Economics at your fingertips  


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.

2017: Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix Downloads
Tetsuya Takaishi
2017: Economic Neutral Position: How to best replicate not fully replicable liabilities Downloads
Andreas Kunz and Markus Popp
2017: Optimal client recommendation for market makers in illiquid financial products Downloads
Dieter Hendricks and Stephen J. Roberts
2017: Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model Downloads
Nian Yao and Zhiming Yang
2017: High-Frequency Jump Analysis of the Bitcoin Market Downloads
Olivier Scaillet, Adrien Treccani and Christopher Trevisan
2017: Stability of zero-growth economics analysed with a Minskyan model Downloads
Adam B. Barrett
2017: Learning Agents in Black-Scholes Financial Markets: Consensus Dynamics and Volatility Smiles Downloads
Tushar Vaidya, Carlos Murguia and Georgios Piliouras
2017: Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process Downloads
Andrei Cozma and Christoph Reisinger
2017: Value-at-Risk Diversification of $\alpha$-stable Risks: The Tail-Dependence Puzzle Downloads
Umberto Cherubini and Paolo Neri
2017: Asymptotic multivariate expectiles Downloads
V\'eronique Maume-Deschamps, Didier Rulli\`ere and Khalil Said
2017: The effect of heterogeneity on financial contagion due to overlapping portfolios Downloads
Opeoluwa Banwo, Fabio Caccioli, Paul Harrald and Francesca Medda
2017: Pairs Trading under Drift Uncertainty and Risk Penalization Downloads
S\"uhan Altay, Katia Colaneri and Zehra Eksi
2017: A level-1 Limit Order book with time dependent arrival rates Downloads
Jonathan A. Ch\'avez-Casillas, Robert J. Elliott, Bruno R\'emillard and Anatoliy V. Swishchuk
2017: On mean-variance hedging under partial observations and terminal wealth constraints Downloads
Vitalii Makogin, Alexander Melnikov and Yuliya Mishura
2017: Scaling evidence of the homothetic nature of cities Downloads
R\'emi Lemoy and Geoffrey Caruso
2017: Simple wealth distribution model causing inequality-induced crisis without external shocks Downloads
Henri Benisty
2017: Fast Quantization of Stochastic Volatility Models Downloads
Ralph Rudd, Thomas A. McWalter, Joerg Kienitz and Eckhard Platen
2017: Structural price model for electricity coupled markets Downloads
Clemence Alasseur and Olivier Feron
2017: Anomalous Scaling of Stochastic Processes and the Moses Effect Downloads
Lijian Chen, Kevin E. Bassler, Joseph L. McCauley and Gemunu H. Gunaratne
2017: A generalized Bayesian framework for the analysis of subscription based businesses Downloads
Rahul Madhavan and Ankit Baraskar
2017: Quantifying instabilities in Financial Markets Downloads
Bruna Amin Gon\c{c}alves, Laura Carpi, Osvaldo A. Rosso, Martin G. Ravetti and A. P. F Atman
2017: The case of 'Less is more': Modelling risk-preference with Expected Downside Risk Downloads
Mihály Ormos and Dusan Timotity
2017: High-order compact finite difference scheme for option pricing in stochastic volatility jump models Downloads
Bertram D\"uring and Alexander Pitkin
2017: Best reply structure and equilibrium convergence in generic games Downloads
Marco Pangallo, Torsten Heinrich and J Doyne Farmer
2017: Measurement of Economic Growth, Development and Under Development: New Model and Application Downloads
Mario Coccia
2017: Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging Downloads
Sebastian Herrmann and Johannes Muhle-Karbe
2017: Simplifying credit scoring rules using LVQ+PSO Downloads
Laura Cristina Lanzarini, Augusto Villa Monte, Aurelio Fernandez Bariviera and Patricia Jimbo Santana
2017: Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers Downloads
Aurelio Fernandez Bariviera, Luciano Zunino and Osvaldo A. Rosso
2017: An empirical behavioural order-driven model with price limit rules Downloads
Gao-Feng Gu, Xiong Xiong, Hai-Chuan Xu, Wei Zhang, Yong-Jie Zhang, Wei Chen and Wei-Xing Zhou
2017: Exploring the relationship between technological improvement and innovation diffusion: An empirical test Downloads
JongRoul Woo and Christopher L. Magee
2017: Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time Downloads
Michele Bonollo, Luca Di Persio, Luca Mammi and Immacolata Oliva
2017: On Feature Reduction using Deep Learning for Trend Prediction in Finance Downloads
Luigi Troiano, Elena Mejuto and Pravesh Kriplani
2017: Bartlett's delta in the SABR model Downloads
Patrick S. Hagan and Andrew Lesniewski
2017: A fractional reaction-diffusion description of supply and demand Downloads
Michael Benzaquen and Jean-Philippe Bouchaud
2017: Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility Downloads
Dirk Becherer and Klebert Kentia
2017: On absence of steady state in the Bouchaud-M\'ezard network model Downloads
Zhiyuan Liu and R. A. Serota
2017: A Joint Quantile and Expected Shortfall Regression Framework Downloads
Timo Dimitriadis and Sebastian Bayer
2017: A systemic shock model for too big to fail financial institutions Downloads
Sabrina Mulinacci
2017: On a pricing problem for a multi-asset option with general transaction costs Downloads
Pablo Amster and Andres P. Mogni
2017: The micro-foundations of an open economy money demand: An application to the Central and Eastern European countries Downloads
Claudiu Albulescu, Dominique P\'epin and Stephen Miller
2017: Parameter uncertainty for integrated risk capital calculations based on normally distributed subrisks Downloads
Andreas Fr\"ohlich and Annegret Weng
2017: Multivariate Geometric Expectiles Downloads
Klaus Herrmann, Marius Hofert and Melina Mailhot
2017: Replica Analysis for Portfolio Optimization with Single-Factor Model Downloads
Takashi Shinzato
2017: ICT and Employment in India: A Sectoral Level Analysis Downloads
Dr. Pawan Kumar
2017: The Wandering of Corn Downloads
Valerii Salov
2017: Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios Downloads
Nonthachote Chatsanga and Andrew J. Parkes
2017: Interconnectedness in the Global Financial Market Downloads
Matthias Raddant and Dror Y. Kenett
2017: Market Efficiency and Price Stabilization Policy in Interwar Osaka-Dojima Rice Exchange Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2017: Incorporating Signals into Optimal Trading Downloads
Charles-Albert Lehalle and Eyal Neuman
2017: Sharp Target Range Strategies with Application to Dynamic Portfolio Selection Downloads
Rongju Zhang, Nicolas Langren\'e, Yu Tian, Zili Zhu, Fima Klebaner and Kais Hamza
2017: How Wave - Wavelet Trading Wins and "Beats" the Market Downloads
Lanh Tran
2017: Non-Analytic Solution to the Fokker-Planck Equation of Fractional Brownian Motion via Laplace Transforms Downloads
Visant Ahuja
2017: Agent-Based Model Calibration using Machine Learning Surrogates Downloads
Francesco Lamperti, Andrea Roventini and Amir Sani
2017: Biased Risk Parity with Fractal Model of Risk Downloads
Sergey Kamenshchikov and Ilia Drozdov
2017: Topological Data Analysis of Financial Time Series: Landscapes of Crashes Downloads
Marian Gidea and Yuri Katz
2017: Performance of information criteria used for model selection of Hawkes process models of financial data Downloads
J. M. Chen, A. G. Hawkes, E. Scalas and M. Trinh
2017: Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets Downloads
Antoaneta Serguieva
2017: Parameter uncertainty and reserve risk under Solvency II Downloads
Andreas Fr\"ohlich and Annegret Weng
2017: Can Agent-Based Models Probe Market Microstructure? Downloads
Donovan Platt and Tim Gebbie
2017: Portfolio choice, portofolio liquidation, and portfolio transition under drift uncertainty Downloads
Olivier Gu\'eant and Jiang Pu
2017: Managing Default Contagion in Inhomogeneous Financial Networks Downloads
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou and Daniel Ritter
2017: Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options Downloads
Kevin Guo and Tim Leung
2017: Approximate pricing of European and Barrier claims in a local-stochastic volatility setting Downloads
Weston Barger and Matthew Lorig
2017: Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions Downloads
J. D. Opdyke
2017: Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations Downloads
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier and Gyula Pap
2017: Covariance of random stock prices in the Stochastic Dividend Discount Model Downloads
Arianna Agosto, Alessandra Mainini and Enrico Moretto
2017: Stochastic Tail Exponent For Asymmetric Power Laws Downloads
Nassim Nicholas Taleb
2017: Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets Downloads
David Criens
2017: The randomised Heston model Downloads
Antoine Jacquier and Fangwei Shi
2017: Bayesian Posteriors For Arbitrarily Rare Events Downloads
Drew Fudenberg, Kevin He and Lorens Imhof
2017: Hedging under generalized good-deal bounds and model uncertainty Downloads
Dirk Becherer and Klebert Kentia
2017: Existence and uniqueness results for BSDEs with jumps: the whole nine yards Downloads
Antonis Papapantoleon, Dylan Possama\"i and Alexandros Saplaouras
2017: An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior Downloads
Wing Fung Chong, Ying Hu, Gechun Liang and Thaleia Zariphopoulou
2017: Swaption Prices in HJM model. Nonparametric fit Downloads
V. M. Belyaev
2017: Skorohod's representation theorem and optimal strategies for markets with frictions Downloads
Huy N. Chau and Mikl\'os R\'asonyi
2017: Shall I Sell or Shall I Wait? Optimal Liquidation under Partial Information with Price Impact Downloads
Katia Colaneri, Zehra Eksi, R\"udiger Frey and Michaela Sz\"olgyenyi
2017: Incentivizing Resilience in Financial Networks Downloads
Matt V. Leduc and Stefan Thurner
2017: On American VIX options under the generalized 3/2 and 1/2 models Downloads
Yerkin Kitapbayev and Jerome Detemple
2017: Optimal market making Downloads
Olivier Gu\'eant
2017: Robust pricing--hedging duality for American options in discrete time financial markets Downloads
Anna Aksamit, Shuoqing Deng, Jan Ob\l\'oj and Xiaolu Tan
2017: Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty Downloads
Brian Bulthuis, Julio Concha, Tim Leung and Brian Ward
2017: Risk contagion under regular variation and asymptotic tail independence Downloads
Bikramjit Das and Vicky Fasen
2017: Optimal Liquidation under Stochastic Liquidity Downloads
Dirk Becherer, Todor Bilarev and Peter Frentrup
2017: Tukey's Transformational Ladder for Portfolio Management Downloads
Philip Ernst, James Thompson and Yinsen Miao
2017: General dynamic term structures under default risk Downloads
Claudio Fontana and Thorsten Schmidt
2017: Do co-jumps impact correlations in currency markets? Downloads
Jozef Baruník and Lukas Vacha
2017: On minimising a portfolio's shortfall probability Downloads
Anatolii A. Puhalskii and Michael Jay Stutzer
2017: Statistical mechanics of complex economies Downloads
Marco Bardoscia, Giacomo Livan and Matteo Marsili
2017: Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables Downloads
Jamie Fairbrother, Amanda Turner and Stein Wallace
2017: Analysis of Markovian Competitive Situations using Nonatomic Games Downloads
Jian Yang
2017: Game-theoretic Modeling of Players' Ambiguities on External Factors Downloads
Jian Yang
2017: Risk management under Omega measure Downloads
Michael R. Metel, Traian A. Pirvu and Julian Wong
2017: Pricing and Referrals in Diffusion on Networks Downloads
Matt V. Leduc, Matthew O. Jackson and Ramesh Johari
2017: An Insurance-Led Response to Climate Change Downloads
Anthony J. Webster and Richard H. Clarke
2017: Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective Downloads
Simone Farinelli and Luisa Tibiletti
2017: Nonparametric Stochastic Discount Factor Decomposition Downloads
Timothy Christensen
2017: Rebalancing with Linear and Quadratic Costs Downloads
Ren Liu, Johannes Muhle-Karbe and Marko H. Weber
2017: The Convexity of the Free Boundary for the American put option Downloads
Hsuan-Ku Liu
2017: On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation Downloads
Dilip Madan, Martijn Pistorius and Mitja Stadje
2017: Urban Data Streams and Machine Learning: A Case of Swiss Real Estate Market Downloads
Vahid Moosavi
2017: On coherency and other properties of MAXVAR Downloads
Jie Sun and Qiang Yao
2017: Random Multi-Unit Assignment with Endogenous Quotas Downloads
Josue Ortega
2017: Understanding the fundamental dynamics of interbank networks Downloads
Teruyoshi Kobayashi and Taro Takaguchi
2017: Quadratic approximation of slow factor of volatility in a Multi-factor Stochastic volatility Model Downloads
Gifty Malhotra, R. Srivastava and H. C. Taneja
2017: Probabilistic Mid- and Long-Term Electricity Price Forecasting Downloads
Florian Ziel and Rick Steinert
2017: Multiperiod Martingale Transport Downloads
Marcel Nutz, Florian Stebegg and Xiaowei Tan
2017: Harry Potter and the Goblin Bank of Gringotts Downloads
Zachary Feinstein
2017: Rational Choice and Artificial Intelligence Downloads
Tshilidzi Marwala
2017: FIEMS: Fast Italian Energy Market Simulator Downloads
Matteo Gardini and Marco Diana
2017: Smallest order closed sublattices and option spanning Downloads
Niushan Gao and Denny H. Leung
2017: Non-parametric and semi-parametric asset pricing Downloads
Peter Erdos, Mihály Ormos and David Zibriczky
2017: Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange Downloads
Tetsuya Takaishi and Toshiaki Watanabe
2017: A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet Downloads
Amirhossein Sobhani and Mariyan Milev
2017: Microstructure under the Microscope: Tools to Survive and Thrive in The Age of (Too Much) Information Downloads
Ravi Kashyap
2017: Ex-post core, fine core and rational expectations equilibrium allocations Downloads
Anuj Bhowmik and Jiling Cao
2017: Emergence of world-stock-market network Downloads
M. Saeedian, T. Jamali, M. Z. Kamali, H. Bayani, T. Yasseri and G. R. Jafari
2017: Game-Theoretic Protection Against Networked SIS Epidemics by Human Decision-Makers Downloads
Ashish R. Hota and Shreyas Sundaram
2017: Towards a probability-free theory of continuous martingales Downloads
Vladimir Vovk and Glenn Shafer
2017: A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping Downloads
Sigrid K\"allblad
2017: Cohort effects in mortality modelling: a Bayesian state-space approach Downloads
Man Chung Fung, Gareth W. Peters and Pavel V. Shevchenko
2017: Mean field and n-agent games for optimal investment under relative performance criteria Downloads
Daniel Lacker and Thaleia Zariphopoulou
2017: An Agent-based Model of Contagion in Financial Networks Downloads
Leonardo dos Santos Pinheiro and Flavio Codeco COelho
2017: Stochastic control on the half-line and applications to the optimal dividend/consumption problem Downloads
Dariusz Zawisza
2017: Optimal Portfolio under Fractional Stochastic Environment Downloads
Jean-Pierre Fouque and Ruimeng Hu
2017: New approaches in agent-based modeling of complex financial systems Downloads
T. T. Chen, B. Zheng, Y. Li and X. F. Jiang
2017: Direct observation of high-frequency traders' strategies and theoretical foundation for financial Brownian motion Downloads
Kiyoshi Kanazawa, Takumi Sueshige, Hideki Takayasu and Misako Takayasu
2017: A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors Downloads
Sujay Mukhoti and Pritam Ranjan
2017: How to Forecast an Election Downloads
Nassim Nicholas Taleb
2017: Pricing VIX Derivatives With Free Stochastic Volatility Model Downloads
Wei Lin, Shenghong Li and Shane Chern
2017: How well do experience curves predict technological progress? A method for making distributional forecasts Downloads
François Lafond, Aimee Gotway Bailey, Jan David Bakker, Dylan Rebois, Rubina Zadourian, Patrick McSharry and J. Doyne Farmer
2017: Acceptability Pricing of Contingent Claims Under Model Ambiguity Using Stochastic Optimization Downloads
Martin Glanzer and Georg Ch. Pflug
2017: Humans of Simulated New York (HOSNY): an exploratory comprehensive model of city life Downloads
Francis Tseng, Fei Liu and Bernardo Furtado
2017: Short-time near-the-money skew in rough fractional volatility models Downloads
Christian Bayer, Peter K. Friz, Archil Gulisashvili, Blanka Horvath and Benjamin Stemper
2017: Perfect hedging in rough Heston models Downloads
Omar El Euch and Mathieu Rosenbaum
2017: Data driven partition-of-unity copulas with applications to risk management Downloads
Dietmar Pfeifer, Andreas M\"andle and Olena Ragulina
2017: Systemic Risk, Maximum Entropy and Interbank Contagion Downloads
M. Andrecut
2017: Extremal Behavior of Long-Term Investors with Power Utility Downloads
Nicole B\"auerle and Stefanie Grether
2017: On representing and hedging claims for coherent risk measures Downloads
Saul Jacka, Seb Armstrong and Abdelkarem Berkaoui
2017: Diffusive and arrested-like dynamics in currency exchange markets Downloads
Joaquim Clara-Rahola, Antonio M. Puertas, Miguel Angel Sanchez-Granero, Juan E. Trinidad-Segovia and F. Javier de las Nieves
2017: Uncovering Offshore Financial Centers: Conduits and Sinks in the Global Corporate Ownership Network Downloads
Javier Garcia-Bernardo, Jan Fichtner, Eelke M. Heemskerk and Frank W. Takes
2017: Networks as Proxies: a relational approach towards economic complexity in the Roman period Downloads
Johannes Preiser-Kapeller
2017: Pythagorean theorem of Sharpe ratio Downloads
Takashi Shinzato
2017: Media Network and Return Predictability Downloads
Li Guo and Yubo Tao
2017: Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization under Probability and Discounting Uncertainty Downloads
Samuel Drapeau, Peng Luo and Dewen Xiong
2017: Mini-symposium on automatic differentiation and its applications in the financial industry Downloads
S\'ebastien Geeraert, Charles-Albert Lehalle, Barak Pearlmutter, Olivier Pironneau and Adil Reghai
2017: Wisdom of the institutional crowd Downloads
Kevin Primicerio, Damien Challet and Stanislao Gualdi
2017: Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion Downloads
Danping Li, Dongchen Li and Virginia R. Young
2017: Optimal investment problem with M-CEV model: closed form solution and applications to the pair trading Downloads
Dmitry Muravey
2017: Blockchains and Distributed Ledgers in Retrospective and Perspective Downloads
Alexander Lipton
2017: Collective Learning in China's Regional Economic Development Downloads
Jian Gao, Bogang Jun, Alex "Sandy" Pentland, Tao Zhou and Cesar Hidalgo
2017: Disentangling Price, Risk and Model Risk Downloads
Marco Frittelli and Marco Maggis
2017: Quantifying China's Regional Economic Complexity Downloads
Jian Gao and Tao Zhou
2017: Swarm behavior of traders with different subjective predictions in the Market Downloads
Hiroshi Toyoizumi
2017: Model Spaces for Risk Measures Downloads
Felix-Benedikt Liebrich and Gregor Svindland
2017: Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula Downloads
Stefano De Marco and Claude Martini
2017: Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies Downloads
Jorge Inigo
2017: A note on conditional covariance matrices for elliptical distributions Downloads
Piotr Jaworski and Marcin Pitera
2017: *K-means and Cluster Models for Cancer Signatures Downloads
Zura Kakushadze and Willie Yu
2017: A review of two decades of correlations, hierarchies, networks and clustering in financial markets Downloads
Gautier Marti, Frank Nielsen, Miko{\l}aj Bi\'nkowski and Philippe Donnat
2017: Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative Downloads
Andreas Hermes and Stanislaus Maier-Paape
2017: Are Trump and Bitcoin Good Partners? Downloads
Jamal Bouoiyour and Refk Selmi
2017: Recovering Linear Equations of XVA in Bilateral Contracts Downloads
Junbeom Lee and Chao Zhou
2017: Incremental computation of block triangular matrix exponentials with application to option pricing Downloads
Daniel Kressner, Robert Luce and Francesco Statti
2017: Reverse stress testing interbank networks Downloads
Daniel Grigat and Fabio Caccioli
2017: Multi-Dimensional Pass-Through, Incidence, and the Welfare Burden of Taxation in Oligopoly Downloads
Takanori Adachi and Michal Fabinger
2017: Trading Lightly: Cross-Impact and Optimal Portfolio Execution Downloads
Iacopo Mastromatteo, Michael Benzaquen, Zoltan Eisler and Jean-Philippe Bouchaud
2017: An applied spatial agent-based model of administrative boundaries using SEAL Downloads
Bernardo Furtado and Isaque Daniel Eberhardt Rocha
2017: Super Generalized Central Limit Theorem: Limit distributions for sums of non-identical random variables with power-laws Downloads
Masaru Shintani and Ken Umeno
2017: Decision structure of risky choice Downloads
Lamb Wubin and Naixin Ren
2017: Multinomial method for option pricing under Variance Gamma Downloads
Nicola Cantarutti and Jo\~ao Guerra
2017: The Price of Political Uncertainty: Evidence from the 2016 U.S. Presidential Election and the U.S. Stock Markets Downloads
Jamal Bouoiyour and Refk Selmi
2017: BSDEs with default jump Downloads
Roxana Dumitrescu, Marie-Claire Quenez and Agn\`es Sulem
2017: Stratified regression-based variance reduction approach for weak approximation schemes Downloads
Denis Belomestny, Stefan H\"afner and Mikhail Urusov
2017: "Chaos" in energy and commodity markets: a controversial matter Downloads
Loretta Mastroeni and Pierluigi Vellucci
2017: Systemic Risk and Interbank Lending Downloads
Li-Hsien Sun
2017: Predictable Forward Performance Processes: The Binomial Case Downloads
Bahman Angoshtari, Thaleia Zariphopoulou and Xun Yu Zhou
2017: Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix * Downloads
Amine Ismail and Huy\^en Pham
2017: Option pricing with Legendre polynomials Downloads
Julien Hok and Tat Lung Chan
2017: Mixture Diffusion for Asset Pricing Downloads
Xin Liu
2017: Serendipity and strategy in rapid innovation Downloads
T. M. A. Fink, M. Reeves, R. Palma and R. S. Farr
2017: On optimal investment with processes of long or negative memory Downloads
Huy N. Chau and Miklos Rasonyi
2017: Information uncertainty related to marked random times and optimal investment Downloads
Ying Jiao and Idris Kharroubi
2017: The Problem of Calibrating an Agent-Based Model of High-Frequency Trading Downloads
Donovan Platt and Tim Gebbie
2017: High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering Downloads
Erhan Bayraktar and Alexander Munk
2017: Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications * Downloads
Huy\^en Pham
2017: Evidence of Self-Organization in Time Series of Capital Markets Downloads
Leopoldo S\'anchez-Cant\'u, Carlos Arturo Soto-Campos and Andriy Kryvko
2017: Getting rich quick with the Axiom of Choice Downloads
Vladimir Vovk
2017: Market Integration in the Prewar Japanese Rice Markets Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2017: Parisian ruin for a refracted L\'evy process Downloads
Mohamed Amine Lkabous, Irmina Czarna and Jean-Fran\c{c}ois Renaud
2017: Solving Society's Big Ills, A Small Step Downloads
Ravi Kashyap
2017: Local Parametric Estimation in High Frequency Data Downloads
Yoann Potiron and Per Mykland
2017: Duality formulas for robust pricing and hedging in discrete time Downloads
Patrick Cheridito, Michael Kupper and Ludovic Tangpi
2017: Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability Downloads
Masaaki Fujii and Akihiko Takahashi
2017: The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms Downloads
Jean-David Fermanian, Olivier Gu\'eant and Jiang Pu
2017: Sticky processes, local and true martingales Downloads
Mikl\'os R\'asonyi and Hasanjan Sayit
2017: Correction to Black-Scholes formula due to fractional stochastic volatility Downloads
Josselin Garnier and Knut Solna
2017: Maximizing expected utility in the Arbitrage Pricing Model Downloads
Miklos Rasonyi
2017: Multivariate Shortfall Risk Allocation and Systemic Risk Downloads
Yannick Armenti, Stephane Crepey, Samuel Drapeau and Antonis Papapantoleon
2017: An Empirical Approach to Financial Crisis Indicators Based on Random Matrices Downloads
Antoine Kornprobst and Raphael Douady
2017: Enhanced Gravity Model of trade: reconciling macroeconomic and network models Downloads
Assaf Almog, Rhys Bird and Diego Garlaschelli
2017: Singular recursive utility Downloads
Kristina R. Dahl and Bernt {\O}ksendal
2017: Introduction to Stochastic Differential Equations (SDEs) for Finance Downloads
Andrew Papanicolaou
2017: A Markov model of a limit order book: thresholds, recurrence, and trading strategies Downloads
Frank Kelly and Elena Yudovina
2017: Pareto Efficient Nash Implementation Via Approval Voting Downloads
Yakov Babichenko and Leonard J. Schulman
2017: Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$ Downloads
Denis Belomestny and Tigran Nagapetyan
2017: On Trading American Put Options with Interactive Volatility Downloads
Sigurd Assing and Yufan Zhao
2017: On Zero-sum Optimal Stopping Games Downloads
Erhan Bayraktar and Zhou Zhou
2017: Functional Ito Calculus, Path-dependence and the Computation of Greeks Downloads
Samy Jazaerli and Yuri F. Saporito
2017: Implicit transaction costs and the fundamental theorems of asset pricing Downloads
Erindi Allaj
2017: The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations Downloads
Xiaoshan Chen, Yu-Jui Huang, Qingshuo Song and Chao Zhu
2017: Implied Filtering Densities on Volatility's Hidden State Downloads
Carlos Fuertes and Andrew Papanicolaou
2017: Network Structure and Naive Sequential Learning Downloads
Krishna Dasaratha and Kevin He
2017: Long-run dynamics of the U.S. patent classification system Downloads
François Lafond and Daniel Kim
2017: Optimal Investment and Pricing in the Presence of Defaults Downloads
Tetsuya Ishikawa and Scott Robertson
2017: Solvency II, or How to Swipe the Downside Risk Under the Carpet Downloads
Stefan Weber
2017: Robust and Consistent Estimation of Generators in Credit Risk Downloads
Greig Smith and Goncalo dos Reis
2017: Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stability Downloads
Yuri Biondi and Feng Zhou
2017: Economic inequality and mobility for stochastic models with multiplicative noise Downloads
Maria Letizia Bertotti, Amit K Chattopadhyay and Giovanni Modanese
2017: Probability density of lognormal fractional SABR model Downloads
Jiro Akahori, Xiaoming Song and Tai-Ho Wang
2017: The short-term price impact of trades is universal Downloads
Bence Toth, Zoltan Eisler and Jean-Philippe Bouchaud
2017: Obligations with Physical Delivery in a Multi-Layered Financial Network Downloads
Zachary Feinstein
2017: A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes Downloads
David Landriault, Bin Li and Hongzhong Zhang
2017: A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus Downloads
Takuji Arai and Yuto Imai
2017: A generalized public goods game with coupling of individual ability and project benefit Downloads
Li-Xin Zhong, Wen-Juan Xu, Yun-Xin He, Chen-Yang Zhong, Rong-Da Chen, Tian Qiu and Yong-Dong Shi
2017: Time series momentum and contrarian effects in the Chinese stock market Downloads
Huai-Long Shi and Wei-Xing Zhou
2017: Robust Hedging of Options on a Leveraged Exchange Traded Fund Downloads
Alexander M. G. Cox and Sam M. Kinsley
2017: Structural Change in (Economic) Time Series Downloads
Christian Kleiber
2017: Evidence for criticality in financial data Downloads
G. Ruiz L\'opez and A. Fern\'andez de Marcos
2017: Relation between regional uncertainty spillovers in the global banking system Downloads
Sachapon Tungsong, Fabio Caccioli and Tomaso Aste
2017: Network-based Anomaly Detection for Insider Trading Downloads
Adarsh Kulkarni, Priya Mani and Carlotta Domeniconi
2017: Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria Downloads
Tianran Geng and Thaleia Zariphopoulou
2017: The amazing power of dimensional analysis: Quantifying market impact Downloads
Mathias Pohl, Alexander Ristig, Walter Schachermayer and Ludovic Tangpi
2017: Estimation for the Prediction of Point Processes with Many Covariates Downloads
Alessio Sancetta
2017: Uncertain Volatility Models with Stochastic Bounds Downloads
Jean-Pierre Fouque and Ning Ning
2017: PyCaMa: Python for cash management Downloads
Francisco Salas-Molina, Juan A. Rodr\'iguez-Aguilar and Pablo D\'iaz-Garc\'ia
2017: A hybrid approach for risk assessment of loan guarantee network Downloads
Zhibin Niu, Dawei Cheng, Junchi Yan, Jiawan Zhang, Liqing Zhang and Hongyuan Zha
2017: Hawkes process model with a time-dependent background rate and its application to high-frequency financial data Downloads
Takahiro Omi, Yoshito Hirata and Kazuyuki Aihara
2017: Estimating VaR in credit risk: Aggregate vs single loss distribution Downloads
M. Assadsolimani and D. Chetalova
2017: Regularities and Irregularities in Order Flow Data Downloads
Martin Theissen, Sebastian M. Krause and Thomas Guhr
2017: Contagion in financial systems: A Bayesian network approach Downloads
Carsten Chong and Claudia Kl\"uppelberg
2017: Pricing Non-cash Collateralized Derivatives and Collateral Optimization with Liquidity Value Adjustment Downloads
Wujiang Lou
2017: Labor Contract Law -An Economic View Downloads
Yaofeng Fu, Ruokun Huang and Yiran Sheng
2017: Short Maturity Asian Options for the CEV Model Downloads
Dan Pirjol and Lingjiong Zhu
2017: A Theory of Market Efficiency Downloads
Anup Rao
2017: Invariance properties in the dynamic gaussian copula model * Downloads
St\'ephane Cr\'epey and Shiqi Song
2017: Estimation of Risk Contributions with MCMC Downloads
Takaaki Koike and Mihoko Minami
2017: Rough volatility: evidence from option prices Downloads
Giulia Livieri, Saad Mouti, Andrea Pallavicini and Mathieu Rosenbaum
2017: Econophysics of Macroeconomics: "Action-at-a-Distance" and Waves Downloads
Victor Olkhov
2017: One-Switch Discount Functions Downloads
Nina Anchugina
2017: Conditional Davis Pricing Downloads
Kasper Larsen, Halil Mete Soner and Gordan \v{Z}itkovi\'c
2017: The Installation Costs of a Satellite and Space Shuttle Launch Complex as a Public Expenditure Project Downloads
Dogus Ozuyar, Sevilay Gumus Ozuyar, Oguzhan Karadeniz and Ozge Varol
2017: Existence, uniqueness, and stability of optimal portfolios of eligible assets Downloads
Michel Baes, Pablo Koch-Medina and Cosimo Munari
2017: Type-Compatible Equilibria in Signalling Games Downloads
Drew Fudenberg and Kevin He
2017: Business Dynamics in KPI Space. Some thoughts on how business analytics can benefit from using principles of classical physics Downloads
Alex Ushveridze
2017: Existence of a Radner equilibrium in a model with transaction costs Downloads
Kim Weston
2017: Demonetization and Its Impact on Employment in India Downloads
Pawan Kumar
2017: Perfect hedging under endogenous permanent market impacts Downloads
Masaaki Fukasawa and Mitja Stadje
2017: Hyperbolic Discounting of the Far-Distant Future Downloads
Nina Anchugina, Matthew Ryan and Arkadii Slinko
2017: Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical Test of Market Efficiency Downloads
Md. Mahmudul Alam, Kazi Ashraful Alam and Md. Gazi Salah Uddin
2017: Monetary value measures in a category of probability spaces Downloads
Takanori Adachi and Yoshihiro Ryu
2017: Estimation of a noisy subordinated Brownian Motion via two-scales power variations Downloads
Jose E. Figueroa-Lopez and K. Lee
2017: Invariance times Downloads
St\'ephane Cr\'epey and Shiqi Song
2017: Emergence of Distributed Coordination in the Kolkata Paise Restaurant Problem with Finite Information Downloads
Diptesh Ghosh and Anindya S. Chakrabarti
2017: Approaches to Asian Option Pricing with Discrete Dividends Downloads
Jacob Lundgren and Yuri Shpolyanskiy
2017: On utility maximization without passing by the dual problem Downloads
Miklos Rasonyi
2017: Record statistics of a strongly correlated time series: random walks and L\'evy flights Downloads
Claude Godreche, Satya N. Majumdar and Gregory Schehr
2017: A confidence-based model for asset and derivative prices in the BitCoin market Downloads
Alessandra Cretarola and Gianna Fig\`a Talamanca
2017: The valuation of European option with transaction costs by mixed fractional Merton model Downloads
Foad Shokrollahi
2017: Zipf's law for share price and company fundamentals Downloads
Taisei Kaizoji and Michiko Miyano
2017: A taxonomy of learning dynamics in 2 x 2 games Downloads
Marco Pangallo, James Sanders, Tobias Galla and Doyne Farmer
2017: Predicting Auction Price of Vehicle License Plate with Deep Recurrent Neural Network Downloads
Vinci Chow
2017: Calibration of a Four-Factor Hybrid Local-Stochastic Volatility Model with a New Control Variate Particle Method Downloads
Matthieu Mariapragassam, Andrei Cozma and Christoph Reisinger
2017: On the tail behavior of a class of multivariate conditionally heteroskedastic processes Downloads
Rasmus Pedersen and Olivier Wintenberger
2017: Serially Nested CES Production Frontiers Downloads
Satoshi Nakano and Kazuhiko Nishimura
2017: Optimal liquidation in a Level-I limit order book for large tick stocks Downloads
Antoine Jacquier and Hao Liu
2017: Optimal shrinkage-based portfolio selection in high dimensions Downloads
Taras Bodnar, Yarema Okhrin and Nestor Parolya
2017: Volatility Smile as Relativistic Effect Downloads
Zura Kakushadze
2017: Multivariate GARCH with dynamic beta Downloads
Matthias Raddant and Friedrich Wagner
2017: Trader lead-lag networks and order flow prediction Downloads
Damien Challet, R\'emy Chicheportiche, Mehdi Lallouache and Serge Kassibrakis
2017: Fractal approach towards power-law coherency to measure cross-correlations between time series Downloads
Ladislav Krištoufek
2017: Elicitability and backtesting: Perspectives for banking regulation Downloads
Natalia Nolde and Johanna F. Ziegel
2017: Statistical inference for the doubly stochastic self-exciting process Downloads
Simon Clinet and Yoann Potiron
2017: Smoothing the payoff for efficient computation of Basket option prices Downloads
Christian Bayer, Markus Siebenmorgen and Raul Tempone
2017: Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA Downloads
Antonis Papapantoleon and Robert Wardenga
2017: On the properties of the Lambda value at risk: robustness, elicitability and consistency Downloads
Matteo Burzoni, Ilaria Peri and Chiara Maria Ruffo
2017: Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes Downloads
Milan Kumar Das, Anindya Goswami and Nimit Rana
2017: Affine multiple yield curve models Downloads
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
2017: Backtesting Lambda Value at Risk Downloads
Jacopo Corbetta and Ilaria Peri
2017: Pathways towards instability in financial networks Downloads
Marco Bardoscia, Stefano Battiston, Fabio Caccioli and Guido Caldarelli
2017: On the existence of shadow prices for optimal investment with random endowment Downloads
Lingqi Gu, Yiqing Lin and Junjian Yang
2017: Limit-order book resiliency after effective market orders: Spread, depth and intensity Downloads
Hai-Chuan Xu, Wei Chen, Xiong Xiong, Wei Zhang, Wei-Xing Zhou and H Eugene Stanley
2017: Equilibrium pricing under relative performance concerns Downloads
Jana Bielagk, Arnaud Lionnet and Goncalo Dos Reis
2017: Why Indexing Works Downloads
J. B. Heaton, N. G. Polson and J. H. Witte
2017: Detecting intraday financial market states using temporal clustering Downloads
Dieter Hendricks, Tim Gebbie and Diane Wilcox
2017: Central Clearing Valuation Adjustment Downloads
Yannick Armenti and St\'ephane Cr\'epey
2017: Incomplete stochastic equilibria for dynamic monetary utility Downloads
Constantinos Kardaras, Hao Xing and Gordan \v{Z}itkovi\'c
2017: Sharper asset ranking from total drawdown durations Downloads
Damien Challet
2017: Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective Downloads
Aki-Hiro Sato, Paolo Tasca and Takashi Isogai
2017: Sensitivity analysis for expected utility maximization in incomplete Brownian market models Downloads
Julio Backhoff Veraguas and Francisco Silva
2017: Measuring Systemic Risk: Robust Ranking Techniques Approach Downloads
Amirhossein Sadoghi
2017: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models Downloads
Archil Gulisashvili, Frederi Viens and Xin Zhang
2017: Optimal Digital Product Maintenance with a Continuous Revenue Stream Downloads
James Fan and Christopher Griffin
2017: Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2017: Modeling non-stationarities in high-frequency financial time series Downloads
Linda Ponta, Mailan Trinh, Marco Raberto, Enrico Scalas and Silvano Cincotti
2017: Fractional delta hedging strategy for pricing currency options with transaction costs Downloads
Foad Shokrollahi
2017: An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model Downloads
Takashi Kato
2017: On a class of path-dependent singular stochastic control problems Downloads
Romuald Elie, Ludovic Moreau and Dylan Possama\"i
2017: Understanding food inflation in India: A Machine Learning approach Downloads
Akash Malhotra and Mayank Maloo
2017: Asset liquidation under drift uncertainty and regime-switching volatility Downloads
Juozas Vaicenavicius
2017: Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach Downloads
Rafael Company, Vera Egorova, Lucas J\'odar and Fazlollah Soleymani
2017: Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models Downloads
Tomasz R. Bielecki, Igor Cialenco and Marek Rutkowski
2017: Computing the aggregate loss distribution based on numerical inversion of the compound empirical characteristic function of frequency and severity Downloads
Viktor Witkovsky, Gejza Wimmer and Tomas Duby
2017: A stability result on optimal Skorokhod embedding Downloads
Gaoyue Guo
2017: Supply based on demand dynamical model Downloads
Asaf Levi, Juan Sabuco and Miguel A. F. Sanjuan
2017: Premium valuation for a multiple state model containing manifold premium-paid states Downloads
Joanna D\k{e}bicka and Beata Zmy\'slona
2017: Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes Downloads
Swarnankur Chatterjee
2017: Time Series Copulas for Heteroskedastic Data Downloads
Rub\'en Loaiza-Maya, Michael S. Smith and Worapree Maneesoonthorn
2017: Monotone Martingale Transport Plans and Skorohod Embedding Downloads
Mathias Beiglboeck, Pierre Henry-Labordere and Nizar Touzi
2017: Econophysics Macroeconomic Model Downloads
Victor Olkhov
2017: Economic Growth Model with Constant Pace and Dynamic Memory Downloads
Valentina V. Tarasova and Vasily E. Tarasov
2017: A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation Downloads
Andrzej Ruszczynski and Jianing Yao
2017: Topology data analysis of critical transitions in financial networks Downloads
Marian Gidea
2017: Asymptotic efficiency of the proportional compensation scheme for a large number of producers Downloads
Dmitry B. Rokhlin and Anatoly Usov
2017: Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces Downloads
Niushan Gao, Denny H. Leung, Cosimo Munari and Foivos Xanthos
2017: Bank monitoring incentives under moral hazard and adverse selection Downloads
Nicol\'as Hern\'andez Santib\'a\~nez, Dylan Possama\"i and Chao Zhou
2017: The Value of Timing Risk Downloads
Jiro Akahori, Flavia Barsotti and Yuri Imamura
2017: The Internet as Quantitative Social Science Platform: Insights from a Trillion Observations Downloads
Klaus Ackermann, Simon D Angus and Paul Raschky
2017: An Optimal Combination of Proportional and Stop-Loss Reinsurance Contracts From Insurer's and Reinsurer's Viewpoints Downloads
Amir T. Payandeh-Najafabadi and Ali Panahi-Bazaz
2017: An Optimal Multi-layer Reinsurance Policy under Conditional Tail Expectation Downloads
Amir T. Payandeh Najafabadi and Ali Panahi Bazaz
2017: Dynamic Prize Linked Savings: Maximizing Savings and Managing Risk Downloads
Oisin Connolly
2017: Some correspondences between Index Number Theory in economy and the General Theory of Relativity in physics Downloads
Ali Hosseiny
2017: Mean-Reverting Portfolio Design with Budget Constraint Downloads
Ziping Zhao and Daniel P. Palomar
2017: Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version Downloads
Ruediger Frey, Lars Roesler and Dan Lu
2017: An application of time reversal to credit risk management Downloads
Masahiko Egami and Rusudan Kevkhishvili
2017: A geometric approach to the transfer problem for a finite number of traders Downloads
Tomohiro Uchiyama
2017: Interpolating between matching and hedonic pricing models Downloads
Brendan Pass
2017: On VIX Futures in the rough Bergomi model Downloads
Antoine Jacquier, Claude Martini and Aitor Muguruza
2017: Worst-Case Expected Shortfall with Univariate and Bivariate Marginals Downloads
Anulekha Dhara, Bikramjit Das and Karthik Natarajan
2017: A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities Downloads
Seyed Amir Hejazi, Kenneth R. Jackson and Guojun Gan
2017: Optimal Trading with a Trailing Stop Downloads
Tim Leung and Hongzhong Zhang
2017: A Black--Scholes inequality: applications and generalisation Downloads
Michael R. Tehranchi
2017: The structural constraints of income inequality in Latin America Downloads
Dominik Hartmann, Cristian Jara-Figueroa, Miguel Guevara, Alex Simoes and C\'esar A. Hidalgo
2017: Parallelizing Computation of Expected Values in Recombinant Binomial Trees Downloads
Sai K. Popuri, Andrew M. Raim, Nagaraj K. Neerchal and Matthias K. Gobbert
2017: Trading strategies for stock pairs regarding to the cross-impact cost Downloads
Shanshan Wang
2017: Robust Portfolio Optimisation with Specified Competitors Downloads
Gon\c{c}alo Sim\~oes, Mark McDonald, Stacy Williams, Daniel Fenn and Raphael Hauser
2017: Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps Downloads
Andrey Itkin
2017: Phase-type Approximation of the Gerber-Shiu Function Downloads
Kazutoshi Yamazaki
2017: Recursive Marginal Quantization of Higher-Order Schemes Downloads
Thomas McWalter, R. Rudd, J. Kienitz and Eckhard Platen
2017: Property Safety Stock Policy for Correlated Commodities Based on Probability Inequality Downloads
Takashi Shinzato
2017: Political elections and uncertainty -Are BRICS markets equally exposed to Trump's agenda? Downloads
Jamal Bouoiyour and Refk Selmi
2017: Stability for gains from large investors' strategies in M1/J1 topologies Downloads
Dirk Becherer, Todor Bilarev and Peter Frentrup
2017: Asset correlation estimation for inhomogeneous exposure pools Downloads
Christoph Wunderer
2017: Functional Analytic (Ir-)Regularity Properties of SABR-type Processes Downloads
Leif D\"oring, Blanka Horvath and Josef Teichmann
2017: Pricing insurance drawdown-type contracts with underlying L\'evy assets Downloads
Zbigniew Palmowski and Joanna Tumilewicz
2017: The Shapley Value of Digraph Games Downloads
Krishna Khatri
2017: Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives Downloads
Wenting Chen, Kai Du and Xinzi Qiu
2017: Chebyshev Reduced Basis Function applied to Option Valuation Downloads
Javier de Frutos and Victor Gaton
2017: Predicting Economic Recessions Using Machine Learning Algorithms Downloads
Rickard Nyman and Paul Ormerod
2017: Rational Decision-Making Under Uncertainty: Observed Betting Patterns on a Biased Coin Downloads
Victor Haghani and Richard Dewey
2017: Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets Downloads
V. Gontis and A. Kononovicius
2017: Efficient asymptotic variance reduction when estimating volatility in high frequency data Downloads
Simon Clinet and Yoann Potiron
2017: Brownian trading excursions and avalanches Downloads
Friedrich Hubalek, Paul Kr\"uhner and Thorsten Rheinl\"ander
2017: Pricing European Options by Stable Fourier-Cosine Series Expansions Downloads
Chunfa Wang
2017: Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach Downloads
Tim Leung and Yerkin Kitapbayev
2017: Net Stable Funding Ratio: Impact on Funding Value Adjustment Downloads
Medya Siadat and Ola Hammarlid
2017: Measuring the temperature and diversity of the U.S. regulatory ecosystem Downloads
Michael J Bommarito and Daniel Martin Katz
2017: Fractional Dynamics of Natural Growth and Memory Effect in Economics Downloads
Valentina V. Tarasova and Vasily E. Tarasov
2017: Analytic solution to variance optimization with no short-selling Downloads
Imre Kondor, G\'abor Papp and Fabio Caccioli
2017: Information, Impact, Ignorance, Illegality, Investing, and Inequality Downloads
Bruce Knuteson
2017: Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping Downloads
Kiran Sharma, Balagopal Gopalakrishnan, Anindya S. Chakrabarti and Anirban Chakraborti
2017: Price Dynamics Via Expectations, and the Role of Money Therein Downloads
Gesine A. Steudle, Saini Yang and Carlo C. Jaeger
2017: The Fatou Closedness under Model Uncertainty Downloads
Marco Maggis, Thilo Meyer-Brandis and Gregor Svindland
2017: The dividend problem with a finite horizon Downloads
Tiziano De Angelis and Erik Ekstr\"om
2017: Role of Intensive and Extensive Variables in a Soup of Firms in Economy to Address Long Run Prices and Aggregate Data Downloads
Ali Hosseiny and Mauro Gallegati
2017: A functional convergence theorem for interpolated Markov chains to an infinite dimensional diffusion with application to limit order books Downloads
Ulrich Horst and D\"orte Kreher
2017: Intergenerational Equity in a Finite Horizon Downloads
Satoshi Nakano and Kazuhiko Nishimura
2017: Multifactor CES General Equilibrium: Models and Applications Downloads
Jiyoung Kim, Satoshi Nakano and Kazuhiko Nishimura
2017: Statistical Industry Classification Downloads
Zura Kakushadze and Willie Yu
2017: MPDATA Meets Black-Scholes: Derivative Pricing as a Transport Problem Downloads
Sylwester Arabas and Ahmad Farhat
2017: Existence of a calibrated regime switching local volatility model and new fake Brownian motions Downloads
Benjamin Jourdain and Alexandre Zhou
2017: Mean field games of timing and models for bank runs Downloads
Rene Carmona, Francois Delarue and Daniel Lacker
2017: A constraint-based framework to study rationality, competition and cooperation in fisheries Downloads
Christian Mullon and Charles Mullon
2017: Exponentially concave functions and a new information geometry Downloads
Soumik Pal and Ting-Kam Leonard Wong
2017: Factor Models for Cancer Signatures Downloads
Zura Kakushadze and Willie Yu
2017: Concurrent Credit Portfolio Losses Downloads
Joachim Sicking, Thomas Guhr and Rudi Sch\"afer
2017: A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective Downloads
Tomasz R. Bielecki, Igor Cialenco and Marcin Pitera
2017: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets Downloads
Tomas Krehlik and Jozef Baruník
2017: David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs Downloads
Ravi Kashyap
2017: Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance Downloads
Thibaut Lux and Antonis Papapantoleon
2017: Statistical Risk Models Downloads
Zura Kakushadze and Willie Yu
2017: Optimal investment and consumption with liquid and illiquid assets Downloads
Jin Hyuk Choi
2017: Comonotonic risk measures in a world without risk-free assets Downloads
Pablo Koch-Medina, Cosimo Munari and Gregor Svindland
2017: Option Pricing in Markets with Unknown Stochastic Dynamics Downloads
Hanno Gottschalk, Elpida Nizami and Marius Schubert
2017: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate Downloads
Pavel V. Shevchenko and Xiaolin Luo
2017: Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading Downloads
Imke Redeker and Ralf Wunderlich
2017: Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model Downloads
Aur\'elien Hazan
2017: Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data Downloads
Richard Y. Chen and Per A. Mykland
2017: Optimal Control of Conditional Value-at-Risk in Continuous Time Downloads
Christopher W. Miller and Insoon Yang
2017: Dynamic programming approach to principal-agent problems Downloads
Jak\v{s}a Cvitani\'c, Dylan Possama\"i and Nizar Touzi
2017: High-frequency limit of Nash equilibria in a market impact game with transient price impact Downloads
Alexander Schied, Elias Strehle and Tao Zhang
2017: Correlated Poisson processes and self-decomposable laws Downloads
Nicola Cufaro Petroni and Piergiacomo Sabino
2017: Linking Economic Complexity, Institutions and Income Inequality Downloads
Dominik Hartmann, M. R. Guevara, C. Jara-Figueroa, M. Aristaran and Cesar Hidalgo
2017: An equilibrium model for spot and forward prices of commodities Downloads
Michail Anthropelos, Michael Kupper and Antonis Papapantoleon
2017: VWAP Execution as an Optimal Strategy Downloads
Takashi Kato
2017: On the optimal exercise boundaries of swing put options Downloads
Tiziano De Angelis and Yerkin Kitapbayev
2017: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs Downloads
Tiziano De Angelis, Salvatore Federico and Giorgio Ferrari
2017: A heuristic pricing and hedging framework for multi-currency fixed income desks Downloads
Eduard Gim\'enez, Alberto Elices and Giovanna Villani
2017: Sensitivity analysis in a market with memory Downloads
David R. Banos, Giulia Di Nunno and Frank Proske
2017: On the Market Viability under Proportional Transaction Costs Downloads
Erhan Bayraktar and Xiang Yu
2017: Stationary Markov Perfect Equilibria in Discounted Stochastic Games Downloads
Wei He and Yeneng Sun
2017: Stock price direction prediction by directly using prices data: an empirical study on the KOSPI and HSI Downloads
Yanshan Wang
2017: Smooth solutions to portfolio liquidation problems under price-sensitive market impact Downloads
Paulwin Graewe, Ulrich Horst and Eric S\'er\'e
2017: Deriving Derivatives Downloads
Andrei N. Soklakov
2017: General Smooth Solutions to the HJB PDE: Applications to Finance Downloads
Moawia Alghalith
2017: Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces Downloads
Zbigniew Palmowski and Sebastian Baran
2017: Theoretical Sensitivity Analysis for Quantitative Operational Risk Management Downloads
Takashi Kato
Page updated 2017-04-30
Sorted by date