *Vadim Linetsky*
- 2014: Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That
*Peter B. Lerner*
- 2014: A continuous auction model with insiders and random time of information release
*Jos\'e Manuel Corcuera*, *Giulia Di Nunno*, *Gergely Farkas* and *Bernt {\O}ksendal*
- 2014: Process-Based Risk Measures for Observable and Partially Observable Discrete-Time Controlled Systems
*Jingnan Fan* and *Andrzej Ruszczynski*
- 2014: Exact solution of a generalized version of the Black-Scholes equation
*Liviu-Adrian Cotfas*, *Camelia Delcea* and *Nicolae Cotfas*
- 2014: Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary
*Giorgio Ferrari* and *Paavo Salminen*
- 2014: Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction
*Shingo Ichiki* and *Katsuhiro Nishinari*
- 2014: Innovation, competition, diversification: a tree form dynamics of long-term development
*Shidong Wang* and *Cheng Wan*
- 2014: Evolving intraday foreign exchange trading strategies utilizing multiple instruments price series
*Simone Cirillo*, *Stefan Lloyd* and *Peter Nordin*
- 2014: It's not the economy, stupid! How social capital and GDP relate to happiness over time
*Stefano Bartolini* and *Francesco Sarracino*
- 2014: A General Equilibrium Theorem for the Economy of Giving
*W. P. Weijland*
- 2014: On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets
*Daniel Wilson-Nunn* and *Hector Zenil*
- 2014: Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents
*Mateusz Denys*, *Tomasz Gubiec* and *Ryszard Kutner*
- 2014: General smile asymptotics with bounded maturity
*Francesco Caravenna* and *Jacopo Corbetta*
- 2014: Income Distribution in the European Union Versus in the United States
*Maciej Jagielski*, *Rafa{\l} Duczmal* and *Ryszard Kutner*
- 2014: Modelling cross-border systemic risk in the European banking sector: a copula approach
*Raffaella Calabrese* and *Silvia Osmetti*
- 2014: Super-replication with nonlinear transaction costs and volatility uncertaint
*Peter Bank*, *Yan Dolinsky* and *Selim G\"okay*
- 2014: An Equilibrium Framework for Players with Misspecified Models
*Ignacio Esponda* and *Demian Pouzo*
- 2014: Incorporating Views on Marginal Distributions in the Calibration of Risk Models
*Santanu Dey*, *Sandeep Juneja* and *Karthyek R. A. Murthy*
- 2014: Risk measures with the CxLS property
*Freddy Delbaen*, *Fabio Bellini*, *Valeria Bignozzi* and *Johanna F. Ziegel*
- 2014: Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
*Dmitry Kramkov* and *Sergio Pulido*
- 2014: Spectrum-based estimators of the bivariate Hurst exponent
*Ladislav Krištoufek*
- 2014: Efficient solution of structural default models with correlated jumps and mutual obligations
*Andrey Itkin* and *Alexander Lipton*
- 2014: Optimization of relative arbitrage
*Ting-Kam Leonard Wong*
- 2014: One-level limit order books with sparsity and memory
*Jonathan A. Ch\'avez-Casillas* and *Jos\'e E. Figueroa-L\'opez*
- 2014: Exact and asymptotic solutions of the call auction problem
*Ioane Muni Toke*
- 2014: Game Theory, Statistical Mechanics and Income Inequality
*Venkat Venkatasubramanian*, *Yu Luo* and *Jay Sethuraman*
- 2014: Thermodynamics of inequalities: from precariousness to economic stratification
*Matteo Smerlak*
- 2014: On possible origins of trends in financial market price changes
*Ryo Murakami*, *Tomomichi Nakamura*, *Shin Kimura*, *Masashi Manabe* and *Toshihiro Tanizawa*
- 2014: Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness
*J. D. Opdyke*
- 2014: Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$
*Shiqi Song*
- 2014: A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
*Tiziano De Angelis*, *Giorgio Ferrari* and *John Moriarty*
- 2014: On the Super-Additivity and Estimation Biases of Quantile Contributions
*Nassim N Taleb* and *Raphael Douady*
- 2014: Default Probability Estimation via Pair Copula Constructions
*Luciana Dalla Valle*, *Maria Elena De Giuli*, *Claudia Tarantola* and *Claudio Manelli*
- 2014: Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs
*Erhan Bayraktar* and *Yuchong Zhang*
- 2014: The Master Equation in Mean Field Theory
*Alain Bensoussan*, *Jens Frehse* and *Phillip Yam*
- 2014: Asymptotics for $d$-dimensional L\'evy-type processes
*Matthew Lorig*, *Stefano Pagliarani* and *Andrea Pascucci*
- 2014: On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market
*Alexandra Rodkina* and *Nikolai Dokuchaev*
- 2014: A First-Order BSPDE for Swing Option Pricing: Classical Solutions
*Christian Bender* and *Nikolai Dokuchaev*
- 2014: Reconstructing the world trade multiplex: the role of intensive and extensive biases
*Rossana Mastrandrea*, *Tiziano Squartini*, *Giorgio Fagiolo* and *Diego Garlaschelli*
- 2014: The geometry of relative arbitrage
*Soumik Pal* and *Ting-Kam Leonard Wong*
- 2014: Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
*Erhan Bayraktar* and *Yuchong Zhang*
- 2014: Mathematical Foundations for the Economy of Giving
*W. P. Weijland*
- 2014: Estimating time-changes in noisy L\'evy models
*Adam D. Bull*
- 2014: Local risk-minimization under restricted information to asset prices
*Claudia Ceci*, *Katia Colaneri* and *Alessandra Cretarola*
- 2014: Analytical expansions for parabolic equations
*Matthew Lorig*, *Stefano Pagliarani* and *Andrea Pascucci*
- 2014: What is the best risk measure in practice? A comparison of standard measures
*Susanne Emmer*, *Marie Kratz* and *Dirk Tasche*
- 2014: Pathwise stochastic integrals for model free finance
*Nicolas Perkowski* and *David J. Pr\"omel*
- 2014: Time--consistent investment under model uncertainty: the robust forward criteria
*Sigrid Kallblad*, *Jan Obloj* and *Thaleia Zariphopoulou*
- 2014: Illiquidity and Insolvency: a Double Cascade Model of Financial Crises
*Thomas R. Hurd*, *Davide Cellai*, *Sergey Melnik* and *Quentin Shao*
- 2014: Revisiting the Merit-Order Effect of Renewable Energy Sources
*Marcus Hildmann*, *Andreas Ulbig* and *G\"oran Andersson*
- 2014: Explicit implied volatilities for multifactor local-stochastic volatility models
*Matthew Lorig*, *Stefano Pagliarani* and *Andrea Pascucci*
- 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: An age structured demographic theory of technological change
*Jean-Francois Mercure*
- 2014: Pricing approximations and error estimates for local L\'evy-type models with default
*Matthew Lorig*, *Stefano Pagliarani* and *Andrea Pascucci*
- 2014: Optimal order placement in limit order markets
*Rama Cont* and *Arseniy Kukanov*
- 2014: Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations
*Paul M. N. Feehan* and *Camelia A. Pop*
- 2014: A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
*Taras Bodnar*, *Nestor Parolya* and *Wolfgang Schmid*
- 2014: Valuation and parities for exchange options
*Constantinos Kardaras*
- 2014: An algorithm for the orthogonal decomposition of financial return data
*Vic Norton*
- 2014: Universal Algorithm for Online Trading Based on the Method of Calibration
*Vladimir V'yugin* and *Vladimir Trunov*
- 2014: Why is order flow so persistent?
*Bence Toth*, *Imon Palit*, *Fabrizio Lillo* and *J. Farmer*
- 2014: Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model
*Runhuan Feng*, *Hans Volkmer*, *Shuaiqi Zhang* and *Chao Zhu*
- 2014: Optimal strategies in collective Parrondo games
*Luis Dinis* and *Juan M. R. Parrondo*
- 2014: Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
*Jamal Amani Rad* and *Kourosh Parand*
- 2014: Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
*Jamal Amani Rad*, *Kourosh Parand* and *Saeid Abbasbandy*
- 2014: Cooperation under Incomplete Information on the Discount Factors
*Cy Maor* and *Eilon Solan*
- 2014: Systemic risk in a large claims insurance market with bipartite graph structure
*Oliver Kley*, *Claudia Kluppelberg* and *Gesine Reinert*
- 2014: Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy
*Xiaolin Luo* and *Pavel Shevchenko*
- 2014: Global convergence and stability of a convolution method for numerical solution of BSDEs
*Cody Blaine Hyndman* and *Polynice Oyono Ngou*
- 2014: The Model Confidence Set package for R
*Mauro Bernardi* and *Leopoldo Catania*
- 2014: Cycling in stochastic general equilibrium
*Zhijian Wang* and *Bin Xu*
- 2014: When does the stock market listen to economic news? New evidence from copulas and news wires
*Ivan Medovikov*
- 2014: Optimal Allocation of Trend Following Strategies
*Denis S. Grebenkov* and *Jeremy Serror*
- 2014: Efficient price dynamics in a limit order market: an utility indifference approach
*Masaaki Fukasawa*
- 2014: Pricing and Hedging Long-Term Options
*Hyungbin Park*
- 2014: Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending
*Vladimir Dombrovskii* and *Tatyana Obedko*
- 2014: Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis
*Hao-Che Chen*
- 2014: A new multivariate dependence measure based on comonotonicity
*Ying Zhang* and *Chuancun Yin*
- 2014: Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window
*Luca Onorante* and *Adrian E. Raftery*
- 2014: Pricing and Hedging GMWB Riders in a Binomial Framework
*Cody B. Hyndman* and *Menachem Wenger*
- 2014: Randomisation and recursion methods for mixed-exponential Levy models, with financial applications
*Aleksandar Mijatovic*, *Martijn Pistorius* and *Johannes Stolte*
- 2014: Large-Maturity Regimes of the Heston Forward Smile
*Antoine Jacquier* and *Patrick Roome*
- 2014: Are news important to predict large losses?
*Mauro Bernardi*, *Leopoldo Catania* and *Lea Petrella*
- 2014: qGaussian model of default
*Yuri A. Katz*
- 2014: Stock fluctuations are correlated and amplified across networks of interlocking directorates
*Serguei Saavedra*, *Luis J. Gilarranz*, *Rudolf P. Rohr*, *Michael Schnabel*, *Brian Uzzi* and *Jordi Bascompte*
- 2014: Asset Pricing in an Imperfect World
*Gianluca Cassese*
- 2014: Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates
*Beata Stehlikova*
- 2014: Pricing of European Basket Call Option under Exponential Ornstein-Uhlenbeck Process
*Jingwei Liu*, *Jiwen Luo* and *Xing Chen*
- 2014: Is mathematics able to give insight into current questions in finance, economics and politics?
*Larry Shepp* and *Michael Imerman*
- 2014: The non-linear trade-off between return and risk: a regime-switching multi-factor framework
*John Cotter* and *Enrique Salvador*
- 2014: Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem
*Vladimir V'yugin*
- 2014: Recombining binomial tree for constant elasticity of variance process
*Hi Jun Choe*, *Jeong Ho Chu* and *So Jeong Shin*
- 2014: The Precautionary Principle (with Application to the Genetic Modification of Organisms)
*Nassim Nicholas Taleb*, *Rupert Read*, *Raphael Douady*, *Joseph Norman* and *Yaneer Bar-Yam*
- 2014: Risk diversification: a study of persistence with a filtered correlation-network approach
*Nicol\'o Musmeci*, *Tomaso Aste* and *Tiziana Di Matteo*
- 2014: 4-Factor Model for Overnight Returns
*Zura Kakushadze*
- 2014: Conditional Preference Orders and their Numerical Representations
*Samuel Drapeau* and *Asgar Jamneshan*
- 2014: Portfolio Selection with Multiple Spectral Risk Constraints
*Carlos Abad* and *Garud Iyengar*
- 2014: RHOMOLO: A Dynamic Spatial General Equilibrium Model for Assessing the Impact of Cohesion Policy
*Andries Brandsma*, *d'Artis Kancs*, *Philippe Monfort* and *Alexandra Rillaers*
- 2014: Robust Fundamental Theorem for Continuous Processes
*Sara Biagini*, *Bruno Bouchard*, *Constantinos Kardaras* and *Marcel Nutz*
- 2014: Assessing the Inequalities of Wealth in Regions: the Italian Case
*Roy Cerqueti* and *Marcel Ausloos*
- 2014: A polynomial distribution applied to income and wealth distribution
*Elvis Oltean* and *Fedor Kusmartsev*
- 2014: Arbitrage free markets geometry
*A. V. Lebedev* and *P. P. Zabreiko*
- 2014: Consistency of internal risk measure estimates
*Mark H. A. Davis*
- 2014: A statistical physics analysis of expenditure in the UK
*Elvis Oltean* and *Fedor Kusmartsev*
- 2014: An econophysical approach of polynomial distribution applied to income and expenditure
*Elvis Oltean*
- 2014: An Econophysical dynamic approach of expenditure and income distribution in the UK
*Elvis Oltean* and *Fedor Kusmartsev*
- 2014: Applications of statistical physics distributions to several types of income
*Elvis Oltean* and *Fedor V. Kusmartsev*
- 2014: Optimal dividend payment under time of ruin contraint: Exponential case
*Camilo Hernandez* and *Mauricio Junca*
- 2014: Volatility is rough
*Jim Gatheral*, *Thibault Jaisson* and *Mathieu Rosenbaum*
- 2014: A study of Methods from Statistical Mechanics applied to income distribution
*Elvis Oltean* and *Fedor Kusmartsev*
- 2014: Arbitrage theory without a num\'eraire
*Michael R. Tehranchi*
- 2014: Benford's law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions
*Tariq Ahmad Mir*, *Marcel Ausloos* and *Roy Cerqueti*
- 2014: Communication impacting financial markets
*Jorgen Vitting Andersen*, *Ioannis Vrontos*, *Petros Dellaportas* and *Serge Galam*
- 2014: Propagation of Systemic Risk in Interbank Networks
*Vanessa Hoffmann de Quadros*, *Juan Carlos Gonz\'alez-Avella* and *Jos\'e Roberto Iglesias*
- 2014: Reconstructing topological properties of complex networks using the fitness model
*Giulio Cimini*, *Tiziano Squartini*, *Nicol\`o Musmeci*, *Michelangelo Puliga*, *Andrea Gabrielli*, *Diego Garlaschelli*, *Stefano Battiston* and *Guido Caldarelli*
- 2014: An initial approach to Risk Management of Funding Costs
*Damiano Brigo* and *Cyril Durand*
- 2014: Tug-of-war, market manipulation and option pricing
*Kaj Nystr\"om* and *Mikko Parviainen*
- 2014: Path Integral and Asset Pricing
*Zura Kakushadze*
- 2014: Optimal execution of ASR contracts with fixed notional
*Olivier Gu\'eant*
- 2014: On volatility smile and an investment strategy with out-of-the-money calls
*Jarno Talponen*
- 2014: Rationality parameter for exercising American put
*K. Gad* and *J. L. Pedersen*
- 2014: Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control
*Vladimir Dombrovskii* and *Tatyana Obyedko*
- 2014: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
*Rodrigo Targino*, *Gareth W. Peters* and *Pavel V. Shevchenko*
- 2014: Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
*Wanyang Dai*
- 2014: An expansion in the model space in the context of utility maximization
*Kasper Larsen*, *Oleksii Mostovyi* and *Gordan \v{Z}itkovi\'c*
- 2014: Stability of Utility Maximization in Nonequivalent Markets
*Kim Weston*
- 2014: A General Duality Relation with Applications in Quantitative Risk Management
*Raphael Hauser*, *Sergey Shahverdyan* and *Paul Embrechts*
- 2014: Indifference pricing for Contingent Claims: Large Deviations Effects
*Scott Robertson* and *Konstantinos Spiliopoulos*
- 2014: Systemic Interbank Network Risks in Russia
*A. V. Leonidov* and *E. L. Rumyantsev*
- 2014: The Fourier estimation method with positive semi-definite estimators
*Jir\^o Akahori*, *Nien-Lin Liu*, *Maria Elvira Mancino* and *Yukie Yasuda*
- 2014: Socio-economic inequalities: a statistical physics perspective
*Arnab Chatterjee*
- 2014: A simple dynamical model leading to Pareto wealth distribution and stability
*Ricardo P\'erez-Marco*
- 2014: Optimal Execution with Dynamic Order Flow Imbalance
*Kyle Bechler* and *Mike Ludkovski*
- 2014: Quantile Hedging in a Semi-Static Market with Model Uncertainty
*Erhan Bayraktar* and *Gu Wang*
- 2014: Mean-Reversion and Optimization
*Zura Kakushadze*
- 2014: A system of quadratic BSDEs arising in a price impact model
*Dmitry Kramkov* and *Sergio Pulido*
- 2014: New Pricing Framework: Options and Bonds
*Nick Laskin*
- 2014: A Bellman View of Jesse Livermore
*Nick Polson* and *Jan Hendrik Witte*
- 2014: Localization in covariance matrices of coupled heterogenous Ornstein-Uhlenbeck processes
*Paolo Barucca*
- 2014: A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition
*Ulrich Horst*, *Jinniao Qiu* and *Qi Zhang*
- 2014: Optimal investment with time-varying stochastic endowments
*An Chen*, *Carla Mereu* and *Robert Stelzer*
- 2014: Factor Models for Alpha Streams
*Zura Kakushadze*
- 2014: Multilevel path simulation for weak approximation schemes
*Denis Belomestny* and *Tigran Nagapetyan*
- 2014: Can Turnover Go to Zero?
*Zura Kakushadze*
- 2014: Networks of Military Alliances, Wars, and International Trade
*Matthew Jackson* and *Stephen M. Nei*
- 2014: Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets
*Nassim N. Taleb*
- 2014: KVA: Capital Valuation Adjustment
*Andrew Green* and *Chris Kenyon*
- 2014: Stochastic Evolution of Stock Market Volume-Price Distributions
*Paulo Rocha*, *Frank Raischel*, *Jo\~ao P. da Cruz* and *Pedro G. Lind*
- 2014: Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility
*Jos\'e E. Figueroa-L\'opez* and *Sveinn \'Olafsson*
- 2014: Are credit ratings time-homogeneous and Markov?
*Pedro Lencastre*, *Frank Raischel*, *Pedro G. Lind* and *Tim Rogers*
- 2014: Utility maximization in the large markets
*Oleksii Mostovyi*
- 2014: Branching ratio approximation for the self-exciting Hawkes process
*Stephen J. Hardiman* and *Jean-Philippe Bouchaud*
- 2014: High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm
*Dieter Hendricks*, *Diane Wilcox* and *Tim Gebbie*
- 2014: Zipf's law in city size from a resource utilization model
*Asim Ghosh*, *Arnab Chatterjee*, *Anindya S. Chakrabarti* and *Bikas K Chakrabarti*
- 2014: Efficient Modeling and Forecasting of the Electricity Spot Price
*Florian Ziel*, *Rick Steinert* and *Sven Husmann*
- 2014: Systemic Risk and Default Clustering for Large Financial Systems
*Konstantinos Spiliopoulos*
- 2014: Martingale Inequalities and Deterministic Counterparts
*Mathias Beiglb\"ock* and *Marcel Nutz*
- 2014: Optimal Strategies for a Long-Term Static Investor
*Lingjiong Zhu*
- 2014: Community detection for correlation matrices
*Mel MacMahon* and *Diego Garlaschelli*
- 2014: Modeling capital gains taxes for trading strategies of infinite variation
*Christoph K\"uhn* and *Bj\"orn Ulbricht*
- 2014: Analytical solution for a class of network dynamics with mechanical and financial applications
*Pavel Krej\v{c}\'i*, *Harbir Lamba*, *Sergey Melnik* and *Dmitrii Rachinskii*
- 2014: Heavy tailed time series with extremal independence
*Rafal Kulik* and *Philippe Soulier*
- 2014: Existence of an endogenously complete equilibrium driven by a diffusion
*Dmitry Kramkov*
- 2014: Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims
*Lingjiong Zhu*
- 2014: Multiportfolio time consistency for set-valued convex and coherent risk measures
*Zachary Feinstein* and *Birgit Rudloff*
- 2014: Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact
*Baojun Bian*, *Nan Wu* and *Harry Zheng*
- 2014: A simple strong solution to non-linear HJB PDEs: an application to the portfolio model
*Moawia Alghalith*
- 2014: Hedge and Mutual Funds' Fees and the Separation of Private Investments
*Paolo Guasoni* and *Gu Wang*
- 2014: C^{1,1} regularity for degenerate elliptic obstacle problems
*Panagiota Daskalopoulos* and *Paul M. N. Feehan*
- 2014: Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor
*Xiaolin Luo* and *Pavel V. Shevchenko*
- 2014: Impact of credit default swaps on financial contagion
*Yoshiharu Maeno*, *Kenji Nishiguchi*, *Satoshi Morinaga* and *Hirokazu Matsushima*
- 2014: Impact of shadow banks on financial contagion
*Yoshiharu Maeno*, *Kenji Nishiguchi*, *Satoshi Morinaga* and *Hirokazu Matsushima*
- 2014: Time Evolution of Non-linear Currency Networks
*Paweł Fiedor* and *Artur Ho{\l}da*
- 2014: Tax Compliance and Public Goods Provision -- An Agent-based Econophysics Approach
*Sascha Hokamp* and *G. Seibold*
- 2014: Apparent impact: the hidden cost of one-shot trades
*Iacopo Mastromatteo*
- 2014: Minimax estimation of jump activity in semimartingales
*Adam D. Bull*
- 2014: Scaling analysis of time series of daily prices from stock markets of transitional economies in the Western Balkans
*Darko Sarvan*, *Djordje Stratimirovic*, *Suzana Blesic* and *Vladimir Miljkovic*
- 2014: Multi-asset consumption-investment problems with infinite transaction costs
*David Hobson* and *Yeqi Zhu*
- 2014: An $\alpha$-Stable Limit Theorem Under Sublinear Expectation
*Erhan Bayraktar* and *Alexander Munk*
- 2014: Parametric Risk Parity
*Lorenzo Mercuri* and *Edit Rroji*
- 2014: Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions
*Baojun Bian* and *Harry Zheng*
- 2014: Risk Premia: Asymmetric Tail Risks and Excess Returns
*Y. Lemp\'eri\`ere*, *C. Deremble*, *T. T. Nguyen*, *P. Seager*, *M. Potters* and *J. P. Bouchaud*
- 2014: The evolution of wealth transmission in human populations: a stochastic model
*G. Augustins*, *L. Etienne*, *J-B. Ferdy*, *R. Ferrer*, *B. Godelle*, *E. Pitard* and *F. Rousset*
- 2014: High-Resilience Limits of Block-Shaped Order Books
*Jan Kallsen* and *Johannes Muhle-Karbe*
- 2014: On time consistency of dynamic risk and performance measures in discrete time
*Tomasz R. Bielecki*, *Igor Cialenco* and *Marcin Pitera*
- 2014: Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty
*Patrick Beißner* and *Frank Riedel*
- 2014: Finite sample properties of power-law cross-correlations estimators
*Ladislav Krištoufek*
- 2014: On a Stopping Game in continuous time
*Erhan Bayraktar* and *Zhou Zhou*
- 2014: A GDP-driven model for the binary and weighted structure of the International Trade Network
*Assaf Almog*, *Tiziano Squartini* and *Diego Garlaschelli*
- 2014: The Immediate Exchange model: an analytical investigation
*Guy Katriel*
- 2014: Calculation of a power price equilibrium
*Miha Troha* and *Raphael Hauser*
- 2014: Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags
*Paul Gaskell*, *Frank McGroarty* and *Thanassis Tiropanis*
- 2014: Optimal models of extreme volume-prices are time-dependent
*Paulo Rocha*, *Frank Raischel*, *Jo\~ao Pedro Boto* and *Pedro G. Lind*
- 2014: Funding Value Adjustment and Incomplete Markets
*Lorenzo Cornalba*
- 2014: Option pricing in constant elasticity of variance model with liquidity costs
*Krzysztof Turek*
- 2014: Distance to the line in the Heston model
*Archil Gulisashvili*
- 2014: International trade network: fractal properties and globalization puzzle
*Mariusz Karpiarz*, *Piotr Fronczak* and *Agata Fronczak*
- 2014: Bounds on Portfolio Quality
*Steven E. Pav*
- 2014: Pricing and hedging of energy spread options and volatility modulated Volterra processes
*Fred Espen Benth* and *Hanna Zdanowicz*
- 2014: Empirical Study of the 1-2-3 Trend Indicator
*Yasemin Hafizogullari*, *Stanislaus Maier-Paape* and *Andreas Platen*
- 2014: The $\alpha$-Hypergeometric Stochastic Volatility Model
*José Da Fonseca* and *Claude Martini*
- 2014: Mean of Ratios or Ratio of Means: statistical uncertainty applied to estimate Multiperiod Probability of Defaul
*Matteo Formenti*
- 2014: The Credibility Theory applied to backtesting Counterparty Credit Risk
*Matteo Formenti*
- 2014: Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence
*Matteo Formenti*
- 2014: Visualising stock flow consistent models as directed acyclic graphs
*Peter G. Fennell*, *David O'Sullivan*, *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: 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 *Reimer K\"uhn*
- 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 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. I. 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: Stochastic Perron for Stochastic Target Games
*Erhan Bayraktar* and *Jiaqi Li*
- 2014: Hierarchical causality in financial economics
*Diane Wilcox* and *Tim Gebbie*
- 2014: Determining Optimal Trading Rules without Backtesting
*Peter P. Carr* and *Marcos Lopez de Prado*
- 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: 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 Bond Consistent Derivative Fair Value
*Johan Gunnesson* and *Alberto Fern\'andez Mu\~noz de Morales*
- 2014: Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series
*Sergey A. Kamenshchikov*
- 2014: Predictable markets? A news-driven model of the stock market
*Maxim Gusev*, *Dimitri Kroujiline*, *Boris Govorkov*, *Sergey V. Sharov*, *Dmitry Ushanov* and *Maxim Zhilyaev*
- 2014: From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options
*Lorenz Schneider* and *Bertrand Tavin*
- 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: Accelerated Share Repurchase: pricing and execution strategy
*Olivier Gu\'eant*, *Jiang Pu* and *Guillaume Royer*
- 2014: Simulating and analyzing order book data: The queue-reactive model
*Weibing Huang*, *Charles-Albert Lehalle* and *Mathieu Rosenbaum*
- 2014: A primal-dual algorithm for BSDEs
*Christian Bender*, *Nikolaus Schweizer* and *Jia Zhuo*
- 2014: Taylor approximation of incomplete Radner equilibrium models
*Jin Hyuk Choi* and *Kasper Larsen*
- 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 note on the Fundamental Theorem of Asset Pricing under model uncertainty
*Erhan Bayraktar*, *Yuchong Zhang* and *Zhou Zhou*
- 2014: Weak reflection principle for L\'evy processes
*Erhan Bayraktar* and *Sergey Nadtochiy*
- 2014: A hybrid tree-finite difference approach for the Heston model
*Maya Briani*, *Lucia Caramellino* and *Antonino Zanette*
- 2014: Tick Size Reduction and Price Clustering in a FX Order Book
*Mehdi Lallouache* and *Fr\'ed\'eric Abergel*
- 2014: Maximization of recursive utilities under convex portfolio constraints
*Anis Matoussi*, *Hanen Mezghani* and *Mohamed Mnif*
- 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: The pricing formula for cancellable European options
*Hsuan-Ku Liu*
- 2014: The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles
*Damiano Brigo*, *Francesco Rapisarda* and *Abir Sridi*
- 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: State-independent Importance Sampling for Random Walks with Regularly Varying Increments
*Karthyek R. A. Murthy*, *Sandeep Juneja* and *Jose Blanchet*
- 2014: Toehold Purchase Problem: A comparative analysis of two strategies
*Iryna Banakh*, *Taras Banakh*, *Pavel Trisch* and *Myroslava Vovk*
- 2014: The maximum maximum of a martingale with given n marginals
*Pierre Henry-Labordere*, *Jan Obloj*, *Peter Spoida* and *Nizar Touzi*
- 2014: On martingale measures and pricing for continuous bond-stock market with stochastic bond
*Nikolai Dokuchaev*
- 2014: Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
*Takashi Kato*
- 2014: Holder-extendible European option: corrections and extensions
*Pavel V. Shevchenko*
- 2014: Pragmatic Information Rates, Generalizations of the Kelly Criterion, and Financial Market Efficiency
*Edward Weinberger*
- 2014: Entropy and Optimization of Portfolios
*Krzysztof Urbanowicz*
- 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: Hedging Conditional Value at Risk with Options
*Maciej J. Capi\'nski*
- 2014: Can Google searches help nowcast and forecast unemployment rates in the Visegrad Group countries?
*Jaroslav Pavlicek* and *Ladislav Krištoufek*
- 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: 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: 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: High Performance Financial Simulation Using Randomized Quasi-Monte Carlo Methods
*Linlin Xu* and *Giray \"Okten*
- 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: Diversification and Endogenous Financial Networks
*Jean-Cyprien H\'eam* 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 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
*Tom\'a\v{s} V\'yrost*, *\v{S}tefan Ly\'ocsa* and *Eduard Baum\"ohl*
- 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: 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 *Janusz A. Ho{\l}yst*
- 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: 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
*Marco D'Errico*, *Yaz Muradoglu*, *Silvana Stefani* and *Giovanni Zambruno*
- 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: 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 *Bj\"orn L\"ofdahl*
- 2014: Bartering integer commodities with exogenous prices
*Stefano Nasini*, *Jordi Castro* and *Pau Fonseca i 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
*Olivier Gu\'eant* 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 *Ismail Cetin G\"ul\"um*
- 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
*Jos\'e E. Figueroa-L\'opez*, *Ruoting Gong* and *Christian Houdr\'e*
- 2014: Pricing TARN Using a Finite Difference Method
*Xiaolin Luo* and *Pavel Shevchenko*
- 2014: Diversity and no arbitrage
*Attila Herczegh*, *Vilmos Prokaj* and *Mikl\'os R\'asonyi*
- 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
*Jonas M\"uller*, *Marcus Hildmann*, *Andreas Ulbig* and *G\"oran Andersson*
- 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: Arbitrage-free prediction of the implied volatility smile
*Petros Dellaportas* and *Aleksandar Mijatovi\'c*
- 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*, *Salvatore Miccich\`e*, *Yoshi Fujiwara*, *Hiroshi Iyetomi*, *Hideaki Aoyama*, *Mauro Gallegati* and *Rosario Mantegna*
- 2014: Risk-sensitive investment in a market with animal spirits
*Grzegorz Andruszkiewicz*, *Mark H. A. Davis* and *Sebastien Lleo*
- 2014: Agent-based model with asymmetric trading and herding for complex financial systems
*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: 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: Forecasting future oil production in Norway and the UK: a general improved methodology
*Lucas Fievet*, *Zal\`an Forr\`o*, *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
*Przemys{\l}aw Rola*
- 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
*Umut \c{C}etin* and *Albina Danilova*
- 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 *Fr\'ed\'eric Abergel*
- 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: World Input-Output Network
*Federica Cerina*, *Zhen Zhu*, *Alessandro Chessa* and *Massimo Riccaboni*
- 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: 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: 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*, *J{\o}rgen Vitting Andersen* 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: 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
*Lajos Gergely Gyurk\'o*, *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: 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: Approximating stochastic volatility by recombinant trees
*Erd\.{i}n\c{c} Aky{\i}ld{\i}r{\i}m*, *Yan Dolinsky* and *H. Mete Soner*
- 2014: Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias
*Jos\'e E. Figueroa-L\'opez* and *Peter Tankov*
- 2014: Small-time expansions for local jump-diffusion models with infinite jump activity
*Jos\'e E. Figueroa-L\'opez*, *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*, *Jo\~ao Gama* and *Manuel J. Silva Gon\c{c}alves*
- 2014: Bank Networks from Text: Interrelations, Centrality and Determinants
*Samuel R\"onnqvist* 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*
- 2014: Predictability of Volatility Homogenised Financial Time Series
*Paweł Fiedor* and *Odd Magnus Trondrud*
- 2014: Stock Market Prediction from WSJ: Text Mining via Sparse Matrix Factorization
*Felix Ming Fai Wong*, *Zhenming Liu* and *Mung Chiang*
- 2014: Hierarchical Structure of the Foreign Trade: The Case of the United State
*Ersin Kantar*
- 2014: Optimal Portfolio Problem Using Entropic Value at Risk: When the Underlying Distribution is Non-Elliptical
*Hassan Omidi Firouzi* and *Andrew Luong*
- 2014: On the Depletion Problem for an Insurance Risk Process: New Non-ruin Quantities in Collective Risk Theory
*Zied Ben-Salah*, *H\'el\`ene Gu\'erin*, *Manuel Morales* and *Hassan Omidi Firouzi*
- 2014: Optimal Investment with Stopping in Finite Horizon
*Xiongfei Jian*, *Xun Li* and *Fahuai Yi*
- 2014: Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
*Claudia Ceci*, *Katia Colaneri* and *Alessandra Cretarola*
- 2014: Coping with area price risk in electricity markets: Forecasting Contracts for Difference in the Nordic power market
*Egil Ferkingstad* and *Anders L{\o}land*
- 2014: Credit Risk in a Geometric Arbitrage Perspective
*Simone Farinelli*
- 2014: Causality Networks
*Ishanu Chattopadhyay*
- 2014: Systemic risk through contagion in a core-periphery structured banking network
*Oliver Kley*, *Claudia Kl\"uppelberg* and *Lukas Reichel*
- 2014: Hierarchical structure of the countries based on electricity consumption and economic growth
*Ersin Kantar*, *Alper Aslan*, *Bayram Deviren* and *Mustafa Keskin*
- 2014: Hierarchical structure of the European countries based on debts as a percentage of GDP during the 2000-2011 period
*Ersin Kantar*, *Bayram Deviren* and *Mustafa Keskin*
- 2014: Using an Artificial Financial Market for studying a Cryptocurrency Market
*Luisanna Cocco*, *Giulio Concas* and *Michele Marchesi*
- 2014: How to hedge extrapolated yield curves
*Andreas Lager{\aa}s*
- 2014: Probabilistic flows of inhabitants in urban areas and self-organization in housing markets
*Takao Hishikawa* and *Jun-ichi Inoue*
- 2014: Semiclassical approximation in stochastic optimal control I. Portfolio construction problem
*Sakda Chaiworawitkul*, *Patrick S. Hagan* and *Andrew Lesniewski*
- 2014: From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments
*Henry Lam* and *Zhenming Liu*
- 2014: Moral Hazard in Dynamic Risk Management
*Jak\v{s}a Cvitani\'c*, *Dylan Possama\"i* and *Nizar Touzi*
- 2014: Reduction of systemic risk by means of Pigouvian taxation
*Vinko Zlati\'c*, *Giampaolo Gabbi* and *Hrvoje Abraham*
- 2014: An Unconventional Attempt to Tame Mandelbrot's Grey Swans
*Denis M. Filatov* and *Maksim A. Vanyarkho*
- 2014: Survival Models for the Duration of Bid-Ask Spread Deviations
*Efstathios Panayi* and *Gareth Peters*
- 2014: Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data
*Efstathios Panayi*, *Gareth Peters* and *Ioannis Kosmidis*
- 2014: A robust algorithm and convergence analysis for static replications of nonlinear payoffs
*Jingtang Ma*, *Dongya Deng* and *Harry Zheng*
- 2014: Zooming into market states
*Desislava Chetalova*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2014: Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage in Markovian Models of Financial Markets
*Martin Le Doux Mbele Bidima* and *Mikl\'os R\'asonyi*
- 2014: Strategy-proofness and single-peackedness in bounded distributive lattices
*Ernesto Savaglio* and *Stefano Vannucci*
- 2014: A variation of the Dragulescu-Yakovenko income model
*José María Sarabia*, *Faustino Prieto* and *Vanesa Jord\'a*
- 2014: Instabilities in large economies: aggregate volatility without idiosyncratic shocks
*Julius Bonart*, *Jean-Philippe Bouchaud*, *Augustin Landier* and *David Thesmar*
- 2014: Advisors and indicators based on the SSA models and non-linear generalizations
*A. M. Avdeenko*
- 2014: Ergodic BSDEs with jumps and time dependence
*Samuel N. Cohen* and *Victor Fedyashov*
- 2014: Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence
*Matthew Ames*, *Gareth W. Peters*, *Guillaume Bagnarosa* and *Ioannis Kosmidis*
- 2014: A general HJM framework for multiple yield curve modeling
*Christa Cuchiero*, *Claudio Fontana* and *Alessandro Gnoatto*
- 2014: On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment
*Tiziano De Angelis*, *Salvatore Federico* and *Giorgio Ferrari*
- 2014: A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information
*Takashi Kato*, *Jun Sekine* and *Hiromitsu Yamamoto*
- 2014: Investment under Duality Risk Measure
*Zuo Quan Xu*
- 2014: Climate Events and Insurance Demand - The effect of potentially catastrophic events on insurance demand in Italy
*Alessandro Chieppa*, *Andrea Ricca* and *Gianluca Rosso*
- 2014: Statistically significant fits of Hawkes processes to financial data
*Mehdi Lallouache* and *Damien Challet*
- 2014: The G\"{a}rtner-Ellis theorem, homogenization, and affine processes
*Archil Gulisashvili* and *Josef Teichmann*
- 2014: Decoding Stock Market Behavior with the Topological Quantum Computer
*Ovidiu Racorean*
- 2014: Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
*Oscar Lopez* and *Rafael Serrano*
- 2014: Hierarchical representation of socio-economic complex systems according to minimal sapnning trees
*Andrzej Jarynowski* and *Andrzej Buda*
- 2014: On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums
*Hirbod Assa*
- 2014: Analitic approach to solve a degenerate parabolic PDE for the Heston model
*A. Canale*, *R. M. Mininni* and *A. Rhandi*
- 2014: Historical Backtesting of Local Volatility Model using AUD/USD Vanilla Options
*Timothy G. Ling* and *Pavel V. Shevchenko*
- 2014: A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations
*Hyong-chol O*, *Yong-hwa Ro* and *Ning Wan*
- 2014: Stochastic Analysis Seminar on Filtering Theory
*Andrew Papanicolaou*
- 2014: A generalized pricing and hedging framework for multi-currency fixed income desks
*Eduard Gim\'enez*, *Alberto Elices* and *Giovanna Villani*
- 2014: The Naive Extrapolation Hypothesis and the Rosy-Gloomy Forecasts
*Vasileios Barmpoutis*
- 2014: Arbitrage-free exchange rate ensembles over a general trade network
*Stan Palasek*
- 2014: Notes on Alpha Stream Optimization
*Zura Kakushadze*
- 2014: Numerical analysis for Spread option pricing model in illiquid underlying asset market: full feedback model
*Ahmad Reza Yazdanian* and *T A Pirvu*
- 2014: Integration of a Predictive, Continuous Time Neural Network into Securities Market Trading Operations
*Christopher S Kirk*
- 2014: Supervised classification-based stock prediction and portfolio optimization
*Sercan Arik*, *Sukru Burc Eryilmaz* and *Adam Goldberg*
- 2014: Robust pricing and hedging under trading restrictions and the emergence of local martingale models
*Alexander M. G. Cox*, *Zhaoxu Hou* and *Jan Obloj*
- 2014: Buyer to Seller Recommendation under Constraints
*Cheng Chen*, *Lan Zheng*, *Venkatesh Srinivasan*, *Alex Thomo*, *Kui Wu* and *Anthony Sukow*
- 2014: Estimation of the Global Minimum Variance Portfolio in High Dimensions
*Taras Bodnar*, *Nestor Parolya* and *Wolfgang Schmid*
- 2014: Option Pricing in an Imperfect World
*Gianluca Cassese*
- 2014: Implied volatility of basket options at extreme strikes
*Archil Gulisashvili* and *Peter Tankov*
- 2014: What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis
*Ladislav Krištoufek*
- 2014: Inverse Optimal Stopping
*Thomas Kruse* and *Philipp Strack*
- 2014: Optimal investment under behavioural criteria -- a dual approach
*Mikl\'os R\'asonyi* and *Jos\'e G. Rodr\'iguez-Villarreal*
- 2014: An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs
*Jean-Francois Chassagneux*, *Antoine Jacquier* and *Ivo Mihaylov*
- 2014: Affine LIBOR models with multiple curves: theory, examples and calibration
*Zorana Grbac*, *Antonis Papapantoleon*, *John Schoenmakers* and *David Skovmand*
- 2014: Braided and Knotted Stocks in the Stock Market: Anticipating the flash crashes
*Ovidiu Racorean*
- 2014: Macroprudential oversight, risk communication and visualization
*Peter Sarlin*
- 2014: A Bitcoin system with no mining and no history transactions: Build a compact Bitcoin system
*Qian Xiaochao*
- 2014: Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching
*Bin Zou* and *Abel Cadenillas*
- 2014: An efficient algorithm for the calculation of reserves for non-unit linked life policies
*Mark Tucker* and *J. Mark Bull*
- 2014: Measures of Causality in Complex Datasets with application to financial data
*Anna Zaremba* and *Tomaso Aste*
- 2014: Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion
*John Armstrong*, *Martin Forde*, *Matthew Lorig* and *Hongzhong Zhang*
- 2014: Self-organization and phase transition in financial markets with multiple choices
*Li-Xin Zhong*, *Wen-Juan Xu*, *Ping Huang*, *Chen-Yang Zhong* and *Tian Qiu*
- 2014: A New Characterization of Comonotonicity and its Application in Behavioral Finance
*Zuo Quan Xu*
- 2014: Order Estimates for the Exact Lugannani-Rice Expansion
*Takashi Kato*, *Jun Sekine* and *Kenichi Yoshikawa*
- 2014: The impact of lead time forecasting on the bullwhip effect
*Zbigniew Michna* and *Peter Nielsen*
- 2014: Short-term Market Reaction after Trading Halts in Chinese Stock Market
*Hai-Chuan Xu*, *Wei Zhang* and *Yi-Fang Liu*
- 2014: Semiparametric stochastic volatility modelling using penalized splines
*Roland Langrock*, *Th\'eo Michelot*, *Alexander Sohn* and *Thomas Kneib*
- 2014: Portfolio return distributions: Sample statistics with non-stationary correlations
*Desislava Chetalova*, *Thilo A. Schmitt*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2014: On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix
*Taras Bodnar*, *Arjun K. Gupta* and *Nestor Parolya*
- 2014: The Financing of Innovative SMEs: a multicriteria credit rating model
*Silvia Angilella* and *Sebastiano Mazz\`u*
- 2014: Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process
*Vladimir Filimonov*, *Spencer Wheatley* and *Didier Sornette*
- 2014: A Robust Version of Convex Integral Functionals
*Keita Owari*
- 2014: Dynamic Credit Investment in Partially Observed Markets
*Agostino Capponi*, *Jose Enrique Figueroa Lopez* and *Andrea Pascucci*
- 2014: The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
*Chuancun Yin*, *Yuzhen Wen*, *Zhaojun Zong* and *Ying Shen*
- 2014: Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function
*Kensuke Ishitani* and *Takashi Kato*
- 2014: How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related
*Tahir Choulli*, *Jun Deng* and *Junfeng Ma*
- 2014: From characteristic functions to implied volatility expansions
*Antoine Jacquier* and *Matthew Lorig*
- 2014: Patience vs. Impatience of Stock Traders
*Peter Lerner*
- 2014: On the concentration of large deviations for fat tailed distributions, with application to financial data
*Mario Filiasi*, *Giacomo Livan*, *Matteo Marsili*, *Maria Peressi*, *Erik Vesselli* and *Elia Zarinelli*
- 2014: American and Bermudan options in currency markets under proportional transaction costs
*Alet Roux* and *Tomasz Zastawniak*
- 2014: Computation of copulas by Fourier methods
*Antonis Papapantoleon*
- 2014: Field Theory of Macroeconomics
*Heribert Genreith*
- 2014: Path Diffusion, Part I
*Johan GB Beumee*, *Chris Cormack*, *Peyman Khorsand* and *Manish Patel*
- 2014: Structure of local interactions in complex financial dynamics
*X. F. Jiang*, *T. T. Chen* and *B. Zheng*
- 2014: Explicit investment rules with time-to-build and uncertainty
*Ren\'e Aid*, *Salvatore Federico*, *Huy\^en Pham* and *Bertrand Villeneuve*
- 2014: Gambling in Contests with Random Initial Law
*Han Feng* and *David Hobson*
- 2014: Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics
*Fabio Dercole* and *Davide Radi*
- 2014: VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution
*Chris Kenyon* and *Andrew Green*
- 2014: Mixed Tempered Stable distribution
*Edit Rroji* and *Lorenzo Mercuri*
- 2014: Option Pricing in a Dynamic Variance-Gamma Model
*Lorenzo Mercuri* and *Fabio Bellini*
- 2014: On the stationarity of Dynamic Conditional Correlation models
*Jean-David Fermanian* and *Hassan Malongo*
- 2014: Bregman superquantiles. Estimation methods and applications
*Fabrice Gamboa*, *Aur\'elien Garivier*, *Bertrand Iooss* and *Tatiana Labopin-Richard*
- 2014: Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility
*Martino Bardi*, *Annalisa Cesaroni* and *Andrea Scotti*
- 2014: Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
*Andrey Itkin*
- 2014: R&D Strategy Document
*James Glattfelder*, *Thomas Bisig* and *Richard B. Olsen*
- 2014: Wealth share analysis with "fundamentalist/chartist" heterogeneous agents
*Hai-Chuan Xu*, *Wei Zhang*, *Xiong Xiong* and *Wei-Xing Zhou*
- 2014: Stationarity of Bivariate Dynamic Contagion Processes
*Angelos Dassios* and *Xin Dong*
- 2014: Micro and Macro Benefits of Random Investments in Financial Markets
*Alessio Emanuele Biondo*, *Alessandro Pluchino* and *Andrea Rapisarda*
- 2014: Big Data, Socio-Psychological Theory, Algorithmic Text Analysis and Predicting the Michigan Consumer Sentiment Index
*Rickard Nyman* and *Paul Ormerod*
- 2014: Valuation of Barrier Options using Sequential Monte Carlo
*Pavel V. Shevchenko* and *Pierre Del Moral*
- 2014: A Functional Limit Theorem for Limit Order Books
*Christian Bayer*, *Ulrich Horst* and *Jinniao Qiu*
- 2014: Correlation structure and principal components in global crude oil market
*Yue-Hua Dai*, *Wen-Jie Xie*, *Zhi-Qiang Jiang*, *George J. Jiang* and *Wei-Xing Zhou*
- 2014: Set-valued shortfall and divergence risk measures
*\c{C}a\u{g}\in Ararat*, *Andreas H. Hamel* and *Birgit Rudloff*
- 2014: Rough paths, Signatures and the modelling of functions on streams
*Terry Lyons*
- 2014: The Economics of BitCoin Price Formation
*Pavel Ciaian*, *Miroslava Rajcaniova* and *d'Artis Kancs*
- 2014: Quantum spatial-periodic harmonic model for daily price-limited stock markets
*Xiangyi Meng*, *Jian-Wei Zhang*, *Jingjing Xu* and *Hong Guo*
- 2014: Local times for typical price paths and pathwise Tanaka formulas
*Nicolas Perkowski* and *David J. Pr\"omel*
- 2014: Mining Urban Performance: Scale-Independent Classification of Cities Based on Individual Economic Transactions
*Stanislav Sobolevsky*, *Izabela Sitko*, *Sebastian Grauwin*, *Remi Tachet des Combes*, *Bartosz Hawelka*, *Juan Murillo Arias* and *Carlo Ratti*
- 2014: Distortion Risk Measures and Elicitability
*Ruodu Wang* and *Johanna F. Ziegel*
- 2014: Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information
*Xin Dong* and *Harry Zheng*
- 2014: A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
*Yal\c{c}in Aktar* and *Erik Taflin*
- 2014: Quantum Brownian motion model for stock markets
*Xiangyi Meng*, *Jian-Wei Zhang* and *Hong Guo*
- 2014: Can Analysts Predict Rallies Better Than Crashes?
*Ivan Medovikov*
- 2014: The systematic structure and predictability of urban business diversity
*Hyejin Youn*, *Lu\'is M. A. Bettencourt*, *Jos\'e Lobo*, *Deborah Strumsky*, *Horacio Samaniego* and *Geoffrey B. West*
- 2014: Arbitrage Pricing of Multi-person Game Contingent Claims
*Ivan Guo* and *Marek Rutkowski*
- 2014: Simple examples of pure-jump strict local martingales
*Martin Keller-Ressel*
- 2014: Interest rate models and Whittaker functions
*Dmitry Muravey*
- 2014: How does bad and good volatility spill over across petroleum markets?
*Jozef Baruník*, *Evžen Kočenda* and *Lukas Vacha*
- 2014: A Multi-factor Adaptive Statistical Arbitrage Model
*Wenbin Zhang*, *Zhen Dai*, *Bindu Pan* and *Milan Djabirov*
- 2014: Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market
*Li-Xin Wang*
- 2014: Merchant Sharing Towards a Zero Marginal Cost Economy
*Laurent Fournier*
- 2014: Phynance
*Zura Kakushadze*
- 2014: Paths and indices of maximal tail dependence
*Edward Furman*, *Jianxi Su* and *Ri\v{c}ardas Zitikis*
- 2014: The super-replication theorem under proportional transaction costs revisited
*Walter Schachermayer*
- 2014: Stylized facts of price gaps in limit order books: Evidence from Chinese stocks
*Gao-Feng Gu*, *Xiong Xiong*, *Yong-Jie Zhang*, *Wei Chen*, *Wei Zhang* and *Wei-Xing Zhou*
- 2014: Market risk modelling in Solvency II regime and hedging options not using underlying
*Przemys\law Klusik*
- 2014: Market Coupling as the Universal Algorithm to Assess Zonal Divisions
*Grzegorz Orynczak*, *Marcin Jakubek*, *Karol Wawrzyniak* and *Michal Klos*
- 2014: Spatial interactions in agent-based modeling
*Marcel Ausloos*, *Herbert Dawid* and *Ugo Merlone*
- 2014: Hedging of equity-linked with maximal success factor
*Klusik Przemyslaw*
- 2014: Evaluating gambles using dynamics
*Ole Peters* and *Murray Gell-Mann*
- 2014: The least squares method for option pricing revisited
*Maciej Klimek* and *Marcin Pitera*
- 2014: Maximum drawdown, recovery, and momentum
*Jaehyung Choi*
- 2014: Reward-risk momentum strategies using classical tempered stable distribution
*Jaehyung Choi*, *Young Shin Kim* and *Ivan Mitov*
- 2014: Stationarity, non-stationarity and early warning signals in economic networks
*Tiziano Squartini* and *Diego Garlaschelli*
- 2014: A Multiple Network Approach to Corporate Governance
*Fausto Bonacina*, *Marco D'Errico*, *Enrico Moretto*, *Silvana Stefani* and *Anna Torriero*
- 2014: A state-constrained differential game arising in optimal portfolio liquidation
*Alexander Schied* and *Tao Zhang*
- 2014: The Origin of Fat Tails
*Martin Gremm*
- 2014: The fine structure of volatility feedback II: overnight and intra-day effects
*Pierre Blanc*, *R\'emy Chicheportiche* and *Jean-Philippe Bouchaud*
- 2014: Optimal Liquidity Provision in Limit Order Markets
*Christoph K\"uhn* and *Johannes Muhle-Karbe*
- 2014: On the Stochastic Solution to a Cauchy Problem Associated with Nonnegative Price Processes
*Xiaoshan Chen*, *Yu-Jui Huang*, *Qingshuo Song* and *Chao Zhu*
- 2014: Analytical models of operational risk and new results on the correlation problem
*Vivien Brunel*
- 2014: Admissible Trading Strategies under Transaction Costs
*Walter Schachermayer*
- 2014: Option pricing with non-Gaussian scaling and infinite-state switching volatility
*Fulvio Baldovin*, *Massimiliano Caporin*, *Michele Caraglio*, *Attilio Stella* and *Marco Zamparo*
- 2014: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
*Ladislav Krištoufek* and *Miloslav Vošvrda*
- 2014: Collective Philanthropy: Describing and Modeling the Ecology of Giving
*William L. Gottesman*, *Andrew James Reagan* and *Peter Sheridan Dodds*
- 2014: VWAP execution and guaranteed VWAP
*Olivier Gu\'eant* and *Guillaume Royer*
- 2014: B-spline techniques for volatility modeling
*Sylvain Corlay*
- 2014: Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization
*Damiano Brigo*, *Jan-Frederik Mai* and *Matthias Scherer*
- 2014: Survey data and Bayesian analysis: a cost-efficient way to estimate customer equity
*Juha Karvanen*, *Ari Rantanen* and *Lasse Luoma*
- 2014: Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions
*Damiano Brigo* and *Giuseppe Di Graziano*
- 2014: Weak and strong no-arbitrage conditions for continuous financial markets
*Claudio Fontana*
- 2014: Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance
*Nikolai Dokuchaev*
- 2014: Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs
*M. Nabil Kazi-Tani*, *Dylan Possama\"i* and *Chao Zhou*
- 2014: Price manipulation in a market impact model with dark pool
*Florian Kl\"ock*, *Alexander Schied* and *Yuemeng Sun*
- 2014: The Wishart short rate model
*Alessandro Gnoatto*
- 2014: International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
*Mikio Ito*, *Akihiko Noda* and *Tatsuma Wada*
- 2014: Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without L\'{e}vy area simulation
*Michael B. Giles* and *Lukasz Szpruch*
- 2014: A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
*Vicky Henderson* and *Gechun Liang*
- 2014: Geometric Arbitrage Theory and Market Dynamics
*Simone Farinelli*
- 2014: An Optimal Consumption-Investment Model with Constraint on Consumption
*Zuo Quan Xu* and *Fahuai Yi*
- 2014: The role of the information set for forecasting - with applications to risk management
*Hajo Holzmann* and *Matthias Eulert*
- 2014: Predictive regressions for macroeconomic data
*Fukang Zhu*, *Zongwu Cai* and *Liang Peng*
- 2014: A multivariate model for financial indexes and an algorithm for detection of jumps in the volatility
*Mario Bonino*, *Matteo Camelia* and *Paolo Pigato*
- 2014: The Italian Crisis and Producer Households Debt: a Source of Stability? A Reproducible Research
*Stefano Olgiati*, *Gilberto Bronzini* and *Alessandro Danovi*
- 2014: Analysis of a decision model in the context of equilibrium pricing and order book pricing
*Daniel C. Wagner*, *Thilo A. Schmitt*, *Rudi Sch\"afer*, *Thomas Guhr* and *Dietrich E. Wolf*
- 2014: Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
*Damiano Brigo*, *Qing Liu*, *Andrea Pallavicini* and *David Sloth*
- 2014: Leveraged {ETF} implied volatilities from {ETF} dynamics
*Tim Leung*, *Matthew Lorig* and *Andrea Pascucci*
- 2014: A Multi-Entity Input Output (MEIO) Approach to Sustainability - Water-Energy-GHG (WEG) Footprint Statements in Use Cases from Auto and Telco Industries
*Reza Farrahi Moghaddam*, *Fereydoun Farrahi Moghaddam* and *Mohamed Cheriet*
- 2014: Polynomial Models for interest rates and stochastic volatility
*Si Cheng* and *Michael R. Tehranchi*
- 2014: Incorporating a Volatility Smile into the Markov-Functional Model
*Feijia Wang*
- 2014: Measurement and Internalization of Systemic Risk in a Global Banking Network
*Xiaobing Feng* and *Haibo Hu*
- 2014: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case
*Jakub Trybu{\l}a* and *Dariusz Zawisza*
- 2014: Futures Premium and Efficiency of the Rice Futures Markets in Prewar Japan
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2014: Reconstruction of density functions by sk-splines
*A. Kushpel* and *J. Levesley*
- 2014: Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model
*Takashi Shinzato*
- 2014: Towards a Monotonicity-Compliant Price Index for the Art Market
*Ventura Charlin* and *Arturo Cifuentes*
- 2014: High-order compact finite difference scheme for option pricing in stochastic volatility models
*Bertram D\"uring* and *Michel Fourni\'e*
- 2014: High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
*Bertram D\"uring*, *Michel Fourni\'e* and *Christof Heuer*
- 2014: Spectral Model of Turnover Reduction
*Zura Kakushadze*
- 2014: Expected Cash Flow: A Novel Model Of Evaluating Financial Assets
*Magomet Yandiev*
- 2014: Approximate aggregation in the neoclassical growth model with ideosyncratic shocks
*Karsten Chipeniuk*, *Nets Hawk Katz* and *Todd Walker*
- 2014: Modelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models
*Jan Kuklinski*, *Doinita Negru* and *Pawel Pliszka*
- 2014: Directed Random Market: the equilibrium distribution
*Guy Katriel*
- 2014: $L_p$ regularized portfolio optimization
*Fabio Caccioli*, *Imre Kondor*, *Matteo Marsili* and *Susanne Still*
- 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: 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
*Y. Lemp\'eri\`ere*, *C. Deremble*, *P. Seager*, *M. Potters* and *J. P. Bouchaud*
- 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
*Pablo Olivares* and *Alexander Alvarez*
- 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: Facelifting in Utility Maximization
*Kasper Larsen*, *H. Mete Soner* and *Gordan Zitkovic*
- 2014: Financial bubbles: mechanisms and diagnostics
*Didier Sornette* and *Peter Cauwels*
- 2014: Bayesian DEJD model and detection of asymmetric jumps
*Maciej Kostrzewski*
- 2014: Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
*Nicole El Karoui*, *Mohamed Mrad* and *Caroline Hillairet*
- 2014: Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
*Nicole El Karoui*, *Caroline Hillairet* and *Mohamed Mrad*
- 2014: Derivative pricing under the possibility of long memory in the supOU stochastic volatility model
*Robert Stelzer* and *Jovana Zavi\v{s}in*
- 2014: Impulse Control of a Diffusion with a Change Point
*Lokman A. Abbas-Turki*, *Ioannis Karatzas* and *Qinghua Li*
- 2014: Martingale optimal transport in the Skorokhod space
*Y. Dolinsky* and *H. M. Soner*
- 2014: A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
*Boualem Djehiche*, *Hamidou Tembine* and *Raul Tempone*
- 2014: Emergence of communities on a coevolutive model of wealth interchange
*A. Agreda* and *K. Tucci*
- 2014: Discretisation-Invariant Swaps
*Carol Alexander* and *Johannes Rauch*
- 2014: Parallel American Monte Carlo
*Calypso Herrera* and *Louis Paulot*
- 2014: Utility indifference pricing of derivatives written on industrial loss indexes
*Gunther Leobacher* and *Philip Ngare*
- 2014: Dynamic optimal execution in a mixed-market-impact Hawkes price model
*Aur\'elien Alfonsi* and *Pierre Blanc*
- 2014: Non-Arbitrage under a Class of Honest Times
*Tahir Choulli*, *Anna Aksamit*, *Jun Deng* and *Monique Jeanblanc*
- 2014: Principal wind turbines for a conditional portfolio approach to wind farms
*Vitor V. Lopes*, *Teresa Scholz*, *Frank Raischel* and *Pedro G. Lind*
- 2014: On the range of admissible term-structures
*Areski Cousin* and *Ibrahima Niang*
- 2014: Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models
*D. Sornette*
- 2014: A Note on the Quantile Formulation
*Zuo Quan Xu*
- 2014: Systemic risk in dynamical networks with stochastic failure criterion
*B. Podobnik*, *D. Horvatic*, *M. Bertella*, *L. Feng*, *X. Huang* and *B. Li*
- 2014: Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging
*Johan Gunnesson* and *Alberto Fern\'andez Mu\~noz de Morales*
- 2014: The adaptive nature of liquidity taking in limit order books
*Damian Eduardo Taranto*, *Giacomo Bormetti* and *Fabrizio Lillo*
- 2014: Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors
*Mauro Bernardi* and *L. Petrella*
- 2014: Propagation of Economic Shocks in Input-Output Networks: A Cross-Country Analysis
*Martha G. Alatriste Contreras* and *Giorgio Fagiolo*
- 2014: IIGHGINT: A generalization to the modified GHG intensity universal indicator toward a production/consumption insensitive border carbon tax
*Reza Farrahi Moghaddam*, *Fereydoun Farrahi Moghaddam* and *Mohamed Cheriet*
- 2014: A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades
*Teruyoshi Kobayashi*
- 2014: On strong binomial approximation for stochastic processes and applications for financial modelling
*Nikolai Dokuchaev*
- 2014: Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo
*Eric Beutner*, *Janina Schweizer* and *Antoon Pelsser*
- 2014: The Interrupted Power Law and The Size of Shadow Banking
*Davide Fiaschi*, *Imre Kondor*, *Matteo Marsili* and *Valerio Volpati*
- 2014: Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials
*Andrey Itkin*
- 2014: Information, no-arbitrage and completeness for asset price models with a change point
*Claudio Fontana*, *Zorana Grbac*, *Monique Jeanblanc* and *Qinghua Li*
- 2014: Asymptotic arbitrage in the Heston model
*Fatma Haba* and *Antoine Jacquier*
- 2014: An examination of the effect on the Icelandic Banking System of Ver{\dh}trygg{\dh} L\'{a}n (Indexed-Linked Loans)
*Jacky Mallett*
- 2014: Parameter estimation for a subcritical affine two factor model
*Matyas Barczy*, *Leif Doering*, *Zenghu Li* and *Gyula Pap*
- 2014: High-order short-time expansions for ATM option prices of exponential L\'evy models
*Jos\'e E. Figueroa-L\'opez*, *Ruoting Gong* and *Christian Houdr\'e*
- 2014: Stochastic target games with controlled loss
*Bruno Bouchard*, *Ludovic Moreau* and *Marcel Nutz*
- 2014: Involving copula functions in Conditional Tail Expectation
*Brahim Brahimi*
- 2014: Utility Maximization with Addictive Consumption Habit Formation in Incomplete Semimartingale Markets
*Xiang Yu*
- 2014: Asymptotically optimal discretization of hedging strategies with jumps
*Mathieu Rosenbaum* and *Peter Tankov*
- 2014: The structure of optimal portfolio strategies for continuous time markets
*Nikolai Dokuchaev*
- 2014: Stable-1/2 Bridges and Insurance
*Edward Hoyle*, *Lane P. Hughston* and *Andrea Macrina*
- 2014: An agent-based computational model for China's stock market and stock index futures market
*Hai-Chuan Xu*, *Wei Zhang*, *Xiong Xiong* and *Wei-Xing Zhou*
- 2014: Microscopic determinants of the weak-form efficiency of an artificial order-driven stock market
*Jian Zhou*, *Gao-Feng Gu*, *Zhi-Qiang Jiang*, *Xiong Xiong*, *Wei Zhang* and *Wei-Xing Zhou*
- 2014: Pseudo Linear Pricing Rule for Utility Indifference Valuation
*Vicky Henderson* and *Gechun Liang*
- 2014: Evolution of wealth in a nonconservative economy driven by local Nash equilibria
*Pierre Degond*, *Jian-Guo Liu* and *Christian Ringhofer*
- 2014: Omega risk model with tax
*Zhenyu Cui*
- 2014: Anatomy of a Bail-In
*Thomas Conlon* and *John Cotter*
- 2014: Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach
*Menelaos Karanasos*, *Alexandros Paraskevopoulos*, *Faek Menla Ali*, *Michail Karoglou* and *Stavroula Yfanti*
- 2014: Contextual and Structural Representations of Market-mediated Economic Value
*Bradly Alicea*
- 2014: Credit acceptance process strategy case studies - the power of Credit Scoring
*Karol Przanowski*
- 2014: Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies
*Stefan Bornholdt* and *Kim Sneppen*
- 2014: Behavioral and Network Origins of Wealth Inequality: Insights from a Virtual World
*Benedikt Fuchs* and *Stefan Thurner*
- 2014: The role of the "Maximizing Output Growth Inflation Rate" in monetary policy
*Dominique Pépin*
- 2014: The Implied Volatility Analysis: The South African Experience
*Romuald N. Kenmoe S* and *Carine D. Tafou*
- 2014: Sophisticated gamblers ruin and survival chances
*Salil Mehta*
- 2014: The acceptance-rejection method for low-discrepancy sequences
*Nguyet Nguyen* and *Giray \"Okten*
- 2014: Time-changed CIR default intensities with two-sided mean-reverting jumps
*Rafael Mendoza-Arriaga* and *Vadim Linetsky*
- 2014: Multilevel Monte Carlo For Exponential L\'{e}vy Models
*Mike Giles* and *Yuan Xia*
- 2014: Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
*Archil Gulisashvili* and *Josep Vives*
- 2014: Portfolio Optimization in Affine Models with Markov Switching
*Marcos Escobar*, *Daniela Neykova* and *Rudi Zagst*
- 2014: A change of measure preserving the affine structure in the BNS model for commodity markets
*Fred Espen Benth* and *Salvador Ortiz-Latorre*
- 2014: Predicting market instability: New dynamics between volume and volatility
*Zeyu Zheng*, *Zhi Qiao*, *Joel N. Tenenbaum*, *H. Eugene Stanley* and *Baowen Li*
- 2014: Collective behaviours in the stock market -- A maximum entropy approach
*Thomas Bury*
- 2014: Which factor dominates the industry evolution? A synergy analysis based on China's ICT industry
*Yaya Li*, *Yongli Li*, *Yulin Zhao* and *Fang Wang*
- 2014: Least quartic Regression Criterion with Application to Finance
*Giuseppe Arbia*
- 2014: Representation of infinite dimensional forward price models in commodity markets
*Fred Espen Benth* and *Paul Kr\"uhner*
- 2014: Momentum Strategies with L1 Filter
*Tung-Lam Dao*
- 2014: A fast Fourier transform method for Mellin-type option pricing
*D. J. Manuge* and *P. T. Kim*
- 2014: Networked relationships in the e-MID Interbank market: A trading model with memory
*Giulia Iori*, *Rosario Mantegna*, *Luca Marotta*, *Salvatore Micciche'*, *James Porter* and *Michele Tumminello*
- 2014: A re-examination of real interest parity in CEECs using old and new generations of panel unit root tests
*Claudiu Albulescu*, *Dominique Pépin* and *Aviral Tiwari*
- 2014: Testing for Detailed Balance in a Financial Market
*Rudolf Fiebig* and *David Musgrove*
- 2014: Anomalous impact in reaction-diffusion models
*Iacopo Mastromatteo*, *Bence Toth* and *Jean-Philippe Bouchaud*
- 2014: Empirical properties of inter-cancellation durations in the Chinese stock market
*Gao-Feng Gu*, *Xiong Xiong*, *Wei Zhang*, *Yong-Jie Zhang* and *Wei-Xing Zhou*
- 2014: Structural Models under Additional Information
*Tahir Choulli* and *Jun Deng*
- 2014: Coherent Chaos Interest Rate Models
*Dorje C. Brody* and *Stala Hadjipetri*
- 2014: Detecting informed activities in European-style option tradings
*Lyudmila A. Glik* and *Oleg L. Kritski*
- 2014: Merton problem with one additional indivisible asset
*Jakub Trybu{\l}a*
- 2014: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic factor case
*Jakub Trybu{\l}a* 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
*M. Nabil Kazi-Tani*, *Dylan Possama\"i* and *Chao Zhou*
- 2014: A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution
*Dieter Hendricks* and *Diane Wilcox*
- 2014: Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models
*Michael B. Walker*
- 2014: Partial Mutual Information Analysis of Financial Networks
*Paweł Fiedor*
- 2014: Introduction to Risk Parity and Budgeting
*Thierry Roncalli*
- 2014: High-Order Splitting Methods for Forward PDEs and PIDEs
*Andrey Itkin*
- 2014: Do Google Trend data contain more predictability than price returns?
*Damien Challet* and *Ahmed Bel Hadj Ayed*
- 2014: Inside Money, Procyclical Leverage, and Banking Catastrophes
*Charles D. Brummitt*, *Rajiv Sethi* and *Duncan J. Watts*
- 2014: To bail-out or to bail-in? Answers from an agent-based model
*Peter Klimek*, *Sebastian Poledna*, *J. Doyne Farmer* and *Stefan Thurner*
- 2014: Modelling the Bid and Ask Prices of Illiquid CDSs
*Michael B. Walker*
- 2014: International Transmission of Shocks and Fragility of a Bank Network
*Xiaobing Feng*, *Woo Seong Jo* and *Beom Jun Kim*
- 2014: On the Frequency of Drawdowns for Brownian Motion Processes
*David Landriault*, *Bin Li* and *Hongzhong Zhang*
- 2014: On the Hawkes Process with Different Exciting Functions
*Behzad Mehrdad* and *Lingjiong Zhu*
- 2014: Asset Prices and Risk Aversion
*Dominique Pépin*
- 2014: Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics
*Andreas Joseph*, *Irena Vodenska*, *Eugene Stanley* and *Guanrong Chen*
- 2014: Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
*Xiangyu Cui*, *Duan Li* and *Xun Li*
- 2014: Multi-period Trading Prediction Markets with Connections to Machine Learning
*Jinli Hu* and *Amos Storkey*
- 2014: Exchange Rate Predictability in a Changing World
*Joseph Byrne*, *Dimitris Korobilis* and *Pinho Ribeiro*
- 2014: Parameter estimation for subcritical Heston models based on discrete time observations
*Matyas Barczy*, *Gyula Pap* and *Tamas T. Szabo*
- 2014: Investing and Stopping
*Moritz Duembgen* and *Leonard Rogers*
- 2014: Leverage effect in energy futures
*Ladislav Krištoufek*
- 2014: Prospect Theory for Online Financial Trading
*Yang-Yu Liu*, *Jose C. Nacher*, *Tomoshiro Ochiai*, *Mauro Martino* and *Yaniv Altshuler*
- 2014: Mapping systemic risk: critical degree and failures distribution in financial networks
*Matteo Smerlak*, *Brady Stoll*, *Agam Gupta* and *James S. Magdanz*
- 2014: Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
*Bin Zou* and *Abel Cadenillas*
- 2014: Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms
*Petr Jizba* and *Jan Korbel*
- 2014: Global inequality in energy consumption from 1980 to 2010
*Scott Lawrence*, *Qin Liu* and *Victor M. Yakovenko*
- 2014: No-arbitrage conditions and absolutely continuous changes of measure
*Claudio Fontana*
- 2014: Predicting trend reversals using market instantaneous state
*Thomas Bury*
- 2014: Power identities for L\'evy risk models under taxation and capital injections
*Hansjoerg Albrecher* and *Jevgenijs Ivanovs*
- 2014: Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains
*Mikl\'os R\'asonyi* and *Andrea Meireles Rodrigues*
- 2014: Efficient hedging in general Black-Scholes model
*Kyong-Hui Kim* and *Myong-Guk Sin*
- 2014: Do the rich get richer? An empirical analysis of the BitCoin transaction network
*D\'aniel Kondor*, *M\'arton P\'osfai*, *Istv\'an Csabai* and *G\'abor Vattay*
- 2014: Measuring risk with multiple eligible assets
*Walter Farkas*, *Pablo Koch-Medina* and *Cosimo Munari*
- 2014: Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix
*Taras Bodnar*, *Arjun K. Gupta* and *Nestor Parolya*
- 2014: Gold, Oil, and Stocks
*Jozef Baruník*, *Evžen Kočenda* and *Lukas Vacha*
- 2014: Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures
*Gordan Zitkovic*
- 2014: Predicting financial markets with Google Trends and not so random keywords
*Damien Challet* and *Ahmed Bel Hadj Ayed*
- 2014: Strict Local Martingales with Jumps
*Philip Protter*
- 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
*Aim\'e Lachapelle*, *Jean-Michel Lasry*, *Charles-Albert Lehalle* and *Pierre-Louis Lions*
- 2014: Permanent market impact can be nonlinear
*Olivier Gu\'eant*
- 2014: A convolution method for numerical solution of backward stochastic differential equations
*Cody Blaine Hyndman* and *Polynice Oyono Ngou*
- 2014: Coherence and elicitability
*Johanna F. Ziegel*
- 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
*Maria B. Chiarolla* and *Tiziano De Angelis*
- 2014: Quadratic BSDEs with jumps: a fixed-point approach
*M. Nabil Kazi-Tani*, *Dylan Possama\"i* and *Chao Zhou*
- 2014: Exploiting the flexibility of a family of models for taxation and redistribution
*Maria Letizia Bertotti* and *Giovanni Modanese*
- 2014: On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk-process in the presence of a penalty function
*Florin Avram*, *Zbigniew Palmowski* and *Martijn R. Pistorius*
- 2014: Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders
*Taisei Kaizoji*, *M. Leiss*, *A. Saichev* and *D. Sornette*
- 2014: Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target
*Hanqing Jin* and *Yimin Yang*
- 2014: Finding informed traders in futures and their inderlying assets in intraday trading
*Lyudmila A. Glik* and *Oleg L. Kritski*
- 2014: Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift
*Abdelali Gabih*, *Hakam Kondakji*, *J\"orn Sass* and *Ralf Wunderlich*
- 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
*Imre Kondor*
- 2014: Technology Parks Potential for Small and Medium Enterprises
*Anna V. Vilisova* and *Qiang Fu*
- 2014: Rebalancing with Linear and Quadratic Costs
*Ren Liu*, *Johannes Muhle-Karbe* and *Marko Weber*
- 2014: Trading with Small Price Impact
*Ludovic Moreau*, *Johannes Muhle-Karbe* and *H. Mete Soner*
- 2014: Densely Entangled Financial Systems
*Bhaskar DasGupta* and *Lakshmi Kaligounder*
- 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
*Micha{\l} Barski*
- 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
*Matija Pi\v{s}korec*, *Nino Antulov-Fantulin*, *Petra Kralj Novak*, *Igor Mozeti\v{c}*, *Miha Gr\v{c}ar*, *Irena Vodenska* and *Tomislav \v{S}muc*
- 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 Goucha*
- 2014: Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression
*Alice X. D. Dong*, *Jennifer Chan* and *Gareth W. Peters*
- 2014: Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate
*Anatoliy Swishchuk*, *Maksym Tertychnyi* and *Winsor Hoang*
- 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
*Sandrine Jacob Leal*, *Mauro Napoletano*, *Andrea Roventini* and *Giorgio Fagiolo*
- 2014: Pricing Currency Derivatives with Markov-modulated Levy Dynamics
*Anatoliy Swishchuk*, *Maksym Tertychnyi* and *Robert Elliott*
- 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
*Ovidiu Racorean*
- 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
*Yavni Bar-Yam*, *Marcus A. M. de Aguiar* and *Yaneer Bar-Yam*
- 2014: Faster Comparison of Stopping Times by Nested Conditional Monte Carlo
*Fabian Dickmann* and *Nikolaus Schweizer*
- 2014: Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium
*Sorin Solomon* and *Natasa Golo*
- 2014: The Political Economy of FDI flows into Developing Countries: Does the depth of International Trade Agreements Matter?
*Arslan Rana* and *Mazen Kebewar*
- 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
*M. Wilinski*, *B. Szewczak*, *T. Gubiec*, *R. Kutner* and *Z. R. Struzik*
- 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
*Erhan Bayraktar*, *Yu-Jui Huang* and *Zhou Zhou*
- 2014: Investment under uncertainty, competition and regulation
*Adrien Nguyen Huu*
- 2014: Detrended Cross-Correlation Analysis Consistently Extended to Multifractality
*Pawe{\l} O\'swi\c{e}cimka*, *Stanis{\l}aw Dro\.zd\.z*, *Marcin Forczek*, *Stanis{\l}aw Jadach* and *Jaros{\l}aw Kwapie\'n*
- 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: Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach
*R\"udiger Frey*, *Abdelali Gabih* and *Ralf Wunderlich*
- 2014: Ergodicity and scaling limit of a constrained multivariate Hawkes process
*Ban Zheng*, *Fran\c{c}ois Roueff* and *Fr\'ed\'eric Abergel*
- 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*, *Istv\'an Csabai*, *G\'abor Papp*, *Enys Mones*, *G\'abor Czimbalmos* and *M\'at\'e Csaba S\'andor*
- 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
*Miriam Kie{\ss}ling*, *Sascha Kurz* and *J\"org Rambau*
- 2014: Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations
*Yoshihiro Yura*, *Hideki Takayasu*, *Didier Sornette* and *Misako Takayasu*
- 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 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: 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
*Miroslav Pi\v{s}t\v{e}k* and *Frantisek Slanina*
- 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: A Creepy World
*Didier Sornette* and *Peter Cauwels*
- 2014: General indifference pricing with small transaction costs
*Dylan Possama\"i* and *Guillaume Royer*
- 2014: Quasi-Hadamard differentiability of general risk functionals and its application
*Volker Kr\"atschmer*, *Alexander Schied* and *Henryk Z\"ahle*
- 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 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 Mantegna*, *H. Eugene Stanley* and *Dror Y. Kenett*
- 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: Note on multidimensional Breeden-Litzenberger representation for state price densities
*Jarno Talponen* and *Lauri Viitasaari*
- 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
*Jan Ob{\l}\'oj* 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. Farmer* and *John Geanakoplos*
- 2014: A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection
*Audrone Virbickaite*, *M. Concepci\'on Aus\'in* 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 *Dylan Possama\"i*
- 2014: Market structure explained by pairwise interactions
*Thomas Bury*
- 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
*Volker Kr\"atschmer*, *Alexander Schied* and *Henryk Z\"ahle*
- 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*
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