EconPapers    
Economics at your fingertips  
 

Papers

from arXiv.org
Series data maintained by arXiv administrators ().

Access Statistics for this working paper series.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


2014: Visualising stock flow consistent models as directed acyclic graphs Downloads
Peter G. Fennell, O'Sullivan, David, Antoine Godin and Stephen Kinsella
2014: Indicators of availability of non-market relations in the sphere of labor market in Ukraine Downloads
Valery Tabakov
2014: Rawls' Fairness, Income Distribution and Alarming Level of Gini Coefficient Downloads
Yong Tao, Xiangjun Wu and Changshuai Li
2014: Portfolio Selection with Mandatory Bequest Downloads
Jiacheng Feng
2014: Instability and network effects in innovative markets Downloads
Paolo Sgrignoli, Elena Agliari, Raffaella Burioni and Augusto Schianchi
2014: The World Trade Web: A Multiple-Network Perspective Downloads
Paolo Sgrignoli
2014: Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks Downloads
Benjamin Vandermarliere, Alexei Karas, Jan Ryckebusch and Koen Schoors
2014: Optimal consumption and sale strategies for a risk averse agent Downloads
David Hobson and Yeqi Zhu
2014: Endogenous crisis waves: a stochastic model with synchronized collective behavior Downloads
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 Downloads
Inga Ivanova, Oivind Strand and Loet Leydesdorff
2014: The effect of the number of states on the validity of credit ratings Downloads
P. Lencastre, F. Raischel and P. G. Lind
2014: Contagion in an interacting economy Downloads
Pierre Paga and K\"uhn, Reimer
2014: Optimal Execution with Dynamic Order Flow Imbalance Downloads
Kyle Bechler and Mike Ludkovski
2014: Custom v. Standardized Risk Models Downloads
Zura Kakushadze and Jim Kyung-Soo Liew
2014: Optimal double stopping of a Brownian bridge Downloads
Erik J. Baurdoux, Nan Chen, Budhi A. Surya and Kazutoshi Yamazaki
2014: Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis Downloads
Nien-Lin Liu and Hoang-Long Ngo
2014: Optimal investment with bounded above utilities in discrete time markets Downloads
Miklos Rasonyi
2014: A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities Downloads
Roberto Casarin, Fabrizio Leisen, German Molina and Enrique ter Horst
2014: Affine Processes Downloads
Eberhard Mayerhofer
2014: Discrete Time Term Structure Theory and Consistent Recalibration Models Downloads
Anja Richter and Josef Teichmann
2014: Zero-determinant strategies in iterated multi-strategy games Downloads
Jin-Li Guo
2014: A spring-block analogy for the dynamics of stock indexes Downloads
Bulcsu Sandor and Zoltan Neda
2014: Orthogonal Polynomials for Seminonparametric Instrumental Variables Model Downloads
Yevgeniy Kovchegov and Nese Yildiz
2014: Opening discussion on banking sector risk exposures and vulnerabilities from virtual currencies: An operational risk perspective Downloads
Gareth W. Peters, Ariane Chapelle and Efstathios Panayi
2014: On the design of sell-side limit and market order tactics Downloads
Vladimir Markov
2014: Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands Downloads
Vladimir Markov, Slava Mazur and David Saltz
2014: On Correlated Defaults and Incomplete Information Downloads
Wai-Ki Ching, Jia-Wen Gu and Harry Zheng
2014: Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models Downloads
Pablo Olivares and Matthew Cane
2014: Default contagion risks in Russian interbank market Downloads
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 Downloads
Rosario N. Mantegna
2014: A Lattice Framework for Pricing Display Ad Options with the Stochastic Volatility Underlying Model Downloads
Bowei Chen and Jun Wang
2014: Optimal Dynamic Procurement Policies for a Storable Commodity with L\'evy Prices and Convex Holding Costs Downloads
Maria B. Chiarolla, Giorgio Ferrari and Gabriele Stabile
2014: Manipulating decision making of typical agents Downloads
V. . Yukalov and D. Sornette
2014: Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs Downloads
Chuancun Yin and Kam Chuen Yuen
2014: Game theory analysis for carbon auction market through electricity market coupling Downloads
Mireille Bossy, Nadia Maizi and Odile Pourtallier
2014: Utility indifference pricing and hedging for structured contracts in energy markets Downloads
Giorgia Callegaro, Luciano Campi and Tiziano Vargiolu
2014: Microscopic Models for Welfare Measures Addressing a Reduction of Economic Inequality Downloads
Maria Letizia Bertotti and Giovanni Modanese
2014: A Bellman View of Jesse Livermore Downloads
Nick Polson and Jan Hendrik Witte
2014: Economic Optimal Operation of Community Energy Storage Systems in Competitive Energy Markets Downloads
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 Downloads
Dietrich Stauffer
2014: Change of numeraire in the two-marginals martingale transport problem Downloads
Luciano Campi, Ismail Laachir and Claude Martini
2014: A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing Downloads
Masaaki Fujii
2014: Efficient Modeling and Forecasting of the Electricity Spot Price Downloads
Florian Ziel and Rick Steinert
2014: Information theoretic approach for accounting classification Downloads
E. M. S. Ribeiro and G. A. Prataviera
2014: The process of macroprudential oversight in Europe Downloads
Peter Sarlin and Henrik J. Nyman
2014: Simulating and analyzing order book data: The queue-reactive model Downloads
Weibing Huang, Charles-Albert LEHALLE and Mathieu Rosenbaum
2014: Shapes of implied volatility with positive mass at zero Downloads
Stefano De Marco, Caroline Hillairet and Antoine Jacquier
2014: Hedging under an expected loss constraint with small transaction costs Downloads
Bruno Bouchard, Ludovic Moreau and Mete H. Soner
2014: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions Downloads
Paulwin Graewe, Ulrich Horst and Jinniao Qiu
2014: Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models Downloads
Laurence Carassus and Miklos Rasonyi
2014: Multivariate risk measures: a constructive approach based on selections Downloads
Ignacio Cascos and Ilya Molchanov
2014: C^{1,1} regularity for degenerate elliptic obstacle problems Downloads
Panagiota Daskalopoulos and Paul M. N. Feehan
2014: Toehold Purchase Problem: A comparative analysis of two strategies Downloads
Iryna Banakh, Taras Banakh, Pavel Trisch and Myroslava Vovk
2014: Theoretical Sensitivity Analysis for Quantitative Operational Risk Management Downloads
Takashi Kato
2014: Analysis of Spin Financial Market by GARCH Model Downloads
Tetsuya Takaishi
2014: What You Should Know About Megaprojects, and Why: An Overview Downloads
Bent Flyvbjerg
2014: Should we build more large dams? The actual costs of hydropower megaproject development Downloads
Atif Ansar, Bent Flyvbjerg, Alexander Budzier and Daniel Lunn
2014: Long Term Optimal Investment in Matrix Valued Factor Models Downloads
Scott Robertson and Hao Xing
2014: How structurally stable are global socioeconomic systems? Downloads
Serguei Saavedra, Rudolf P. Rohr, Luis J. Gilarranz and Jordi Bascompte
2014: Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation Downloads
Xiaolin Luo and Pavel V. Shevchenko
2014: Stochastic Perron for Stochastic Target Games Downloads
Erhan Bayraktar and Jiaqi Li
2014: Hedging Conditional Value at Risk with Options Downloads
Capi\'nski, Maciej J.
2014: Can Google searches help nowcast and forecast unemployment rates in the Visegrad Group countries? Downloads
Jaroslav Pavlicek and Ladislav Krištoufek
2014: Spectrum-based estimators of the bivariate Hurst exponent Downloads
Ladislav Krištoufek
2014: Efficient solution of structural default models with correlated jumps. A fractional PDE approach Downloads
Andrey Itkin and Alexander Lipton
2014: Long time asymptotics for optimal investment Downloads
Huyen Pham
2014: A Noisy Principal Component Analysis for Forward Rate Curves Downloads
Márcio Laurini and Alberto Ohashi
2014: Intra-day variability of the stock market activity versus stationarity of the financial time series Downloads
T. Gubiec and M. Wili\'nski,
2014: VWAP Execution as an Optimal Strategy Downloads
Takashi Kato
2014: Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation Downloads
Xiangyu Cui, Xun Li, Duan Li and Yun Shi
2014: Shadow prices for continuous processes Downloads
Christoph Czichowsky, Walter Schachermayer and Junjian Yang
2014: A Framework of Conjugate Direction Methods for Symmetric Linear Systems in Optimization Downloads
Giovanni Fasano
2014: Duality Theory for Portfolio Optimisation under Transaction Costs Downloads
Christoph Czichowsky and Walter Schachermayer
2014: Fragility of the Commons under Prospect-Theoretic Risk Attitudes Downloads
Ashish R. Hota, Siddharth Garg and Shreyas Sundaram
2014: Asymptotic replication with modified volatility under small transaction costs Downloads
Jiatu Cai and Masaaki Fukasawa
2014: Approximating the zero-coupon bond price in a general one-factor model with constant coefficients Downloads
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 Downloads
Hao Meng, Wei-Xing Zhou and Didier Sornette
2014: Hierarchical causality in financial economics Downloads
Diane Wilcox and Tim Gebbie
2014: High Performance Financial Simulation Using Randomized Quasi-Monte Carlo Methods Downloads
Linlin Xu and \"Okten, Giray
2014: Consistent Price Systems under Model Uncertainty Downloads
Bruno Bouchard and Marcel Nutz
2014: The optimal hedging in a semi-Markov modulated market Downloads
Anindya Goswami, Jeeten Patel and Poorva Sevgaonkar
2014: Quantile Hedging in a Semi-Static Market with Model Uncertainty Downloads
Erhan Bayraktar and Gu Wang
2014: Diversification and Endogenous Financial Networks Downloads
H\'eam, Jean-Cyprien and Erwan Koch
2014: Risk Minimization in Markets Imposing Minimal Transaction Costs Downloads
Yan Dolinsky and Yuri Kifer
2014: Maximum Entropy Production Principle for Stock Returns Downloads
Paweł Fiedor
2014: On Zero-sum Optimal Stopping Games Downloads
Erhan Bayraktar and Zhou Zhou
2014: The Random Walk of High Frequency Trading Downloads
Eric M. Aldrich, Indra Heckenbach and Gregory Laughlin
2014: Elliptical Tempered Stable Distribution and Fractional Calculus Downloads
Hassan A. Fallahgoul and Young S. Kim
2014: Downturn LGD: A More Conservative Approach for Economic Decline Periods Downloads
Mauro R. Oliveira and Armando Chinelatto Neto
2014: Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment Downloads
V\'yrost, Tom\'a\v{s}, Ly\'ocsa, \v{S}tefan and Baum\"ohl, Eduard
2014: Realization Utility with Reference-Dependent Preferences Downloads
Jonathan E. Ingersoll and Lawrence J. Jin
2014: Accelerated Portfolio Optimization with Conditional Value-at-Risk Constraints using a Cutting-Plane Method Downloads
Georg Hofmann
2014: Sector-Based Factor Models for Asset Returns Downloads
Angela Gu and Patrick Zeng
2014: Value-at-Risk time scaling for long-term risk estimation Downloads
Luca Spadafora, Marco Dubrovich and Marcello Terraneo
2014: Agent based models for wealth distribution with preference in interaction Downloads
Sanchari Goswami and Parongama Sen
2014: Mean-Reversion and Optimization Downloads
Zura Kakushadze
2014: How the Taxonomy of Products Drives the Economic Development of Countries Downloads
Andrea Zaccaria, Matthieu Cristelli, Andrea Tacchella and Luciano Pietronero
2014: Dynamics in two networks based on stocks of the US stock market Downloads
Leonidas Sandoval Junior
2014: Structural social capital and health in Italy Downloads
Damiano Fiorillo and Fabio Sabatini
2014: The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy Downloads
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 Downloads
Xiang Yu
2014: Kinetic Exchange Models in Economics and Sociology Downloads
Sanchari Goswami and Anirban Chakraborti
2014: A simple model of local prices and associated risk evaluation Downloads
Krzysztof Urbanowicz, Peter Richmond and Ho{\l}yst, Janusz A.
2014: Determining Optimal Trading Rules without Backtesting Downloads
Peter P. Carr and Marcos Lopez de Prado
2014: A Note on Kuhn's Theorem with Ambiguity Averse Players Downloads
Gaurab Aryal and Ronald Stauber
2014: Bayesian estimation of realized stochastic volatility model by Hybrid Monte Carlo algorithm Downloads
Tetsuya Takaishi
2014: A system of quadratic BSDEs arising in a price impact model Downloads
Dmitry Kramkov and Sergio Pulido
2014: Ranking the Economic Importance of Countries and Industries Downloads
Wei Li, Dror Y. Kenett, Kazuko Yamasaki, H. Eugene Stanley and Shlomo Havlin
2014: Contagious Synchronization and Endogenous Network Formation in Financial Networks Downloads
Christoph Aymanns and Co-Pierre Georg
2014: Opinion Dynamics and Price Formation: a Nonlinear Network Model Downloads
D'Errico, Marco, Gulnur Muradoglu, Silvana Stefani and Giovanni Zambruno
2014: Optimization of relative arbitrage Downloads
Ting-Kam Leonard Wong
2014: Semiparametric Estimation of First-Price Auction Models Downloads
Gaurab Aryal, Maria Florencia Gabrielli and Quang Vuong
2014: The dynamics of the leverage cycle Downloads
Christoph Aymanns and J. Doyne Farmer
2014: Statistical Arbitrage in the Black-Scholes Framework Downloads
Ahmet Goncu
2014: Can Turnover Go to Zero? Downloads
Zura Kakushadze
2014: Local martingale deflators for asset processes stopped at a default time $S^\mathfrak{t}$ or just before $S^{\mathfrak{t}-}$ Downloads
Shiqi Song
2014: KVA: Capital Valuation Adjustment Downloads
Andrew Green and Chris Kenyon
2014: Signal-wise performance attribution for constrained portfolio optimisation Downloads
Bruno Durin
2014: On small-noise equations with degenerate limiting system arising from volatility models Downloads
Giovanni Conforti, Stefano De Marco and Jean-Dominique Deuschel
2014: Dynamic Linkages between Tokyo and Osaka Rice Futures Markets in Prewar Japan Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2014: Intrinsic Prices Of Risk Downloads
Truc Le
2014: Stock portfolio structure of individual investors infers future trading behavior Downloads
Ludvig Bohlin and Martin Rosvall
2014: Risk aggregation and stochastic claims reserving in disability insurance Downloads
Boualem Djehiche and L\"ofdahl, Bj\"orn
2014: Bartering integer commodities with exogenous prices Downloads
Stefano Nasini, Jordi Castro and Pau Fonseca Casas
2014: Optimal Investment with Transaction Costs and Stochastic Volatility Downloads
Maxim Bichuch and Ronnie Sircar
2014: Capital distribution and portfolio performance in the mean-field Atlas model Downloads
Benjamin Jourdain and Julien Reygner
2014: Option pricing and hedging with execution costs and market impact Downloads
Gu\'eant, Olivier and Jiang Pu
2014: Regulatory-Compliant Derivatives Pricing is Not Risk-Neutral Downloads
Chris Kenyon and Andrew Green
2014: Sticky continuous processes have consistent price systems Downloads
Christian Bender, Mikko S. Pakkanen and Hasanjan Sayit
2014: Regulatory-Optimal Funding Downloads
Chris Kenyon and Andrew Green
2014: The Small Maturity Implied Volatility Slope for L\'evy Models Downloads
Stefan Gerhold and G\"ul\"um, Ismail Cetin
2014: A note on the Fundamental Theorem of Asset Pricing under model uncertainty Downloads
Erhan Bayraktar, Yuchong Zhang and Zhou Zhou
2014: Tipping points in macroeconomic Agent-Based models Downloads
Stanislao Gualdi, Marco Tarzia, Francesco Zamponi and Jean-Philippe Bouchaud
2014: Dynamic Assessment Indices Downloads
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 Downloads
Sanjay Mehrotra and David Papp
2014: Robust Portfolios and Weak Incentives in Long-Run Investments Downloads
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 Downloads
Figueroa-L\'opez, Jos\'e E., Ruoting Gong and Houdr\'e, Christian
2014: Pricing TARN Using a Finite Difference Method Downloads
Xiaolin Luo and Pavel Shevchenko
2014: Diversity and no arbitrage Downloads
Attila Herczegh, Vilmos Prokaj and R\'asonyi, Mikl\'os
2014: On an Optimal Stopping Problem of an Insider Downloads
Erhan Bayraktar and Zhou Zhou
2014: Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration Downloads
Jean-Pierre Fouque, Matthew Lorig and Ronnie Sircar
2014: On Global Stability of Financial Networks Downloads
Bhaskar DasGupta and Lakshmi Kaligounder
2014: Physical approach to price momentum and its application to momentum strategy Downloads
Jaehyung Choi
2014: Shadow price in the power utility case Downloads
Attila Herczegh and Vilmos Prokaj
2014: An Explicit Example Of Optimal Portfolio-Consumption Choices With Habit Formation And Partial Observations Downloads
Xiang Yu
2014: Ito calculus without probability in idealized financial markets Downloads
Vladimir Vovk
2014: Recurrence plots of exchange rates of currencies Downloads
Amelia Carolina Sparavigna
2014: Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets Downloads
Fernando Cordero and Lavinia Perez-Ostafe
2014: Robust valuation and risk measurement under model uncertainty Downloads
Yuhong Xu
2014: Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input Downloads
Peter Martey Addo
2014: Convex duality for stochastic singular control problems Downloads
Peter Bank and Helena Kauppila
2014: Study of a model for the distribution of wealth Downloads
Yves Pomeau and Ricardo Lopez-Ruiz
2014: New analytic approach to address Put - Call parity violation due to discrete dividends Downloads
Alexander Buryak and Ivan Guo
2014: Effective and simple VWAP option pricing model Downloads
Alexander Buryak and Ivan Guo
2014: Grid Integration Costs of Fluctuating Renewable Energy Sources Downloads
M\"uller, Jonas, Marcus Hildmann, Andreas Ulbig and Andersson, G\"oran
2014: Wealth distribution of simple exchange models coupled with extremal dynamics Downloads
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 Downloads
Tiziano De Angelis and Yerkin Kitapbayev
2014: Fokker-Planck Description of Wealth Dynamics and the Origin of Pareto's Law Downloads
Bruce M. Boghosian
2014: On the role of F\"ollmer-Schweizer minimal martingale measure in Risk Sensitive control Asset Management Downloads
Amogh Deshpande
2014: A finite set of equilibria for the indeterminacy of linear rational expectations models Downloads
Jean-Bernard Chatelain and Kirsten Ralf
2014: Linear vector optimization and European option pricing under proportional transaction costs Downloads
Alet Roux and Tomasz Zastawniak
2014: One-level limit order books with sparsity and memory Downloads
Ch\'avez-Casillas, Jonathan A. and Figueroa-L\'opez, Jos\'e E.
2014: Arbitrage-free prediction of the implied volatility smile Downloads
Petros Dellaportas and Mijatovi\'c, Aleksandar
2014: Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets Downloads
Ladislav Krištoufek and Petra Lunackova
2014: Bank-firm credit network in Japan. An analysis of a bipartite network Downloads
Luca Marotta, Miccich\`e, Salvatore, Yoshi Fujiwara, Hiroshi Iyetomi, Hideaki Aoyama, Mauro Gallegati and Rosario N. Mantegna
2014: Risk-sensitive investment in a market with animal spirits Downloads
Grzegorz Andruszkiewicz, Mark H. A. Davis and Lleo, S\'ebastien
2014: Agent-based model with asymmetric trading and herding for complex financial systems Downloads
Jun-jie Chen, Bo Zheng and Lei Tan
2014: Permutation approach, high frequency trading and variety of micro patterns in financial time series Downloads
Cina Aghamohammadi, Mehran Ebrahimian and Hamed Tahmooresi
2014: Unanticipated Features of the Multidimensional $G$-Normal Distribution Downloads
Erhan Bayraktar and Alexander Munk
2014: An exact and explicit formula for pricing Asian options with regime switching Downloads
Leunglung Chan and Song-Ping Zhu
2014: Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns Downloads
Vladimir Filimonov and Didier Sornette
2014: Causal Non-Linear Financial Networks Downloads
Paweł Fiedor
2014: An exact and explicit formula for pricing lookback options with regime switching Downloads
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 Downloads
Michal Sawa and Dariusz Grech
2014: A convex duality method for optimal liquidation with participation constraints Downloads
Gu\'eant, Olivier, Jean-Michel Lasry and Jiang Pu
2014: Exact and asymptotic solutions of the call auction problem Downloads
Ioane Muni Toke
2014: New Pricing Framework: Options and Bonds Downloads
Nick Laskin
2014: Forecasting future oil production in Norway and the UK: a general improved methodology Downloads
Lucas Fievet, Forr\`o, Zal\`an, Peter Cauwels and Didier Sornette
2014: Slow decay of impact in equity markets Downloads
X. Brokmann, E. Serie, J. Kockelkoren and J. -P. Bouchaud
2014: Arbitrage in markets with bid-ask spreads Downloads
Rola, Przemys{\l}aw
2014: CVA under Partial Risk Warehousing and Tax Implications Downloads
Chris Kenyon and Andrew Green
2014: Comparing series of rankings with ties by using complex networks: An analysis of the spanish stock market (IBEX-35 index) Downloads
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 Downloads
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 Downloads
H. M. S. P. Herath, Cao Liang and Chen Yongbing
2014: Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps Downloads
Friedrich Hubalek, Martin Keller-Ressel and Carlo Sgarra
2014: Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems Downloads
\c{C}etin, Umut and Albina Danilova
2014: Cross-correlations in coupled heterogeneous Brownian motions Downloads
Paolo Barucca
2014: Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals Downloads
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 Downloads
Eiji Yamamura and Fabio Sabatini
2014: Density of Skew Brownian motion and its functionals with application in finance Downloads
Alexander Gairat and Vadim Shcherbakov
2014: Robust Superhedging with Jumps and Diffusion Downloads
Marcel Nutz
2014: Non linear filtering and optimal investment under partial information for stochastic volatility models Downloads
Dalia Ibrahim and Abergel, Fr\'ed\'eric
2014: Non-arbitrage for Informational Discrete Time Market Models Downloads
Tahir Choulli and Jun Deng
2014: Computing Greeks for L\'evy Models: The Fourier Transform Approach Downloads
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 Downloads
Alessandro Ramponi
2014: Robust Arbitrage under Uncertainty in Discrete Time Downloads
Matteo Burzoni, Marco Frittelli and Marco Maggis
2014: Decision-theoretic approaches to non-knowledge in economics Downloads
Ekaterina Svetlova and Henk van Elst
2014: Stochastic model of a pension plan Downloads
Paz Grimberg and Zeev Schuss
2014: One more no-arbitrage parametric fit of volatility smile Downloads
Andrey Itkin
2014: World Input-Output Network Downloads
Federica Cerina, Zhen Zhu, Alessandro Chessa and Massimo Riccaboni
2014: A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition Downloads
Ulrich Horst, Jinniao Qiu and Qi Zhang
2014: Thermodynamics of inequalities: from precariousness to economic stratification Downloads
Matteo Smerlak
2014: Exact fit of simple finite mixture models Downloads
Dirk Tasche
2014: A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing Downloads
Christa Cuchiero and Josef Teichmann
2014: Multilevel path simulation for weak approximation schemes Downloads
Denis Belomestny and Tigran Nagapetyan
2014: Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness Downloads
J. D. Opdyke
2014: Combining Alpha Streams with Costs Downloads
Zura Kakushadze
2014: Valuation and Hedging of Contracts with Funding Costs and Collateralization Downloads
Tomasz R. Bielecki and Marek Rutkowski
2014: On a Convex Measure of Drawdown Risk Downloads
Lisa R. Goldberg and Ola Mahmoud
2014: Inflation securities valuation with macroeconomic-based no-arbitrage dynamics Downloads
Gabriele Sarais and Damiano Brigo
2014: High-speed emergence of financial stock clusters using an unsupervised parallel genetic cluster algorithm Downloads
Dieter Hendricks, Dariusz Cieslakiewicz, Diane Wilcox and Tim Gebbie
2014: Consentaneous agent-based and stochastic model of the financial markets Downloads
V. Gontis and A. Kononovicius
2014: Purchasing Life Insurance to Reach a Bequest Goal Downloads
Erhan Bayraktar, David Promislow and Virginia Young
2014: Information ratio analysis of momentum strategies Downloads
Fernando F. Ferreira, A. Christian Silva and Ju-Yi Yen
2014: On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints Downloads
Erhan Bayraktar and Zhou Zhou
2014: Cross-correlation asymmetries and causal relationships between stock and market risk Downloads
Stanislav S. Borysov and Alexander V. Balatsky
2014: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows Downloads
Masaaki Fujii and Akihiko Takahashi
2014: Dynamic Limit Growth Indices in Discrete Time Downloads
Tomasz R. Bielecki, Igor Cialenco and Marcin Pitera
2014: Actuarial fairness and solidarity in pooled annuity funds Downloads
Catherine Donnelly
2014: Impact of information cost and switching of trading strategies in an artificial stock market Downloads
Yi-Fang Liu, Wei Zhang, Chao Xu, Andersen, J{\o}rgen Vitting and Hai-Chuan Xu
2014: Modeling of Volatility with Non-linear Time Series Model Downloads
Kim Song Yon and Kim Mun Chol
2014: The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations Downloads
Hyong-Chol O, Yong-hwa Ro and Ning Wan
2014: Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations Downloads
Matyas Barczy and Gyula Pap
2014: On the martingale property in stochastic volatility models based on time-homogeneous diffusions Downloads
Carole Bernard, Zhenyu Cui and Don McLeish
2014: Sequential Design for Optimal Stopping Problems Downloads
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 Downloads
Vladimir Filimonov and Didier Sornette
2014: Optimal Payoffs under State-dependent Preferences Downloads
Carole Bernard, Franck Moraux, Ludger Rueschendorf and Steven Vanduffel
2014: Weak reflection principle for L\'evy processes Downloads
Erhan Bayraktar and Sergey Nadtochiy
2014: Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? Downloads
Jozef Baruník, Evžen Kočenda and Lukas Vacha
2014: Extracting information from the signature of a financial data stream Downloads
Gyurk\'o, Lajos Gergely, Terry Lyons, Mark Kontkowski and Jonathan Field
2014: Random Market Models with an H-Theorem Downloads
Ricardo Lopez-Ruiz, Elyas Shivanian and Jose-Luis Lopez
2014: Statistical Mechanics of Competitive Resource Allocation using Agent-based Models Downloads
Anirban Chakraborti, Damien Challet, Arnab Chatterjee, Matteo Marsili, Yi-Cheng Zhang and Bikas K. Chakrabarti
2014: Pricing in Complex and Efficient Financial Markets Downloads
Gabriel Frahm
2014: Suitability of Capital Allocations for Performance Measurement Downloads
Eduard Kromer and Ludger Overbeck
2014: On the Robust Optimal Stopping Problem Downloads
Erhan Bayraktar and Song Yao
2014: Optimal Stopping under Adverse Nonlinear Expectation and Related Games Downloads
Marcel Nutz and Jianfeng Zhang
2014: Optimal execution and block trade pricing: a general framework Downloads
Gu\'eant, Olivier
2014: Approximating stochastic volatility by recombinant trees Downloads
Aky{\i}ld{\i}r{\i}m, Erd\.{i}n\c{c}, Yan Dolinsky and H. Mete Soner
2014: Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias Downloads
Figueroa-L\'opez, Jos\'e E. and Peter Tankov
2014: Small-time expansions for local jump-diffusion models with infinite jump activity Downloads
Figueroa-L\'opez, Jos\'e E., Yankeng Luo and Cheng Ouyang
2014: An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process Downloads
Takashi Kato
2014: Record statistics of financial time series and geometric random walks Downloads
Behlool Sabir and M. S. Santhanam
2014: A two-stage model for dealing with temporal degradation of credit scoring Downloads
Maria Rocha Sousa, Gama, Jo\~ao and Gon\c{c}alves, Manuel J. Silva
2014: Bank Networks from Text: Interrelations, Centrality and Determinants Downloads
R\"onnqvist, Samuel and Peter Sarlin
2014: Active extension portfolio optimization with non-convex risk measures using metaheuristics Downloads
Ronald Hochreiter and Christoph Waldhauser
2014: Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy Downloads
Xiaoxiao Zheng and Xin Zhang
2014: Optimal investment-reinsurance policy under a long-term perspective Downloads
Xiaoxiao Zheng and Xin Zhang
2014: Predictability of Volatility Homogenised Financial Time Series Downloads
Paweł Fiedor and Odd Magnus Trondrud
2014: Stock Market Prediction from WSJ: Text Mining via Sparse Matrix Factorization Downloads
Felix Ming Fai Wong, Zhenming Liu and Mung Chiang
2014: Hierarchical Structure of the Foreign Trade: The Case of the United State Downloads
Ersin Kantar
2014: Optimal Portfolio Problem Using Entropic Value at Risk: When the Underlying Distribution is Non-Elliptical Downloads
Hassan Omidi Firouzi and Andrew Luong
2014: On the Depletion Problem for an Insurance Risk Process: New Non-ruin Quantities in Collective Risk Theory Downloads
Zied Ben-Salah, Gu\'erin, H\'el\`ene, Manuel Morales and Hassan Omidi Firouzi
2014: Optimal Investment with Stopping in Finite Horizon Downloads
Xiongfei Jian, Xun Li and Fahuai Yi
2014: Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization Downloads
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 Downloads
Egil Ferkingstad and L{\o}land, Anders
2014: Credit Risk in a Geometric Arbitrage Perspective Downloads
Simone Farinelli
2014: Causality Networks Downloads
Ishanu Chattopadhyay
2014: Game Theory, Statistical Mechanics and Income Inequality Downloads
Venkat Venkatasubramanian, Yu Luo and Jay Sethuraman
2014: Systemic risk through contagion in a core-periphery structured banking network Downloads
Oliver Kley, Kl\"uppelberg, Claudia and Lukas Reichel
2014: Hierarchical structure of the countries based on electricity consumption and economic growth Downloads
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 Downloads
Ersin Kantar, Bayram Deviren and Mustafa Keskin
2014: Using an Artificial Financial Market for studying a Cryptocurrency Market Downloads
Luisanna Cocco, Giulio Concas and Michele Marchesi
2014: Optimal investment with time-varying stochastic endowments Downloads
An Chen, Carla Mereu and Robert Stelzer
2014: How to hedge extrapolated yield curves Downloads
Lager{\aa}s, Andreas
2014: Probabilistic flows of inhabitants in urban areas and self-organization in housing markets Downloads
Takao Hishikawa and Jun-ichi Inoue
2014: Semiclassical approximation in stochastic optimal control I. Portfolio construction problem Downloads
Sakda Chaiworawitkul, Patrick S. Hagan and Andrew Lesniewski
2014: From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments Downloads
Henry Lam and Zhenming Liu
2014: Moral Hazard in Dynamic Risk Management Downloads
Cvitani\'c, Jak\v{s}a, Possama\"i, Dylan and Nizar Touzi
2014: Reduction of systemic risk by means of Pigouvian taxation Downloads
Zlati\'c, Vinko, Giampaolo Gabbi and Hrvoje Abraham
2014: A Bond Consistent Derivative Fair Value Downloads
Johan Gunnesson and Mu\~noz de Morales, Alberto Fern\'andez
2014: An Unconventional Attempt to Tame Mandelbrot's Grey Swans Downloads
Denis M. Filatov and Maksim A. Vanyarkho
2014: Survival Models for the Duration of Bid-Ask Spread Deviations Downloads
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 Downloads
Efstathios Panayi, Gareth Peters and Ioannis Kosmidis
2014: A robust algorithm and convergence analysis for static replications of nonlinear payoffs Downloads
Jingtang Ma, Dongya Deng and Harry Zheng
2014: Zooming into market states Downloads
Desislava Chetalova, Sch\"afer, Rudi and Thomas Guhr
2014: Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage in Markovian Models of Financial Markets Downloads
Martin Le Doux Mbele Bidima and R\'asonyi, Mikl\'os
2014: On possible origins of trends in financial market price changes Downloads
Ryo Murakami, Tomomichi Nakamura, Shin Kimura, Masashi Manabe and Toshihiro Tanizawa
2014: Strategy-proofness and single-peackedness in bounded distributive lattices Downloads
Ernesto Savaglio and Stefano Vannucci
2014: A variation of the Dragulescu-Yakovenko income model Downloads
José María Sarabia, Faustino Prieto and Jord\'a, Vanesa
2014: Instabilities in large economies: aggregate volatility without idiosyncratic shocks Downloads
Julius Bonart, Jean-Philippe Bouchaud, Augustin Landier and David Thesmar
2014: Advisors and indicators based on the SSA models and non-linear generalizations Downloads
A. M. Avdeenko
2014: Ergodic BSDEs with jumps and time dependence Downloads
Samuel N. Cohen and Victor Fedyashov
2014: Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence Downloads
Matthew Ames, Gareth W. Peters, Guillaume Bagnarosa and Ioannis Kosmidis
2014: A general HJM framework for multiple yield curve modeling Downloads
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
2014: On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment Downloads
Tiziano De Angelis, Salvatore Federico and Giorgio Ferrari
2014: A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information Downloads
Takashi Kato, Jun Sekine and Hiromitsu Yamamoto
2014: Investment under Duality Risk Measure Downloads
Zuo Quan Xu
2014: Climate Events and Insurance Demand - The effect of potentially catastrophic events on insurance demand in Italy Downloads
Alessandro Chieppa, Andrea Ricca and Gianluca Rosso
2014: Statistically significant fits of Hawkes processes to financial data Downloads
Mehdi Lallouache and Damien Challet
2014: The G\"{a}rtner-Ellis theorem, homogenization, and affine processes Downloads
Archil Gulisashvili and Josef Teichmann
2014: Decoding Stock Market Behavior with the Topological Quantum Computer Downloads
Ovidiu Racorean
2014: Factor Models for Alpha Streams Downloads
Zura Kakushadze
2014: Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models Downloads
Oscar Lopez and Rafael Serrano
2014: Hierarchical representation of socio-economic complex systems according to minimal sapnning trees Downloads
Andrzej Jarynowski and Andrzej Buda
2014: On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums Downloads
Hirbod Assa
2014: Analitic approach to solve a degenerate parabolic PDE for the Heston model Downloads
A. Canale, R. M. Mininni and A. Rhandi
2014: Historical Backtesting of Local Volatility Model using AUD/USD Vanilla Options Downloads
Timothy G. Ling and Pavel V. Shevchenko
2014: A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations Downloads
Hyong-chol O, Yong-hwa Ro and Ning Wan
2014: Stochastic Analysis Seminar on Filtering Theory Downloads
Andrew Papanicolaou
2014: A generalized pricing and hedging framework for multi-currency fixed income desks Downloads
Gim\'enez, Eduard, Alberto Elices and Giovanna Villani
2014: The Naive Extrapolation Hypothesis and the Rosy-Gloomy Forecasts Downloads
Vasileios Barmpoutis
2014: Arbitrage-free exchange rate ensembles over a general trade network Downloads
Stan Palasek
2014: Notes on Alpha Stream Optimization Downloads
Zura Kakushadze
2014: Numerical analysis for Spread option pricing model in illiquid underlying asset market: full feedback model Downloads
Ahmad Reza Yazdanian and T A Pirvu
2014: Integration of a Predictive, Continuous Time Neural Network into Securities Market Trading Operations Downloads
Christopher S Kirk
2014: Supervised classification-based stock prediction and portfolio optimization Downloads
Sercan Arik, Sukru Burc Eryilmaz and Adam Goldberg
2014: Robust pricing and hedging under trading restrictions and the emergence of local martingale models Downloads
Alexander M. G. Cox, Zhaoxu Hou and Jan Obloj
2014: Clustering and hierarchy of financial markets data: advantages of the DBHT Downloads
Nicolo Musmeci, Tomaso Aste and Tiziana Di Matteo
2014: Buyer to Seller Recommendation under Constraints Downloads
Cheng Chen, Lan Zheng, Venkatesh Srinivasan, Alex Thomo, Kui Wu and Anthony Sukow
2014: Estimation of the Global Minimum Variance Portfolio in High Dimensions Downloads
Taras Bodnar, Nestor Parolya and Wolfgang Schmid
2014: Option Pricing in an Imperfect World Downloads
Gianluca A. Cassese
2014: Implied volatility of basket options at extreme strikes Downloads
Archil Gulisashvili and Peter Tankov
2014: What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis Downloads
Ladislav Krištoufek
2014: Inverse Optimal Stopping Downloads
Thomas Kruse and Philipp Strack
2014: Optimal investment under behavioural criteria -- a dual approach Downloads
R\'asonyi, Mikl\'os and Rodr\'iguez-Villarreal, Jos\'e G.
2014: An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs Downloads
Jean-Francois Chassagneux, Antoine Jacquier and Ivo Mihaylov
2014: Affine LIBOR models with multiple curves: theory, examples and calibration Downloads
Zorana Grbac, Antonis Papapantoleon, John Schoenmakers and David Skovmand
2014: Braided and Knotted Stocks in the Stock Market: Anticipating the flash crashes Downloads
Ovidiu Racorean
2014: Macroprudential oversight, risk communication and visualization Downloads
Peter Sarlin
2014: A Bitcoin system with no mining and no history transactions: Build a compact Bitcoin system Downloads
Qian Xiaochao
2014: Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching Downloads
Bin Zou and Abel Cadenillas
2014: An efficient algorithm for the calculation of reserves for non-unit linked life policies Downloads
Mark Tucker and J. Mark Bull
2014: Measures of Causality in Complex Datasets with application to financial data Downloads
Anna Zaremba and Tomaso Aste
2014: Estimating time-changes in noisy L\'evy models Downloads
Adam D. Bull
2014: Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion Downloads
John Armstrong, Martin Forde, Matthew Lorig and Hongzhong Zhang
2014: Self-organization and phase transition in financial markets with multiple choices Downloads
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 Downloads
Zuo Quan Xu
2014: Order Estimates for the Exact Lugannani-Rice Expansion Downloads
Takashi Kato, Jun Sekine and Kenichi Yoshikawa
2014: The impact of lead time forecasting on the bullwhip effect Downloads
Zbigniew Michna and Peter Nielsen
2014: Short-term Market Reaction after Trading Halts in Chinese Stock Market Downloads
Hai-Chuan Xu, Wei Zhang and Yi-Fang Liu
2014: Semiparametric stochastic volatility modelling using penalized splines Downloads
Roland Langrock, Michelot, Th\'eo, Alexander Sohn and Thomas Kneib
2014: Portfolio return distributions: Sample statistics with non-stationary correlations Downloads
Desislava Chetalova, Thilo A. Schmitt, Sch\"afer, Rudi and Thomas Guhr
2014: On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix Downloads
Taras Bodnar, Arjun K. Gupta and Nestor Parolya
2014: The Financing of Innovative SMEs: a multicriteria credit rating model Downloads
Silvia Angilella and Mazz\`u, Sebastiano
2014: Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process Downloads
Vladimir Filimonov, Spencer Wheatley and Didier Sornette
2014: A Robust Version of Convex Integral Functionals Downloads
Keita Owari
2014: The Convexity of the Free Boundary for American-style put options Downloads
Hsuan-Ku Liu
2014: Dynamic Credit Investment in Partially Observed Markets Downloads
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 Downloads
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 Downloads
Kensuke Ishitani and Takashi Kato
2014: How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related Downloads
Tahir Choulli, Jun Deng and Junfeng Ma
2014: From characteristic functions to implied volatility expansions Downloads
Antoine Jacquier and Matthew Lorig
2014: Patience vs. Impatience of Stock Traders Downloads
Peter Lerner
2014: On the concentration of large deviations for fat tailed distributions, with application to financial data Downloads
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 Downloads
Alet Roux and Tomasz Zastawniak
2014: Computation of copulas by Fourier methods Downloads
Antonis Papapantoleon
2014: An Optimal Execution Problem with Market Impact Downloads
Takashi Kato
2014: Field Theory of Macroeconomics Downloads
Heribert Genreith
2014: Path Diffusion, Part I Downloads
Johan GB Beumee, Chris Cormack, Peyman Khorsand and Manish Patel
2014: Structure of local interactions in complex financial dynamics Downloads
X. F. Jiang, T. T. Chen and B. Zheng
2014: Explicit investment rules with time-to-build and uncertainty Downloads
Aid, Ren\'e, Salvatore Federico, Pham, Huy\^en and Bertrand Villeneuve
2014: Gambling in Contests with Random Initial Law Downloads
Han Feng and David Hobson
2014: Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics Downloads
Fabio Dercole and Davide Radi
2014: VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution Downloads
Chris Kenyon and Andrew Green
2014: Mixed Tempered Stable distribution Downloads
Edit Rroji and Lorenzo Mercuri
2014: Option Pricing in a Dynamic Variance-Gamma Model Downloads
Lorenzo Mercuri and Fabio Bellini
2014: Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series Downloads
Sergey A. Kamenshchikov
2014: On the stationarity of Dynamic Conditional Correlation models Downloads
Jean-David Fermanian and Hassan Malongo
2014: Bregman superquantiles. Estimation methods and applications Downloads
Fabrice Gamboa, Garivier, Aur\'elien, Bertrand Iooss and Tatiana Labopin-Richard
2014: Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility Downloads
Martino Bardi, Annalisa Cesaroni and Andrea Scotti
2014: Networks of Military Alliances, Wars, and International Trade Downloads
Matthew O. Jackson and Stephen M. Nei
2014: Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps Downloads
Andrey Itkin
2014: Modeling FX market activity around macroeconomic news: a Hawkes process approach Downloads
Marcello Rambaldi, Paris Pennesi and Fabrizio Lillo
2014: R&D Strategy Document Downloads
James B. Glattfelder, Thomas Bisig and Richard B. Olsen
2014: Wealth share analysis with "fundamentalist/chartist" heterogeneous agents Downloads
Hai-Chuan Xu, Wei Zhang, Xiong Xiong and Wei-Xing Zhou
2014: Stationarity of Bivariate Dynamic Contagion Processes Downloads
Angelos Dassios and Xin Dong
2014: Micro and Macro Benefits of Random Investments in Financial Markets Downloads
Alessio Emanuele Biondo, Alessandro Pluchino and Andrea Rapisarda
2014: Big Data, Socio-Psychological Theory, Algorithmic Text Analysis and Predicting the Michigan Consumer Sentiment Index Downloads
Rickard Nyman and Paul Ormerod
2014: Valuation of Barrier Options using Sequential Monte Carlo Downloads
Pavel V. Shevchenko and Pierre Del Moral
2014: A Functional Limit Theorem for Limit Order Books Downloads
Christian Bayer, Ulrich Horst and Jinniao Qiu
2014: Correlation structure and principal components in global crude oil market Downloads
Yue-Hua Dai, Wen-Jie Xie, Zhi-Qiang Jiang, George J. Jiang and Wei-Xing Zhou
2014: Set-valued shortfall and divergence risk measures Downloads
Ararat, \c{C}a\u{g}\in, Andreas H. Hamel and Birgit Rudloff
2014: Rough paths, Signatures and the modelling of functions on streams Downloads
Terry Lyons
2014: The Economics of BitCoin Price Formation Downloads
Pavel Ciaian, Miroslava Rajcaniova and Kancs, d'Artis
2014: Quantum spatial-periodic harmonic model for daily price-limited stock markets Downloads
Xiangyi Meng, Jian-Wei Zhang, Jingjing Xu and Hong Guo
2014: Local times for typical price paths and pathwise Tanaka formulas Downloads
Nicolas Perkowski and Pr\"omel, David J.
2014: Mining Urban Performance: Scale-Independent Classification of Cities Based on Individual Economic Transactions Downloads
Stanislav Sobolevsky, Izabela Sitko, Sebastian Grauwin, Remi Tachet des Combes, Bartosz Hawelka, Juan Murillo Arias and Carlo Ratti
2014: Distortion Risk Measures and Elicitability Downloads
Ruodu Wang and Johanna F. Ziegel
2014: Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information Downloads
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 Downloads
Aktar, Yal\c{c}in and Erik Taflin
2014: Quantum Brownian motion model for stock markets Downloads
Xiangyi Meng, Jian-Wei Zhang and Hong Guo
2014: Can Analysts Predict Rallies Better Than Crashes? Downloads
Ivan Medovikov
2014: The systematic structure and predictability of urban business diversity Downloads
Hyejin Youn, Bettencourt, Lu\'is M. A., Lobo, Jos\'e, Deborah Strumsky, Horacio Samaniego and Geoffrey B. West
2014: Arbitrage Pricing of Multi-person Game Contingent Claims Downloads
Ivan Guo and Marek Rutkowski
2014: Simple examples of pure-jump strict local martingales Downloads
Martin Keller-Ressel
2014: Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets, A Measure-Theoretic Proof Downloads
Nassim N. Taleb
2014: Interest rate models and Whittaker functions Downloads
Dmitry Muravey
2014: How does bad and good volatility spill over across petroleum markets? Downloads
Jozef Baruník, Evžen Kočenda and Lukas Vacha
2014: A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries Downloads
Tiziano De Angelis, Giorgio Ferrari and John Moriarty
2014: A Multi-factor Adaptive Statistical Arbitrage Model Downloads
Wenbin Zhang, Zhen Dai, Bindu Pan and Milan Djabirov
2014: Optimal stopping under model uncertainty: randomized stopping times approach Downloads
Denis Belomestny and Volker Kraetschmer
2014: Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market Downloads
Li-Xin Wang
2014: Merchant Sharing Towards a Zero Marginal Cost Economy Downloads
Laurent Fournier
2014: Optimal Execution in Lit and Dark Pools Downloads
M. Alessandra Crisafi and Andrea Macrina
2014: Phynance Downloads
Zura Kakushadze
2014: On the Biases and Variability in the Estimation of Concentration Using Bracketed Quantile Contributions Downloads
Nassim N Taleb and Raphael Douady
2014: Paths and indices of maximal tail dependence Downloads
Edward Furman, Jianxi Su and Zitikis, Ri\v{c}ardas
2014: Default Probability Estimation via Pair Copula Constructions Downloads
Luciana Dalla Valle, Maria Elena De Giuli, Claudia Tarantola and Claudio Manelli
2014: The super-replication theorem under proportional transaction costs revisited Downloads
Walter Schachermayer
2014: Stylized facts of price gaps in limit order books: Evidence from Chinese stocks Downloads
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 Downloads
Klusik, Przemys\law
2014: Market Coupling as the Universal Algorithm to Assess Zonal Divisions Downloads
Grzegorz Orynczak, Marcin Jakubek, Karol Wawrzyniak and Michal Klos
2014: Spatial interactions in agent-based modeling Downloads
Marcel Ausloos, Herbert Dawid and Ugo Merlone
2014: Hedging of equity-linked with maximal success factor Downloads
Klusik Przemyslaw
2014: Evaluating gambles using dynamics Downloads
Ole Peters and Murray Gell-Mann
2014: Calculating the Funding Valuation Adjustment (FVA) of Value-at-Risk (VAR) based Initial Margin Downloads
Andrew Green and Chris Kenyon
2014: The least squares method for option pricing revisited Downloads
Maciej Klimek and Marcin Pitera
2014: Maximum drawdown, recovery, and momentum Downloads
Jaehyung Choi
2014: Reward-risk momentum strategies using classical tempered stable distribution Downloads
Jaehyung Choi, Young Shin Kim and Ivan Mitov
2014: Stationarity, non-stationarity and early warning signals in economic networks Downloads
Tiziano Squartini and Diego Garlaschelli
2014: A Multiple Network Approach to Corporate Governance Downloads
Fausto Bonacina, D'Errico, Marco, Enrico Moretto, Silvana Stefani and Anna Torriero
2014: A state-constrained differential game arising in optimal portfolio liquidation Downloads
Alexander Schied and Tao Zhang
2014: Optimal Strategies for a Long-Term Static Investor Downloads
Lingjiong Zhu
2014: The Origin of Fat Tails Downloads
Martin Gremm
2014: Multivariate transient price impact and matrix-valued positive definite functions Downloads
Alfonsi, Aur\'elien, Alexander Schied and Kl\"ock, Florian
2014: Implicit transaction costs and the fundamental theorems of asset pricing Downloads
Erindi Allaj
2014: The fine structure of volatility feedback II: overnight and intra-day effects Downloads
Pierre Blanc, Chicheportiche, R\'emy and Jean-Philippe Bouchaud
2014: Optimal Liquidity Provision in Limit Order Markets Downloads
K\"uhn, Christoph and Johannes Muhle-Karbe
2014: On the Stochastic Solution to a Cauchy Problem Associated with Nonnegative Price Processes Downloads
Xiaoshan Chen, Yu-Jui Huang, Qingshuo Song and Chao Zhu
2014: Analytical models of operational risk and new results on the correlation problem Downloads
Vivien Brunel
2014: Admissible Trading Strategies under Transaction Costs Downloads
Walter Schachermayer
2014: Option pricing with non-Gaussian scaling and infinite-state switching volatility Downloads
Fulvio Baldovin, Massimiliano Caporin, Michele Caraglio, Attilio Stella and Marco Zamparo
2014: Tick Size Reduction and Price Clustering in a FX Order Book Downloads
Mehdi Lallouache and Abergel, Fr\'ed\'eric
2014: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy Downloads
Ladislav Krištoufek and Miloslav Vošvrda
2014: Collective Philanthropy: Describing and Modeling the Ecology of Giving Downloads
William L. Gottesman, Andrew James Reagan and Peter Sheridan Dodds
2014: VWAP execution and guaranteed VWAP Downloads
Gu\'eant, Olivier and Guillaume Royer
2014: B-spline techniques for volatility modeling Downloads
Sylvain Corlay
2014: Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization Downloads
Damiano Brigo, Jan-Frederik Mai and Matthias Scherer
2014: Survey data and Bayesian analysis: a cost-efficient way to estimate customer equity Downloads
Juha Karvanen, Ari Rantanen and Lasse Luoma
2014: Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions Downloads
Damiano Brigo and Giuseppe Di Graziano
2014: Pricing approximations and error estimates for local L{\'e}vy-type models with default Downloads
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
2014: Weak and strong no-arbitrage conditions for continuous financial markets Downloads
Claudio Fontana
2014: Multi-portfolio time consistency for set-valued convex and coherent risk measures Downloads
Zachary Feinstein and Birgit Rudloff
2014: Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance Downloads
Nikolai Dokuchaev
2014: Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs Downloads
M. Nabil Kazi-Tani, Possama\"i, Dylan and Chao Zhou
2014: Price manipulation in a market impact model with dark pool Downloads
Kl\"ock, Florian, Alexander Schied and Yuemeng Sun
2014: The Wishart short rate model Downloads
Alessandro Gnoatto
2014: International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach Downloads
Mikio Ito, Akihiko Noda and Tatsuma Wada
2014: Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without L\'{e}vy area simulation Downloads
Michael B. Giles and Lukasz Szpruch
2014: A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk Downloads
Vicky Henderson and Gechun Liang
2014: Geometric Arbitrage Theory and Market Dynamics Downloads
Simone Farinelli
2014: An Optimal Consumption-Investment Model with Constraint on Consumption Downloads
Zuo Quan Xu and Fahuai Yi
2014: The role of the information set for forecasting - with applications to risk management Downloads
Hajo Holzmann and Matthias Eulert
2014: Predictive regressions for macroeconomic data Downloads
Fukang Zhu, Zongwu Cai and Liang Peng
2014: A multivariate model for financial indexes and an algorithm for detection of jumps in the volatility Downloads
Mario Bonino, Matteo Camelia and Paolo Pigato
2014: Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs Downloads
Erhan Bayraktar and Yuchong Zhang
2014: The Italian Crisis and Producer Households Debt: a Source of Stability? A Reproducible Research Downloads
Stefano Olgiati, Gilberto Bronzini and Alessandro Danovi
2014: Sell the news? A news-driven model of the stock market Downloads
Maxim Gusev, Dimitri Kroujiline, Boris Govorkov, Sergey V. Sharov, Dmitry Ushanov and Maxim Zhilyaev
2014: Analysis of a decision model in the context of equilibrium pricing and order book pricing Downloads
Daniel C. Wagner, Thilo A. Schmitt, Sch\"afer, Rudi, Thomas Guhr and Dietrich E. Wolf
2014: Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context Downloads
Qinghua Li
2014: Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes Downloads
Damiano Brigo, Qing Liu, Andrea Pallavicini and David Sloth
2014: Leveraged {ETF} implied volatilities from {ETF} dynamics Downloads
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 Downloads
Reza Farrahi Moghaddam, Fereydoun Farrahi Moghaddam and Mohamed Cheriet
2014: Polynomial Models for interest rates and stochastic volatility Downloads
Si Cheng and Michael R. Tehranchi
2014: Incorporating a Volatility Smile into the Markov-Functional Model Downloads
Feijia Wang
2014: Measurement and Internalization of Systemic Risk in a Global Banking Network Downloads
Xiaobing Feng and Haibo Hu
2014: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case Downloads
Trybu{\l}a, Jakub and Dariusz Zawisza
2014: Futures Premium and Efficiency of the Rice Futures Markets in Prewar Japan Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2014: Reconstruction of density functions by sk-splines Downloads
A. Kushpel and J. Levesley
2014: Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model Downloads
Takashi Shinzato
2014: Towards a Monotonicity-Compliant Price Index for the Art Market Downloads
Ventura L Charlin and Arturo Cifuentes
2014: High-order compact finite difference scheme for option pricing in stochastic volatility models Downloads
D\"uring, Bertram and Fourni\'e, Michel
2014: High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids Downloads
D\"uring, Bertram, Fourni\'e, Michel and Christof Heuer
2014: Spectral Model of Turnover Reduction Downloads
Zura Kakushadze
2014: Expected Cash Flow: A Novel Model Of Evaluating Financial Assets Downloads
Magomet Yandiev
2014: Approximate aggregation in the neoclassical growth model with ideosyncratic shocks Downloads
Karsten Chipeniuk, Nets Hawk Katz and Todd B. Walker
2014: Modelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models Downloads
Jan Kuklinski, Doinita Negru and Pawel Pliszka
2014: The Master Equation in Mean Field Theory Downloads
Alain Bensoussan, Jens Frehse and Phillip Yam
2014: Directed Random Market: the equilibrium distribution Downloads
Guy Katriel
2014: $L_p$ regularized portfolio optimization Downloads
Fabio Caccioli, Imre Kondor, Matteo Marsili and Susanne Still
2014: Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing Downloads
Mark Higgins
2014: Option Pricing Accuracy for Estimated Heston Models Downloads
Robert Azencott, Yutheeka Gadhyan and Roland Glowinski
2014: On the properties of nodal price response matrix in electricity markets Downloads
Vadim Borokhov
2014: Smile from the Past: A general option pricing framework with multiple volatility and leverage components Downloads
Adam Aleksander Majewski, Giacomo Bormetti and Fulvio Corsi
2014: Stability and Identification with Optimal Macroprudential Policy Rules Downloads
Jean-Bernard Chatelain and Kirsten Ralf
2014: Two centuries of trend following Downloads
Y. Lemp\'eri\`ere,, C. Deremble, P. Seager, M. Potters and J. P. Bouchaud
2014: Regularizing Portfolio Risk Analysis: A Bayesian Approach Downloads
Sourish Das and Dipak K. Dey
2014: A Note on the Pricing of Basket Options Using Taylor Approximations Downloads
Pablo Olivares and Alexander Alvarez
2014: Estimating nonlinear regression errors without doing regression Downloads
Hong Pi and Carsten Peterson
2014: A Dynamical Model of the Industrial Economy of the Humber Region Downloads
Christopher J. K. Knight, Alexandra S. Penn and Rebecca B. Hoyle
2014: Pricing of Basket Options Using Polynomial Approximations Downloads
Pablo Olivares
2014: Asymptotics for $d$-dimensional L\'evy-type processes Downloads
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
2014: Facelifting in Utility Maximization Downloads
Kasper Larsen, H. Mete Soner and Gordan Zitkovic
2014: Financial bubbles: mechanisms and diagnostics Downloads
Didier Sornette and Peter Cauwels
2014: Bayesian DEJD model and detection of asymmetric jumps Downloads
Maciej Kostrzewski
2014: Ramsey Rule with Progressive utility and Long Term Affine Yields Curves Downloads
Nicole El Karoui, Mohamed Mrad and Caroline Hillairet
2014: Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling Downloads
Nicole El Karoui, Caroline Hillairet and Mohamed Mrad
2014: Derivative pricing under the possibility of long memory in the supOU stochastic volatility model Downloads
Robert Stelzer and Zavi\v{s}in, Jovana
2014: Impulse Control of a Diffusion with a Change Point Downloads
Lokman A. Abbas-Turki, Ioannis Karatzas and Qinghua Li
2014: Stochastic Evolution of Stock Market Volume-Price Distributions Downloads
Paulo Rocha, Frank Raischel, da Cruz, Jo\~ao P. and Pedro G. Lind
2014: Martingale optimal transport in the Skorokhod space Downloads
Y. Dolinsky and H. M. Soner
2014: A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control Downloads
Boualem Djehiche, Hamidou Tembine and Raul Tempone
2014: Emergence of communities on a coevolutive model of wealth interchange Downloads
A. Agreda and K. Tucci
2014: Discretisation-Invariant Swaps Downloads
Carol O Alexander and Johannes Rauch
2014: Parallel American Monte Carlo Downloads
Calypso Herrera and Louis Paulot
2014: Utility indifference pricing of derivatives written on industrial loss indexes Downloads
Gunther Leobacher and Philip Ngare
2014: Is It Possible to OD on Alpha? Downloads
Zura Kakushadze and Jim Kyung-Soo Liew
2014: Dynamic optimal execution in a mixed-market-impact Hawkes price model Downloads
Alfonsi, Aur\'elien and Pierre Blanc
2014: Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility Downloads
Figueroa-L\'opez, Jos\'e E. and \'Olafsson, Sveinn
2014: Non-Arbitrage under a Class of Honest Times Downloads
Tahir Choulli, Anna Aksamit, Jun Deng and Monique Jeanblanc
2014: Principal wind turbines for a conditional portfolio approach to wind farms Downloads
Vitor V. Lopes, Teresa Scholz, Frank Raischel and Pedro G. Lind
2014: On the range of admissible term-structures Downloads
Areski Cousin and Ibrahima Niang
2014: Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models Downloads
D. Sornette
2014: A Note on the Quantile Formulation Downloads
Zuo Quan Xu
2014: Systemic risk in dynamical networks with stochastic failure criterion Downloads
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 Downloads
Johan Gunnesson and Mu\~noz de Morales, Alberto Fern\'andez
2014: The adaptive nature of liquidity taking in limit order books Downloads
Damian Eduardo Taranto, Giacomo Bormetti and Fabrizio Lillo
2014: Intensive and extensive biases in economic networks: reconstructing the world trade multiplex Downloads
Rossana Mastrandrea, Tiziano Squartini, Giorgio Fagiolo and Diego Garlaschelli
2014: Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors Downloads
Mauro Bernardi and L. Petrella
2014: Propagation of Economic Shocks in Input-Output Networks: A Cross-Country Analysis Downloads
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 Downloads
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 Downloads
Teruyoshi Kobayashi
2014: Community detection for correlation matrices Downloads
Mel MacMahon and Diego Garlaschelli
2014: On strong binomial approximation for stochastic processes and applications for financial modelling Downloads
Nikolai Dokuchaev
2014: Illiquidity and Insolvency: a Double Cascade Model of Financial Crises Downloads
Thomas R. Hurd, Davide Cellai, Huibin Cheng, Sergey Melnik and Quentin Shao
2014: Asymptotic Glosten Milgrom equilibrium Downloads
Cheng Li and Hao Xing
2014: Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo Downloads
Eric Beutner, Janina Schweizer and Antoon A. J. Pelsser
2014: The Interrupted Power Law and The Size of Shadow Banking Downloads
Davide Fiaschi, Imre Kondor, Matteo Marsili and Valerio Volpati
2014: Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials Downloads
Andrey Itkin
2014: Information, no-arbitrage and completeness for asset price models with a change point Downloads
Claudio Fontana, Zorana Grbac, Monique Jeanblanc and Qinghua Li
2014: Asymptotic arbitrage in the Heston model Downloads
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) Downloads
Jacky Mallett
2014: Parameter estimation for a subcritical affine two factor model Downloads
Matyas Barczy, Leif Doering, Zenghu Li and Gyula Pap
2014: High-order short-time expansions for ATM option prices of exponential L\'evy models Downloads
Figueroa-L\'opez, Jos\'e E., Ruoting Gong and Houdr\'e, Christian
2014: Stochastic target games with controlled loss Downloads
Bruno Bouchard, Ludovic Moreau and Marcel Nutz
2014: Involving copula functions in Conditional Tail Expectation Downloads
Brahim Brahimi
2014: Utility Maximization with Addictive Consumption Habit Formation in Incomplete Semimartingale Markets Downloads
Xiang Yu
2014: Asymptotically optimal discretization of hedging strategies with jumps Downloads
Mathieu Rosenbaum and Peter Tankov
2014: On martingale measures and pricing for continuous bond-stock market with stochastic bond Downloads
Nikolai Dokuchaev
2014: The structure of optimal portfolio strategies for continuous time markets Downloads
Nikolai Dokuchaev
2014: Stable-1/2 Bridges and Insurance Downloads
Edward Hoyle, Lane P. Hughston and Andrea Macrina
2014: An agent-based computational model for China's stock market and stock index futures market Downloads
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 Downloads
Jian Zhou, Gao-Feng Gu, Zhi-Qiang Jiang, Xiong Xiong, Wei Zhang and Wei-Xing Zhou
2014: Are credit ratings time-homogeneous and Markov? Downloads
Pedro Lencastre, Frank Raischel, Pedro G. Lind and Tim Rogers
2014: Pseudo Linear Pricing Rule for Utility Indifference Valuation Downloads
Vicky Henderson and Gechun Liang
2014: Evolution of wealth in a nonconservative economy driven by local Nash equilibria Downloads
Pierre Degond, Jian-Guo Liu and Christian Ringhofer
2014: Omega risk model with tax Downloads
Zhenyu Cui
2014: Anatomy of a Bail-In Downloads
Thomas Conlon and John Cotter
2014: Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach Downloads
Menelaos Karanasos, Alexandros Paraskevopoulos, Faek Menla Ali, Michail Karoglou and Stavroula Yfanti
2014: Contextual and Structural Representations of Market-mediated Economic Value Downloads
Bradly Alicea
2014: Credit acceptance process strategy case studies - the power of Credit Scoring Downloads
Karol Przanowski
2014: Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies Downloads
Stefan Bornholdt and Kim Sneppen
2014: Behavioral and Network Origins of Wealth Inequality: Insights from a Virtual World Downloads
Benedikt Fuchs and Stefan Thurner
2014: Utility maximization in the large markets Downloads
Oleksii Mostovyi
2014: The role of the "Maximizing Output Growth Inflation Rate" in monetary policy Downloads
Dominique Pépin
2014: The Implied Volatility Analysis: The South African Experience Downloads
Romuald N. Kenmoe S and Carine D. Tafou
2014: Sophisticated gamblers ruin and survival chances Downloads
Salil Mehta
2014: Trajectory Based Models, Arbitrage and Continuity Downloads
Alexander Alvarez and Sebastian Ferrando
2014: The acceptance-rejection method for low-discrepancy sequences Downloads
Nguyet Nguyen and \"Okten, Giray
2014: Time-changed CIR default intensities with two-sided mean-reverting jumps Downloads
Rafael Mendoza-Arriaga and Vadim Linetsky
2014: Multilevel Monte Carlo For Exponential L\'{e}vy Models Downloads
Mike Giles and Yuan Xia
2014: Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models Downloads
Archil Gulisashvili and Josep Vives
2014: Portfolio Optimization in Affine Models with Markov Switching Downloads
Marcos Escobar, Daniela Neykova and Rudi Zagst
2014: A change of measure preserving the affine structure in the BNS model for commodity markets Downloads
Fred Espen Benth and Salvador Ortiz-Latorre
2014: Branching ratio approximation for the self-exciting Hawkes process Downloads
Stephen J. Hardiman and Jean-Philippe Bouchaud
2014: Predicting market instability: New dynamics between volume and volatility Downloads
Zeyu Zheng, Zhi Qiao, Joel N. Tenenbaum, H. Eugene Stanley and Baowen Li
2014: Collective behaviours in the stock market -- A maximum entropy approach Downloads
Thomas Bury
2014: On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market Downloads
Alexandra Rodkina and Nikolai Dokuchaev
2014: Which factor dominates the industry evolution? A synergy analysis based on China's ICT industry Downloads
Yaya Li, Yongli Li, Yulin Zhao and Fang Wang
2014: An importance sampling algorithm for copula models in insurance Downloads
Philipp Arbenz, Mathieu Cambou and Marius Hofert
2014: Least quartic Regression Criterion with Application to Finance Downloads
Giuseppe arbia
2014: Representation of infinite dimensional forward price models in commodity markets Downloads
Fred Espen Benth and Kr\"uhner, Paul
2014: Momentum Strategies with L1 Filter Downloads
Tung-Lam Dao
2014: A fast Fourier transform method for Mellin-type option pricing Downloads
D. J. Manuge and P. T. Kim
2014: Networked relationships in the e-MID Interbank market: A trading model with memory Downloads
Giulia Iori, Rosario Nunzio Mantegna, Luca Marotta, Micciche', Salvatore, 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 Downloads
Claudiu Tiberiu Albulescu, Dominique Pépin and Aviral Kumar Tiwari
2014: Testing for Detailed Balance in a Financial Market Downloads
Rudolf Fiebig and David Musgrove
2014: Anomalous impact in reaction-diffusion models Downloads
Iacopo Mastromatteo, Bence Toth and Jean-Philippe Bouchaud
2014: Empirical properties of inter-cancellation durations in the Chinese stock market Downloads
Gao-Feng Gu, Xiong Xiong, Wei Zhang, Yong-Jie Zhang and Wei-Xing Zhou
2014: Structural Models under Additional Information Downloads
Tahir Choulli and Jun Deng
2014: Coherent Chaos Interest Rate Models Downloads
Dorje C. Brody and Stala Hadjipetri
2014: Detecting informed activities in European-style option tradings Downloads
Lyudmila A. Glik and Oleg L. Kritski
2014: Merton problem with one additional indivisible asset Downloads
Trybu{\l}a, Jakub
2014: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic factor case Downloads
Trybu{\l}a, Jakub and Dariusz Zawisza
2014: Distribution of the asset price movement and market potential Downloads
Dong Han Kim and Stefano Marmi
2014: Quadratic BSDEs with jumps: related non-linear expectations Downloads
M. Nabil Kazi-Tani, Possama\"i, Dylan and Chao Zhou
2014: A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution Downloads
Dieter Hendricks and Diane Wilcox
2014: Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models Downloads
Michael B. Walker
2014: Partial Mutual Information Analysis of Financial Networks Downloads
Paweł Fiedor
2014: Introduction to Risk Parity and Budgeting Downloads
Thierry Roncalli
2014: City growth as a resource utilization problem Downloads
Asim Ghosh, Arnab Chatterjee, Anindya S. Chakrabarti and Bikas K Chakrabarti
2014: High-Order Splitting Methods for Forward PDEs and PIDEs Downloads
Andrey Itkin
2014: Do Google Trend data contain more predictability than price returns? Downloads
Damien Challet and Ahmed Bel Hadj Ayed
2014: Inside Money, Procyclical Leverage, and Banking Catastrophes Downloads
Charles D. Brummitt, Rajiv Sethi and Duncan J. Watts
2014: To bail-out or to bail-in? Answers from an agent-based model Downloads
Peter Klimek, Sebastian Poledna, J. Doyne Farmer and Stefan Thurner
2014: Modelling the Bid and Ask Prices of Illiquid CDSs Downloads
Michael B. Walker
2014: International Transmission of Shocks and Fragility of a Bank Network Downloads
Xiaobing Feng, Woo Seong Jo and Beom Jun Kim
2014: On the Frequency of Drawdowns for Brownian Motion Processes Downloads
David Landriault, Bin Li and Hongzhong Zhang
2014: On the Hawkes Process with Different Exciting Functions Downloads
Behzad Mehrdad and Lingjiong Zhu
2014: Asset Prices and Risk Aversion Downloads
Dominique Pépin
2014: Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics Downloads
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 Downloads
Xiangyu Cui, Duan Li and Xun Li
2014: Multi-period Trading Prediction Markets with Connections to Machine Learning Downloads
Jinli Hu and Amos Storkey
2014: Exchange Rate Predictability in a Changing World Downloads
Joseph P. Byrne, Dimitris Korobilis and Pinho J. Ribeiro
2014: Parameter estimation for subcritical Heston models based on discrete time observations Downloads
Matyas Barczy, Gyula Pap and Tamas T. Szabo
2014: Investing and Stopping Downloads
Moritz Duembgen and Leonard C G Rogers
2014: Leverage effect in energy futures Downloads
Ladislav Krištoufek
2014: Prospect Theory for Online Financial Trading Downloads
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 Downloads
Matteo Smerlak, Brady Stoll, Agam Gupta and James S. Magdanz
2014: The geometry of relative arbitrage Downloads
Soumik Pal and Ting-Kam Leonard Wong
2014: Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization Downloads
Bin Zou and Abel Cadenillas
2014: Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms Downloads
Petr Jizba and Jan Korbel
2014: Global inequality in energy consumption from 1980 to 2010 Downloads
Scott Lawrence, Qin Liu and Victor M. Yakovenko
2014: No-arbitrage conditions and absolutely continuous changes of measure Downloads
Claudio Fontana
2014: Predicting trend reversals using market instantaneous state Downloads
Thomas Bury
2014: Power identities for L\'evy risk models under taxation and capital injections Downloads
Hansjoerg Albrecher and Jevgenijs Ivanovs
2014: Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains Downloads
R\'asonyi, Mikl\'os and Andrea Meireles Rodrigues
2014: Efficient hedging in general Black-Scholes model Downloads
Kyong-Hui Kim and Myong-Guk Sin
2014: Do the rich get richer? An empirical analysis of the BitCoin transaction network Downloads
Kondor, D\'aniel, P\'osfai, M\'arton, Csabai, Istv\'an and Vattay, G\'abor
2014: Measuring risk with multiple eligible assets Downloads
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
2014: Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix Downloads
Taras Bodnar, Arjun K. Gupta and Nestor Parolya
2014: Gold, Oil, and Stocks Downloads
Jozef Baruník, Evžen Kočenda and Lukas Vacha
2014: Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures Downloads
Gordan Zitkovic
2014: Predicting financial markets with Google Trends and not so random keywords Downloads
Damien Challet and Ahmed Bel Hadj Ayed
2014: Strict Local Martingales with Jumps Downloads
Philip Protter
2014: Explicit implied vols for multifactor local-stochastic vol models Downloads
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
2014: Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots Downloads
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 Downloads
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 Downloads
Lachapelle, Aim\'e, Jean-Michel Lasry, Charles-Albert LEHALLE and Pierre-Louis Lions
2014: Permanent market impact can be nonlinear Downloads
Gu\'eant, Olivier
2014: A convolution method for numerical solution of backward stochastic differential equations Downloads
Cody Blaine Hyndman and Polynice Oyono Ngou
2014: Coherence and elicitability Downloads
Johanna F. Ziegel
2014: A Modern Approach to the Efficient-Market Hypothesis Downloads
Gabriel Frahm
2014: On the optimal dividend problem for a spectrally positive Levy process Downloads
Chuancun Yin, Yuzhen Wen and Yongxia Zhao
2014: The effect of debt on corporate profitability: Evidence from French service sector Downloads
Mazen KEBEWAR
2014: Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model Downloads
Maria B. Chiarolla and Tiziano De Angelis
2014: Quadratic BSDEs with jumps: a fixed-point approach Downloads
M. Nabil Kazi-Tani, Possama\"i, Dylan and Chao Zhou
2014: Exploiting the flexibility of a family of models for taxation and redistribution Downloads
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 Downloads
Florin Avram, Zbigniew Palmowski and Martijn R. Pistorius
2014: Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders Downloads
Taisei Kaizoji, M. Leiss, A. Saichev and D. Sornette
2014: Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target Downloads
Hanqing Jin and Yimin Yang
2014: Finding informed traders in futures and their inderlying assets in intraday trading Downloads
Lyudmila A. Glik and Oleg L. Kritski
2014: A First-Order BSPDE for Swing Option Pricing: Classical Solutions Downloads
Christian Bender and Nikolai Dokuchaev
2014: Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift Downloads
Abdelali Gabih, Hakam Kondakji, Sass, J\"orn and Ralf Wunderlich
2014: The role of information in a two-traders market Downloads
F. Bagarello and E. Haven
2014: Time-dependent Heston model Downloads
G. S. Vasilev
2014: Estimation Error of Expected Shortfall Downloads
Imre Kondor
2014: Technology Parks Potential for Small and Medium Enterprises Downloads
Anna V. Vilisova and Qiang Fu
2014: Systemic Risk and Default Clustering for Large Financial Systems Downloads
Konstantinos Spiliopoulos
2014: Rebalancing with Linear and Quadratic Costs Downloads
Ren Liu, Johannes Muhle-Karbe and Marko Weber
2014: Trading with Small Price Impact Downloads
Ludovic Moreau, Johannes Muhle-Karbe and H. Mete Soner
2014: Densely Entangled Financial Systems Downloads
Bhaskar DasGupta and Lakshmi Kaligounder
2014: Accelerating Implicit Finite Difference Schemes Using a Hardware Optimised Implementation of the Thomas Algorithm for FPGAs Downloads
Samuel Palmer and David Thomas
2014: Large deviation asymptotics for the left tail of the sum of dependent positive random variables Downloads
Peter Tankov
2014: A debt behaviour model Downloads
Wenjun Zhang and John Holt
2014: On Simulation of Various Effects in Consolidated Order Book Downloads
A. O. Glekin, A. Lykov and K. L. Vaninsky
2014: Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach Downloads
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 Downloads
Paweł Fiedor
2014: On the shortfall risk control -- a refinement of the quantile hedging method Downloads
Barski, Micha{\l}
2014: Systemic Losses Due to Counter Party Risk in a Stylized Banking System Downloads
Annika Birch and Tomaso Aste
2014: News Cohesiveness: an Indicator of Systemic Risk in Financial Markets Downloads
Pi\v{s}korec, Matija, Nino Antulov-Fantulin, Petra Kralj Novak, Mozeti\v{c}, Igor, Gr\v{c}ar, Miha, Irena Vodenska and \v{S}muc, Tomislav
2014: Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time Downloads
Jianjun Gao, Ke Zhou, Duan Li and Xiren Cao
2014: Reference Vectors in Economic Choice Downloads
Teycir Abdelghani Goucha
2014: Model-independent Superhedging under Portfolio Constraints Downloads
Arash Fahim and Yu-Jui Huang
2014: Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression Downloads
Alice X. D. Dong, Jennifer S.K. Chan and Gareth W. Peters
2014: Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate Downloads
Anatoliy Swishchuk, Maksym Tertychnyi and Winsor Hoang
2014: Multi-scale Representation of High Frequency Market Liquidity Downloads
Anton Golub, Gregor Chliamovitch, Alexandre Dupuis and Bastien Chopard
2014: Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading Downloads
Sandrine Jacob Leal, Mauro Napoletano, Andrea Roventini and Giorgio Fagiolo
2014: Pricing Currency Derivatives with Markov-modulated Levy Dynamics Downloads
Anatoliy Swishchuk, Maksym Tertychnyi and Robert Elliott
2014: Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion Downloads
Erhan Bayraktar and Yuchong Zhang
2014: Using Twitter to Model the EUR/USD Exchange Rate Downloads
Dietmar Janetzko
2014: Option Pricing for Symmetric L\'evy Returns with Applications Downloads
Kais Hamza, Fima C. Klebaner, Zinoviy Landsman and Ying-Oon Tan
2014: Correlation and Network Topologies in Global and Local Stock Indices Downloads
Ashadun Nobi, Sungmin Lee, Doo Hwan Kim and Jae Woo Lee
2014: Are European equity markets efficient? New evidence from fractal analysis Downloads
Enrico Onali and John Goddard
2014: Partial correlation analysis: Applications for financial markets Downloads
Dror Y. Kenett, Xuqing Huang, Irena Vodenska, Shlomo Havlin and H. Eugene Stanley
2014: Market impact as anticipation of the order flow imbalance Downloads
Thibault Jaisson
2014: Crossing Stocks and the Positive Grassmannian I: The Geometry behind Stock Market Downloads
Ovidiu Racorean
2014: Option Pricing, Historical Volatility and Tail Risks Downloads
Samuel E. Vazquez
2014: Optimal allocation of wealth for two consuming agents sharing a portfolio Downloads
Oumar Mbodji, Adrien Nguyen Huu and Traian A. Pirvu
2014: Spatial and temporal structures of four financial markets in Greater China Downloads
F. Y. Ouyang, B. Zheng and X. F. Jiang
2014: The $500.00 AAPL close: Manipulation or hedging? A quantitative analysis Downloads
Yavni Bar-Yam, Marcus A. M. de Aguiar and Yaneer Bar-Yam
2014: Faster Comparison of Stopping Times by Nested Conditional Monte Carlo Downloads
Fabian Dickmann and Nikolaus Schweizer
2014: Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium Downloads
Sorin Solomon and Natasa Golo
2014: The Political Economy of FDI flows into Developing Countries: Does the depth of International Trade Agreements Matter? Downloads
Arslan Tariq Rana and Mazen KEBEWAR
2014: Elimination of systemic risk in financial networks by means of a systemic risk transaction tax Downloads
Sebastian Poledna and Stefan Thurner
2014: Arbitrage of the first kind and filtration enlargements in semimartingale financial models Downloads
Beatrice Acciaio, Claudio Fontana and Constantinos Kardaras
2014: On the Measurement of Economic Tail Risk Downloads
Steven Kou and Xianhua Peng
2014: Capital adequacy tests and limited liability of financial institutions Downloads
Pablo Koch-Medina, Santiago Moreno-Bromberg and Cosimo Munari
2014: Mean field approximation for biased diffusion on Japanese inter-firm trading network Downloads
Hayafumi Watanabe
2014: The False Premises and Promises of Bitcoin Downloads
Brian P. Hanley
2014: Nucleation, condensation and lambda-transition on a real-life stock market Downloads
M. Wilinski, B. Szewczak, T. Gubiec, R. Kutner and Z. R. Struzik
2014: Non-Arbitrage up to Random Horizon for Semimartingale Models Downloads
Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc
2014: Control of the socio-economic systems using herding interactions Downloads
Aleksejus Kononovicius and Vygintas Gontis
2014: On hedging American options under model uncertainty Downloads
Erhan Bayraktar, Yu-Jui Huang and Zhou Zhou
2014: Investment under uncertainty, competition and regulation Downloads
Adrien Nguyen Huu
2014: Detrended Cross-Correlation Analysis Consistently Extended to Multifractality Downloads
O\'swi\c{e}cimka, Pawe{\l}, Dro\.zd\.z, Stanis{\l}aw, Marcin Forczek, Jadach, Stanis{\l}aw and Kwapie\'n, Jaros{\l}aw
2014: Revisiting the Merit-Order Effect of Renewable Energy Sources Downloads
Marcus Hildmann, Andreas Ulbig and Andersson, G\"oran
2014: Arbitrage and Duality in Nondominated Discrete-Time Models Downloads
Bruno Bouchard and Marcel Nutz
2014: Optimal dividend problem for a generalized compound Poisson risk model Downloads
Chuancun Yin
2014: A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role Downloads
Yannis G. Yatracos
2014: Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach Downloads
Frey, R\"udiger, Abdelali Gabih and Ralf Wunderlich
2014: Ergodicity and scaling limit of a constrained multivariate Hawkes process Downloads
Ban Zheng, Roueff, Fran\c{c}ois and Abergel, Fr\'ed\'eric
2014: Superreplication under Model Uncertainty in Discrete Time Downloads
Marcel Nutz
2014: Strategy switches and co-action equilibria in a minority game Downloads
V. Sasidevan and Deepak Dhar
2014: Valuation of asset and volatility derivatives using decoupled time-changed L\'{e}vy processes Downloads
Lorenzo Torricelli
2014: Strong random correlations in networks of heterogeneous agents Downloads
Imre Kondor, Csabai, Istv\'an, Papp, G\'abor, Enys Mones, Czimbalmos, G\'abor and S\'andor, M\'at\'e Csaba
2014: Beyond cash-additive risk measures: when changing the num\'{e}raire fails Downloads
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
2014: Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes Downloads
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 Downloads
Maria Letizia Bertotti and Giovanni Modanese
2014: Hedging Expected Losses on Derivatives in Electricity Futures Markets Downloads
Adrien Nguyen Huu and Nadia Oudjane
2014: The Integrated Size and Price Optimization Problem Downloads
Kie{\ss}ling, Miriam, Sascha Kurz and Rambau, J\"org
2014: Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations Downloads
Yoshihiro Yura, Hideki Takayasu, Didier Sornette and Misako Takayasu
2014: A Stochastic Volatility Model for Crude Oil Futures Curves and the Pricing of Calendar Spread Options Downloads
Lorenz Schneider
2014: Testing for rational speculative bubbles in the Brazilian residential real-estate market Downloads
Marcelo M. de Oliveira and Alexandre C. L. Almeida
2014: Microeconomic Structure determines Macroeconomic Dynamics. Aoki defeats the Representative Agent Downloads
Sorin Solomon and Natasa Golo
2014: Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks Downloads
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 Downloads
Brian P. Hanley
2014: Self-affinity in financial asset returns Downloads
John Goddard and Enrico Onali
2014: Modeling Credit Spreads Using Nonlinear Regression Downloads
Radoslava Mirkov, Thomas Maul, Ronald Hochreiter and Holger Thomae
2014: Option Pricing of Twin Assets Downloads
Marcelo J. Villena and Axel A. Araneda
2014: Multidimensional Breeden-Litzenberger representation for state price densities and static hedging Downloads
Jarno Talponen and Lauri Viitasaari
2014: Estimate nothing Downloads
M. Duembgen and Leonard C G Rogers
2014: Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market Downloads
G. Papaioannou, P. Papaioannou and N. Parliaris
2014: On multicurve models for the term structure Downloads
Laura Morino and Wolfgang J. Ruggaldier
2014: Why free markets die: An evolutionary perspective Downloads
Eduardo Viegas, Stuart P. Cockburn, Henrik Jeldtoft Jensen and Geoffrey B. West
2014: On Convergence in the Spatial AK Growth Models Downloads
Gani Aldashev, Serik Aldashev and Timoteo Carletti
2014: Martingale Inequalities and Deterministic Counterparts Downloads
Beiglb\"ock, Mathias and Marcel Nutz
2014: Mathematical Foundations for the Economy of Giving Downloads
W. P. Weijland
2014: Wealth distribution and collective knowledge. A Boltzmann approach Downloads
Lorenzo Pareschi and Giuseppe Toscani
2014: Diversity of scales makes an advantage: The case of the Minority Game Downloads
Pi\v{s}t\v{e}k, Miroslav 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 Downloads
Damiano Brigo and Andrea Pallavicini
2014: A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options Downloads
Alfred Galichon, P. Henry-Labord\`ere, and N. Touzi
2014: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures Downloads
Worapree Maneesoonthorn, Catherine Scipione Forbes and Gael M. Martin
2014: A Creepy World Downloads
Didier Sornette and Peter Cauwels
2014: General indifference pricing with small transaction costs Downloads
Possama\"i, Dylan and Guillaume Royer
2014: Quasi-Hadamard differentiability of general risk functionals and its application Downloads
Kr\"atschmer, Volker, Alexander Schied and Z\"ahle, Henryk
2014: Law-invariant risk measures: extension properties and qualitative robustness Downloads
Pablo Koch-Medina and Cosimo Munari
2014: Hierarchicality of Trade Flow Networks Reveals Complexity of Products Downloads
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 Downloads
James J. Angel
2014: Efficient tree methods for pricing digital barrier options Downloads
Elisa Appolloni and Andrea Ligori
2014: Bayesian analysis of redistribution policy with a fixed scale Downloads
Guy Cirier
2014: Complex temporal structure of activity in on-line electronic auctions Downloads
Frantisek Slanina
2014: Mutual Information Rate-Based Networks in Financial Markets Downloads
Paweł Fiedor
2014: Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions Downloads
Weiyin Fei
2014: Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile Downloads
Nassim Nicholas Taleb
2014: Refined wing asymptotics for the Merton and Kou jump diffusion models Downloads
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 Downloads
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 Downloads
Li-Xin Wang
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models Downloads
Li-Xin Wang
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models Downloads
Li-Xin Wang
2014: Pricing of basket options I Downloads
Alexander Kushpel
2014: Informational Efficiency under Short Sale Constraints Downloads
Robert A Jarrow and Martin Larsson
2014: Optimal consumption and portfolio choice with ambiguity Downloads
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 Downloads
Luxi Chen
2014: An Empirical Method to Measure Stochasticity and Multifractality in Nonlinear Time Series Downloads
Chih-Hao Lin, Chia-Seng Chang and Sai-Ping Li
2014: Second order statistics characterization of Hawkes processes and non-parametric estimation Downloads
Emmanuel Bacry and Jean-Francois Muzy
2014: Emergence of statistically validated financial intraday lead-lag relationships Downloads
Chester Curme, Michele Tumminello, Rosario Nunzio Mantegna, H. Eugene Stanley and Dror Y. Kenett
2014: Accelerated Share Repurchase: pricing and execution strategy Downloads
Gu\'eant, Olivier, Jiang Pu and Guillaume Royer
2014: A statistical physics perspective on criticality in financial markets Downloads
Thomas Bury
2014: Prospect Agents and the Feedback Effect on Price Fluctuations Downloads
Yipeng Yang and Allanus Tsoi
2014: Local Variance Gamma and Explicit Calibration to Option Prices Downloads
Peter Carr and Sergey Nadtochiy
2014: Optimal investment for all time horizons and Martin boundary of space-time diffusions Downloads
Sergey Nadtochiy and Michael Tehranchi
2014: The Skin In The Game Heuristic for Protection Against Tail Events Downloads
Nassim N. Taleb and Constantine Sandis
2014: Cross-border Portfolio Investment Networks and Indicators for Financial Crises Downloads
Andreas Joseph, Stephan Joseph and Guanrong Chen
2014: Model-free CPPI Downloads
Alexander Schied
2014: Maximum Lebesgue Extension of Monotone Convex Functions Downloads
Keita Owari
2014: An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals Downloads
Ob{\l}\'oj, Jan and Peter Spoida
2014: Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades Downloads
Matthew Ames, Guillaume Bagnarosa and Gareth W. Peters
2014: Rationalizing Investors Choice Downloads
Carole Bernard, Jit Seng Chen and Steven Vanduffel
2014: Leverage-induced systemic risk under Basle II and other credit risk policies Downloads
Sebastian Poledna, Stefan Thurner, J. Doyne Farmer and John Geanakoplos
2014: A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection Downloads
Audrone Virbickaite, Aus\'in, M. Concepci\'on and Pedro Galeano
2014: Generalised central limit theorems for growth rate distribution of complex systems Downloads
Misako Takayasu, Hayafumi Watanabe and Hideki Takayasu
2014: Second-order BSDEs with general reflection and game options under uncertainty Downloads
Anis Matoussi, Lambert Piozin and Possama\"i, Dylan
2014: Market structure explained by pairwise interactions Downloads
Thomas Bury
2014: Hedge and Mutual Funds' Fees and the Separation of Private Investments Downloads
Paolo Guasoni and Gu Wang
2014: Statistical pairwise interaction model of stock market Downloads
Thomas Bury
2014: Transaction Costs, Shadow Prices, and Duality in Discrete Time Downloads
Christoph Czichowsky, Johannes Muhle-Karbe and Walter Schachermayer
2014: Comparative and qualitative robustness for law-invariant risk measures Downloads
Kr\"atschmer, Volker, Alexander Schied and Z\"ahle, Henryk
2014: Capital requirements with defaultable securities Downloads
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
2014: Killed Brownian motion with a prescribed lifetime distribution and models of default Downloads
Boris Ettinger, Steven N. Evans and Alexandru Hening
2014: A model for a large investor trading at market indifference prices. II: continuous-time case Downloads
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 Downloads
Sergio Pulido
2014: A Coupled Markov Chain Approach to Credit Risk Modeling Downloads
David Wozabal and Ronald Hochreiter
Page updated 2014-09-17
Sorted by date