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2015: Integration with respect to model-free price paths with jumps Downloads
Rafa{\l} M. {\L}ochowski
2015: The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market Downloads
Paolo Barucca and Fabrizio Lillo
2015: An Application of Correlation Clustering to Portfolio Diversification Downloads
Hannah Cheng Juan Zhan, William Rea and Alethea Rea
2015: Box-Cox transformation of firm size data in statistical analysis Downloads
Ting Ting Chen and Tetsuya Takaishi
2015: Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms Downloads
Jean-David Fermanian, Olivier Gu\'eant and Arnaud Rachez
2015: Sustainability in the Stochastic Ramsey Model Downloads
Rabi Bhattacharya, Hyeonju Kim and Mukul Majumdar
2015: Optimal Trading with Linear and (small) Non-Linear Costs Downloads
A. Rej, R. Benichou, J. de Lataillade, G. Z\'erah and J. -Ph. Bouchaud
2015: Robust hedging of options on local time Downloads
Julien Claisse, Gaoyue Guo and Pierre Henry-Labordere
2015: Some Dynamic Market Models Downloads
Jan A. Audestad
2015: Risk-return relationship: An empirical study of different statistical methods for estimating the Capital Asset Pricing Models (CAPM) and the Fama-French model for large cap stocks Downloads
Linh Nghiem
2015: Early Warning Signs of the Economic Crisis in Greece: A Warning for Other Countries and Regions Downloads
Ron W Nielsen
2015: Loss-Deviation risk measures Downloads
Marcelo Brutti Righi
2015: Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach Downloads
Federico Musciotto, Luca Marotta, Salvatore Miccich\`e, Jyrki Piilo and Rosario N. Mantegna
2015: Backbone of credit relationships in the Japanese credit market Downloads
Luca Marotta, Salvatore Miccich\`e, Yoshi Fujiwara, Hiroshi Iyetomi, Hideaki Aoyama, Mauro Gallegati and Rosario N. Mantegna
2015: A Generalized Probability Framework to Model Economic Agents' Decisions Under Uncertainty Downloads
Emmanuel Haven and Sandro Sozzo
2015: A simple framework for the axiomatization of exponential and quasi-hyperbolic discounting Downloads
Nina Anchugina
2015: Intragroup transfers, intragroup diversification and their risk assessment Downloads
Andreas Haier, Ilya Molchanov and Michael Schmutz
2015: Optimal measure transformation problems Downloads
Cody Blaine Hyndman and Renjie Wang
2015: Least squares estimation for the subcritical Heston model based on continuous time observations Downloads
Matyas Barczy, Balazs Nyul and Gyula Pap
2015: Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations Downloads
Karol Duris, Shih-Hau Tan, Choi-Hong Lai and Daniel Sevcovic
2015: The F\"ollmer-Schweizer decomposition under incomplete information Downloads
Claudia Ceci, Katia Colaneri and Alessandra Cretarola
2015: Prediction in complex systems: the case of the international trade network Downloads
Alexandre Vidmer, An Zeng, Mat\'u\v{s} Medo and Yi-Cheng Zhang
2015: An invitation to coupling and copulas: with applications to multisensory modeling Downloads
Hans Colonius
2015: Pricing Two-asset Options under Exponential L\'evy Model Using a Finite Element Method Downloads
Xun Li, Ping Lin, Xue-Cheng Tai and Jinghui Zhou
2015: Scenario generation for portfolio selection problems with tail risk measure Downloads
Jamie Fairbrother, Amanda Turner and Stein Wallace
2015: Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models Downloads
Gechun Liang and Thaleia Zariphopoulou
2015: Optimal Investment with Transaction Costs under Cumulative Prospect Theory in Discrete Time Downloads
Bin Zou and Rudi Zagst
2015: Shrinkage = Factor Model Downloads
Zura Kakushadze
2015: Financial Models with Defaultable Num\'eraires Downloads
Travis Fisher, Sergio Pulido and Johannes Ruf
2015: Equilibrium pricing under relative performance concerns Downloads
Jana Bielagk, Arnaud Lionnet and Goncalo Dos Reis
2015: Strategic liquidity provision in a limit order book Downloads
Julius Bonart and Martin Gould
2015: A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions Downloads
Xin Liu, Qi Gong and Vidyadhar G. Kulkarni
2015: Flexible premium computation principles to manage prior information Downloads
V\'ictor Blanco and Jos\'e M. P\'erez--S\'anchez
2015: Preemptive Investment under Uncertainty Downloads
Jan-Henrik Steg
2015: Deleveraging, short sale constraints and market crash Downloads
Liang Wu, Lei Zhang and Zhiming Fu
2015: Sensitivity Analysis of Long-Term Cash Flows Downloads
Hyungbin Park
2015: Instability and Information Downloads
Felix Patzelt
2015: Foundations for Wash Sales Downloads
Phillip G. Bradford and Cheng-Few Lee
2015: On the C-property and $w^*$-representations of risk measures Downloads
Niushan Gao and Foivos Xanthos
2015: Capital allocation and risk appetite under Solvency II framework Downloads
Ivan Granito and Paolo De Angelis
2015: Nash equilibria for non zero-sum ergodic stochastic differential games Downloads
Samuel N. Cohen and Victor Fedyashov
2015: Wage gap between men and women in Tunisia Downloads
Hela Jeddi and Dhafer Malouche
2015: Modeling Market Inefficiencies within a Single Instrument Downloads
Kuang-Ting Chen
2015: Sequential Detection of Market shocks using Risk-averse Agent Based Models Downloads
Vikram Krishnamurthy and Sujay Bhatt
2015: Positive skewness, anti-leverage, reverse volatility asymmetry, and short sale constraints: Evidence from the Chinese markets Downloads
Liang Wu, Jingyi Luo, Yingkai Tang and Gregory Bardes
2015: On real growth and run-off companies in insurance ruin theory Downloads
Harri Nyrhinen
2015: Getting started with particle Metropolis-Hastings for inference in nonlinear dynamical models Downloads
Johan Dahlin and Thomas B. Sch\"on
2015: Pricing Parisian down-and-in options Downloads
Song-Ping Zhu, Nhat-Tan Le, Wen-Ting Chen and Xiaoping Lu
2015: A Dynamic Model of Functioning of a Bank Downloads
Oleg Malafeyev and Achal Awasthi
2015: LSV models with stochastic interest rates and correlated jumps Downloads
Andrey Itkin
2015: On Origins of Alpha Downloads
Zura Kakushadze
2015: Trajectory based models. Evaluation of minmax pricing bounds Downloads
Ivan Degano, Sebastian Ferrando and Alfredo Gonzalez
2015: Magic points in finance: Empirical integration for parametric option pricing Downloads
Maximilian Ga{\ss}, Kathrin Glau and Maximilian Mair
2015: A backward Monte Carlo approach to exotic option pricing Downloads
Giacomo Bormetti, Giorgia Callegaro, Giulia Livieri and Andrea Pallavicini
2015: Learning Unfair Trading: a Market Manipulation Analysis From the Reinforcement Learning Perspective Downloads
Enrique Mart\'inez-Miranda, Peter McBurney and Matthew J. Howard
2015: With string model to time series forecasting Downloads
Richard Pin\v{c}\'ak and Erik Barto\v{s}
2015: Real Options and Threshold Strategies Downloads
Vadim Arkin and Alexander Slastnikov
2015: The Insecure Future of the World Economic Growth Downloads
Ron W Nielsen
2015: An elementary approach to the option pricing problem Downloads
Nikolaos Halidias
2015: Estimating the Impact of Wind Generation in the UK Downloads
Lisa MH Hall, Alastair Buckley and Jose Mawyin
2015: Mathematical Foundations of Realtime Equity Trading. Liquidity Deficit and Market Dynamics. Automated Trading Machines Downloads
Vladislav Gennadievich Malyshkin and Ray Bakhramov
2015: Optimal leverage trajectories in presence of market impact Downloads
Francesco Caravelli, Lorenzo Sindoni, Fabio Caccioli and Cozmin Ududec
2015: Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies Downloads
Rafal Rak, Stanislaw Drozdz, Jaroslaw Kwapien and Pawel Oswiecimka
2015: Consistent Pricing of VIX and Equity Derivatives with the 4/2 Stochastic Volatility Plus Jumps Model Downloads
Wei Lin, Shenghong Li, Xingguo Luo and Shane Chern
2015: Market Making with Model Uncertainty Downloads
Hee Su Roh and Yinyu Ye
2015: Agent based simulations visualize Adam Smith's invisible hand by solving Friedrich Hayek's Economic Calculus Downloads
Klaus Jaffe
2015: Optimal investment with intermediate consumption under no unbounded profit with bounded risk Downloads
Huy N. Chau, Andrea Cosso, Claudio Fontana and Oleksii Mostovyi
2015: Volatility Harvesting: Extracting Return from Randomness Downloads
Jan Hendrik Witte
2015: Heterotic Risk Models Downloads
Zura Kakushadze
2015: From innovation to diversification: a simple competitive model Downloads
Fabio Saracco, Riccardo Di Clemente, Andrea Gabrielli and Luciano Pietronero
2015: Return spillovers around the globe: A network approach Downloads
Štefan Lyócsa, Tomáš Výrost and Eduard Baumohl
2015: Estimation of integrated quadratic covariation between two assets with endogenous sampling times Downloads
Yoann Potiron and Per Mykland
2015: Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations Downloads
Jaroslaw Kwapien, Pawel Oswiecimka and Stanislaw Drozdz
2015: Optimal Static Quadratic Hedging Downloads
Tim Leung and Matthew Lorig
2015: New exact Taylor's expansions and simple solutions to PDEs Downloads
Moawia Alghalith
2015: Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds Downloads
Dirk Tasche
2015: Intertemporal Substitutability, Risk Aversion and Asset Prices Downloads
Dominique Pépin
2015: New copulas based on general partitions-of-unity and their applications to risk management Downloads
Dietmar Pfeifer, Herv\'e Awoumlac Tsatedem, Andreas M\"andle and C\^ome Girschig
2015: Feynman-Kac formula for L\'evy processes with discontinuous killing rate Downloads
Kathrin Glau
2015: The existence of optimal bang-bang controls for GMxB contracts Downloads
Parsiad Azimzadeh and Peter A. Forsyth
2015: How predictable is technological progress? Downloads
J. Doyne Farmer and François Lafond
2015: Consumption investment optimization with Epstein-Zin utility in incomplete markets Downloads
Hao Xing
2015: Smile with the Gaussian term structure model Downloads
Abdelkoddousse Ahdida, Aur\'elien Alfonsi and Ernesto Palidda
2015: Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line Downloads
Erwan Pierre, St\'ephane Villeneuve and Xavier Warin
2015: Randomized versions of Mazur lemma and Krein-\v{S}mulian Theorem with application to conditional convex risk measures for portfolio vectors Downloads
Jos\'e Miguel Zapata
2015: Identifying Multidiemsnional Adverse Selection Models Downloads
Gaurab Aryal
2015: Risk in a large claims insurance market with bipartite graph structure Downloads
Oliver Kley, Claudia Kluppelberg and Gesine Reinert
2015: Verification of internal risk measure estimates Downloads
Mark H. A. Davis
2015: Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments Downloads
Xiang Yu
2015: Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals Downloads
Sebastian E. Ferrando, Alfredo L. Gonzalez, Ivan L. Degano and Massoome Rahsepar
2015: Ergodic BSDEs with jumps and time dependence Downloads
Samuel N. Cohen and Victor Fedyashov
2015: Estimation of the Global Minimum Variance Portfolio in High Dimensions Downloads
Taras Bodnar, Nestor Parolya and Wolfgang Schmid
2015: Quantum Brownian motion model for the stock market Downloads
Xiangyi Meng, Jian-Wei Zhang and Hong Guo
2015: The least squares method for option pricing revisited Downloads
Maciej Klimek and Marcin Pitera
2015: A Spectral Model of Turnover Reduction Downloads
Zura Kakushadze
2015: Stationary Markov Perfect Equilibria in Discounted Stochastic Games Downloads
Wei He and Yeneng Sun
2015: Implicit transaction costs and the fundamental theorems of asset pricing Downloads
Erindi Allaj
2015: General Smooth Solutions to the HJB PDE: Applications to Finance Downloads
Moawia Alghalith
2015: Moral hazard under ambiguity Downloads
Thibaut Mastrolia and Dylan Possama\"i
2015: Conditional Value-at-Risk: Theory and Applications Downloads
Jakob Kisiala
2015: A New Class of Problems in the Calculus of Variations Downloads
Ivar Ekeland, Yiming Long and Qinglong Zhou
2015: Pathwise no-arbitrage in a class of Delta hedging strategies Downloads
Alexander Schied and Iryna Voloshchenko
2015: Optimal Portfolio Liquidation and Dynamic Mean-variance Criterion Downloads
Jia-Wen Gu and Mogens Steffensen
2015: Gold, currencies and market efficiency Downloads
Ladislav Krištoufek and Miloslav Vosvrda
2015: Stochastic control for a class of nonlinear kernels and applications Downloads
Dylan Possama\"i, Xiaolu Tan and Chao Zhou
2015: A Stochastic Electricity Market Clearing Formulation with Consistent Pricing Properties Downloads
Victor M. Zavala, Kibaek Kim, Mihai Anitescu and John Birge
2015: Computer-Suported Risk Identification for the Holistic Management of Risks Downloads
Jochen L. Leidner
2015: "Speculative Influence Network" during financial bubbles: application to Chinese Stock Markets Downloads
Li Lin and Didier Sornette
2015: Floating-strike Asian options with regime-switching Downloads
Adriana Ocejo
2015: From Acquaintances to Friends: Homophily and Learning in Networks Downloads
Mihaela van der Schaar and Simpson Zhang
2015: Emergence of Cooperative Long-term Market Loyalty in Double Auction Markets Downloads
Aleksandra Aloric, Peter Sollich, Peter McBurney and Tobias Galla
2015: Exchanging Goods Using Valuable Money Downloads
J. V. Howard
2015: Modern Monetary Circuit Theory, Stability of Interconnected Banking Network, and Balance Sheet Optimization for Individual Banks Downloads
Alexander Lipton
2015: An empirical analysis of the relationships between crude oil, gold and stock markets Downloads
Semei Coronado, Rebeca Jim\'enez-Rodr\'iguez and Omar Rojas
2015: Uncovering the evolution of non-stationary stochastic variables: the example of asset volume-price fluctuations Downloads
Paulo Rocha, Frank Raischel, Jo\~ao P. Boto and Pedro G. Lind
2015: Pricing of high-dimensional options Downloads
Alexander Kushpel
2015: Coherent CVA and FVA with Liability Side Pricing of Derivatives Downloads
Wujiang Lou
2015: Dynamic programming approach to principal-agent problems Downloads
Jak\v{s}a Cvitani\'c, Dylan Possama\"i and Nizar Touzi
2015: Liquidity, risk measures, and concentration of measure Downloads
Daniel Lacker
2015: Law invariant risk measures and information divergences Downloads
Daniel Lacker
2015: Analysis of Markovian Competitive Situations using Nonatomic Games---the Shock-driven Case and Its Dynamic Pricing Application Downloads
Jian Yang
2015: Modeling Risk and Ambiguity-on-Nature in Normal-form Games Downloads
Jian Yang
2015: A Link between Sequential Semi-anonymous Nonatomic Games and their Large but Finite Counterparts Downloads
Jian Yang
2015: Mathematics of Predicting Growth Downloads
Ron W Nielsen
2015: Mortality Risk Minimisation and Optional Martingale Representation Theorem for Enlarged Filtration Downloads
Tahir Choulli, Catherine Daveloose and Mich\`ele Vanmaele
2015: Portfolio optimization of Omega measure under a jointly normal distribution Downloads
Michael R. Metel, Traian A. Pirvu and Julian Wong
2015: Basic industrial funds of cargo motor transport enterprises: problems of effective use Downloads
Oleksandr Vashkiv
2015: A Supermartingale Relation for Multivariate Risk Measures Downloads
Zachary Feinstein and Birgit Rudloff
2015: Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series Downloads
Matteo Barigozzi and Marc Hallin
2015: Multifractal Flexibly Detrended Fluctuation Analysis Downloads
Rafal Rak and Pawel Zi\k{e}ba
2015: Optimal Rebalancing Frequencies for Multidimensional Portfolios Downloads
Ibrahim Ekren, Ren Liu and Johannes Muhle-Karbe
2015: A simple agent-based spatial model of the economy: tools for policy Downloads
Bernardo Furtado and Isaque Daniel Rocha Eberhardt
2015: Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error Downloads
Fabio Caccioli, Imre Kondor and G\'abor Papp
2015: Optimal Investment in a Dual Risk Model Downloads
Arash Fahim and Lingjiong Zhu
2015: Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions Downloads
Andrey Itkin
2015: How to (Not) Estimate Gini Coefficients for Fat Tailed Variables Downloads
Nassim Nicholas Taleb
2015: On Capturing the Spreading Dynamics over Trading Prices in the Market Downloads
Hokky Situngkir
2015: Application of Stochastic Mesh Method to Efficient Approximation of CVA Downloads
Yusuke Morimoto
2015: Stability and Chaos in a Multi-Market Oligopoly with Economies of Scale Downloads
Marcelo J. Villena and Axel A. Araneda
2015: Extending the Black-Scholes Option Pricing Theory to Account for an Option Market Maker's Funding Costs Downloads
Wujiang Lou
2015: Explicit solutions to a vector time series model and its induced model for business cycles Downloads
Xiongzhi Chen
2015: Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach Downloads
Jiatu Cai, Mathieu Rosenbaum and Peter Tankov
2015: Affine representations of fractional processes with applications in mathematical finance Downloads
Philipp Harms and David Stefanovits
2015: Weakly chained matrices and impulse control Downloads
Parsiad Azimzadeh and Peter A. Forsyth
2015: On the Efficient Market Hypothesis of Stock Market Indexes: The Role of Non-synchronous Trading and Portfolio Effects Downloads
Roberto Ortiz, Mauricio Contreras and Marcelo Villena
2015: A State-Dependent Dual Risk Model Downloads
Lingjiong Zhu
2015: Is the Indian Stock Market efficient - A comprehensive study of Bombay Stock Exchange Indices Downloads
Achal Awasthi and Oleg Malafeyev
2015: Performance analysis of the optimal strategy under partial information Downloads
Ahmed Bel Hadj Ayed, Gr\'egoire Loeper, Sofiene El Aoud and Fr\'ed\'eric Abergel
2015: Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation Downloads
Ahmed Kebaier and J\'er\^ome Lelong
2015: Viscosity properties with singularities in a state-constrained expected utility maximization problem Downloads
Mourad Lazgham
2015: Why Indexing Works Downloads
J. B. Heaton, N. G. Polson and J. H. Witte
2015: Optimal ETF Selection for Passive Investing Downloads
David Puelz, Carlos M. Carvalho and P. Richard Hahn
2015: Hedging with Transient Price Impact Downloads
Peter Bank, Mete Soner and Moritz Vo{\ss}
2015: Asymptotic Expansion for Forward-Backward SDEs with Jumps Downloads
Masaaki Fujii and Akihiko Takahashi
2015: Price response in correlated financial markets: empirical results Downloads
Shanshan Wang, Rudi Sch\"afer and Thomas Guhr
2015: Regularity properties in a state-constrained expected utility maximization problem Downloads
Mourad Lazgham
2015: Coupled uncertainty provided by a multifractal random walker Downloads
Z. Koohi Lai, S. Vasheghani Farahani, S. M. S. Movahed and G. R. Jafari
2015: Universal portfolios in stochastic portfolio theory Downloads
Ting-Kam Leonard Wong
2015: On the Solution of the Multi-asset Black-Scholes model: Correlations, Eigenvalues and Geometry Downloads
Mauricio Contreras, Alejandro Llanquihu\'en and Marcelo Villena
2015: How universal is the law of income distribution? Cross country comparison Downloads
Ivan Kitov and Oleg Kitov
2015: Gender income disparity in the USA: analysis and dynamic modelling Downloads
Ivan Kitov and Oleg Kitov
2015: Information equilibrium as an economic principle Downloads
Jason Smith
2015: An example of short-term relative arbitrage Downloads
Robert Fernholz
2015: Algebraic Structure of Vector Fields in Financial Diffusion Models and its Applications Downloads
Yusuke Morimoto and Makiko Sasada
2015: Endogenous Current Coupons Downloads
Scott Robertson and Zhe Cheng
2015: Semi-static completeness and robust pricing by informed investors Downloads
Beatrice Acciaio and Martin Larsson
2015: Pricing the European call option in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Exact formulas Downloads
Sergii Kuchuk-Iatsenko and Yuliya Mishura
2015: Deconstructing the Low-Vol Anomaly Downloads
S. Ciliberti, Y. Lemp\'eri\`ere, A. Beveratos, G. Simon, L. Laloux, M. Potters and J. P. Bouchaud
2015: What's in a ball? Constructing and characterizing uncertainty sets Downloads
Thomas Kruse, Judith C. Schneider and Nikolaus Schweizer
2015: Efficient Randomized Quasi-Monte Carlo Methods For Portfolio Market Risk Downloads
Halis Sak and \.Ismail Ba\c{s}o\u{g}lu
2015: Trading Networks with Bilateral Contracts Downloads
Tam\'as Fleiner, Zsuzsanna Jank\'o, Akihisa Tamura and Alexander Teytelboym
2015: Shortfall from Maximum Convexity Downloads
Matthew Ginley
2015: Analysis of the particle transfer between two systems under unification Downloads
I. A. Molotkov and A. I. Osin
2015: More Opportunities than Wealth: A Network of Power and Frustration Downloads
Benoit Mahault, Avadh Saxena and Cristiano Nisoli
2015: Conditional risk measures in a bipartite market structure Downloads
Oliver Kley, Claudia Kl\"uppelberg and Gesine Reinert
2015: Seasonalities and cycles in time series: A fresh look with computer experiments Downloads
Michel Fliess and C\'edric Join
2015: On the no-arbitrage market and continuity in the Hurst parameter Downloads
Nikolai Dokuchaev
2015: Effect of religious rules on time of conception in Romania from 1905 to 2001 Downloads
Claudiu Herteliu, Bogdan Vasile Ileanu, Marcel Ausloos and Giulia Rotundo
2015: An Insurance-Led Response to Climate Change Downloads
Anthony J. Webster and Richard H. Clarke
2015: A reduced-form model for level-1 limit order books Downloads
Tzu-Wei Yang and Lingjiong Zhu
2015: Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators Downloads
Anis Al Gerbi, Benjamin Jourdain and Emmanuelle Cl\'ement
2015: Currency target zone modeling: An interplay between physics and economics Downloads
Sandro Claudio Lera and Didier Sornette
2015: The strong predictable representation property in initially enlarged filtrations Downloads
Claudio Fontana
2015: Game Design and Analysis for Price based Demand Response: An Aggregate Game Approach Downloads
Maojiao Ye and Guoqiang Hu
2015: Quantitative Structuring vs the Equity Premium Puzzle Downloads
Andrei N. Soklakov
2015: Modelling Financial Markets by Self-Organized Criticality Downloads
A. E. Biondo, A. Pluchino and A. Rapisarda
2015: Analysis of cyclical behavior in time series of stock market returns Downloads
Djordje Stratimirovic, Darko Sarvan, Vladimir Miljkovic and Suzana Blesic
2015: Measuring the frequency dynamics of financial and macroeconomic connectedness Downloads
Jozef Baruník and Tomas Krehlik
2015: Methodological foundations of policy-making in modelling transitions to sustainability at regional to global scale Downloads
Jean-Francois Mercure, H. Pollitt, A. M. Bassi, J. E Vi\~nuales and N. R. Edwards
2015: Optimal forest rotation age under efficient climate change mitigation Downloads
Tommi Ekholm
2015: Dynamics of Order Positions and Related Queues in a Limit Order Book Downloads
Xin Guo, Zhao Ruan and Lingjiong Zhu
2015: Moment-free Sharpe ratio estimation from total drawdown durations Downloads
Damien Challet
2015: The Long Memory of Order Flow in the Foreign Exchange Spot Market Downloads
Martin D. Gould, Mason A. Porter and Sam D. Howison
2015: Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights Downloads
Jonathan Donier and Jean-Philippe Bouchaud
2015: Convex duality with transaction costs Downloads
Yan Dolinsky and H. Mete Soner
2015: Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation Downloads
Michael Ho, Zheng Sun and Jack Xin
2015: Combining Alphas via Bounded Regression Downloads
Zura Kakushadze
2015: Shortfall Deviation Risk: An alternative to risk measurement Downloads
Marcelo Brutti Righi and Paulo Sergio Ceretta
2015: The Temporal Dimension of Risk Downloads
Ola Mahmoud
2015: Misspecified Recovery Downloads
Jaroslav Borovi\v{c}ka, Lars Hansen and Jose Scheinkman
2015: Multi-curve HJM modelling for risk management Downloads
Chiara Sabelli, Michele Pioppi, Luca Sitzia and Giacomo Bormetti
2015: Incorporating Views on Market Dynamics in Options Hedging Downloads
Antoine E. Zambelli
2015: Conditional Preference Orders and their Numerical Representations Downloads
Samuel Drapeau and Asgar Jamneshan
2015: Ross Recovery with Recurrent and Transient Processes Downloads
Hyungbin Park
2015: Risk Premia: Asymmetric Tail Risks and Excess Returns Downloads
Y. Lemp\'eri\`ere, C. Deremble, T. T. Nguyen, P. Seager, M. Potters and J. P. Bouchaud
2015: Regularizing Portfolio Risk Analysis: A Bayesian Approach Downloads
Sourish Das, Aritra Halder and Dipak K. Dey
2015: Accelerating Implicit Finite Difference Schemes Using a Hardware Optimized Tridiagonal Solver for FPGAs Downloads
Samuel Palmer
2015: Functional Ito Calculus, Path-dependence and the Computation of Greeks Downloads
Samy Jazaerli and Yuri F. Saporito
2015: Weak reflection principle for L\'evy processes Downloads
Erhan Bayraktar and Sergey Nadtochiy
2015: Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach Downloads
Giorgio Ferrari, Frank Riedel and Jan-Henrik Steg
2015: Quantum decision making by social agents Downloads
V. I. Yukalov and D. Sornette
2015: The two defaults scenario for stressing credit portfolio loss distributions Downloads
Dirk Tasche
2015: The Corporate Social Responsibility is just a twist in a M\"obius Strip Downloads
Nazaria Solferino and Viviana Solferino
2015: Universalized Prisoner's Dilemma With Risk Downloads
Paul Studtmann
2015: Retarded action principle and self-financing portfolio dynamics Downloads
Dmitry Lesnik
2015: Dynamics of multivariate default system in random environment Downloads
Nicole El Karoui, Monique Jeanblanc and Ying Jiao
2015: Maximum likelihood estimators for a jump-type Heston model Downloads
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier and Gyula Pap
2015: Volume Weighted Average Price Optimal Execution Downloads
Enzo Busseti and Stephen Boyd
2015: The spatial component of R&D networks Downloads
Tobias Scholl, Antonios Garas and Frank Schweitzer
2015: High-frequency limit of Nash equilibria in a market impact game with transient price impact Downloads
Alexander Schied, Elias Strehle and Tao Zhang
2015: Sticky processes, local and true martingales Downloads
Mikl\'os R\'asonyi and Hasanjan Sayit
2015: Representation and approximation of ambit fields in Hilbert space Downloads
Fred Espen Benth and Heidar Eyjolfsson
2015: Correctness of Backtest Engines Downloads
Robert L\"ow, Stanislaus Maier-Paape and Andreas Platen
2015: Performance v. Turnover: A Story by 4,000 Alphas Downloads
Zura Kakushadze and Igor Tulchinsky
2015: Asymmetry of cross correlations between intra-day and overnight volatilities Downloads
Rubina Zadourian and Peter Grassberger
2015: Optimal trading strategies - a time series approach Downloads
Peter A. Bebbington and Reimer Kuehn
2015: Efficient Computation of the Quasi Likelihood function for Discretely Observed Diffusion Processes Downloads
Lars Josef H\"o\"ok and Erik Lindstr\"om
2015: Quadratic Hawkes processes for financial prices Downloads
Pierre Blanc, Jonathan Donier and Jean-Philippe Bouchaud
2015: Mathematical Analysis of the Historical Economic Growth Downloads
Ron W. Nielsen
2015: Option contracts for a privacy-aware market Downloads
Maurizio Naldi and Giuseppe D'Acquisto
2015: Les indicateus avanc\'es de l'inflation en RDCongo Downloads
Henry Ngongo
2015: Identifying collusion groups using spectral clustering Downloads
Suneel Sarswat, Kandathil Mathew Abraham and Subir Kumar Ghosh
2015: Universality of market superstatistics Downloads
Mateusz Denys, Maciej Jagielski, Tomasz Gubiec, Ryszard Kutner and H. Eugene Stanley
2015: The pricing of contingent claims and optimal positions in asymptotically complete markets Downloads
Michail Anthropelos, Scott Robertson and Konstantinos Spiliopoulos
2015: Mean-Reverting Portfolios: Tradeoffs Between Sparsity and Volatility Downloads
Marco Cuturi and Alexandre d'Aspremont
2015: Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application Downloads
Wen-Jie Xie, Zhi-Qiang Jiang, Gao-Feng Gu, Xiong Xiong and Wei-Xing Zhou
2015: Managing Cellular Billing Plan Switchings Downloads
Valery Vilisov
2015: A network analysis of the global energy market: an insight on the entanglement between crude oil and the world economy Downloads
Franco Ruzzenenti, Francesco Picciolo and Andreas Papandreou
2015: Stochastic Optimal Growth Model with Risk Sensitive Preferences Downloads
Nicole B\"auerle and Anna Ja\'skiewicz
2015: A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series Downloads
Gautier Marti, Philippe Very, Philippe Donnat and Frank Nielsen
2015: Measuring multiscaling in financial time-series Downloads
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2015: Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets Downloads
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2015: The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach Downloads
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2015: Mod\'{e}lisation spatiale de la formation des agglom\'{e}rations dans la zone alg\'{e}roise Downloads
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2015: Efficient and robust calibration of the Heston option pricing model for American options using an improved Cuckoo Search Algorithm Downloads
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2015: Model Risk Analysis via Investment Structuring Downloads
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2015: How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program Downloads
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2015: Continuous-Time Mean-Variance Portfolio Selection with Constraints on Wealth and Portfolio Downloads
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2015: Hawkes Processes Downloads
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2015: The Effects of Leverage Requirements and Fire Sales on Financial Contagion via Asset Liquidation Strategies in Financial Networks Downloads
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2015: Analysis of Ornstein-Uhlenbeck process stopped at maximum drawdown and application to trading strategies with trailing stops Downloads
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2015: Inequality and Risk Aversion Downloads
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2015: Complete Duality for Martingale Optimal Transport on the Line Downloads
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2015: It\^o's formula for finite variation L\'evy processes: The case of non-smooth functions Downloads
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2015: On the Robust Dynkin Game Downloads
Erhan Bayraktar and Song Yao
2015: Too dynamic to fail. Empirical support for an autocatalytic model of Minsky's financial instability hypothesis Downloads
Natasa Golo, David S. Bree, Guy Kelman, Leanne Usher, Marco Lamieri and Sorin Solomon
2015: Double-jump stochastic volatility model for VIX: evidence from VVIX Downloads
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2015: Time-scale analysis of co-movement in EU sovereign bond markets Downloads
Filip Smolik and Lukas Vacha
2015: Business cycle synchronization of the Visegrad Four and the European Union Downloads
Lubos Hanus and Lukas Vacha
2015: Optimal Stopping with Random Maturity under Nonlinear Expectations Downloads
Erhan Bayraktar and Song Yao
2015: Product-Mix Auctions and Tropical Geometry Downloads
Ngoc Mai Tran and Josephine Yu
2015: A general Doob-Meyer-Mertens decomposition for $g$-supermartingale systems Downloads
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2015: Network Structure and Counterparty Credit Risk Downloads
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2015: Efficient Network Structures with Separable Heterogeneous Connection Costs Downloads
Babak Heydari, Mohsen Mosleh and Kia Dalili
2015: Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses Downloads
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2015: Diversity-Weighted Portfolios with Negative Parameter Downloads
Alexander Vervuurt and Ioannis Karatzas
2015: Dependence structure of market states Downloads
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2015: Black-Scholes in a CEV random environment: a new approach to smile modelling Downloads
Antoine Jacquier and Patrick Roome
2015: Bounds for randomly shared risk of heavy-tailed loss factors Downloads
Oliver Kley and Claudia Kluppelberg
2015: On robust pricing-hedging duality in continuous time Downloads
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2015: Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data Downloads
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2015: Diversity waves in collapse-driven population dynamics Downloads
Sergei Maslov and Kim Sneppen
2015: Cross correlations in European government bonds and EuroStoxx Downloads
Jan Jurczyk and Alexander Eckrot
2015: Model risk on credit risk Downloads
J. Molins and E. Vives
2015: Arbitrage, hedging and utility maximization using semi-static trading strategies with American options Downloads
Erhan Bayraktar and Zhou Zhou
2015: One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics Downloads
Damien Challet
2015: Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing Downloads
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2015: Market Dynamics and Indirect Network Effects in Electric Vehicle Diffusion Downloads
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2015: Modular Dynamics of Financial Market Networks Downloads
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2015: On financial applications of the two-parameter Poisson-Dirichlet distribution Downloads
Sergey Sosnovskiy
2015: Russian-Doll Risk Models Downloads
Zura Kakushadze
2015: Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games Downloads
Erhan Bayraktar and Song Yao
2015: Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm Downloads
Frank Gehmlich and Thorsten Schmidt
2015: General smile asymptotics with bounded maturity Downloads
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2015: Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model Downloads
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2015: Robust Fundamental Theorem for Continuous Processes Downloads
Sara Biagini, Bruno Bouchard, Constantinos Kardaras and Marcel Nutz
2015: Arbitrage theory without a num\'eraire Downloads
Michael R. Tehranchi
2015: On a Stopping Game in continuous time Downloads
Erhan Bayraktar and Zhou Zhou
2015: A Lattice Framework for Pricing Display Advertisement Options with the Stochastic Volatility Underlying Model Downloads
Bowei Chen and Jun Wang
2015: Quantile Hedging in a Semi-Static Market with Model Uncertainty Downloads
Erhan Bayraktar and Gu Wang
2015: Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems Downloads
Umut \c{C}etin and Albina Danilova
2015: Robust Superhedging with Jumps and Diffusion Downloads
Marcel Nutz
2015: Non-linear filtering and optimal investment under partial information for stochastic volatility models Downloads
Dalia Ibrahim and Fr\'ed\'eric Abergel
2015: A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition Downloads
Ulrich Horst, Jinniao Qiu and Qi Zhang
2015: Bank Networks from Text: Interrelations, Centrality and Determinants Downloads
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2015: Credit Risk in a Geometric Arbitrage Perspective Downloads
Simone Farinelli
2015: Valuation of Barrier Options using Sequential Monte Carlo Downloads
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2015: Optimal Execution in Lit and Dark Pools Downloads
M. Alessandra Crisafi and Andrea Macrina
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Robert Azencott, Yutheeka Gadhyan and Roland Glowinski
2015: The geometry of relative arbitrage Downloads
Soumik Pal and Ting-Kam Leonard Wong
2015: A state-constrained differential game arising in optimal portfolio liquidation Downloads
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2015: Towards a microeconomic theory of the finance-driven business cycle Downloads
Alejandro Jenkins
2015: Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data Downloads
Kyungsub Lee
2015: The impact of lead time forecasting on the bullwhip effect Downloads
Zbigniew Michna and Peter Nielsen
2015: A new financial metric for the art market Downloads
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2015: Quantitative easing is an incomplete strategy that must be accompanied by the nullification of debt Downloads
Karl Svozil
2015: Dynamic Model of Markets of Homogenous Non-Durable Downloads
Joachim Kaldasch
2015: Geometric Arbitrage Theory and Market Dynamics Downloads
Simone Farinelli
2015: The Poker-Litigation Game Downloads
Enrique Guerra-Pujol
2015: Measuring Financial Sentiment to Predict Financial Instability: A New Approach based on Text Analysis Downloads
Paul Ormerod, Rickard Nyman and David Tuckett
2015: Autonomics: an autonomous and intelligent economic platform and next generation money tool Downloads
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2015: Analysis of Professional Trajectories using Disconnected Self-Organizing Maps Downloads
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2015: Note on tax enforcement and transfer pricing manipulation Downloads
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2015: Extension and calibration of a Hawkes-based optimal execution model Downloads
Aur\'elien Alfonsi and Pierre Blanc
2015: Portfolio optimization using local linear regression ensembles in RapidMiner Downloads
Gabor Nagy, Gergo Barta and Tamas Henk
2015: Central Clearing Valuation Adjustment Downloads
St\'ephane Cr\'epey and Armenti Yannick
2015: On Magnitude, Asymptotics and Duration of Drawdowns for L\'evy Models Downloads
David Landriault, Bin Li and Hongzhong Zhang
2015: Optimal Equity Glidepaths in Retirement Downloads
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2015: Optimal financing and dividend distribution in a general diffusion model with regime switching Downloads
Jinxia Zhu and Hailiang Yang
2015: Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models Downloads
David Criens, Kathrin Glau and Zorana Grbac
2015: Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns Downloads
Marcel Wollschl\"ager and Rudi Sch\"afer
2015: A Bayesian Model of the Litigation Game Downloads
Enrique Guerra-Pujol
2015: On Elicitation Complexity and Conditional Elicitation Downloads
Rafael Frongillo and Ian A. Kash
2015: Market shape formation, statistical equilibrium and neutral evolution theory Downloads
Sergey Sosnovskiy
2015: Nonparametric and arbitrage-free construction of call surfaces using l1-recovery Downloads
Pierre M. Blacque-Florentin and Badr Missaoui
2015: Intrinsic Storage Valuation by Variational Analysis Downloads
Dmitry Lesnik
2015: Efficient approximate Bayesian inference for models with intractable likelihoods Downloads
Johan Dahlin, Mattias Villani and Thomas B. Sch\"{o}n
2015: Systemic risk in multiplex networks with asymmetric coupling and threshold feedback Downloads
Rebekka Burkholz, Matt V. Leduc, Antonios Garas and Frank Schweitzer
2015: The Levy-Ito Decomposition theorem Downloads
J. L. Bretagnolle and P. Ouwehand
2015: Model-free Superhedging Duality Downloads
Matteo Burzoni, Marco Frittelli and Marco Maggis
2015: Nonparametric estimates of pricing functionals Downloads
Carlo Marinelli and Stefano d'Addona
2015: Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio Downloads
Matthew Lorig and Ronnie Sircar
2015: Symmetric resolute refinements of social choice correspondences Downloads
Daniela Bubboloni and Michele Gori
2015: Annuitization and asset allocation Downloads
Moshe A. Milevsky and Virginia R. Young
2015: Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets Downloads
Lorenz Schneider and Bertrand Tavin
2015: Hedging, arbitrage and optimality with superlinear frictions Downloads
Paolo Guasoni and Mikl\'os R\'asonyi
2015: Optimal Dynamic Contracts for a Large-Scale Principal-Agent Hierarchy: A Concavity-Preserving Approach Downloads
Christopher W. Miller and Insoon Yang
2015: An Exchange Rate Target Zone Model with a Terminal Condition and Mean-Reverting Fundamentals Downloads
Viktors Ajevskis
2015: Modeling and Computation of Mean Field Equilibria in Producers' Game with Emission Permits Trading Downloads
Shuhua Chang, Xinyu Wang and Alexander Shananin
2015: Quick or Persistent? Strategic Investment Demanding Versatility Downloads
Jan-Henrik Steg and Jacco Thijssen
2015: Safety Third: Roy's Criterion and Higher Order Moments Downloads
Steven E. Pav
2015: A risk management approach to capital allocation Downloads
V\'eronique Maume-Deschamps, Didier Rulli\`ere and Khalil Said
2015: Optimal Skorokhod embedding under finitely-many marginal constraints Downloads
Gaoyue Guo, Xiaolu Tan and Nizar Touzi
2015: On the Characteristics of the Free Market in a Cooperative Society Downloads
Norbert Agbeko
2015: Numerical analysis on local risk-minimization forexponential L\'evy models Downloads
Takuji Arai, Yuto Imai and Ryoichi Suzuki
2015: From Walras' auctioneer to continuous time double auctions: A general dynamic theory of supply and demand Downloads
Jonathan Donier and Jean-Philippe Bouchaud
2015: Markets, herding and response to external information Downloads
Adri\'an Carro, Ra\'ul Toral and Maxi San Miguel
2015: Convergence of Estimated Option Price in a Regime switching Market Downloads
Anindya Goswami and Sanket Nandan
2015: How log-normal is your country? An analysis of the statistical distribution of the exported volumes of products Downloads
Mario Alberto Annunziata, Alberto Petri, Giorgio Pontuale and Andrea Zaccaria
2015: Copula based hierarchical risk aggregation - Tree dependent sampling and the space of mild tree dependence Downloads
Fabio Derendinger
2015: The evolutionary advantage of cooperation Downloads
Ole Peters and Alexander Adamou
2015: Autoregressive approaches to import-export time series I: basic techniques Downloads
Luca Di Persio
2015: The Limits of Leverage Downloads
Paolo Guasoni and Eberhard Mayerhofer
2015: Semi-Global Solutions to DSGE Models: Perturbation around a Deterministic Path Downloads
Viktors Ajevskis
2015: Nonlocal Solutions to Dynamic Equilibrium Models: The Approximate Stable Manifolds Approach Downloads
Viktors Ajevskis
2015: Liquidity and Impact in Fair Markets Downloads
Thibault Jaisson
2015: Cross Ranking of Cities and Regions: Population vs. Income Downloads
Roy Cerqueti and Marcel Ausloos
2015: Portfolio Allocation for Sellers in Online Advertising Downloads
Ragavendran Gopalakrishnan, Eric Bax, Krishna Prasad Chitrapura and Sachin Garg
2015: VCG Payments for Portfolio Allocations in Online Advertising Downloads
James Li, Eric Bax, Nilanjan Roy and Andrea Leistra
2015: Autoregressive approaches to import--export time series II: a concrete case study Downloads
Luca Di Persio and Chiara Segala
2015: No-Arbitrage Prices of Cash Flows and Forward Contracts as Choquet Representations Downloads
Tom Fischer
2015: Many-to-one contagion of economic growth rate across trade credit network of firms Downloads
Natasa Golo, Guy Kelman, David S. Bree, Leanne Usher, Marco Lamieri and Sorin Solomon
2015: Transition from lognormal to chi-square superstatistics for financial time series Downloads
Dan Xu and Christian Beck
2015: Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium Downloads
Takuji Arai
2015: A system of degenerate non-local parabolic PDE and application Downloads
Anindya Goswami, Jeeten Patel and Poorva Shevgaonkar
2015: Impossibility Theorems and the Universal Algebraic Toolkit Downloads
Mario Szegedy and Yixin Xu
2015: Financial Contagion and Asset Liquidation Strategies Downloads
Zachary Feinstein
2015: Approximations of Bond and Swaption Prices in a Black-Karasi\'{n}ski Model Downloads
Andrzej Daniluk and Rafa{\l} Muchorski
2015: Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs Downloads
Damiano Brigo, Marco Francischello and Andrea Pallavicini
2015: Good deal bounds with convex constraints Downloads
Takuji Arai
2015: Enhanced Gravity Model of trade: reconciling macroeconomic and network models Downloads
Assaf Almog, Rhys Bird and Diego Garlaschelli
2015: Inference on the Sharpe ratio via the upsilon distribution Downloads
Steven E. Pav
2015: Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective Downloads
Aki-Hiro Sato and Paolo Tasca
2015: DebtRank: A microscopic foundation for shock propagation Downloads
Marco Bardoscia, Stefano Battiston, Fabio Caccioli and Guido Caldarelli
2015: Canonical Sectors and Evolution of Firms in the US Stock Markets Downloads
Ricky Chachra, Alexander A. Alemi, Lorien X. Hayden, Paul H. Ginsparg and James P. Sethna
2015: Randomizing bipartite networks: the case of the World Trade Web Downloads
Fabio Saracco, Riccardo Di Clemente, Andrea Gabrielli and Tiziano Squartini
2015: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models Downloads
Archil Gulisashvili, Frederi Viens and Xin Zhang
2015: A weak law of large numbers for a limit order book model with fully state dependent order dynamics Downloads
Ulrich Horst and D\"orte Kreher
2015: Diversification, protection of liability holders and regulatory arbitrage Downloads
Pablo Koch-Medina, Cosimo Munari and Mario Sikic
2015: Portfolio Optimization under Shortfall Risk Constraint Downloads
Oliver Janke and Qinghua Li
2015: Information in stock prices and some consequences: A model-free approach Downloads
Yannis G. Yatracos
2015: Optimizing Credit Portfolio Using a Quadratic Nonlinear Projection Method Downloads
Boguk Kim
2015: Super-replication with nonlinear transaction costs and volatility uncertainty Downloads
Peter Bank, Yan Dolinsky and Selim G\"okay
2015: Pricing of European Basket Call Option under Exponential Ornstein-Uhlenbeck Process Downloads
Jingwei Liu, Jiwen Luo and Xing Chen
2015: Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem Downloads
Vladimir V'yugin
2015: 4-Factor Model for Overnight Returns Downloads
Zura Kakushadze
2015: Path Integral and Asset Pricing Downloads
Zura Kakushadze
2015: Stability of Utility Maximization in Nonequivalent Markets Downloads
Kim Weston
2015: Apparent impact: the hidden cost of one-shot trades Downloads
Iacopo Mastromatteo
2015: 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
2015: Fragility of the Commons under Prospect-Theoretic Risk Attitudes Downloads
Ashish R. Hota, Siddharth Garg and Shreyas Sundaram
2015: Risk Minimization for Game Options in Markets Imposing Minimal Transaction Costs Downloads
Yan Dolinsky and Yuri Kifer
2015: Semiparametric Estimation of First-Price Auction Models Downloads
Gaurab Aryal, Maria Florencia Gabrielli and Quang Vuong
2015: Robust pricing and hedging under trading restrictions and the emergence of local martingale models Downloads
Alexander M. G. Cox, Zhaoxu Hou and Jan Obloj
2015: Networks of Military Alliances, Wars, and International Trade Downloads
Matthew Jackson and Stephen M. Nei
2015: Simple examples of pure-jump strict local martingales Downloads
Martin Keller-Ressel
2015: Evaluating gambles using dynamics Downloads
Ole Peters and Murray Gell-Mann
2015: Dynamic optimal execution in a mixed-market-impact Hawkes price model Downloads
Aur\'elien Alfonsi and Pierre Blanc
2015: Reward-risk momentum strategies using classical tempered stable distribution Downloads
Jaehyung Choi, Young Shin Kim and Ivan Mitov
2015: Model-independent Superhedging under Portfolio Constraints Downloads
Arash Fahim and Yu-Jui Huang
2015: The False Premises and Promises of Bitcoin Downloads
Brian P. Hanley
2015: Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations Downloads
Matyas Barczy and Gyula Pap
2015: Modeling capital gains taxes for trading strategies of infinite variation Downloads
Christoph K\"uhn and Bj\"orn Ulbricht
2015: Phase Transition in the S&P Stock Market Downloads
Matthias Raddant and Friedrich Wagner
2015: B-spline techniques for volatility modeling Downloads
Sylvain Corlay
2015: Reducing the debt: is it optimal to outsource an investment? Downloads
Gilles Edouard Espinosa, Caroline Hillairet, Benjamin Jourdain and Monique Pontier
2015: Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact Downloads
Kensuke Ishitani and Takashi Kato
2015: On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk process in the presence of a penalty function Downloads
F. Avram, Z. Palmowski and M. R. Pistorius
2015: Interdisciplinary Business Games on Sustainable Development: Theoretical Foundations and Prospects of Implementation Downloads
Boris Bolshakov, Ekaterina Shamaeva and Eugene Popov
2015: Tax Bond Creation Using a Structural Model and its Extensions Downloads
Suren Harutyunyan
2015: Dynamic Model of the Price Dispersion of Homogeneous Goods Downloads
Joachim Kaldasch
2015: Assessing Consistency of Consumer Confidence Data using Dynamic Latent Class Analysis Downloads
Sunil Kumar, Zakir Husain and Diganta Mukherjee
2015: Multifractal characterization of gold market: a multifractal detrended fluctuation analysis Downloads
Provash Mali and Amitabha Mukhopadhyay
2015: Universal Laws of Human Society's Income Distribution Downloads
Yong Tao
2015: Role of the interfirm buyer-seller network in aggregate fluctuation and the effect of link renewal Downloads
Ryohei Hisano, Tsutomu Watanabe, Takayuki Mizuno, Takaaki Ohnishi and Didier Sornette
2015: Market Completion with Derivative Securities Downloads
Daniel C. Schwarz
2015: Optimal Investment to Minimize the Probability of Drawdown Downloads
Bahman Angoshtari, Erhan Bayraktar and Virginia R. Young
2015: The Theory of a Heliospheric Economy Downloads
Thomas Tarler
2015: Weak Convergence of Path-Dependent SDEs and Functionals in Pricing Basket CDS with Counterparty Risk and Contagion Risk Downloads
Yao Tung Huang, Qingshuo Song and Harry Zheng
2015: Long-range memory and multifractality in gold markets Downloads
Provash Mali and Amitabha Mukhopadhyay
2015: An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting Downloads
Tim Leung, Kazutoshi Yamazaki and Hongzhong Zhang
2015: High-order compact schemes for Black-Scholes basket options Downloads
Bertram D\"uring and Christof Heuer
2015: Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models Downloads
Tim Leung, Kazutoshi Yamazaki and Hongzhong Zhang
2015: Incomplete stochastic equilibria with exponential utilities close to Pareto optimality Downloads
Constantinos Kardaras, Hao Xing and Gordan \v{Z}itkovi\'{c}
2015: Conditional Asian Options Downloads
Runhuan Feng and Hans W. Volkmer
2015: Record statistics for random walk bridges Downloads
Claude Godreche, Satya N. Majumdar and Gregory Schehr
2015: Analysis of the most important variables which determine innovation among rural entrepreneurs Downloads
Elena Lucia Harpa, Liviu Marian, Sorina Moica and Iulia Elena Apavaloaie
2015: Portfolio Optimization Downloads
Aizhan Issagali, Damira Alshimbayeva and Aidana Zhalgas
2015: Small-time asymptotics for Gaussian self-similar stochastic volatility models Downloads
Archil Gulisashvili, Frederi Viens and Xin Zhang
2015: Market Fragility, Systemic Risk, and Ricci Curvature Downloads
Romeil Sandhu, Tryphon Georgiou and Allen Tannenbaum
2015: CEI: a new indicator measuring City Commercial Credit Risk initiated in China Downloads
Ruonan Lin and Yi Gu
2015: American Options with Asymmetric Information and Reflected BSDE Downloads
Neda Esmaeeli and Peter Imkeller
2015: Ergodicity and diffusivity of Markovian order book models: a general framework Downloads
Weibing Huang and Mathieu Rosenbaum
2015: Optimal control of predictive mean-field equations and applications to finance Downloads
Bernt {\O}ksendal and Agn\`es Sulem
2015: A pricing formula for delayed claims: Appreciating the past to value the future Downloads
Enrico Biffis, Beniamin Goldys and Cecilia Prosdocimi
2015: Chebyshev Interpolation for Parametric Option Pricing Downloads
Maximilian Ga{\ss}, Kathrin Glau, Mirco Mahlstedt and Maximilian Mair
2015: The efficiency of Anderson-Darling test with limited sample size: an application to Backtesting Counterparty Credit Risk internal model Downloads
M. Formenti, L. Spadafora, M. Terraneo and F. Ramponi
2015: On the Failures of Bonus Plans Downloads
David Lagziel and Ehud Lehrer
2015: Convergence of binomial tree method and explicit difference scheme for American put options with time dependent coefficients Downloads
Hyong-Chol O, Mun-Chol Kim and Gyong-Ryol Kim
2015: Remarks on equality of two distributions under some partial orders Downloads
Chuancun Yin
2015: Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity Downloads
Jos\'e E. Figueroa-L\'opez and Yankeng Luo
2015: The multi-layer network nature of systemic risk and its implications for the costs of financial crises Downloads
Sebastian Poledna, Jos\'e Luis Molina-Borboa, Seraf\'in Mart\'inez-Jaramillo, Marco van der Leij and Stefan Thurner
2015: Forecasting Financial Extremes: A Network Degree Measure of Super-exponential Growth Downloads
Wanfeng Yan and Edgar van Tuyll van Serooskerken
2015: Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz Downloads
Georg Mainik, Georgi Mitov and Ludger R\"uschendorf
2015: Optimal Dividend Strategies for Two Collaborating Insurance Companies Downloads
Hansjoerg Albrecher, Pablo Azcue and Nora Muler
2015: From 0D to 1D spatial models using OCMat Downloads
Dieter Grass
2015: Homogenization and Clustering as a Technique to Compare Maintenance Strategies in Heterogeneous Production Settings Downloads
Johannes Freiesleben and Nicolas Gu\'erin
2015: Pricing complexity options Downloads
Malihe Alikhani, Bj{\o}rn Kjos-Hanssen, Amirarsalan Pakravan and Babak Saadat
2015: Hedging of defaultable claims in a structural model using a locally risk-minimizing approach Downloads
Ramin Okhrati, Alejandro Balb\'as and Jos\'e Garrido
2015: On the Exact Simulation of (Jump) Diffusion Bridges Downloads
Murray Pollock
2015: Applications of the "Unconscious Statistician" Theorem to profit maximization of a company that sells an arbitrary numbers of products Downloads
Dragos-Patru Covei
2015: Approximate hedging with proportional transaction costs in stochastic volatility models with jumps Downloads
Thai Huu Nguyen and Serguei Pergamenschchikov
2015: Approximate hedging problem with transaction costs in stochastic volatility markets Downloads
Thai Huu Nguyen and Serguei Pergamenshchikov
2015: An explicit solution for optimal investment in Heston model Downloads
Elena Boguslavskaya and Dmitry Muravey
2015: Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion Downloads
Christoph Czichowsky and Walter Schachermayer
2015: The Intrafirm Complexity of Systemically Important Financial Institutions Downloads
Robin L. Lumsdaine, Daniel N. Rockmore, Nicholas Foti, Gregory Leibon and J. Doyne Farmer
2015: Wrong-Way Bounds in Counterparty Credit Risk Management Downloads
Amir Memartoluie, David Saunders and Tony Wirjanto
2015: Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm Downloads
Marius Hofert, Amir Memartoluie, David Sunders and Tony Wirjanto
2015: Structure of global buyer-supplier networks and its implications for conflict minerals regulations Downloads
Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe
2015: Structural default model with mutual obligations Downloads
Andrey Itkin and Alexander Lipton
2015: Dynamic Multi-Factor Clustering of Financial Networks Downloads
Gordon J. Ross
2015: Kinetic models of immediate exchange Downloads
Els Heinsalu and Marco Patriarca
2015: Non-Arbitrage Under Additional Information for Thin Semimartingale Models Downloads
Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc
2015: An Introduction to Multilevel Monte Carlo for Option Valuation Downloads
Desmond J. Higham
2015: Collective synchronization and high frequency systemic instabilities in financial markets Downloads
Lucio Maria Calcagnile, Giacomo Bormetti, Michele Treccani, Stefano Marmi and Fabrizio Lillo
2015: On statistical indistinguishability of complete and incomplete discrete time market models Downloads
Nikolai Dokuchaev
2015: On the Forecast Combination Puzzle Downloads
Wei Qian, Craig A. Rolling, Gang Cheng and Yuhong Yang
2015: Phase Transitions, Renormalization and Yang-Lee Zeros in Stock Markets Downloads
J. L. Subias
2015: Profitability of contrarian strategies in the Chinese stock market Downloads
Huai-Long Shi, Zhi-Qiang Jiang and Wei-Xing Zhou
2015: Operational risk modeled analytically II: the consequences of classification invariance Downloads
Vivien Brunel
2015: Time-Inconsistent Stochastic Linear--Quadratic Control: Characterization and Uniqueness of Equilibrium Downloads
Ying Hu, Hanqing Jin and Xun Yu Zhou
2015: Hawkes processes in finance Downloads
Emmanuel Bacry, Iacopo Mastromatteo and Jean-Fran\c{c}ois Muzy
2015: Approximating explicitly the mean reverting CEV process Downloads
Nikolaos Halidias and Ioannis Stamatiou
2015: Cascades in multiplex financial networks with debts of different seniority Downloads
Charles D. Brummitt and Teruyoshi Kobayashi
2015: Systemic risk analysis in reconstructed economic and financial networks Downloads
Giulio Cimini, Tiziano Squartini, Diego Garlaschelli and Andrea Gabrielli
2015: Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit Downloads
Tim Leung and Xin Li
2015: Long Term Risk: A Martingale Approach Downloads
Likuan Qin and Vadim Linetsky
2015: Process-Based Risk Measures for Observable and Partially Observable Discrete-Time Controlled Systems Downloads
Jingnan Fan and Andrzej Ruszczynski
2015: Optimal dividend payment under time of ruin contraint: Exponential case Downloads
Camilo Hernandez and Mauricio Junca
2015: Indifference pricing for Contingent Claims: Large Deviations Effects Downloads
Scott Robertson and Konstantinos Spiliopoulos
2015: Herding interactions as an opportunity to prevent extreme events in financial markets Downloads
Aleksejus Kononovicius and Vygintas Gontis
2015: An $\alpha$-Stable Limit Theorem Under Sublinear Expectation Downloads
Erhan Bayraktar and Alexander Munk
2015: Custom v. Standardized Risk Models Downloads
Zura Kakushadze and Jim Kyung-Soo Liew
2015: Shadow prices for continuous processes Downloads
Christoph Czichowsky, Walter Schachermayer and Junjian Yang
2015: On Zero-sum Optimal Stopping Games Downloads
Erhan Bayraktar and Zhou Zhou
2015: A general HJM framework for multiple yield curve modeling Downloads
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
2015: Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia Downloads
Carol Alexander and Johannes Rauch
2015: Arbitrage of the first kind and filtration enlargements in semimartingale financial models Downloads
Beatrice Acciaio, Claudio Fontana and Constantinos Kardaras
2015: Pathwise stochastic integrals for model free finance Downloads
Nicolas Perkowski and David J. Pr\"omel
2015: Smooth solutions to portfolio liquidation problems under price-sensitive market impact Downloads
Paulwin Graewe, Ulrich Horst and Eric S\'er\'e
2015: A Robust Version of Convex Integral Functionals Downloads
Keita Owari
2015: A convolution method for numerical solution of backward stochastic differential equations Downloads
Cody Blaine Hyndman and Polynice Oyono Ngou
2015: The General Structure of Optimal Investment and Consumption with Small Transaction Costs Downloads
Jan Kallsen and Johannes Muhle-Karbe
2015: Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters Downloads
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2015: Role of non-timber forest products in sustaining forest-based livelihoods and rural households' resilience capacity in and around protected area- a Bangladesh study Downloads
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2015: Effects of polynomial trends on detrending moving average analysis Downloads
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2015: Estimation of connectivity measures in gappy time series Downloads
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2015: Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model Downloads
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2015: Thermodynamics of firms' growth Downloads
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2015: Generalization of the Aoki-Yoshikawa sectoral productivity model based on extreme physical information principle Downloads
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2015: The Social Cost of Carbon with Economic and Climate Risks Downloads
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2015: Testing the performance of technical trading rules in the Chinese market Downloads
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2015: Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process Downloads
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2015: Forecasting the term structure of crude oil futures prices with neural networks Downloads
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2015: Time-consistency of risk measures with GARCH volatilities and their estimation Downloads
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2015: Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs Downloads
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2015: A Posteriori Error Estimator for a Front-Fixing Finite Difference Scheme for American Options Downloads
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2015: Estimating the Algorithmic Complexity of Stock Markets Downloads
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2015: Profitability of simple technical trading rules of Chinese stock exchange indexes Downloads
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2015: The Equilibrium Statistical Model of Economic Systems using Concepts and Theorems of Statistical Physics Downloads
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2015: Forecasting trends with asset prices Downloads
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2015: Switching-GAS Copula Models for Systemic Risk Assessment Downloads
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2015: Pathwise super-replication via Vovk's outer measure Downloads
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2015: Random Time Forward Starting Options Downloads
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2015: Systemic trade-risk of critical resources Downloads
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2015: Computing trading strategies based on financial sentiment data using evolutionary optimization Downloads
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2015: Liquidity crises on different time scales Downloads
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2015: Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis Downloads
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2015: Sensitivity analysis for expected utility maximization in incomplete brownian market models Downloads
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2015: Empirical Relevance of Ambiguity in First Price Auction Models Downloads
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2015: Application of the war of attrition game to the analysis of intellectual property disputes Downloads
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2015: Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces Downloads
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2015: Exploring multi-layer flow network of international trade based on flow distances Downloads
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2015: Agent-based model with multi-level herding for complex financial systems Downloads
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2015: Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting Downloads
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2015: Application of Operator Splitting Methods in Finance Downloads
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2015: Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123 Downloads
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2015: Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations Downloads
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2015: Simulation of Implied Volatility Surfaces via Tangent Levy Models Downloads
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2015: Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices Downloads
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2015: The Martin Integral Representation of Markovian Pricing Kernels Downloads
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2015: A Unified Approach to Systemic Risk Measures via Acceptance Sets Downloads
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2015: Measures of Systemic Risk Downloads
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2015: Interactions between financial and environmental networks in OECD countries Downloads
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2015: Non-concave utility maximisation on the positive real axis in discrete time Downloads
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2015: A note on the spot-forward no-arbitrage relations in a trading-production model for commodities Downloads
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2015: Accounting for Earnings Announcements in the Pricing of Equity Options Downloads
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2015: Visualizing the Invisible Hand of Markets: Simulating complex dynamic economic interactions Downloads
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2015: Conditional Analysis and a Principal-Agent problem Downloads
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2015: An expansion in the model space in the context of utility maximization Downloads
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2015: Hedging Conditional Value at Risk with Options Downloads
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2015: On the optimal exercise boundaries of swing put options Downloads
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2015: Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns Downloads
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2015: Inverse Optimal Stopping Downloads
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2015: Local times for typical price paths and pathwise Tanaka formulas Downloads
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2015: An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients Downloads
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2015: Leveraged {ETF} implied volatilities from {ETF} dynamics Downloads
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2015: An importance sampling approach for copula models in insurance Downloads
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2015: General indifference pricing with small transaction costs Downloads
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2015: What is the best risk measure in practice? A comparison of standard measures Downloads
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2015: Option pricing and hedging with execution costs and market impact Downloads
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2015: On hedging American options under model uncertainty Downloads
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2015: On an Optimal Stopping Problem of an Insider Downloads
Erhan Bayraktar and Zhou Zhou
2015: Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets Downloads
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2015: Large liquidity expansion of super-hedging costs Downloads
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2015: A mathematical treatment of bank monitoring incentives Downloads
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2015: Robust utility maximization in non-dominated models with 2BSDEs Downloads
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2015: IMEX schemes for a Parabolic-ODE system of European Options with Liquidity Shocks Downloads
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2015: Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints Downloads
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2015: Dynkin Game of Convertible Bonds and Their Optimal Strategy Downloads
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2015: Dynamic Games with Almost Perfect Information Downloads
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2015: Prices of Options as Opinion Dynamics of the Market Players with Limited Social Influence Downloads
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2015: Dynamic indifference pricing via the G-expectation Downloads
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2015: Local risk-minimization for Barndorff-Nielsen and Shephard models Downloads
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2015: New class of distortion risk measures and their tail asymptotics with emphasis on VaR Downloads
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2015: East africa in the Malthusian trap? A statistical analysis of financial, economic, and demographic indicators Downloads
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2015: About the decomposition of pricing formulas under stochastic volatility models Downloads
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2015: Observability of Market Daily Volatility Downloads
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2015: A Robust Statistics Approach to Minimum Variance Portfolio Optimization Downloads
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2015: Sensitivity and Computational Complexity in Financial Networks Downloads
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2015: Network formation with value heterogeneity: centrality, segregation and adverse effects Downloads
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2015: A study of co-movements between USA and Latin American stock markets: a cross-bicorrelations perspective Downloads
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2015: Measuring Systemic Risk: Robust Ranking Techniques Approach Downloads
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2015: Insights in Economical Complexity in Spain: the hidden boost of migrants in international tradings Downloads
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2015: Principal Components Analysis for Semi-Martingales and Stochastic PDE Downloads
Alberto Ohashi and Alexandre B Simas
2015: Risk Sensitive Control of the Lifetime Ruin Problem Downloads
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2015: Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion Downloads
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2015: Club Convergence of House Prices: Evidence from China's Ten Key Cities Downloads
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2015: Almost-sure hedging with permanent price impact Downloads
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2015: The Principal-Agent Problem With Time Inconsistent Utility Functions Downloads
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2015: ON Integrated Chance Constraints in ALM for Pension Funds Downloads
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2015: Re-visiting the Distance Coefficient in Gravity Model Downloads
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2015: Pricing of Warrants with Stock Price Dependent Threshold Conditions Downloads
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2015: Tornadoes and related damage costs: statistical modeling with a semi-Markov approach Downloads
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2015: The affine inflation market models Downloads
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2015: From anti-conformism to extremism Downloads
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2015: A dynamic game on Green Supply Chain Management Downloads
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2015: Optimal risk allocation in a market with non-convex preferences Downloads
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2015: Measuring switching processes in financial markets with the Mean-Variance spin glass approach Downloads
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2015: L\'evy Processes For Finance: An Introduction In R Downloads
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2015: Numerical approximations for Heston-Hull-White type models Downloads
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2015: Profitable forecast of prices of stock options on real market data via the solution of an ill-posed problem for the Black-Scholes equation Downloads
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2015: Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets Downloads
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2015: Symmetry structure and solution of evolution-type equations with time dependent parameters in financial Mathematics Downloads
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2015: Negative Dependence Concept in Copulas and the Marginal Free Herd Behavior Index Downloads
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2015: Some new results on Dufffie-type OTC markets Downloads
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2015: Cournot Games with Uncertainty: Coalitions, Competition, and Efficiency Downloads
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2015: Detecting and interpreting distortions in hierarchical organization of complex time series Downloads
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2015: Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case Downloads
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2015: Compounding approach for univariate time series with non-stationary variances Downloads
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2015: A generic model for spouse's pensions with a view towards the calculation of liabilities Downloads
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2015: Game-theoretic approach to risk-sensitive benchmarked asset management Downloads
Amogh Deshpande and Saul D. Jacka
2015: A Quantization Approach to the Counterparty Credit Exposure Estimation Downloads
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2015: Understanding Financial Market States Using Artificial Double Auction Market Downloads
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2015: Affine LIBOR models driven by real-valued affine processes Downloads
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2015: Influence network in Chinese stock market Downloads
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2015: Leveraging the network: a stress-test framework based on DebtRank Downloads
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2015: Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example Downloads
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2015: State and group dynamics of world stock market by principal component analysis Downloads
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2015: An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab Downloads
Ricardo Crisostomo
2015: Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps Downloads
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2015: Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates Downloads
Andrei Cozma and Christoph Reisinger
2015: Adaptive Market Efficiency of Agricultural Commodity Futures Contracts Downloads
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2015: Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange Downloads
Mitsuaki Murota and Jun-ichi Inoue
2015: A fully consistent, minimal model for non-linear market impact Downloads
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2015: Portfolio Selection with Multiple Spectral Risk Constraints Downloads
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2015: Sudden Trust Collapse in Networked Societies Downloads
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2015: Near-optimal estimation of jump activity in semimartingales Downloads
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2015: Contagion in an interacting economy Downloads
Pierre Paga and Reimer K\"uhn
2015: Stochastic Perron for Stochastic Target Games Downloads
Erhan Bayraktar and Jiaqi Li
2015: On the role of F\"ollmer-Schweizer minimal martingale measure in Risk Sensitive control Asset Management Downloads
Amogh Deshpande
2015: Density of Skew Brownian motion and its functionals with application in finance Downloads
Alexander Gairat and Vadim Shcherbakov
2015: Moral Hazard in Dynamic Risk Management Downloads
Jak\v{s}a Cvitani\'c, Dylan Possama\"i and Nizar Touzi
2015: The limits of statistical significance of Hawkes processes fitted to financial data Downloads
Mehdi Lallouache and Damien Challet
2015: Notes on Alpha Stream Optimization Downloads
Zura Kakushadze
2015: Phynance Downloads
Zura Kakushadze
2015: Maximum drawdown, recovery and momentum Downloads
Jaehyung Choi
2015: On the Hawkes Process with Different Exciting Functions Downloads
Behzad Mehrdad and Lingjiong Zhu
2015: Trading with Small Price Impact Downloads
Ludovic Moreau, Johannes Muhle-Karbe and H. Mete Soner
2015: On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints Downloads
Erhan Bayraktar and Zhou Zhou
2015: Optimal allocation of wealth for two consuming agents sharing a portfolio Downloads
Oumar Mbodji, Adrien Nguyen Huu and Traian A. Pirvu
2015: Asymptotic distribution of the Markowitz portfolio Downloads
Steven E. Pav
2015: Limit theorems for nearly unstable Hawkes processes Downloads
Thibault Jaisson and Mathieu Rosenbaum
2015: Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions Downloads
Helena Jasiulewicz and Wojciech Kordecki
2015: Arbitrage and duality in nondominated discrete-time models Downloads
Bruno Bouchard and Marcel Nutz
2015: Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model Downloads
Jos\'{e} E. Figueroa-L\'{o}pez, Ruoting Gong and Christian Houdr\'{e}
2015: Impact of time illiquidity in a mixed market without full observation Downloads
Salvatore Federico, Paul Gassiat and Fausto Gozzi
2015: Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model Downloads
Gechun Liang, Eva L\"utkebohmert and Wei Wei
2015: Forest Fire Model as a Supercritical Dynamic Model in Financial Systems Downloads
Deokjae Lee, Jae-Young Kim, Jeho Lee and B. Kahng
2015: Metabolic paths in world economy and crude oil price Downloads
Francesco Picciolo, Andreas Papandreou and Franco Ruzzenenti
2015: Error analysis in Fourier methods for option pricing Downloads
Fabi\'an Crocce, Juho H\"app\"ol\"a, Jonas Kiessling and Ra\'ul Tempone
2015: Developing Knowledge States: Technology and the Enhancement of National Statistical Capacity Downloads
Derrick M. Anderson and Andrew B. Whitford
2015: Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity Downloads
Tihomir Gyulov and Lyuben Valkov
2015: Dynamics of quasi-stationary systems: Finance as an example Downloads
Philip Rinn, Yuriy Stepanov, Joachim Peinke, Thomas Guhr and Rudi Sch\"afer
2015: Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments Downloads
Stephane Crepey, Andrea Macrina, Tuyet Mai Nguyen and David Skovmand
2015: Estimation of Several Political Action Effects of Energy Prices Downloads
Andrew B. Whitford
2015: A Framework for Modeling Bounded Rationality: Mis-specified Bayesian-Markov Decision Processes Downloads
Ignacio Esponda and Demian Pouzo
2015: International R&D Spillovers and other Unobserved Common Spillovers and Shocks Downloads
Diego-Ivan Ruge-Leiva
2015: Rotational invariant estimator for general noisy matrices Downloads
Jo\"el Bun, Romain Allez, Jean-Philippe Bouchaud and Marc Potters
2015: Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes Downloads
Florian Ziel
2015: Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators Downloads
Antonio Dalessandro and Gareth W. Peters
2015: Contour map of estimation error for Expected Shortfall Downloads
Imre Kondor, Fabio Caccioli, G\'abor Papp and Matteo Marsili
2015: Threadneedle: An Experimental Tool for the Simulation and Analysis of Fractional Reserve Banking Systems Downloads
Jacky Mallett
2015: Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis Downloads
Maxim Bichuch, Agostino Capponi and Stephan Sturm
2015: Robust Utility Maximization with L\'evy Processes Downloads
Ariel Neufeld and Marcel Nutz
2015: Stock market comovements: nonlinear approach for 48 countries Downloads
Paulo Ferreira, Andreia Dion\'isio and S. M. S. Movahed
2015: One-Shot Bargaining Mechanisms Downloads
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2015: Identification of Atlas models Downloads
Robert Fernholz
2015: A dynamic optimal execution strategy under stochastic price recovery Downloads
Masashi Ieda
2015: Non Parametric Estimates of Option Prices Using Superhedging Downloads
Gianluca Cassese
2015: Stationary distribution of the volume at the best quote in a Poisson order book model Downloads
Ioane Muni Toke
2015: Asymptotic indifference pricing in exponential L\'evy models Downloads
Cl\'ement M\'enass\'e and Peter Tankov
2015: Mass at zero and small-strike implied volatility expansion in the SABR model Downloads
Archil Gulisashvili, Blanka Horvath and Antoine Jacquier
2015: Learning and Portfolio Decisions for HARA Investors Downloads
Michele Longo and Alessandra Mainini
2015: Consistent Recalibration of Yield Curve Models Downloads
Philipp Harms, David Stefanovits, Josef Teichmann and Mario W\"uthrich
2015: Dark-Pool Perspective of Optimal Market Making Downloads
M. Alessandra Crisafi and Andrea Macrina
2015: The Robust Merton Problem of an Ambiguity Averse Investor Downloads
Sara Biagini and Mustafa Pinar
2015: The pricing of lookback options and binomial approximation Downloads
Karl Grosse-Erdmann and Fabien Heuwelyckx
2015: Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities Downloads
Dimitri Ledenyov and Viktor Ledenyov
2015: Optimal portfolio with unobservable market parameters and certainty equivalence principle Downloads
Nikolai Dokuchaev
2015: Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process Downloads
Tatiana Belkina and Shangzhen Luo
2015: Systemic Risk with Exchangeable Contagion: Application to the European Banking System Downloads
Umberto Cherubini and Sabrina Mulinacci
2015: Archimedean-based Marshall-Olkin Distributions and Related Copula Functions Downloads
Sabrina Mulinacci
2015: Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model Downloads
Frederik Meudt, Thilo A. Schmitt, Rudi Sch\"afer and Thomas Guhr
2015: A Directional Multivariate Value at Risk Downloads
Ra\'ul Torres, Rosa E. Lillo and Henry Laniado
2015: A New Methodology for Estimating Internal Credit Risk and Bankruptcy Prediction under Basel II Regime Downloads
M. Naresh Kumar and V. Sree Hari Rao
2015: An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions Downloads
Eric Dahlgren and Tim Leung
2015: How volatilities nonlocal in time affect the price dynamics in complex financial systems Downloads
Lei Tan, Bo Zheng, Jun-Jie Chen and Xiong-Fei Jiang
2015: On the multiplicative effect of government spending (or any other spending for that matter) Downloads
Jo\~ao P. da Cruz
2015: Quasi-Centralized Limit Order Books Downloads
Martin D. Gould, Mason A. Porter and Sam D. Howison
2015: An equilibrium model for spot and forward prices of commodities Downloads
Michail Anthropelos, Michael Kupper and Antonis Papapantoleon
2015: Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties Downloads
Tim Leung and Yoshihiro Shirai
2015: Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components Downloads
Ladislav Krištoufek
2015: Direct Foreign Investment in Kurdistan Region of Middle-East: Non-Oil Sector Analysis Downloads
Angus O. Unegbu and Augustine Okanlawon
2015: Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples Downloads
Maxim Bichuch, Agostino Capponi and Stephan Sturm
2015: Toward robust early-warning models: A horse race, ensembles and model uncertainty Downloads
Markus Holopainen and Peter Sarlin
2015: Optional Decomposition for continuous semimartingales under arbitrary filtrations Downloads
Ioannis Karatzas and Constantinos Kardaras
2015: Community detection in temporal multilayer networks, and its application to correlation networks Downloads
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2015: Nonlinear GARCH model and 1/f noise Downloads
Aleksejus Kononovicius and Julius Ruseckas
2015: Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA Downloads
Giovanni Mottola
2015: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models Downloads
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2015: VWAP Execution as an Optimal Strategy Downloads
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2015: Diversification and Endogenous Financial Networks Downloads
Jean-Cyprien H\'eam and Erwan Koch
2015: Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty Downloads
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Tim Leung and Brian Ward
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Neil Shephard and Justin J. Yang
2015: Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA Downloads
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H. R. N. van Erp, R. O. Linger and P. H. A. J. M. van Gelder
2015: Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks Downloads
Benjamin Vandermarliere, Alexei Karas, Jan Ryckebusch and Koen Schoors
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Mireille Bossy, Nadia Maizi and Odile Pourtallier
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Chris Kenyon and Andrew Green
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2015: On the properties of nodal price response matrix in electricity markets Downloads
Vadim Borokhov
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2015: Trajectory Based Models, Arbitrage and Continuity Downloads
Alexander Alvarez and Sebastian Ferrando
2015: Asymptotic Glosten Milgrom equilibrium Downloads
Cheng Li and Hao Xing
2015: Complexity, economic science and possible economic benefits of climate change mitigation policy Downloads
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2015: High frequency trading and asymptotics for small risk aversion in a Markov renewal model Downloads
Pietro Fodra and Huy\^en Pham
2015: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions Downloads
Paulwin Graewe, Ulrich Horst and Jinniao Qiu
2015: Different Cost Performance: Different Determinants? The Case of Cost Overruns in Dutch Transportation Infrastructure Projects Downloads
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2015: Characteristics of Cost Overruns for Dutch Transport Infrastructure Projects and the Importance of the Decision to Build and Project Phases Downloads
Chantal C. Cantarelli, Eric J. E. Molin, Bert van Wee and Bent Flyvbjerg
2015: A comparison of techniques for dynamic multivariate risk measures Downloads
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2015: On an integral equation for the free-boundary of stochastic, irreversible investment problems Downloads
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2015: Valuation of asset and volatility derivatives using decoupled time-changed L\'evy processes Downloads
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