# Papers
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- 2017: Financial Time Series Forecasting: Semantic Analysis Of Economic News
*Kateryna Kononova* and *Anton Dek*
- 2017: Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate
*Zailei Cheng*
- 2017: Data and uncertainty in extreme risks; a nonlinear expectations approach
*Samuel N. Cohen*
- 2017: Sensitivity analysis of the utility maximization problem with respect to model perturbations
*Oleksii Mostovyi* and *Mihai S\^irbu*
- 2017: Herding boosts too-connected-to-fail risk in stock market of China
*Shan Lu*, *Jichang Zhao*, *Huiwen Wang* and *Ruoen Ren*
- 2017: Can Everyone Benefit from Social Integration?
*Josue Ortega*
- 2017: Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies
*Yash Sharma*
- 2017: On the Black's equation for the risk tolerance function
*Sigrid K\"allblad* and *Thaleia Zariphopoulou*
- 2017: A Dynkin game on assets with incomplete information on the return
*Tiziano De Angelis*, *Fabien Gensbittel* and *St\'ephane Villeneuve*
- 2017: Compressing Over-the-Counter Markets
*Marco D'Errico* and *Tarik Roukny*
- 2017: Wealth dynamics in a sentiment-driven market
*Mikhail Goykhman*
- 2017: Quadratic hedging with multiple assets under illiquidity with applications in energy markets
*Panagiotis Christodoulou*, *Nils Detering* and *Thilo Meyer-Brandis*
- 2017: CDS Rate Construction Methods by Machine Learning Techniques
*Raymond Brummelhuis* and *Zhongmin Luo*
- 2017: Conduct Risk - distribution models with very thin Tails
*Peter Mitic*
- 2017: Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
*David Bauder*, *Taras Bodnar*, *Nestor Parolya* and *Wolfgang Schmid*
- 2017: Hierarchical organization of H. Eugene Stanley scientific collaboration community in weighted network representation
*Stanislaw Drozdz*, *Andrzej Kulig*, *Jaroslaw Kwapien*, *Artur Niewiarowski* and *Marek Stanuszek*
- 2017: Continuous time mean-variance portfolio selection with nonlinear wealth equations and random coefficients
*Shaolin Ji*, *Hanqing Jin* and *Xiaomin Shi*
- 2017: Banks as Tanks: A Continuous-Time Model of Financial Clearing
*Isaac M. Sonin* and *Konstantin Sonin*
- 2017: Analytic techniques for option pricing under a hyperexponential L\'{e}vy model
*Daniel Hackmann*
- 2017: Supply and Shorting in Speculative Markets
*Marcel Nutz* and *Jos\'e A. Scheinkman*
- 2017: Optimal R\'enyi Entropy Portfolios
*Nathan Lassance* and *Fr\'ed\'eric Vrins*
- 2017: A Novel Approach to Quantification of Model Risk for Practitioners
*Zuzana Krajcovicova*, *Pedro Pablo Perez-Velasco* and *Carlos Vazquez*
- 2017: Calibration and Filtering of Exponential L\'evy Option Pricing Models
*Stavros J. Sioutis*
- 2017: Murphy Diagrams: Forecast Evaluation of Expected Shortfall
*Johanna F. Ziegel*, *Fabian Kr\"uger*, *Alexander Jordan* and *Fernando Fasciati*
- 2017: Investing for the Long Run
*Dietmar Leisen* and *Eckhard Platen*
- 2017: A note on the impact of management fees on the pricing of variable annuity guarantees
*Jin Sun*, *Pavel V. Shevchenko* and *Man Chung Fung*
- 2017: Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs
*Miryana Grigorova* and *Marie-Claire Quenez*
- 2017: Hybrid PDE solver for data-driven problems and modern branching
*Francisco Bernal*, *Gon\c{c}alo dos Reis* and *Greig Smith*
- 2017: Polynomial processes in stochastic portfolio theory
*Christa Cuchiero*
- 2017: Maximum Entropy Principle underlying the dynamics of automobile sales
*A. Hernando*, *D. Villuendas*, *M. Sulc*, *R. Hernando*, *R. Seoane* and *A. Plastino*
- 2017: Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
*Rupert Way*, *François Lafond*, *J. Doyne Farmer*, *Fabrizio Lillo* and *Valentyn Panchenko*
- 2017: Machine Learning Techniques for Mortality Modeling
*Philippe Deprez*, *Pavel V. Shevchenko* and *Mario V. W\"uthrich*
- 2017: Benchmark Dataset for Mid-Price Prediction of Limit Order Book data
*Adamantios Ntakaris*, *Martin Magris*, *Juho Kanniainen*, *Moncef Gabbouj* and *Alexandros Iosifidis*
- 2017: Duality for pathwise superhedging in continuous time
*Daniel Bartl*, *Michael Kupper*, *David J. Pr\"omel* and *Ludovic Tangpi*
- 2017: Unspanned Stochastic Volatility in the Multi-factor CIR Model
*Damir Filipovi\'c*, *Martin Larsson* and *Francesco Statti*
- 2017: An equation for a time-dependent profit rate
*Rafael D. Sorkin*
- 2017: Computation of second order price sensitivities in depressed markets
*Youssef El-Khatib* and *Abdulnasser Hatemi-J*
- 2017: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers
*Masaaki Fujii* and *Akihiko Takahashi*
- 2017: Noisy independent component analysis of auto-correlated components
*Jakob Knollm\"uller* and *Torsten A. En{\ss}lin*
- 2017: Optimal consumption of multiple goods in incomplete markets
*Oleksii Mostovyi*
- 2017: The Indirect Effects of FDI on Trade: A Network Perspective
*Paolo Sgrignoli*, *Rodolfo Metulini*, *Zhen Zhu* and *Massimo Riccaboni*
- 2017: Leontief Meets Shannon - Measuring the Complexity of the Economic System
*Dave Zachariah* and *Paul Cockshott*
- 2017: A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
*Christa Cuchiero*, *Irene Klein* and *Josef Teichmann*
- 2017: The Payoff Region of a Strategic Game and Its Extreme Points
*Yu-Sung Tu* and *Wei-Torng Juang*
- 2017: Algorithmic trading in a microstructural limit order book model
*Fr\'ed\'eric Abergel*, *C\^ome Hur\'e* and *Huy\^en Pham*
- 2017: An Alternative Estimation of Market Volatility based on Fuzzy Transform
*Luigi Troiano*, *Elena Mejuto Villa* and *Pravesh Kriplani*
- 2017: The coordination of centralised and distributed generation
*Ren\'e A\"id*, *Matteo Basei* and *Huy\^en Pham*
- 2017: Pricing Variance Swaps on Time-Changed Markov Processes
*Peter Carr*, *Roger Lee* and *Matthew Lorig*
- 2017: A Novel Approach to Forecasting Financial Volatility with Gaussian Process Envelopes
*Syed Ali Asad Rizvi*, *Stephen J. Roberts*, *Michael A. Osborne* and *Favour Nyikosa*
- 2017: Towards the Exact Simulation Using Hyperbolic Brownian Motion
*Yuuki Ida* and *Yuri Imamura*
- 2017: Particle systems with singular interaction through hitting times: application in systemic risk modeling
*Sergey Nadtochiy* and *Mykhaylo Shkolnikov*
- 2017: Portfolio Choice with Small Temporary and Transient Price Impact
*Ibrahim Ekren* and *Johannes Muhle-Karbe*
- 2017: Implied Stopping Rules for American Basket Options from Markovian Projection
*Christian Bayer*, *Juho H\"app\"ol\"a* and *Ra\'ul Tempone*
- 2017: Are target date funds dinosaurs? Failure to adapt can lead to extinction
*Peter A. Forsyth*, *Yuying Li* and *Kenneth R. Vetzal*
- 2017: A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?
*Stavros Stavroyiannis*
- 2017: Lean derivation of the CRR pricing formula
*Jarno Talponen* and *Minna Turunen*
- 2017: Learning Agents in Black-Scholes Financial Markets: Consensus Dynamics and Volatility Smiles
*Tushar Vaidya*, *Carlos Murguia* and *Georgios Piliouras*
- 2017: A Joint Quantile and Expected Shortfall Regression Framework
*Timo Dimitriadis* and *Sebastian Bayer*
- 2017: Network Structure and Naive Sequential Learning
*Krishna Dasaratha* and *Kevin He*
- 2017: Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula
*Stefano De Marco* and *Claude Martini*
- 2017: A generalized public goods game with coupling of individual ability and project benefit
*Li-Xin Zhong*, *Wen-Juan Xu*, *Yun-Xin He*, *Chen-Yang Zhong*, *Rong-Da Chen*, *Tian Qiu*, *Yong-Dong Shi* and *Fei Ren*
- 2017: Hawkes process model with a time-dependent background rate and its application to high-frequency financial data
*Takahiro Omi*, *Yoshito Hirata* and *Kazuyuki Aihara*
- 2017: Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version
*Ruediger Frey*, *Lars Roesler* and *Dan Lu*
- 2017: An application of time reversal to credit risk management
*Masahiko Egami* and *Rusudan Kevkhishvili*
- 2017: A Primer on Portfolio Choice with Small Transaction Costs
*Johannes Muhle-Karbe*, *Max Reppen* and *H. Mete Soner*
- 2017: Optimal shrinkage-based portfolio selection in high dimensions
*Taras Bodnar*, *Yarema Okhrin* and *Nestor Parolya*
- 2017: Dual representation of risk measures on Orlicz spaces
*Niushan Gao*, *Denny H. Leung* and *Foivos Xanthos*
- 2017: Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations
*Jaroslaw Kwapien*, *Pawel Oswiecimka*, *Marcin Forczek* and *Stanislaw Drozdz*
- 2017: The complex dynamics of products and its asymptotic properties
*Orazio Angelini*, *Matthieu Cristelli*, *Andrea Zaccaria* and *Luciano Pietronero*
- 2017: A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes
*Camilo Hernandez*, *Mauricio Junca* and *Harold Moreno-Franco*
- 2017: Some Aspects of Optimal Execution Problem with Multiple Venues and Multi-scale Stochastic Volatility
*Qing-Qing Yang*, *Wai-Ki Ching*, *Jia-Wen Gu* and *Tak-Kuen Siu*
- 2017: Inferring monopartite projections of bipartite networks: an entropy-based approach
*Fabio Saracco*, *Mika J. Straka*, *Riccardo Di Clemente*, *Andrea Gabrielli*, *Guido Caldarelli* and *Tiziano Squartini*
- 2017: On the American swaption in the linear-rational framework
*Damir Filipovic* and *Yerkin Kitapbayev*
- 2017: Utility Indifference Pricing of Insurance Catastrophe Derivatives
*Andreas Eichler*, *Gunther Leobacher* and *Michaela Sz\"olgyenyi*
- 2017: Shall I Sell or Shall I Wait? Optimal Liquidation under Partial Information with Price Impact
*Katia Colaneri*, *Zehra Eksi*, *R\"udiger Frey* and *Michaela Sz\"olgyenyi*
- 2017: A note on optimal expected utility of dividend payments with proportional reinsurance
*Xiaoqing Liang* and *Zbigniew Palmowski*
- 2017: Optimal market making
*Olivier Gu\'eant*
- 2017: Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
*Ren\'e A\"id*, *Matteo Basei*, *Giorgia Callegaro*, *Luciano Campi* and *Tiziano Vargiolu*
- 2017: Option pricing under fast-varying long-memory stochastic volatility
*Josselin Garnier* and *Knut Solna*
- 2017: Financial equilibrium with asymmetric information and random horizon
*Umut \c{C}etin*
- 2017: On a hybrid method using trees and finite-differences for pricing options in complex models
*Maya Briani*, *Lucia Caramellino*, *Giulia Terenzi* and *Antonino Zanette*
- 2017: Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets
*Dieter Hendricks*
- 2017: Unbiased estimation of risk
*Marcin Pitera* and *Thorsten Schmidt*
- 2017: A Mathematical Model of Foreign Capital Inflow
*Gopal K. Basak*, *Pranab Das* and *Allena Rohit*
- 2017: Financial Services, Economic Growth and Well-Being: A Four-Pronged Study
*Ravi Kashyap*
- 2017: Duality formulas for robust pricing and hedging in discrete time
*Patrick Cheridito*, *Michael Kupper* and *Ludovic Tangpi*
- 2017: On minimising a portfolio's shortfall probability
*Anatolii A. Puhalskii* and *Michael Jay Stutzer*
- 2017: Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations
*Yusong Li* and *Harry Zheng*
- 2017: Optimal Rebalancing Frequencies for Multidimensional Portfolios
*Ibrahim Ekren*, *Ren Liu* and *Johannes Muhle-Karbe*
- 2017: High-frequency limit of Nash equilibria in a market impact game with transient price impact
*Alexander Schied*, *Elias Strehle* and *Tao Zhang*
- 2017: Liquidity Effects of Trading Frequency
*Roman Gayduk* and *Sergey Nadtochiy*
- 2017: Law on the Market? Abnormal Stock Returns and Supreme Court Decision-Making
*Daniel Martin Katz*, *Michael J Bommarito*, *Tyler Soellinger* and *James Ming Chen*
- 2017: Valuation of capital protection options
*Xiaolin Luo* and *Pavel V. Shevchenko*
- 2017: Robust replication of barrier-style claims on price and volatility
*Peter Carr*, *Roger Lee* and *Matthew Lorig*
- 2017: Hybrid scheme for Brownian semistationary processes
*Mikkel Bennedsen*, *Asger Lunde* and *Mikko S. Pakkanen*
- 2017: Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
*Miryana Grigorova*, *Peter Imkeller*, *Elias Offen*, *Youssef Ouknine* and *Marie-Claire Quenez*
- 2017: Nonparametric Stochastic Discount Factor Decomposition
*Timothy Christensen*
- 2017: Randomized versions of Mazur lemma and Krein-Smulian theorem
*Jose Miguel Zapata*
- 2017: Shapes of implied volatility with positive mass at zero
*Stefano De Marco*, *Caroline Hillairet* and *Antoine Jacquier*
- 2017: A market impact game under transient price impact
*Alexander Schied* and *Tao Zhang*
- 2017: Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces
*Zbigniew Palmowski* and *Sebastian Baran*
- 2017: Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
*Takashi Kato*
- 2017: Classifications of Innovations Survey and Future Directions
*Mario Coccia*
- 2017: A Quantum-like Model of Selection Behavior
*Masanari Asano*, *Irina Basieva*, *Andrei Khrennikov*, *Masanori Ohya* and *Yoshiharu Tanaka*
- 2017: Application of Differential Equations in Projecting Growth Trajectories
*Ron W. Nielsen*
- 2017: Propensity to spending of an average consumer over a brief period
*Roberto De Luca*, *Marco Di Mauro*, *Angelo Falzarano* and *Adele Naddeo*
- 2017: Bayesian Portfolio Selection
*Sourish Das* and *Rituparna Sen*
- 2017: The q-dependent detrended cross-correlation analysis of stock market
*Longfeng Zhao*, *Wei Li*, *Andrea Fenu*, *Boris Podobnik*, *Yougui Wang* and *H. Eugene Stanley*
- 2017: Stochastic modelling of non-stationary financial assets
*Joana Estevens*, *Paulo Rocha*, *Joao Boto* and *Pedro Lind*
- 2017: A Time Series Analysis-Based Forecasting Framework for the Indian Healthcare Sector
*Jaydip Sen* and *Tamal Datta Chaudhuri*
- 2017: Duality in Regret Measures and Risk Measures
*Qiang Yao*, *Xinmin Yang* and *Jie Sun*
- 2017: Stratonovich representation of semimartingale rank processes
*Robert Fernholz*
- 2017: Periodic strategies in optimal execution with multiplicative price impact
*Daniel Hern\'andez-Hern\'andez*, *Jos\'e Luis P\'erez* and *Harold A. Moreno-Franco*
- 2017: Multi-Period Trading via Convex Optimization
*Stephen Boyd*, *Enzo Busseti*, *Steven Diamond*, *Ronald N. Kahn*, *Kwangmoo Koh*, *Peter Nystrup* and *Jan Speth*
- 2017: Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix
*Tetsuya Takaishi*
- 2017: Economic Neutral Position: How to best replicate not fully replicable liabilities
*Andreas Kunz* and *Markus Popp*
- 2017: Optimal client recommendation for market makers in illiquid financial products
*Dieter Hendricks* and *Stephen J. Roberts*
- 2017: Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model
*Nian Yao* and *Zhiming Yang*
- 2017: High-Frequency Jump Analysis of the Bitcoin Market
*Olivier Scaillet*, *Adrien Treccani* and *Christopher Trevisan*
- 2017: Stability of zero-growth economics analysed with a Minskyan model
*Adam B. Barrett*
- 2017: Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
*Andrei Cozma* and *Christoph Reisinger*
- 2017: Value-at-Risk Diversification of $\alpha$-stable Risks: The Tail-Dependence Puzzle
*Umberto Cherubini* and *Paolo Neri*
- 2017: Asymptotic multivariate expectiles
*V\'eronique Maume-Deschamps*, *Didier Rulli\`ere* and *Khalil Said*
- 2017: The effect of heterogeneity on financial contagion due to overlapping portfolios
*Opeoluwa Banwo*, *Fabio Caccioli*, *Paul Harrald* and *Francesca Medda*
- 2017: Pairs Trading under Drift Uncertainty and Risk Penalization
*S\"uhan Altay*, *Katia Colaneri* and *Zehra Eksi*
- 2017: A level-1 Limit Order book with time dependent arrival rates
*Jonathan A. Ch\'avez-Casillas*, *Robert J. Elliott*, *Bruno R\'emillard* and *Anatoliy V. Swishchuk*
- 2017: On mean-variance hedging under partial observations and terminal wealth constraints
*Vitalii Makogin*, *Alexander Melnikov* and *Yuliya Mishura*
- 2017: Scaling evidence of the homothetic nature of cities
*R\'emi Lemoy* and *Geoffrey Caruso*
- 2017: Simple wealth distribution model causing inequality-induced crisis without external shocks
*Henri Benisty*
- 2017: Fast Quantization of Stochastic Volatility Models
*Ralph Rudd*, *Thomas A. McWalter*, *Joerg Kienitz* and *Eckhard Platen*
- 2017: Structural price model for electricity coupled markets
*Clemence Alasseur* and *Olivier Feron*
- 2017: Anomalous Scaling of Stochastic Processes and the Moses Effect
*Lijian Chen*, *Kevin E. Bassler*, *Joseph L. McCauley* and *Gemunu H. Gunaratne*
- 2017: A generalized Bayesian framework for the analysis of subscription based businesses
*Rahul Madhavan* and *Ankit Baraskar*
- 2017: Quantifying instabilities in Financial Markets
*Bruna Amin Gon\c{c}alves*, *Laura Carpi*, *Osvaldo A. Rosso*, *Martin G. Ravetti* and *A. P. F Atman*
- 2017: The case of 'Less is more': Modelling risk-preference with Expected Downside Risk
*Mihály Ormos* and *Dusan Timotity*
- 2017: High-order compact finite difference scheme for option pricing in stochastic volatility jump models
*Bertram D\"uring* and *Alexander Pitkin*
- 2017: Best reply structure and equilibrium convergence in generic games
*Marco Pangallo*, *Torsten Heinrich* and *J Doyne Farmer*
- 2017: Measurement of Economic Growth, Development and Under Development: New Model and Application
*Mario Coccia*
- 2017: Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging
*Sebastian Herrmann* and *Johannes Muhle-Karbe*
- 2017: Simplifying credit scoring rules using LVQ+PSO
*Laura Cristina Lanzarini*, *Augusto Villa Monte*, *Aurelio Fernandez Bariviera* and *Patricia Jimbo Santana*
- 2017: Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
*Aurelio Fernandez Bariviera*, *Luciano Zunino* and *Osvaldo A. Rosso*
- 2017: An empirical behavioural order-driven model with price limit rules
*Gao-Feng Gu*, *Xiong Xiong*, *Hai-Chuan Xu*, *Wei Zhang*, *Yong-Jie Zhang*, *Wei Chen* and *Wei-Xing Zhou*
- 2017: Exploring the relationship between technological improvement and innovation diffusion: An empirical test
*JongRoul Woo* and *Christopher L. Magee*
- 2017: Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time
*Michele Bonollo*, *Luca Di Persio*, *Luca Mammi* and *Immacolata Oliva*
- 2017: On Feature Reduction using Deep Learning for Trend Prediction in Finance
*Luigi Troiano*, *Elena Mejuto* and *Pravesh Kriplani*
- 2017: Bartlett's delta in the SABR model
*Patrick S. Hagan* and *Andrew Lesniewski*
- 2017: A fractional reaction-diffusion description of supply and demand
*Michael Benzaquen* and *Jean-Philippe Bouchaud*
- 2017: Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility
*Dirk Becherer* and *Klebert Kentia*
- 2017: On absence of steady state in the Bouchaud-M\'ezard network model
*Zhiyuan Liu* and *R. A. Serota*
- 2017: A systemic shock model for too big to fail financial institutions
*Sabrina Mulinacci*
- 2017: On a pricing problem for a multi-asset option with general transaction costs
*Pablo Amster* and *Andres P. Mogni*
- 2017: The micro-foundations of an open economy money demand: An application to the Central and Eastern European countries
*Claudiu Albulescu*, *Dominique P\'epin* and *Stephen Miller*
- 2017: Parameter uncertainty for integrated risk capital calculations based on normally distributed subrisks
*Andreas Fr\"ohlich* and *Annegret Weng*
- 2017: Multivariate Geometric Expectiles
*Klaus Herrmann*, *Marius Hofert* and *Melina Mailhot*
- 2017: Replica Analysis for Portfolio Optimization with Single-Factor Model
*Takashi Shinzato*
- 2017: ICT and Employment in India: A Sectoral Level Analysis
*Dr. Pawan Kumar*
- 2017: The Wandering of Corn
*Valerii Salov*
- 2017: Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios
*Nonthachote Chatsanga* and *Andrew J. Parkes*
- 2017: Interconnectedness in the Global Financial Market
*Matthias Raddant* and *Dror Y. Kenett*
- 2017: Market Efficiency and Price Stabilization Policy in Interwar Osaka-Dojima Rice Exchange
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2017: Incorporating Signals into Optimal Trading
*Charles-Albert Lehalle* and *Eyal Neuman*
- 2017: Sharp Target Range Strategies with Application to Dynamic Portfolio Selection
*Rongju Zhang*, *Nicolas Langren\'e*, *Yu Tian*, *Zili Zhu*, *Fima Klebaner* and *Kais Hamza*
- 2017: How Wave - Wavelet Trading Wins and "Beats" the Market
*Lanh Tran*
- 2017: Non-Analytic Solution to the Fokker-Planck Equation of Fractional Brownian Motion via Laplace Transforms
*Visant Ahuja*
- 2017: Agent-Based Model Calibration using Machine Learning Surrogates
*Francesco Lamperti*, *Andrea Roventini* and *Amir Sani*
- 2017: Biased Risk Parity with Fractal Model of Risk
*Sergey Kamenshchikov* and *Ilia Drozdov*
- 2017: Topological Data Analysis of Financial Time Series: Landscapes of Crashes
*Marian Gidea* and *Yuri Katz*
- 2017: Performance of information criteria used for model selection of Hawkes process models of financial data
*J. M. Chen*, *A. G. Hawkes*, *E. Scalas* and *M. Trinh*
- 2017: Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets
*Antoaneta Serguieva*
- 2017: Parameter uncertainty and reserve risk under Solvency II
*Andreas Fr\"ohlich* and *Annegret Weng*
- 2017: Can Agent-Based Models Probe Market Microstructure?
*Donovan Platt* and *Tim Gebbie*
- 2017: Portfolio choice, portofolio liquidation, and portfolio transition under drift uncertainty
*Olivier Gu\'eant* and *Jiang Pu*
- 2017: Managing Default Contagion in Inhomogeneous Financial Networks
*Nils Detering*, *Thilo Meyer-Brandis*, *Konstantinos Panagiotou* and *Daniel Ritter*
- 2017: Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options
*Kevin Guo* and *Tim Leung*
- 2017: Approximate pricing of European and Barrier claims in a local-stochastic volatility setting
*Weston Barger* and *Matthew Lorig*
- 2017: Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions
*J. D. Opdyke*
- 2017: Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
*Matyas Barczy*, *Mohamed Ben Alaya*, *Ahmed Kebaier* and *Gyula Pap*
- 2017: Covariance of random stock prices in the Stochastic Dividend Discount Model
*Arianna Agosto*, *Alessandra Mainini* and *Enrico Moretto*
- 2017: Stochastic Tail Exponent For Asymmetric Power Laws
*Nassim Nicholas Taleb*
- 2017: Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets
*David Criens*
- 2017: The randomised Heston model
*Antoine Jacquier* and *Fangwei Shi*
- 2017: Bayesian Posteriors For Arbitrarily Rare Events
*Drew Fudenberg*, *Kevin He* and *Lorens Imhof*
- 2017: Hedging under generalized good-deal bounds and model uncertainty
*Dirk Becherer* and *Klebert Kentia*
- 2017: Existence and uniqueness results for BSDEs with jumps: the whole nine yards
*Antonis Papapantoleon*, *Dylan Possama\"i* and *Alexandros Saplaouras*
- 2017: On the Optimal Management of Public Debt: a Singular Stochastic Control Problem
*Giorgio Ferrari*
- 2017: An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
*Wing Fung Chong*, *Ying Hu*, *Gechun Liang* and *Thaleia Zariphopoulou*
- 2017: Swaption Prices in HJM model. Nonparametric fit
*V. M. Belyaev*
- 2017: Enhanced capital-asset pricing model for bipartite financial networks reconstruction
*Tiziano Squartini*, *Assaf Almog*, *Guido Caldarelli*, *Iman van Lelyveld*, *Diego Garlaschelli* and *Giulio Cimini*
- 2017: Skorohod's representation theorem and optimal strategies for markets with frictions
*Huy N. Chau* and *Mikl\'os R\'asonyi*
- 2017: Incentivizing Resilience in Financial Networks
*Matt V. Leduc* and *Stefan Thurner*
- 2017: On American VIX options under the generalized 3/2 and 1/2 models
*Yerkin Kitapbayev* and *Jerome Detemple*
- 2017: Robust pricing--hedging duality for American options in discrete time financial markets
*Anna Aksamit*, *Shuoqing Deng*, *Jan Ob\l\'oj* and *Xiaolu Tan*
- 2017: Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty
*Brian Bulthuis*, *Julio Concha*, *Tim Leung* and *Brian Ward*
- 2017: Risk contagion under regular variation and asymptotic tail independence
*Bikramjit Das* and *Vicky Fasen*
- 2017: Optimal Liquidation under Stochastic Liquidity
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2017: Tukey's Transformational Ladder for Portfolio Management
*Philip Ernst*, *James Thompson* and *Yinsen Miao*
- 2017: General dynamic term structures under default risk
*Claudio Fontana* and *Thorsten Schmidt*
- 2017: Do co-jumps impact correlations in currency markets?
*Jozef Baruník* and *Lukas Vacha*
- 2017: Statistical mechanics of complex economies
*Marco Bardoscia*, *Giacomo Livan* and *Matteo Marsili*
- 2017: Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables
*Jamie Fairbrother*, *Amanda Turner* and *Stein Wallace*
- 2017: Analysis of Markovian Competitive Situations using Nonatomic Games
*Jian Yang*
- 2017: Game-theoretic Modeling of Players' Ambiguities on External Factors
*Jian Yang*
- 2017: Risk management under Omega measure
*Michael R. Metel*, *Traian A. Pirvu* and *Julian Wong*
- 2017: Pricing and Referrals in Diffusion on Networks
*Matt V. Leduc*, *Matthew Jackson* and *Ramesh Johari*
- 2017: An Insurance-Led Response to Climate Change
*Anthony J. Webster* and *Richard H. Clarke*
- 2017: Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective
*Simone Farinelli* and *Luisa Tibiletti*
- 2017: Measuring the frequency dynamics of financial connectedness and systemic risk
*Jozef Baruník* and *Tomas Krehlik*
- 2017: Actuarial Applications and Estimation of Extended~CreditRisk$^+$
*Jonas Hirz*, *Uwe Schmock* and *Pavel V. Shevchenko*
- 2017: Optimal Asset Liquidation with Multiplicative Transient Price Impact
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2017: Rebalancing with Linear and Quadratic Costs
*Ren Liu*, *Johannes Muhle-Karbe* and *Marko H. Weber*
- 2017: The Convexity of the Free Boundary for the American put option
*Hsuan-Ku Liu*
- 2017: On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
*Dilip Madan*, *Martijn Pistorius* and *Mitja Stadje*
- 2017: An Economic analogy to Electrodynamics
*Sanjay Dasari* and *Anindya Kumar Biswas*
- 2017: Machine Learning for Better Models for Predicting Bond Prices
*Swetava Ganguli* and *Jared Dunnmon*
- 2017: Urban Data Streams and Machine Learning: A Case of Swiss Real Estate Market
*Vahid Moosavi*
- 2017: On coherency and other properties of MAXVAR
*Jie Sun* and *Qiang Yao*
- 2017: Random Multi-Unit Assignment with Endogenous Quotas
*Josue Ortega*
- 2017: Understanding the fundamental dynamics of interbank networks
*Teruyoshi Kobayashi* and *Taro Takaguchi*
- 2017: Quadratic approximation of slow factor of volatility in a Multi-factor Stochastic volatility Model
*Gifty Malhotra*, *R. Srivastava* and *H. C. Taneja*
- 2017: Probabilistic Mid- and Long-Term Electricity Price Forecasting
*Florian Ziel* and *Rick Steinert*
- 2017: Multiperiod Martingale Transport
*Marcel Nutz*, *Florian Stebegg* and *Xiaowei Tan*
- 2017: Harry Potter and the Goblin Bank of Gringotts
*Zachary Feinstein*
- 2017: Rational Choice and Artificial Intelligence
*Tshilidzi Marwala*
- 2017: FIEMS: Fast Italian Energy Market Simulator
*Matteo Gardini* and *Marco Diana*
- 2017: Smallest order closed sublattices and option spanning
*Niushan Gao* and *Denny H. Leung*
- 2017: Non-parametric and semi-parametric asset pricing
*Peter Erdos*, *Mihály Ormos* and *David Zibriczky*
- 2017: Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange
*Tetsuya Takaishi* and *Toshiaki Watanabe*
- 2017: A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet
*Amirhossein Sobhani* and *Mariyan Milev*
- 2017: Microstructure under the Microscope: Tools to Survive and Thrive in The Age of (Too Much) Information
*Ravi Kashyap*
- 2017: Ex-post core, fine core and rational expectations equilibrium allocations
*Anuj Bhowmik* and *Jiling Cao*
- 2017: Emergence of world-stock-market network
*M. Saeedian*, *T. Jamali*, *M. Z. Kamali*, *H. Bayani*, *T. Yasseri* and *G. R. Jafari*
- 2017: Game-Theoretic Protection Against Networked SIS Epidemics by Human Decision-Makers
*Ashish R. Hota* and *Shreyas Sundaram*
- 2017: Towards a probability-free theory of continuous martingales
*Vladimir Vovk* and *Glenn Shafer*
- 2017: A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping
*Sigrid K\"allblad*
- 2017: Cohort effects in mortality modelling: a Bayesian state-space approach
*Man Chung Fung*, *Gareth W. Peters* and *Pavel V. Shevchenko*
- 2017: Mean field and n-agent games for optimal investment under relative performance criteria
*Daniel Lacker* and *Thaleia Zariphopoulou*
- 2017: An Agent-based Model of Contagion in Financial Networks
*Leonardo dos Santos Pinheiro* and *Flavio Codeco COelho*
- 2017: Stochastic control on the half-line and applications to the optimal dividend/consumption problem
*Dariusz Zawisza*
- 2017: Optimal Portfolio under Fractional Stochastic Environment
*Jean-Pierre Fouque* and *Ruimeng Hu*
- 2017: New approaches in agent-based modeling of complex financial systems
*T. T. Chen*, *B. Zheng*, *Y. Li* and *X. F. Jiang*
- 2017: Direct observation of high-frequency traders' strategies and theoretical foundation for financial Brownian motion
*Kiyoshi Kanazawa*, *Takumi Sueshige*, *Hideki Takayasu* and *Misako Takayasu*
- 2017: A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors
*Sujay Mukhoti* and *Pritam Ranjan*
- 2017: How to Forecast an Election
*Nassim Nicholas Taleb*
- 2017: Pricing VIX Derivatives With Free Stochastic Volatility Model
*Wei Lin*, *Shenghong Li* and *Shane Chern*
- 2017: How well do experience curves predict technological progress? A method for making distributional forecasts
*François Lafond*, *Aimee Gotway Bailey*, *Jan David Bakker*, *Dylan Rebois*, *Rubina Zadourian*, *Patrick McSharry* and *J. Doyne Farmer*
- 2017: Acceptability Pricing of Contingent Claims Under Model Ambiguity Using Stochastic Optimization
*Martin Glanzer* and *Georg Ch. Pflug*
- 2017: Humans of Simulated New York (HOSNY): an exploratory comprehensive model of city life
*Francis Tseng*, *Fei Liu* and *Bernardo Furtado*
- 2017: Short-time near-the-money skew in rough fractional volatility models
*Christian Bayer*, *Peter K. Friz*, *Archil Gulisashvili*, *Blanka Horvath* and *Benjamin Stemper*
- 2017: Perfect hedging in rough Heston models
*Omar El Euch* and *Mathieu Rosenbaum*
- 2017: Data driven partition-of-unity copulas with applications to risk management
*Dietmar Pfeifer*, *Andreas M\"andle* and *Olena Ragulina*
- 2017: Systemic Risk, Maximum Entropy and Interbank Contagion
*M. Andrecut*
- 2017: Extremal Behavior of Long-Term Investors with Power Utility
*Nicole B\"auerle* and *Stefanie Grether*
- 2017: On representing and hedging claims for coherent risk measures
*Saul Jacka*, *Seb Armstrong* and *Abdelkarem Berkaoui*
- 2017: Diffusive and arrested-like dynamics in currency exchange markets
*Joaquim Clara-Rahola*, *Antonio M. Puertas*, *Miguel Angel Sanchez-Granero*, *Juan E. Trinidad-Segovia* and *F. Javier de las Nieves*
- 2017: Uncovering Offshore Financial Centers: Conduits and Sinks in the Global Corporate Ownership Network
*Javier Garcia-Bernardo*, *Jan Fichtner*, *Eelke M. Heemskerk* and *Frank W. Takes*
- 2017: Networks as Proxies: a relational approach towards economic complexity in the Roman period
*Johannes Preiser-Kapeller*
- 2017: Pythagorean theorem of Sharpe ratio
*Takashi Shinzato*
- 2017: Media Network and Return Predictability
*Li Guo* and *Yubo Tao*
- 2017: Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization under Probability and Discounting Uncertainty
*Samuel Drapeau*, *Peng Luo* and *Dewen Xiong*
- 2017: Mini-symposium on automatic differentiation and its applications in the financial industry
*S\'ebastien Geeraert*, *Charles-Albert Lehalle*, *Barak Pearlmutter*, *Olivier Pironneau* and *Adil Reghai*
- 2017: Wisdom of the institutional crowd
*Kevin Primicerio*, *Damien Challet* and *Stanislao Gualdi*
- 2017: Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion
*Danping Li*, *Dongchen Li* and *Virginia R. Young*
- 2017: Optimal investment problem with M-CEV model: closed form solution and applications to the pair trading
*Dmitry Muravey*
- 2017: Blockchains and Distributed Ledgers in Retrospective and Perspective
*Alexander Lipton*
- 2017: Collective Learning in China's Regional Economic Development
*Jian Gao*, *Bogang Jun*, *Alex "Sandy" Pentland*, *Tao Zhou* and *Cesar Hidalgo*
- 2017: Disentangling Price, Risk and Model Risk
*Marco Frittelli* and *Marco Maggis*
- 2017: Quantifying China's Regional Economic Complexity
*Jian Gao* and *Tao Zhou*
- 2017: Swarm behavior of traders with different subjective predictions in the Market
*Hiroshi Toyoizumi*
- 2017: Model Spaces for Risk Measures
*Felix-Benedikt Liebrich* and *Gregor Svindland*
- 2017: Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies
*Jorge Inigo*
- 2017: A note on conditional covariance matrices for elliptical distributions
*Piotr Jaworski* and *Marcin Pitera*
- 2017: *K-means and Cluster Models for Cancer Signatures
*Zura Kakushadze* and *Willie Yu*
- 2017: A review of two decades of correlations, hierarchies, networks and clustering in financial markets
*Gautier Marti*, *Frank Nielsen*, *Miko{\l}aj Bi\'nkowski* and *Philippe Donnat*
- 2017: Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative
*Andreas Hermes* and *Stanislaus Maier-Paape*
- 2017: Are Trump and Bitcoin Good Partners?
*Jamal Bouoiyour* and *Refk Selmi*
- 2017: Recovering Linear Equations of XVA in Bilateral Contracts
*Junbeom Lee* and *Chao Zhou*
- 2017: Incremental computation of block triangular matrix exponentials with application to option pricing
*Daniel Kressner*, *Robert Luce* and *Francesco Statti*
- 2017: Reverse stress testing interbank networks
*Daniel Grigat* and *Fabio Caccioli*
- 2017: Multi-Dimensional Pass-Through, Incidence, and the Welfare Burden of Taxation in Oligopoly
*Takanori Adachi* and *Michal Fabinger*
- 2017: Trading Lightly: Cross-Impact and Optimal Portfolio Execution
*Iacopo Mastromatteo*, *Michael Benzaquen*, *Zoltan Eisler* and *Jean-Philippe Bouchaud*
- 2017: An applied spatial agent-based model of administrative boundaries using SEAL
*Bernardo Furtado* and *Isaque Daniel Eberhardt Rocha*
- 2017: Super Generalized Central Limit Theorem: Limit distributions for sums of non-identical random variables with power-laws
*Masaru Shintani* and *Ken Umeno*
- 2017: Decision structure of risky choice
*Lamb Wubin* and *Naixin Ren*
- 2017: Multinomial method for option pricing under Variance Gamma
*Nicola Cantarutti* and *Jo\~ao Guerra*
- 2017: The Price of Political Uncertainty: Evidence from the 2016 U.S. Presidential Election and the U.S. Stock Markets
*Jamal Bouoiyour* and *Refk Selmi*
- 2017: BSDEs with default jump
*Roxana Dumitrescu*, *Marie-Claire Quenez* and *Agn\`es Sulem*
- 2017: Stratified regression-based variance reduction approach for weak approximation schemes
*Denis Belomestny*, *Stefan H\"afner* and *Mikhail Urusov*
- 2017: "Chaos" in energy and commodity markets: a controversial matter
*Loretta Mastroeni* and *Pierluigi Vellucci*
- 2017: Systemic Risk and Interbank Lending
*Li-Hsien Sun*
- 2017: Predictable Forward Performance Processes: The Binomial Case
*Bahman Angoshtari*, *Thaleia Zariphopoulou* and *Xun Yu Zhou*
- 2017: Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix *
*Amine Ismail* and *Huy\^en Pham*
- 2017: Option pricing with Legendre polynomials
*Julien Hok* and *Tat Lung Chan*
- 2017: Mixture Diffusion for Asset Pricing
*Xin Liu*
- 2017: Serendipity and strategy in rapid innovation
*T. M. A. Fink*, *M. Reeves*, *R. Palma* and *R. S. Farr*
- 2017: On optimal investment with processes of long or negative memory
*Huy N. Chau* and *Miklos Rasonyi*
- 2017: Information uncertainty related to marked random times and optimal investment
*Ying Jiao* and *Idris Kharroubi*
- 2017: The Problem of Calibrating an Agent-Based Model of High-Frequency Trading
*Donovan Platt* and *Tim Gebbie*
- 2017: High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering
*Erhan Bayraktar* and *Alexander Munk*
- 2017: Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *
*Huy\^en Pham*
- 2017: Evidence of Self-Organization in Time Series of Capital Markets
*Leopoldo S\'anchez-Cant\'u*, *Carlos Arturo Soto-Campos* and *Andriy Kryvko*
- 2017: Getting rich quick with the Axiom of Choice
*Vladimir Vovk*
- 2017: Market Integration in the Prewar Japanese Rice Markets
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2017: Parisian ruin for a refracted L\'evy process
*Mohamed Amine Lkabous*, *Irmina Czarna* and *Jean-Fran\c{c}ois Renaud*
- 2017: Solving Society's Big Ills, A Small Step
*Ravi Kashyap*
- 2017: Local Parametric Estimation in High Frequency Data
*Yoann Potiron* and *Per Mykland*
- 2017: Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability
*Masaaki Fujii* and *Akihiko Takahashi*
- 2017: The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
*Jean-David Fermanian*, *Olivier Gu\'eant* and *Jiang Pu*
- 2017: Sticky processes, local and true martingales
*Mikl\'os R\'asonyi* and *Hasanjan Sayit*
- 2017: Correction to Black-Scholes formula due to fractional stochastic volatility
*Josselin Garnier* and *Knut Solna*
- 2017: Maximizing expected utility in the Arbitrage Pricing Model
*Miklos Rasonyi*
- 2017: Multivariate Shortfall Risk Allocation and Systemic Risk
*Yannick Armenti*, *Stephane Crepey*, *Samuel Drapeau* and *Antonis Papapantoleon*
- 2017: An Empirical Approach to Financial Crisis Indicators Based on Random Matrices
*Antoine Kornprobst* and *Raphael Douady*
- 2017: Enhanced Gravity Model of trade: reconciling macroeconomic and network models
*Assaf Almog*, *Rhys Bird* and *Diego Garlaschelli*
- 2017: Singular recursive utility
*Kristina R. Dahl* and *Bernt {\O}ksendal*
- 2017: Introduction to Stochastic Differential Equations (SDEs) for Finance
*Andrew Papanicolaou*
- 2017: A Markov model of a limit order book: thresholds, recurrence, and trading strategies
*Frank Kelly* and *Elena Yudovina*
- 2017: Pareto Efficient Nash Implementation Via Approval Voting
*Yakov Babichenko* and *Leonard J. Schulman*
- 2017: Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$
*Denis Belomestny* and *Tigran Nagapetyan*
- 2017: On Trading American Put Options with Interactive Volatility
*Sigurd Assing* and *Yufan Zhao*
- 2017: On Zero-sum Optimal Stopping Games
*Erhan Bayraktar* and *Zhou Zhou*
- 2017: Functional Ito Calculus, Path-dependence and the Computation of Greeks
*Samy Jazaerli* and *Yuri F. Saporito*
- 2017: Implicit transaction costs and the fundamental theorems of asset pricing
*Erindi Allaj*
- 2017: The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations
*Xiaoshan Chen*, *Yu-Jui Huang*, *Qingshuo Song* and *Chao Zhu*
- 2017: Implied Filtering Densities on Volatility's Hidden State
*Carlos Fuertes* and *Andrew Papanicolaou*
- 2017: Long-run dynamics of the U.S. patent classification system
*François Lafond* and *Daniel Kim*
- 2017: Optimal Investment and Pricing in the Presence of Defaults
*Tetsuya Ishikawa* and *Scott Robertson*
- 2017: Solvency II, or How to Swipe the Downside Risk Under the Carpet
*Stefan Weber*
- 2017: Robust and Consistent Estimation of Generators in Credit Risk
*Greig Smith* and *Goncalo dos Reis*
- 2017: Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stability
*Yuri Biondi* and *Feng Zhou*
- 2017: Economic inequality and mobility for stochastic models with multiplicative noise
*Maria Letizia Bertotti*, *Amit K Chattopadhyay* and *Giovanni Modanese*
- 2017: Probability density of lognormal fractional SABR model
*Jiro Akahori*, *Xiaoming Song* and *Tai-Ho Wang*
- 2017: The short-term price impact of trades is universal
*Bence Toth*, *Zoltan Eisler* and *Jean-Philippe Bouchaud*
- 2017: Obligations with Physical Delivery in a Multi-Layered Financial Network
*Zachary Feinstein*
- 2017: A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes
*David Landriault*, *Bin Li* and *Hongzhong Zhang*
- 2017: A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus
*Takuji Arai* and *Yuto Imai*
- 2017: Time series momentum and contrarian effects in the Chinese stock market
*Huai-Long Shi* and *Wei-Xing Zhou*
- 2017: Robust Hedging of Options on a Leveraged Exchange Traded Fund
*Alexander M. G. Cox* and *Sam M. Kinsley*
- 2017: Structural Change in (Economic) Time Series
*Christian Kleiber*
- 2017: Evidence for criticality in financial data
*G. Ruiz L\'opez* and *A. Fern\'andez de Marcos*
- 2017: Relation between regional uncertainty spillovers in the global banking system
*Sachapon Tungsong*, *Fabio Caccioli* and *Tomaso Aste*
- 2017: Network-based Anomaly Detection for Insider Trading
*Adarsh Kulkarni*, *Priya Mani* and *Carlotta Domeniconi*
- 2017: Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria
*Tianran Geng* and *Thaleia Zariphopoulou*
- 2017: The amazing power of dimensional analysis: Quantifying market impact
*Mathias Pohl*, *Alexander Ristig*, *Walter Schachermayer* and *Ludovic Tangpi*
- 2017: Estimation for the Prediction of Point Processes with Many Covariates
*Alessio Sancetta*
- 2017: Uncertain Volatility Models with Stochastic Bounds
*Jean-Pierre Fouque* and *Ning Ning*
- 2017: PyCaMa: Python for cash management
*Francisco Salas-Molina*, *Juan A. Rodr\'iguez-Aguilar* and *Pablo D\'iaz-Garc\'ia*
- 2017: A hybrid approach for risk assessment of loan guarantee network
*Zhibin Niu*, *Dawei Cheng*, *Junchi Yan*, *Jiawan Zhang*, *Liqing Zhang* and *Hongyuan Zha*
- 2017: Estimating VaR in credit risk: Aggregate vs single loss distribution
*M. Assadsolimani* and *D. Chetalova*
- 2017: Regularities and Irregularities in Order Flow Data
*Martin Theissen*, *Sebastian M. Krause* and *Thomas Guhr*
- 2017: Contagion in financial systems: A Bayesian network approach
*Carsten Chong* and *Claudia Kl\"uppelberg*
- 2017: Pricing Non-cash Collateralized Derivatives and Collateral Optimization with Liquidity Value Adjustment
*Wujiang Lou*
- 2017: Labor Contract Law -An Economic View
*Yaofeng Fu*, *Ruokun Huang* and *Yiran Sheng*
- 2017: Short Maturity Asian Options for the CEV Model
*Dan Pirjol* and *Lingjiong Zhu*
- 2017: A Theory of Market Efficiency
*Anup Rao*
- 2017: Invariance properties in the dynamic gaussian copula model *
*St\'ephane Cr\'epey* and *Shiqi Song*
- 2017: Estimation of Risk Contributions with MCMC
*Takaaki Koike* and *Mihoko Minami*
- 2017: Rough volatility: evidence from option prices
*Giulia Livieri*, *Saad Mouti*, *Andrea Pallavicini* and *Mathieu Rosenbaum*
- 2017: Econophysics of Macroeconomics: "Action-at-a-Distance" and Waves
*Victor Olkhov*
- 2017: One-Switch Discount Functions
*Nina Anchugina*
- 2017: Conditional Davis Pricing
*Kasper Larsen*, *Halil Mete Soner* and *Gordan \v{Z}itkovi\'c*
- 2017: The Installation Costs of a Satellite and Space Shuttle Launch Complex as a Public Expenditure Project
*Dogus Ozuyar*, *Sevilay Gumus Ozuyar*, *Oguzhan Karadeniz* and *Ozge Varol*
- 2017: Existence, uniqueness, and stability of optimal portfolios of eligible assets
*Michel Baes*, *Pablo Koch-Medina* and *Cosimo Munari*
- 2017: Type-Compatible Equilibria in Signalling Games
*Drew Fudenberg* and *Kevin He*
- 2017: Business Dynamics in KPI Space. Some thoughts on how business analytics can benefit from using principles of classical physics
*Alex Ushveridze*
- 2017: Existence of a Radner equilibrium in a model with transaction costs
*Kim Weston*
- 2017: Demonetization and Its Impact on Employment in India
*Pawan Kumar*
- 2017: Perfect hedging under endogenous permanent market impacts
*Masaaki Fukasawa* and *Mitja Stadje*
- 2017: Hyperbolic Discounting of the Far-Distant Future
*Nina Anchugina*, *Matthew Ryan* and *Arkadii Slinko*
- 2017: Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical Test of Market Efficiency
*Md. Mahmudul Alam*, *Kazi Ashraful Alam* and *Md. Gazi Salah Uddin*
- 2017: Monetary value measures in a category of probability spaces
*Takanori Adachi* and *Yoshihiro Ryu*
- 2017: Estimation of a noisy subordinated Brownian Motion via two-scales power variations
*Jose E. Figueroa-Lopez* and *K. Lee*
- 2017: Invariance times
*St\'ephane Cr\'epey* and *Shiqi Song*
- 2017: Emergence of Distributed Coordination in the Kolkata Paise Restaurant Problem with Finite Information
*Diptesh Ghosh* and *Anindya S. Chakrabarti*
- 2017: Approaches to Asian Option Pricing with Discrete Dividends
*Jacob Lundgren* and *Yuri Shpolyanskiy*
- 2017: On utility maximization without passing by the dual problem
*Miklos Rasonyi*
- 2017: Record statistics of a strongly correlated time series: random walks and L\'evy flights
*Claude Godreche*, *Satya N. Majumdar* and *Gregory Schehr*
- 2017: A confidence-based model for asset and derivative prices in the BitCoin market
*Alessandra Cretarola* and *Gianna Fig\`a Talamanca*
- 2017: The valuation of European option with transaction costs by mixed fractional Merton model
*Foad Shokrollahi*
- 2017: Zipf's law for share price and company fundamentals
*Taisei Kaizoji* and *Michiko Miyano*
- 2017: A taxonomy of learning dynamics in 2 x 2 games
*Marco Pangallo*, *James Sanders*, *Tobias Galla* and *Doyne Farmer*
- 2017: Predicting Auction Price of Vehicle License Plate with Deep Recurrent Neural Network
*Vinci Chow*
- 2017: Calibration of a Four-Factor Hybrid Local-Stochastic Volatility Model with a New Control Variate Particle Method
*Matthieu Mariapragassam*, *Andrei Cozma* and *Christoph Reisinger*
- 2017: On the tail behavior of a class of multivariate conditionally heteroskedastic processes
*Rasmus Pedersen* and *Olivier Wintenberger*
- 2017: Serially Nested CES Production Frontiers
*Satoshi Nakano* and *Kazuhiko Nishimura*
- 2017: Optimal liquidation in a Level-I limit order book for large tick stocks
*Antoine Jacquier* and *Hao Liu*
- 2017: Volatility Smile as Relativistic Effect
*Zura Kakushadze*
- 2017: Multivariate GARCH with dynamic beta
*Matthias Raddant* and *Friedrich Wagner*
- 2017: Trader lead-lag networks and order flow prediction
*Damien Challet*, *R\'emy Chicheportiche*, *Mehdi Lallouache* and *Serge Kassibrakis*
- 2017: Fractal approach towards power-law coherency to measure cross-correlations between time series
*Ladislav Krištoufek*
- 2017: Elicitability and backtesting: Perspectives for banking regulation
*Natalia Nolde* and *Johanna F. Ziegel*
- 2017: Statistical inference for the doubly stochastic self-exciting process
*Simon Clinet* and *Yoann Potiron*
- 2017: Smoothing the payoff for efficient computation of Basket option prices
*Christian Bayer*, *Markus Siebenmorgen* and *Raul Tempone*
- 2017: Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
*Antonis Papapantoleon* and *Robert Wardenga*
- 2017: On the properties of the Lambda value at risk: robustness, elicitability and consistency
*Matteo Burzoni*, *Ilaria Peri* and *Chiara Maria Ruffo*
- 2017: Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes
*Milan Kumar Das*, *Anindya Goswami* and *Nimit Rana*
- 2017: Affine multiple yield curve models
*Christa Cuchiero*, *Claudio Fontana* and *Alessandro Gnoatto*
- 2017: Backtesting Lambda Value at Risk
*Jacopo Corbetta* and *Ilaria Peri*
- 2017: Pathways towards instability in financial networks
*Marco Bardoscia*, *Stefano Battiston*, *Fabio Caccioli* and *Guido Caldarelli*
- 2017: On the existence of shadow prices for optimal investment with random endowment
*Lingqi Gu*, *Yiqing Lin* and *Junjian Yang*
- 2017: Limit-order book resiliency after effective market orders: Spread, depth and intensity
*Hai-Chuan Xu*, *Wei Chen*, *Xiong Xiong*, *Wei Zhang*, *Wei-Xing Zhou* and *H Eugene Stanley*
- 2017: Equilibrium pricing under relative performance concerns
*Jana Bielagk*, *Arnaud Lionnet* and *Goncalo Dos Reis*
- 2017: Why Indexing Works
*J. B. Heaton*, *N. G. Polson* and *J. H. Witte*
- 2017: Detecting intraday financial market states using temporal clustering
*Dieter Hendricks*, *Tim Gebbie* and *Diane Wilcox*
- 2017: Central Clearing Valuation Adjustment
*Yannick Armenti* and *St\'ephane Cr\'epey*
- 2017: Incomplete stochastic equilibria for dynamic monetary utility
*Constantinos Kardaras*, *Hao Xing* and *Gordan \v{Z}itkovi\'c*
- 2017: Sharper asset ranking from total drawdown durations
*Damien Challet*
- 2017: Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective
*Aki-Hiro Sato*, *Paolo Tasca* and *Takashi Isogai*
- 2017: Sensitivity analysis for expected utility maximization in incomplete Brownian market models
*Julio Backhoff Veraguas* and *Francisco Silva*
- 2017: Measuring Systemic Risk: Robust Ranking Techniques Approach
*Amirhossein Sadoghi*
- 2017: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models
*Archil Gulisashvili*, *Frederi Viens* and *Xin Zhang*
- 2017: Optimal Digital Product Maintenance with a Continuous Revenue Stream
*James Fan* and *Christopher Griffin*
- 2017: Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2017: Modeling non-stationarities in high-frequency financial time series
*Linda Ponta*, *Mailan Trinh*, *Marco Raberto*, *Enrico Scalas* and *Silvano Cincotti*
- 2017: Fractional delta hedging strategy for pricing currency options with transaction costs
*Foad Shokrollahi*
- 2017: An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model
*Takashi Kato*
- 2017: On a class of path-dependent singular stochastic control problems
*Romuald Elie*, *Ludovic Moreau* and *Dylan Possama\"i*
- 2017: Understanding food inflation in India: A Machine Learning approach
*Akash Malhotra* and *Mayank Maloo*
- 2017: Asset liquidation under drift uncertainty and regime-switching volatility
*Juozas Vaicenavicius*
- 2017: Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach
*Rafael Company*, *Vera Egorova*, *Lucas J\'odar* and *Fazlollah Soleymani*
- 2017: Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models
*Tomasz R. Bielecki*, *Igor Cialenco* and *Marek Rutkowski*
- 2017: Computing the aggregate loss distribution based on numerical inversion of the compound empirical characteristic function of frequency and severity
*Viktor Witkovsky*, *Gejza Wimmer* and *Tomas Duby*
- 2017: A stability result on optimal Skorokhod embedding
*Gaoyue Guo*
- 2017: Supply based on demand dynamical model
*Asaf Levi*, *Juan Sabuco* and *Miguel A. F. Sanjuan*
- 2017: Premium valuation for a multiple state model containing manifold premium-paid states
*Joanna D\k{e}bicka* and *Beata Zmy\'slona*
- 2017: Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes
*Swarnankur Chatterjee*
- 2017: Time Series Copulas for Heteroskedastic Data
*Rub\'en Loaiza-Maya*, *Michael S. Smith* and *Worapree Maneesoonthorn*
- 2017: Monotone Martingale Transport Plans and Skorohod Embedding
*Mathias Beiglboeck*, *Pierre Henry-Labordere* and *Nizar Touzi*
- 2017: Econophysics Macroeconomic Model
*Victor Olkhov*
- 2017: Economic Growth Model with Constant Pace and Dynamic Memory
*Valentina V. Tarasova* and *Vasily E. Tarasov*
- 2017: A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation
*Andrzej Ruszczynski* and *Jianing Yao*
- 2017: Topology data analysis of critical transitions in financial networks
*Marian Gidea*
- 2017: Asymptotic efficiency of the proportional compensation scheme for a large number of producers
*Dmitry B. Rokhlin* and *Anatoly Usov*
- 2017: Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
*Niushan Gao*, *Denny H. Leung*, *Cosimo Munari* and *Foivos Xanthos*
- 2017: Bank monitoring incentives under moral hazard and adverse selection
*Nicol\'as Hern\'andez Santib\'a\~nez*, *Dylan Possama\"i* and *Chao Zhou*
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*Jiro Akahori*, *Flavia Barsotti* and *Yuri Imamura*
- 2017: The Internet as Quantitative Social Science Platform: Insights from a Trillion Observations
*Klaus Ackermann*, *Simon D Angus* and *Paul Raschky*
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*Amir T. Payandeh-Najafabadi* and *Ali Panahi-Bazaz*
- 2017: An Optimal Multi-layer Reinsurance Policy under Conditional Tail Expectation
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- 2017: Dynamic Prize Linked Savings: Maximizing Savings and Managing Risk
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*Ali Hosseiny*
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- 2017: A geometric approach to the transfer problem for a finite number of traders
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- 2017: Interpolating between matching and hedonic pricing models
*Brendan Pass*
- 2017: On VIX Futures in the rough Bergomi model
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- 2017: Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
*Anulekha Dhara*, *Bikramjit Das* and *Karthik Natarajan*
- 2017: A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities
*Seyed Amir Hejazi*, *Kenneth R. Jackson* and *Guojun Gan*
- 2017: Optimal Trading with a Trailing Stop
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- 2017: A Black--Scholes inequality: applications and generalisation
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- 2017: The structural constraints of income inequality in Latin America
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- 2017: Robust Portfolio Optimisation with Specified Competitors
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- 2017: Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
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- 2017: Recursive Marginal Quantization of Higher-Order Schemes
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- 2017: Functional Analytic (Ir-)Regularity Properties of SABR-type Processes
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- 2017: The Shapley Value of Digraph Games
*Krishna Khatri*
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- 2017: Chebyshev Reduced Basis Function applied to Option Valuation
*Javier de Frutos* and *Victor Gaton*
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- 2017: Rational Decision-Making Under Uncertainty: Observed Betting Patterns on a Biased Coin
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- 2017: Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets
*V. Gontis* and *A. Kononovicius*
- 2017: Efficient asymptotic variance reduction when estimating volatility in high frequency data
*Simon Clinet* and *Yoann Potiron*
- 2017: Brownian trading excursions and avalanches
*Friedrich Hubalek*, *Paul Kr\"uhner* and *Thorsten Rheinl\"ander*
- 2017: Pricing European Options by Stable Fourier-Cosine Series Expansions
*Chunfa Wang*
- 2017: Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
*Tim Leung* and *Yerkin Kitapbayev*
- 2017: Net Stable Funding Ratio: Impact on Funding Value Adjustment
*Medya Siadat* and *Ola Hammarlid*
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*Michael J Bommarito* and *Daniel Martin Katz*
- 2017: Fractional Dynamics of Natural Growth and Memory Effect in Economics
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- 2017: Analytic solution to variance optimization with no short-selling
*Imre Kondor*, *G\'abor Papp* and *Fabio Caccioli*
- 2017: Information, Impact, Ignorance, Illegality, Investing, and Inequality
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- 2017: Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping
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- 2017: Price Dynamics Via Expectations, and the Role of Money Therein
*Gesine A. Steudle*, *Saini Yang* and *Carlo C. Jaeger*
- 2017: The Fatou Closedness under Model Uncertainty
*Marco Maggis*, *Thilo Meyer-Brandis* and *Gregor Svindland*
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*Ali Hosseiny* and *Mauro Gallegati*
- 2017: A functional convergence theorem for interpolated Markov chains to an infinite dimensional diffusion with application to limit order books
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- 2017: Multifactor CES General Equilibrium: Models and Applications
*Jiyoung Kim*, *Satoshi Nakano* and *Kazuhiko Nishimura*
- 2017: Statistical Industry Classification
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- 2017: MPDATA Meets Black-Scholes: Derivative Pricing as a Transport Problem
*Sylwester Arabas* and *Ahmad Farhat*
- 2017: Existence of a calibrated regime switching local volatility model and new fake Brownian motions
*Benjamin Jourdain* and *Alexandre Zhou*
- 2017: Mean field games of timing and models for bank runs
*Rene Carmona*, *Francois Delarue* and *Daniel Lacker*
- 2017: A constraint-based framework to study rationality, competition and cooperation in fisheries
*Christian Mullon* and *Charles Mullon*
- 2017: Exponentially concave functions and a new information geometry
*Soumik Pal* and *Ting-Kam Leonard Wong*
- 2017: Factor Models for Cancer Signatures
*Zura Kakushadze* and *Willie Yu*
- 2017: Concurrent Credit Portfolio Losses
*Joachim Sicking*, *Thomas Guhr* and *Rudi Sch\"afer*
- 2017: A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
*Tomasz R. Bielecki*, *Igor Cialenco* and *Marcin Pitera*
- 2017: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
*Tomas Krehlik* and *Jozef Baruník*
- 2017: David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs
*Ravi Kashyap*
- 2017: Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance
*Thibaut Lux* and *Antonis Papapantoleon*
- 2017: Statistical Risk Models
*Zura Kakushadze* and *Willie Yu*
- 2017: Optimal investment and consumption with liquid and illiquid assets
*Jin Hyuk Choi*
- 2017: Comonotonic risk measures in a world without risk-free assets
*Pablo Koch-Medina*, *Cosimo Munari* and *Gregor Svindland*
- 2017: Option Pricing in Markets with Unknown Stochastic Dynamics
*Hanno Gottschalk*, *Elpida Nizami* and *Marius Schubert*
- 2017: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate
*Pavel V. Shevchenko* and *Xiaolin Luo*
- 2017: Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
*Imke Redeker* and *Ralf Wunderlich*
- 2017: Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model
*Aur\'elien Hazan*
- 2017: Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data
*Richard Y. Chen* and *Per A. Mykland*
- 2017: Optimal Control of Conditional Value-at-Risk in Continuous Time
*Christopher W. Miller* and *Insoon Yang*
- 2017: Dynamic programming approach to principal-agent problems
*Jak\v{s}a Cvitani\'c*, *Dylan Possama\"i* and *Nizar Touzi*
- 2017: Correlated Poisson processes and self-decomposable laws
*Nicola Cufaro Petroni* and *Piergiacomo Sabino*
- 2017: Linking Economic Complexity, Institutions and Income Inequality
*Dominik Hartmann*, *M. R. Guevara*, *C. Jara-Figueroa*, *M. Aristaran* and *Cesar Hidalgo*
- 2017: An equilibrium model for spot and forward prices of commodities
*Michail Anthropelos*, *Michael Kupper* and *Antonis Papapantoleon*
- 2017: VWAP Execution as an Optimal Strategy
*Takashi Kato*
- 2017: On the optimal exercise boundaries of swing put options
*Tiziano De Angelis* and *Yerkin Kitapbayev*
- 2017: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
*Tiziano De Angelis*, *Salvatore Federico* and *Giorgio Ferrari*
- 2017: A heuristic pricing and hedging framework for multi-currency fixed income desks
*Eduard Gim\'enez*, *Alberto Elices* and *Giovanna Villani*
- 2017: Sensitivity analysis in a market with memory
*David R. Banos*, *Giulia Di Nunno* and *Frank Proske*
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*Erhan Bayraktar* and *Xiang Yu*
- 2017: Stationary Markov Perfect Equilibria in Discounted Stochastic Games
*Wei He* and *Yeneng Sun*
- 2017: Stock price direction prediction by directly using prices data: an empirical study on the KOSPI and HSI
*Yanshan Wang*
- 2017: Smooth solutions to portfolio liquidation problems under price-sensitive market impact
*Paulwin Graewe*, *Ulrich Horst* and *Eric S\'er\'e*
- 2017: Deriving Derivatives
*Andrei N. Soklakov*
- 2017: General Smooth Solutions to the HJB PDE: Applications to Finance
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