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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 E. Platen
2017: Property Safety Stock Policy for Correlated Commodities Based on Probability Inequality Downloads
Takashi Shinzato
2017: Serially Nested CES General Equilibrium Downloads
Satoshi Nakano and Kazuhiko Nishimura
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: Optimal liquidation in a Level-I limit order book for large tick stocks Downloads
Antoine Jacquier and Hao Liu
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: 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: Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions Downloads
J. D. Opdyke
2017: Mixture Diffusion for Asset Pricing Downloads
Xin Liu
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: 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: Optimal market making Downloads
Olivier Gu\'eant
2017: Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance Downloads
Thibaut Lux and Antonis Papapantoleon
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: 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: 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: Stock price direction prediction by directly using prices data: an empirical study on the KOSPI and HSI Downloads
Yanshan Wang
2017: Deriving Derivatives Downloads
Andrei N. Soklakov
2017: General Smooth Solutions to the HJB PDE: Applications to Finance Downloads
Moawia Alghalith
2016: Quantum Econophysics Downloads
Esteban Guevara Hidalgo
2016: The Why of the Applicability of Statistical Physics to Economics Downloads
Esteban Guevara Hidalgo
2016: Mathematical models describing the effects of different tax evasion behaviors Downloads
M. L. Bertotti and G. Modanese
2016: Sur la d\'ecomposabilit\'e empirique des indicateurs de pauvret\'e Downloads
Gane Samb Lo and Cheikh Mohamed Haidara
2016: Multinomial method for option pricing under Variance Gamma Downloads
Nicola Cantarutti and Jo\~ao Guerra
2016: Numerical analysis of an extended structural default model with mutual liabilities and jump risk Downloads
Vadim Kaushansky, Alexander Lipton and Christoph Reisinger
2016: A Theory of Experience Effects Downloads
Ulrike Malmendier, Demian Pouzo and Vicotria Vanasco
2016: The Industry Supply Function and the Long-Run Competitive Equilibrium with Heterogeneous Firms Downloads
Ignacio Esponda and Demian Pouzo
2016: A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility Downloads
Javier de Frutos and Victor Gaton
2016: The Random Walk behind Volatility Clustering Downloads
Sabiou Inoua
2016: Global economic dynamics of the forthcoming years. A forecast Downloads
Askar Akaev and Andrey Korotayev
2016: A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing Downloads
Johannes Muhle-Karbe and Marcel Nutz
2016: Population and trends in the global mean temperature Downloads
Richard Tol
2016: Pointwise dual representation of dynamic convex expectations Downloads
Daniel Bartl
2016: Pricing of Asian-type and Basket Options via Upper and Lower Bounds Downloads
Alexander Novikov, Scott Alexander, Nino Kordzakhia and Timothy Ling
2016: Speculation and Power Law Downloads
Sabiou Inoua
2016: Crisis' Heritage Management - New Business Opportunities Out of the Financial Collapse Downloads
Hristian Daskalov
2016: A Proposal to Extend Expected Utility in a Quantum Probabilistic Framework Downloads
Diederik Aerts, Emmanuel Haven and Sandro Sozzo
2016: Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures Downloads
Richard Gerlach and Chao Wang
2016: Understanding the Impacts of Dark Pools on Price Discovery Downloads
Linlin Ye
2016: A Generalized Population Dynamics Model of a City and an Algorithm for Engineering Regime Shifts Downloads
James PL Tan
2016: The prevalence of chaotic dynamics in games with many players Downloads
James B. T. Sanders, J. Doyne Farmer and Tobias Galla
2016: Economic Accelerator with Memory: Discrete Time Approach Downloads
Valentina V. Tarasova and Vasily E. Tarasov
2016: Long and Short Memory in Economics: Fractional-Order Difference and Differentiation Downloads
Vasily E. Tarasov and Valentina V. Tarasova
2016: How fast does the clock of Finance run? - A time-definition enforcing scale invariance Downloads
Michele Caraglio, Fulvio Baldovin and Attilio L. Stella
2016: Cross-impact and no-dynamic-arbitrage Downloads
Michael Schneider and Fabrizio Lillo
2016: Pointwise Arbitrage Pricing Theory in Discrete Time Downloads
Matteo Burzoni, Marco Frittelli, Zhaoxu Hou, Marco Maggis and Jan Ob{\l}\'oj
2016: Rating evaluation of sports development efficiency using statistical analysis: evidence from Russian football Downloads
Ilya Solntsev, Anatoly Vorobyev, Elnura Irmatova and Nikita Osokin
2016: Leverage and Uncertainty Downloads
Mihail Turlakov
2016: Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits Downloads
Claudia Kl\"uppelberg and Miriam Isabel Seifert
2016: Analytic solution to variance optimization with no short-selling Downloads
Imre Kondor, G\'abor Papp and Fabio Caccioli
2016: Pricing Derivatives in Hermite Markets Downloads
Svetlozar T. Rachev, Stefan Mittnik and Frank J. Fabozzi
2016: Currency option pricing in the time-changed fractional Brownian motion under transaction costs Downloads
Foad Shokrollahi
2016: The Impact of Negative Interest Rates on Optimal Capital Injections Downloads
Julia Eisenberg and Paul Kr\"uhner
2016: Shot-Noise Processes in Finance Downloads
Thorsten Schmidt
2016: Panel dataset description for econometric analysis of the ISP-OTT relationship in the years 2008-2013 Downloads
Chiara Perillo, Angelos Antonopoulos and Christos Verikoukis
2016: Quantifying Retail Agglomeration using Diverse Spatial Data Downloads
Duccio Piovani, Vassilis Zachariadis and Michael Batty
2016: The Topology of Inter-industry Relations from the Portuguese National Accounts Downloads
Tanya Ara\'ujo and Rui Faustino
2016: The Blockchain: A Gentle Four Page Introduction Downloads
Jan Hendrik Witte
2016: Does Trump's election victory divide US stock market into winners and losers? Downloads
Jamal Bouoiyour and Refk Selmi
2016: A Markovian Model of the Evolving World Input-Output Network Downloads
Vahid Moosavi
2016: Optimal Investment under Information Driven Contagious Distress Downloads
Lijun Bo and Agostino Capponi
2016: Should we opt for the Black Friday discounted price or wait until the Boxing Day? Downloads
Jiang Wu and Ricardas Zitikis
2016: BSDEs with default jump Downloads
Roxana Dumitrescu, Marie-Claire Quenez and Agn\`es Sulem
2016: Extreme prices in electricity balancing markets from an approach of statistical physics Downloads
Mario Mureddu and Hildegard Meyer-Ortmanns
2016: Stratified regression-based variance reduction approach for weak approximation schemes Downloads
Denis Belomestny, Stefan H\"afner and Mikhail Urusov
2016: Stylized Facts and Simulating Long Range Financial Data Downloads
Laurie Davies and Walter Kr\"amer
2016: European banking supervision, the role of stress test. Some brief considerations Downloads
Simone Manduchi
2016: Predictability Hidden by Anomalous Observations Downloads
Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani
2016: Dynamic Modeling of Price Responsive Demand in Real-time Electricity Market: Empirical Analysis Downloads
Jaeyong An, P. R. Kumar and Le Xie
2016: A diagnostic criterion for approximate factor structure Downloads
Patrick Gagliardini, Elisa Ossola and Olivier Scaillet
2016: Agent-based Model for Spot and Balancing Electricity Markets Downloads
Florian K\"uhnlenz and Pedro H. J. Nardelli
2016: Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations Downloads
Jos\'e E. Figueroa-L\'opez and Cheng Li
2016: Dynamic Convex Duality in Constrained Utility Maximization Downloads
Yusong Li and Harry Zheng
2016: S&P500 Forecasting and Trading using Convolution Analysis of Major Asset Classes Downloads
Panagiotis Papaioannou, Thomas Dionysopoulos, Dietmar Janetzko and Constantinos Siettos
2016: The hierarchical generalized linear model and the bootstrap estimator of the error of prediction of loss reserves in a non-life insurance company Downloads
Alicja Wolny-Dominiak
2016: Fractal Optimization of Market Neutral Portfolio Downloads
Sergey Kamenshchikov and Ilia Drozdov
2016: Dual Moments and Risk Attitudes Downloads
Louis R. Eeckhoudt and Roger J. A. Laeven
2016: Parameter uncertainty and reserve risk under Solvency II Downloads
Andreas Fr\"ohlich and Annegret Weng
2016: Early exercise decision in American options with dividends, stochastic volatility and jumps Downloads
Antonio Cosma, Stefano Galluccio, Paola Pederzoli and Olivier Scaillet
2016: Risk averse fractional trading using the current drawdown Downloads
Stanislaus Maier-Paape
2016: Evaluating the Performance of ANN Prediction System at Shanghai Stock Market in the Period 21-Sep-2016 to 11-Oct-2016 Downloads
Barack Wamkaya Wanjawa
2016: Order statistics of horse racing and the randomly broken stick Downloads
Peter A. Bebbington and Julius Bonart
2016: Optimality of hybrid continuous and periodic barrier strategies in the dual model Downloads
Jos\'e-Luis P\'erez and Kazutoshi Yamazaki
2016: Game options with gradual exercise and cancellation under proportional transaction costs Downloads
Alet Roux and Tomasz Zastawniak
2016: Financial market with no riskless (safe) asset Downloads
Svetlozar Rachev and Frank Fabozzi
2016: Impossible Inference in Econometrics: Theory and Applications to Regression Discontinuity, Bunching, and Exogeneity Tests Downloads
Marinho Bertanha and Marcelo Moreira
2016: Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion Downloads
Y. S. Kim, S. Stoyanov, S. Rachev and F. Fabozzi
2016: Stability of calibration procedures: fractals in the Black-Scholes model Downloads
Yiran Cui, Sebastian del Bano Rollin and Guido Germano
2016: Universal Exponential Structure of Income Inequality: Evidence from 60 Countries Downloads
Yong Tao, Xiangjun Wu, Tao Zhou, Weibo Yan, Yanyuxiang Huang, Han Yu, Benedict Mondal and Victor M. Yakovenko
2016: A multi-asset investment and consumption problem with transaction costs Downloads
David Hobson, Alex S. L. Tse and Yeqi Zhu
2016: A Primer on Portfolio Choice with Small Transaction Costs Downloads
Johannes Muhle-Karbe, Max Reppen and H. Mete Soner
2016: Wavelet-based methods for high-frequency lead-lag analysis Downloads
Takaki Hayashi and Yuta Koike
2016: A Multifaceted Panel Data Gravity Model Analysis of Peru's Foreign Trade Downloads
Xu Wang and Ryan P. Badman
2016: A Model of Synchronization for Self-Organized Crowding Behavior Downloads
Jake J. Xia
2016: Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach Downloads
Tim Leung and Hyungbin Park
2016: How many market makers does a market need? Downloads
V\'it Per\v{z}ina and Jan M. Swart
2016: Measuring and Analyzing the Shares of Economic Growth Sources in the Mining Sector of Iran: A Neoclassical Growth Accounting Approach Downloads
Mahmood Mahmoudzadeh and Seyyed Ali Zeytoon Nejad Moosavian
2016: A New Set of Financial Instruments Downloads
Svetlozar, T. Rachev and Frank J. Fabozzi
2016: A Market Driver Volatility Model via Policy Improvement Algorithm Downloads
Jun Maeda and Saul D. Jacka
2016: Optimal consumption and investment under transaction costs Downloads
David Hobson, Alex S. L. Tse and Yeqi Zhu
2016: Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models Downloads
Maciej Balajewicz and Jari Toivanen
2016: Predicting the rise of right-wing populism in response to unbalanced immigration Downloads
Boris Podobnik, Marko Jusup and H. Eugene Stanley
2016: The Coconut Model with Heterogeneous Strategies and Learning Downloads
Sven Banisch and Eckehard Olbrich
2016: Portfolio choice under drift uncertainty: a Bayesian learning and stochastic optimal control approach Downloads
Olivier Gu\'eant and Jiang Pu
2016: Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks Downloads
Wen-Jie Xie, Ming-Xia Li, Hai-Chuan Xu, Wei Chen, Wei-Xing Zhou and H. E. Stanley
2016: Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals Downloads
Kensuke Ishitani
2016: Model-free bounds on Value-at-Risk using partial dependence information Downloads
Thibaut Lux and Antonis Papapantoleon
2016: Network reconstruction via density sampling Downloads
Tiziano Squartini, Giulio Cimini, Andrea Gabrielli and Diego Garlaschelli
2016: The Fatou Closedness under Model Uncertainty Downloads
Marco Maggis, Thilo Meyer-Brandis and Gregor Svindland
2016: Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency Downloads
Charles-Albert Lehalle and Othmane Mounjid
2016: Unit-linked life insurance policies: optimal hedging in partially observable market models Downloads
Claudia Ceci, Katia Colaneri and Alessandra Cretarola
2016: Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR) Downloads
Monica Billio, Roberto Casarin and Luca Rossini
2016: The Opium for the Poor Is Opium. Medicare Providers in States with Low Income Prescribe High Levels of Opiates Downloads
Eugen Tarnow
2016: Toward an integrated workforce planning framework using structured equations Downloads
Marie Doumic, Beno\^it Perthame, Edouard Ribes, Delphine Salort and Nathan Toubiana
2016: 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
2016: Incentivizing Resilience in Financial Networks Downloads
Matt V. Leduc and Stefan Thurner
2016: Model-free portfolio theory and its functional master formula Downloads
Alexander Schied, Leo Speiser and Iryna Voloshchenko
2016: The Problem of Calibrating a Simple Agent-Based Model of High-Frequency Trading Downloads
Donovan Platt and Tim Gebbie
2016: Distribution-Constrained Optimal Stopping Downloads
Erhan Bayraktar and Christopher W. Miller
2016: Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes Downloads
Milan Kumar Das, Anindya Goswami and Nimit Rana
2016: Descending Price Optimally Coordinates Search Downloads
Robert Kleinberg, Bo Waggoner and E. Glen Weyl
2016: On random convex analysis Downloads
Tiexin Guo, Erxin Zhang, Mingzhi Wu, Bixuan Yang, George Yuan and Xiaolin Zeng
2016: First Order BSPDEs: examples in higher dimension Downloads
Nikolai Dokuchaev
2016: Bank distress in the news: Describing events through deep learning Downloads
Samuel R\"onnqvist and Peter Sarlin
2016: Unbiased estimation of risk Downloads
Marcin Pitera and Thorsten Schmidt
2016: Economic and Technological Complexity: A Model Study of Indicators of Knowledge-based Innovation Systems Downloads
Inga Ivanova, Oivind Strand, Duncan Kushnir and Loet Leydesdorff
2016: Stock loans with liquidation Downloads
Parsiad Azimzadeh
2016: 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
2016: Trajectory based models. Evaluation of minmax pricing bounds Downloads
Ivan Degano, Sebastian Ferrando and Alfredo Gonzalez
2016: Mathematical Foundations of Realtime Equity Trading. Liquidity Deficit and Market Dynamics. Automated Trading Machines Downloads
Vladislav Gennadievich Malyshkin and Ray Bakhramov
2016: Universal portfolios in stochastic portfolio theory Downloads
Ting-Kam Leonard Wong
2016: Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model Downloads
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier and Gyula Pap
2016: One trade at a time -- unraveling the Equity Premium Puzzle Downloads
Andrei N. Soklakov
2016: Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods Downloads
Johan Dahlin, Mattias Villani and Thomas B. Sch\"on
2016: On a method of solving the Black-Scholes Equation Downloads
Binur Yermukanova, Laila Zhexembay and Natanael Karjanto
2016: A Markov model of a limit order book: thresholds, recurrence, and trading strategies Downloads
Frank Kelly and Elena Yudovina
2016: Bin Size Independence in Intra-day Seasonalities for Relative Prices Downloads
Esteban Guevara Hidalgo
2016: Randomized versions of Mazur lemma and Krein-Smulian theorem Downloads
Jose Miguel Zapata
2016: A multivariate model for financial indices and an algorithm for detection of jumps in the volatility Downloads
Mario Bonino, Matteo Camelia and Paolo Pigato
2016: Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2016: Matching distributions: Asset pricing with density shape correction Downloads
Jarno Talponen
2016: Additive versus multiplicative parameters - applications in economics and finance Downloads
Helena Jasiulewicz and Wojciech Kordecki
2016: Continuous-Time Random Walk with multi-step memory: An application to market dynamics Downloads
Tomasz Gubiec and Ryszard Kutner
2016: A market impact game under transient price impact Downloads
Alexander Schied and Tao Zhang
2016: Elasticity theory of structuring Downloads
Andrei N. Soklakov
2016: Common Markets, Strong Currencies & the Collective Welfare Downloads
Esteban Guevara Hidalgo
2016: Maximum Entropy, the Collective Welfare Principle and the Globalization Process Downloads
Esteban Guevara Hidalgo
2016: Choquet integral in decision analysis - lessons from the axiomatization Downloads
Mikhail Timonin
2016: Exploring the Uncharted Export: an Analysis of Tourism-Related Foreign Expenditure with International Spend Data Downloads
Michele Coscia, Ricardo Hausmann and Frank Neffke
2016: Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio Downloads
Christa Cuchiero, Walter Schachermayer and Ting-Kam Leonard Wong
2016: Portfolio optimization near horizon Downloads
Rohini Kumar and Hussein Nasralah
2016: Optimal stopping with f -expectations: the irregular case Downloads
Miryana Grigorova, Peter Imkeller, Youssef Ouknine and Marie-Claire Quenez
2016: Generalization of Doob Decomposition Theorem and Risk Assessment in Incomplete Markets Downloads
N. S. Gonchar
2016: Can Agent-Based Models Probe Market Microstructure? Downloads
Donovan Platt and Tim Gebbie
2016: Mean-Reverting Portfolio Design via Majorization-Minimization Method Downloads
Ziping Zhao and Daniel P. Palomar
2016: The 2015-2017 policy changes to the means-tests of Australian Age Pension: implication to decisions in retirement Downloads
Johan G. Andreasson and Pavel V. Shevchenko
2016: Multiple Time Series Ising Model for Financial Market Simulations Downloads
Tetsuya Takaishi
2016: The Markowitz Category Downloads
John Armstrong
2016: "Chaos" in energy futures markets: a controversial matter Downloads
Loretta Mastroeni and Pierluigi Vellucci
2016: Dynamical Stationarity as a Result of Sustained Random Growth Downloads
Tam\'as Bir\'o and Zolt\'an N\'eda
2016: Systemic Risk and Interbank Lending Downloads
Li-Hsien Sun
2016: Model reduction for calibration of American options Downloads
Olena Burkovska, Kathrin Glau, Mirco Mahlstedt and Barbara Wohlmuth
2016: Interplay between endogenous and exogenous fluctuations in financial markets Downloads
Vygintas Gontis
2016: Regression-based complexity reduction of the dual nested Monte Carlo methods Downloads
Denis Belomestny, Stefan H\"afner and Mikhail Urusov
2016: On convex functions on the duals of $\Delta_2$-Orlicz spaces Downloads
Freddy Delbaen and Keita Owari
2016: Calibration to American Options: Numerical Investigation of the de-Americanization Downloads
Olena Burkovska, Maximilian Ga{\ss}, Kathrin Glau, Mirco Mahlstedt, Wim Schoutens and Barbara Wohlmuth
2016: On the wavelets-based SWIFT method for backward stochastic differential equations Downloads
Ki Wai Chau and Cornelis W. Oosterlee
2016: Value-at-Risk Prediction in R with the GAS Package Downloads
David Ardia, Kris Boudt and Leopoldo Catania
2016: Random matrix approach to estimation of high-dimensional factor models Downloads
Joongyeub Yeo and George Papanicolaou
2016: Robust Trading of Implied Skew Downloads
Sergey Nadtochiy and Jan Obloj
2016: Analysis of Price and Income Elasticities of Energy Demand in Ecuador: A Dynamic OLS Approach Downloads
Kathia Pinz\'on
2016: Toward Economics as a New Complex System Downloads
Taisei Kaizoji
2016: Empirical analysis of daily cash flow time series and its implications for forecasting Downloads
Francisco Salas-Molina, Juan A. Rodr\'iguez-Aguilar, Joan Serr\`a and Francisco J. Martin
2016: The Asset Liability Management problem of a nuclear operator: a numerical stochastic optimization approach Downloads
Xavier Warin
2016: Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall Downloads
Marie Kratz, Yen H. Lok and Alexander J McNeil
2016: Predictable Forward Performance Processes: The Binomial Case Downloads
Bahman Angoshtari, Thaleia Zariphopoulou and Xun Yu Zhou
2016: Regularization and analytic option pricing under $\alpha$-stable distribution of arbitrary asymmetry Downloads
Jean-Philippe Aguilar, Cyril Coste, Hagen Kleinert and Jan Korbel
2016: How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation Downloads
Matteo Serri, Guido Caldarelli and Giulio Cimini
2016: Immediate price impact of a stock and its warrant: Power-law or logarithmic model? Downloads
Hai-Chuan Xu, Zhi-Qiang Jiang and Wei-Xing Zhou
2016: Time-varying return predictability in the Chinese stock market Downloads
Huai-Long Shi, Zhi-Qiang Jiang and Wei-Xing Zhou
2016: What do central counterparties default funds really cover? A network-based stress test answer Downloads
Giulia Poce, Giulio Cimini, Andrea Gabrielli, Andrea Zaccaria, Giuditta Baldacci, Marco Polito, Mariangela Rizzo and Silvia Sabatini
2016: Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience Downloads
Paulwin Graewe and Ulrich Horst
2016: Distributional Mellin calculus in $\mathbb{C}^n$, with applications to option pricing Downloads
Jean-Philippe Aguilar, Cyril Coste, Hagen Kleinert and Jan Korbel
2016: A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models Downloads
Maarten Wyns and Jacques Du Toit
2016: Unexpected Default in an Information Based Model Downloads
Matteo Ludovico Bedini, Rainer Buckdahn and Hans-J\"urgen Engelbert
2016: Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment Downloads
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2016: The missing assets and the size of Shadow Banking: an update Downloads
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2016: Application of the Generalized Linear Models in Actuarial Framework Downloads
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2016: Emerging interdependence between stock values during financial crashes Downloads
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2016: The Average-Marginal Relationship and Tractable Equilibrium Forms Downloads
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2016: Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous Volatility Downloads
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2016: Optimal shrinkage-based portfolio selection in high dimensions Downloads
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2016: An Equilibrium Model with Computationally Constrained Agents Downloads
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2016: EM Algorithm and Stochastic Control in Economics Downloads
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2016: `To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers Downloads
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2016: A fair monetization model to reconcile authors and consumers of intellectual property Downloads
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2016: International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints Downloads
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2016: Liquidity induced asset bubbles via flows of ELMMs Downloads
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2016: Revealing the Anatomy of Vote Trading Downloads
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2016: Sparse grid high-order ADI scheme for option pricing in stochastic volatility models Downloads
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2016: Naive Diversification Preferences and their Representation Downloads
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2016: Optimal portfolio selection under vanishing fixed transaction costs Downloads
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2016: LQG for portfolio optimization Downloads
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2016: Working Paper on Organizational Dynamics within Corporate Venture Capital Firms Downloads
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2016: Joint multifractal analysis based on wavelet leaders Downloads
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2016: Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function Downloads
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2016: Socio-economic inequality and prospects of institutional Econophysics Downloads
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2016: Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo Downloads
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2016: Option pricing in exponential L\'{e}vy models with transaction costs Downloads
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2016: Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids Downloads
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2016: Globalization Process in Emerging Capital Markets -- Lessons and Implications to China Downloads
Zichong Li and Pengyu Huang
2016: Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options Downloads
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2016: Gated Neural Networks for Option Pricing: Rationality by Design Downloads
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2016: Dissecting cross-impact on stock markets: An empirical analysis Downloads
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2016: Criteria for the Absence and Existence of Arbitrage in Multi- and Infinite-Dimensional Diffusion Markets Downloads
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2016: Securities Lending Strategies, Valuation of Term Loans using Option Theory Downloads
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2016: Non-Gaussian analytic option pricing: a closed formula for the L\'evy-stable model Downloads
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2016: Are Order Anticipation Strategies Harmful? A Theoretical Approach Downloads
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2016: Optimal Liquidation with Market Impact Across Multiple Venues & Stochastic Volatility Asymptotics Downloads
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2016: On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models Downloads
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2016: MPDATA Meets Black-Scholes: Derivative Pricing as a Transport Problem Downloads
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2016: Limit order trading with a mean reverting reference price Downloads
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2016: Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions Downloads
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2016: Optimal Resource Extraction in Regime Switching L\'evy Markets Downloads
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2016: Stochastic Effects in a Discretized Kinetic Model of Economic Exchange Downloads
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2016: Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models Downloads
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2016: Detecting a Structural Change in Functional Time Series Using Local Wilcoxon Statistic Downloads
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2016: Combining Dimension Reduction, Distance Measures and Covariance Downloads
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2016: Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment Downloads
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2016: Deviations in expected price impact for small transaction volumes under fee restructuring Downloads
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2016: Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances Downloads
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2016: Crunching Mortality and Life Insurance Portfolios with extended CreditRisk+ Downloads
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2016: Statistical mechanics of complex economies Downloads
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2016: Optimal Trading with Linear and (small) Non-Linear Costs Downloads
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2016: Intragroup transfers, intragroup diversification and their risk assessment Downloads
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2016: Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE Downloads
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2016: Optimal Investment with Transaction Costs under Cumulative Prospect Theory in Discrete Time Downloads
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2016: On the aggregation of experts' information in Bonus-Malus systems Downloads
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2016: LSV models with stochastic interest rates and correlated jumps Downloads
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2016: Magic points in finance: Empirical integration for parametric option pricing Downloads
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2016: Exchanging Goods Using Valuable Money Downloads
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2016: A Supermartingale Relation for Multivariate Risk Measures Downloads
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2016: Optimal Rebalancing Frequencies for Multidimensional Portfolios Downloads
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2016: Weakly chained matrices, policy iteration, and impulse control Downloads
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2016: Dynamics of multivariate default system in random environment Downloads
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2016: Liquidity Effects of Trading Frequency Downloads
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2016: A reduced-form model for level-1 limit order books Downloads
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2016: Estimation of integrated quadratic covariation with endogenous sampling times Downloads
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2016: Financial Contagion and Asset Liquidation Strategies Downloads
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2016: Introduction to Stochastic Differential Equations (SDEs) for Finance Downloads
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2016: Mass at zero in the uncorrelated SABR model and implied volatility asymptotics Downloads
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2016: Process-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems Downloads
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2016: The Futures Premium and Rice Market Efficiency in Prewar Japan Downloads
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2016: Smooth solutions to portfolio liquidation problems under price-sensitive market impact Downloads
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2016: Rough paths in idealized financial markets Downloads
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2016: The Influence of Collaboration in Procurement Relationships Downloads
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2016: The distribution dynamics of Carbon Dioxide Emission intensity across Chinese provinces: A weighted Approach Downloads
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2016: How do Chinese cities grow? A distribution dynamics approach Downloads
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2016: The demand for road transport in China: imposing theoretical regularity and flexible functional forms selection Downloads
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2016: China building energy consumption: definitions and measures from an operational perspective Downloads
Ling-Yun He and Wei Wei
2016: Are Chinese transport policies effective? A new perspective from direct pollution rebound effect, and empirical evidence from road transport sector Downloads
Lu-Yi Qiu and Ling-Yun He
2016: Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies Downloads
Tim Leung and Jamie Kang
2016: Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach Downloads
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2016: Effects of income redistribution on the evolution of cooperation in spatial public goods games Downloads
Zhenhua Pei, Baokui Wang and Jinming Du
2016: Optimal retirement income tontines Downloads
Moshe A. Milevsky and Thomas S. Salisbury
2016: Meta-CTA Trading Strategies based on the Kelly Criterion Downloads
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2016: Mean Field Game of Controls and An Application To Trade Crowding Downloads
Pierre Cardaliaguet and Charles-Albert Lehalle
2016: Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts Downloads
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2016: Long-range Correlation and Market Segmentation in Bond Market Downloads
Zhongxing Wang, Yan Yan and Xiaosong Chen
2016: Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure Downloads
Teh Raihana Nazirah Roslan, Wenjun Zhang and Jiling Cao
2016: Numerical study of splitting methods for American option valuation Downloads
Karel in 't Hout and Radoslav Valkov
2016: Managing Systemic Risk in Financial Networks Downloads
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou and Daniel Ritter
2016: Multifractal cross wavelet analysis Downloads
Zhi-Qiang Jiang, Wei-Xing Zhou and H. Eugene Stanley
2016: Understanding the Tracking Errors of Commodity Leveraged ETFs Downloads
Kevin Guo and Tim Leung
2016: Equitable retirement income tontines: Mixing cohorts without discriminating Downloads
M. A. Milevsky and T. S. Salisbury
2016: Calls, zonoids, peacocks and log-concavity Downloads
Michael R. Tehranchi
2016: Optimal Shrinkage Estimator for High-Dimensional Mean Vector Downloads
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2016: Super-Replication with Fixed Transaction Costs Downloads
Peter Bank and Yan Dolinsky
2016: Robust Utility Maximization in Discrete-Time Markets with Friction Downloads
Ariel Neufeld and Mario Sikic
2016: Model-independent pricing with insider information: a Skorokhod embedding approach Downloads
Beatrice Acciaio, Alexander M. G. Cox and Martin Huesmann
2016: On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models Downloads
Takuji Arai and Yuto Imai
2016: Theory of earthquakes interevent times applied to financial markets Downloads
Maciej Jagielski, Ryszard Kutner and Didier Sornette
2016: Income and wealth distribution of the richest Norwegian individuals: An inequality analysis Downloads
Maciej Jagielski, Kordian Czy\.zewski, Ryszard Kutner and H. Eugene Stanley
2016: Asymptotics for rough stochastic volatility models Downloads
Martin Forde and Hongzhong Zhang
2016: Agnostic Risk Parity: Taming Known and Unknown-Unknowns Downloads
Raphael Benichou, Yves Lemp\'eri\`ere, Emmanuel S\'eri\'e, Julien Kockelkoren, Philip Seager, Jean-Philippe Bouchaud and Marc Potters
2016: The dual representation problem of risk measures Downloads
Niushan Gao, Denny H. Leung and Foivos Xanthos
2016: Intrinsic risk measures Downloads
W. Farkas and A. Smirnow
2016: Equity Market Impact Modeling: an Empirical Analysis for Chinese Market Downloads
Shiyu Han, Lan Wu and Yuan Cheng
2016: On exponential functionals of processes with independent increments Downloads
Paavo Salminen and L Vostrikova
2016: $\kappa$-generalized models of income and wealth distributions: A survey Downloads
Fabio Clementi, Mauro Gallegati, G. Kaniadakis and S. Landini
2016: Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point Downloads
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2016: Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio Downloads
Ankush Agarwal and Ronnie Sircar
2016: Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations Downloads
Jaroslaw Kwapien, Pawel Oswiecimka, Marcin Forczek and Stanislaw Drozdz
2016: Short term prediction of extreme returns based on the recurrence interval analysis Downloads
Zhi-Qiang Jiang, Gang-Jin Wang, Askery Canabarro, Boris Podobnik, Chi Xie, H. Eugene Stanley and Wei-Xing Zhou
2016: Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics Downloads
Tim Leung and Zheng Wang
2016: Cleaning large correlation matrices: tools from random matrix theory Downloads
Jo\"el Bun, Jean-Philippe Bouchaud and Marc Potters
2016: Efficient Simulation Method for Dynamic Portfolio Selection with Transaction Cost, Liquidity Cost and Market Impact Downloads
Rongju Zhang, Nicolas Langren\'e, Yu Tian, Zili Zhu, Fima Klebaner and Kais Hamza
2016: Population growth, interest rate, and housing tax in the transitional China Downloads
Ling-Yun He and Xing-Chun Wen
2016: The asset price bubbles in emerging financial markets: a new statistical approach Downloads
Shu-Peng Chen and Ling-Yun He
2016: Asymptotic of Non-Crossings probability of Additive Wiener Fields Downloads
Pingjin Deng
2016: Techniques for multifractal spectrum estimation in financial time series Downloads
Petr Jizba and Jan Korbel
2016: Robust Markowitz mean-variance portfolio selection under ambiguous volatility and correlation Downloads
Amine Ismail and Huy\^en Pham
2016: Centrality measures in networks based on nodes attributes, long-range interactions and group influence Downloads
F. Aleskerov, N. Meshcheryakova and S. Shvydun
2016: Approximate pricing of European and Barrier claims in a local-stochastic volatility setting Downloads
Weston Barger and Matthew Lorig
2016: Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques Downloads
A. Belenky and L. Egorova
2016: Price Dynamics Via Expectations, and the Role of Money Therein Downloads
Gesine A. Steudle, Saini Yang and Carlo C. Jaeger
2016: Generalization error minimization: a new approach to model evaluation and selection with an application to penalized regression Downloads
Ning Xu, Jian Hong and Timothy Fisher
2016: Detection of intensity bursts using Hawkes processes: an application to high frequency financial data Downloads
Marcello Rambaldi, Vladimir Filimonov and Fabrizio Lillo
2016: Urban-rural gap and poverty traps in China: A prefecture level analysis Downloads
Jian-Xin Wu and Ling-Yun He
2016: An explicit formula for optimal portfolios in complete Wiener driven markets: a functional It\^o calculus approach Downloads
Kristoffer Lindensj\"o
2016: Uncertainty Estimates in the Heston Model via Fisher Information Downloads
Oliver Pfante and Nils Bertschinger
2016: Time-Varying Comovement of Foreign Exchange Markets Downloads
Mikio Ito, Akihiko Noda and Tatsuma Wada
2016: Time value of extra information against its timely value Downloads
N. Serhan Aydin
2016: Optimal Consumption and Investment with Fixed and Proportional Transaction Costs Downloads
Albert Altarovici, Max Reppen and H. Mete Soner
2016: A framework for analyzing contagion in assortative banking networks Downloads
Thomas R. Hurd, James P. Gleeson and Sergey Melnik
2016: On Origins of Bubbles Downloads
Zura Kakushadze
2016: Epidemics of Liquidity Shortages in Interbank Markets Downloads
Giuseppe Brandi, Riccardo Di Clemente and Giulio Cimini
2016: Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model Downloads
R\'uben Sousa, Ana Bela Cruzeiro and Manuel Guerra
2016: Option pricing with Legendre polynomials Downloads
Julien Hok
2016: Dependent Defaults and Losses with Factor Copula Models Downloads
Damien Ackerer and Thibault Vatter
2016: Constrained Optimal Transport Downloads
Ibrahim Ekren and H. Mete Soner
2016: Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models Downloads
Francisco Blasques, P Gorgi, Siem Jan Koopman and O Wintenberger
2016: Volatility Smile as Relativistic Effect Downloads
Zura Kakushadze
2016: Multiple risk factor dependence structures: Copulas and related properties Downloads
Jianxi Su and Edward Furman
2016: Efficient Valuation of SCR via a Neural Network Approach Downloads
Seyed Amir Hejazi and Kenneth R. Jackson
2016: Trading against disorderly liquidation of a large position under asymmetric information and market impact Downloads
Caroline Hillairet, Cody Hyndman, Ying Jiao and Renjie Wang
2016: The Cross-section of Expected Returns on Penny Stocks: Are Low-hanging Fruits Not-so Sweet? Downloads
Ananjan Bhattacharyya and Abhijeet Chandra
2016: Information inefficiency in a random linear economy model Downloads
Joao Pedro Jerico and Renato Vicente
2016: A Duality Result for Robust Optimization with Expectation Constraints Downloads
Christopher W. Miller
2016: Taylor's Law of temporal fluctuation scaling in stock illiquidity Downloads
Qing Cai, Hai-Chuan Xu and Wei-Xing Zhou
2016: Exponential utility maximization under model uncertainty for unbounded endowments Downloads
Daniel Bartl
2016: Inventory growth cycles with debt-financed investment Downloads
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2016: Sharpe portfolio using a cross-efficiency evaluation Downloads
Juan F. Monge, Mercedes Landete and Jos\'e L. Ruiz
2016: The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models Downloads
Likuan Qin and Vadim Linetsky
2016: A hybrid approach to assess systemic risk in financial networks Downloads
Daniele Petrone and Vito Latora
2016: Long-Term Factorization of Affine Pricing Kernels Downloads
Likuan Qin and Vadim Linetsky
2016: Exponential functionals of Levy processes and variable annuity guaranteed benefits Downloads
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2016: Optimal Portfolios of Illiquid Assets Downloads
T. R. Hurd, Quentin H. Shao and Tuan Tran
2016: Decoupling the short- and long-term behavior of stochastic volatility Downloads
Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen
2016: Volatility Inference and Return Dependencies in Stochastic Volatility Models Downloads
Oliver Pfante and Nils Bertschinger
2016: The complex dynamics of products and its asymptotic properties Downloads
Orazio Angelini, Matthieu Cristelli, Andrea Zaccaria and Luciano Pietronero
2016: Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016 Downloads
Rui Menezes and Sonia Bentes
2016: XVA at the Exercise Boundary Downloads
Andrew Green and Chris Kenyon
2016: Robust Optimal Investment in Discrete Time for Unbounded Utility Function Downloads
Laurence Carassus and Romain Blanchard
2016: Crises and Physical Phases of a Bipartite Market Model Downloads
Nima Dehmamy, Sergey Buldyrev, Shlomo Havlin, Harry Eugene Stanley and Irena Vodenska
2016: From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes Downloads
Christof Henkel
2016: Multivariate Mixed Tempered Stable Distribution Downloads
Asmerilda Hitaj, Friedrich Hubalek, Lorenzo Mercuri and Edit Rroji
2016: Option-Based Pricing of Wrong Way Risk for CVA Downloads
Chris Kenyon and Andrew Green
2016: Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential L\'evy models With Local Volatility Downloads
Jos\'e E. Figueroa-L\'opez, Ruoting Gong and Matthew Lorig
2016: Bayesian Posteriors for Small Multinomial Probabilities Downloads
Drew Fudenberg, Kevin He and Lorens Imhof
2016: Electoral Systems Used around the World Downloads
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2016: Arbitrage without borrowing or short selling? Downloads
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2016: Gap Risk KVA and Repo Pricing: An Economic Capital Approach in the Black-Scholes-Merton Framework Downloads
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2016: Repo Haircuts and Economic Capital Downloads
Wujiang Lou
2016: Commodity Dynamics: A Sparse Multi-class Approach Downloads
Luca Barbaglia, Ines Wilms and Christophe Croux
2016: Numerical approximation of a cash-constrained firm value with investment opportunities Downloads
Erwan Pierre, St\'ephane Villeneuve and Xavier Warin
2016: No-arbitrage bounds for the forward smile given marginals Downloads
Sergey Badikov, Antoine Jacquier, Daphne Qing Liu and Patrick Roome
2016: A rank based mean field game in the strong formulation Downloads
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2016: Should employers pay their employees better? An asset pricing approach Downloads
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2016: Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability Downloads
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2016: Sparse Mean-Variance Portfolios: A Penalized Utility Approach Downloads
David Puelz, P. Richard Hahn and Carlos M. Carvalho
2016: Loss-Deviation risk measures Downloads
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2016: Moral hazard under ambiguity Downloads
Thibaut Mastrolia and Dylan Possama\"i
2016: A simple agent-based spatial model of the economy: tools for policy Downloads
Bernardo Furtado and Isaque Daniel Rocha Eberhardt
2016: Identifying collusion groups using spectral clustering Downloads
Suneel Sarswat, Kandathil Mathew Abraham and Subir Kumar Ghosh
2016: Kriging Metamodels and Experimental Design for Bermudan Option Pricing Downloads
Michael Ludkovski
2016: Stochastic model of financial markets reproducing scaling and memory in volatility return intervals Downloads
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2016: Hybrid scheme for Brownian semistationary processes Downloads
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2016: Diversification Preferences in the Theory of Choice Downloads
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2016: The Effects of Leverage Requirements and Fire Sales on Financial Contagion via Asset Liquidation Strategies in Financial Networks Downloads
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2016: The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates Downloads
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2016: A Practical Approach to Financial Crisis Indicators Based on Random Matrices Downloads
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2016: Sensitivity and Computational Complexity in Financial Networks Downloads
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2016: Measures of Systemic Risk Downloads
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2016: Rotational invariant estimator for general noisy matrices Downloads
Jo\"el Bun, Romain Allez, Jean-Philippe Bouchaud and Marc Potters
2016: Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing Downloads
Boris Buchmann, Benjamin Kaehler, Ross Maller and Alexander Szimayer
2016: Quasi-Centralized Limit Order Books Downloads
Martin D. Gould, Mason A. Porter and Sam D. Howison
2016: Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets Downloads
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2016: The asymptotic smile of a multiscaling stochastic volatility model Downloads
Francesco Caravenna and Jacopo Corbetta
2016: Long Term Risk: A Martingale Approach Downloads
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2016: Stochastic Analysis Seminar on Filtering Theory Downloads
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2016: A remark on Gatheral's 'most-likely path approximation' of implied volatility Downloads
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2016: Economic information from Smart Meter: Nexus Between Demand Profile and Electricity Retail Price Between Demand Profile and Electricity Retail Price Downloads
Yang Yu, Guangyi Liu, Wendong Zhu, Fei Wang, Bin Shu, Kai Zhang, Ram Rajagopal and Nicolas Astier
2016: A decomposition algorithm for computing income taxes with pass-through entities and its application to the Chilean case Downloads
Javiera Barrera, Eduardo Moreno and Sebastian Varas
2016: Optimal trading policies for wind energy producer Downloads
Zongjun Tan and Peter Tankov
2016: Administration Costs in the Management of Research Funds; A Case Study of a Public Fund for the Promotion of Industrial Innovation Downloads
David R Walwyn
2016: Biased Roulette Wheel: A Quantitative Trading Strategy Approach Downloads
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2016: The Role of Rating and Loan Characteristics in Online Microfunding Behaviors Downloads
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2016: A stylized model for wealth distribution Downloads
Bertram D\"uring, Nicos Georgiou and Enrico Scalas
2016: When Big Data Fails! Relative success of adaptive agents using coarse-grained information to compete for limited resources Downloads
V. Sasidevan, Appilineni Kushal and Sitabhra Sinha
2016: Clustering Approaches for Financial Data Analysis: a Survey Downloads
Fan Cai, Nhien-An Le-Khac and Tahar Kechadi
2016: Strongly Consistent Multivariate Conditional Risk Measures Downloads
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2016: Risk-Consistent Conditional Systemic Risk Measures Downloads
Hannes Hoffmann, Thilo Meyer-Brandis and Gregor Svindland
2016: Short Maturity Asian Options in Local Volatility Models Downloads
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2016: Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options Downloads
Dan Pirjol and Lingjiong Zhu
2016: Multivariate GARCH for a large number of stocks Downloads
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2016: Data-driven nonlinear expectations for statistical uncertainty in decisions Downloads
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2016: Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations Downloads
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2016: Bounds for VIX Futures given S&P 500 Smiles Downloads
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2016: Static vs adapted optimal execution strategies in two benchmark trading models Downloads
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2016: Replica Analysis for the Duality of the Portfolio Optimization Problem Downloads
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2016: Predicting Future Shanghai Stock Market Price using ANN in the Period 21-Sep-2016 to 11-Oct-2016 Downloads
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2016: The microstructural foundations of leverage effect and rough volatility Downloads
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2016: Export dynamics as an optimal growth problem in the network of global economy Downloads
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2016: Spatial firm competition in two dimensions with linear transportation costs: simulations and analytical results Downloads
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2016: Asset Pricing in a Semi-Markov Modulated Market with Time-dependent Volatility Downloads
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2016: Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Model Downloads
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2016: Trader lead-lag networks and order flow prediction Downloads
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2016: Price impact without order book: A study of the OTC credit index market Downloads
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2016: The joint distributions of running maximum of a Slepian processes Downloads
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2016: Entropy and efficiency of the ETF market Downloads
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2016: Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization Downloads
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2016: SEAL's operating manual: a Spatially-bounded Economic Agent-based Lab Downloads
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2016: The Informational Content of the Limit Order Book: An Empirical Study of Prediction Markets Downloads
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2016: Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression Downloads
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2016: The Solution to Science's Replication Crisis Downloads
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2016: Canonical Supermartingale Couplings Downloads
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2016: Value at risk and the diversification dogma Downloads
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2016: Generalized Autoregressive Score Models in R: The GAS Package Downloads
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2016: The characteristic function of rough Heston models Downloads
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2016: The loss of interest for the euro in Romania Downloads
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2016: Determining Optimal Stop-Loss Thresholds via Bayesian Analysis of Drawdown Distributions Downloads
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2016: Numerical solution of a semilinear parabolic degenerate Hamilton-Jacobi-Bellman equation with singularity Downloads
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2016: On Jensen's inequality for generalized Choquet integral with an application to risk aversion Downloads
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2016: Does Infrastructure Investment Lead to Economic Growth or Economic Fragility? Evidence from China Downloads
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2016: L\'evy-Vasicek Models and the Long-Bond Return Process Downloads
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2016: Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance Downloads
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2016: Socio-economic inequality: Relationship between Gini and Kolkata indices Downloads
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2016: Average cross-responses in correlated financial market Downloads
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2016: Consistent Re-Calibration of the Discrete-Time Multifactor Vasi\v{c}ek Model Downloads
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2016: Integration with respect to model-free price paths with jumps Downloads
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2016: On magnitude, asymptotics and duration of drawdowns for L\'{e}vy models Downloads
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2016: Sharper asset ranking from total drawdown durations Downloads
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2016: Consistent Recalibration of Yield Curve Models Downloads
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2016: A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection Downloads
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2016: Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems Downloads
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2016: Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion Downloads
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2016: Double Cascade Model of Financial Crises Downloads
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2016: A Comparison of Various Electricity Tariff Price Forecasting Techniques in Turkey and Identifying the Impact of Time Series Periods Downloads
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2016: On the Market-Neutrality of Optimal Pairs-Trading Strategies Downloads
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2016: Quantile Dependence between Stock Markets and its Application in Volatility Forecasting Downloads
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2016: The randomised Heston model Downloads
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2016: Strategic Growth with Recursive Preferences: Decreasing Marginal Impatience Downloads
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2016: Fractal approach towards power-law coherency to measure cross-correlations between time series Downloads
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2016: Volatility and Arbitrage Downloads
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2016: Optimal Switching under Ambiguity and Its Applications in Finance Downloads
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2016: A String Model of Liquidity in Financial Markets Downloads
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2016: The Growth of Oligarchy in a Yard-Sale Model of Asset Exchange: A Logistic Equation for Wealth Condensation Downloads
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2016: Stochastic Evolution Equations in Banach Spaces and Applications to Heath-Jarrow-Morton-Musiela Equation Downloads
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2016: Poverty Index With Time Varying Consumption and Income Distributions Downloads
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2016: The structure of the climate debate Downloads
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2016: Consistency of option prices under bid-ask spreads Downloads
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2016: Elicitability and backtesting Downloads
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2016: A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes Downloads
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2016: Filling the gaps smoothly Downloads
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2016: General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics Downloads
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2016: Electoral Stability and Rigidity Downloads
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2016: Risk reduction and Diversification within Markowitz's Mean-Variance Model: Theoretical Revisit Downloads
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2016: Monetary economics from econophysics perspective Downloads
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2016: Optimal importance sampling for L\'evy Processes Downloads
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2016: Rank-optimal weighting or "How to be best in the OECD Better Life Index?" Downloads
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2016: Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion Downloads
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2016: Maximizing and Minimizing Investment Concentration with Constraints of Budget and Investment Risk Downloads
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2016: Time-scale effects on the gain-loss asymmetry in stock indices Downloads
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2016: Property bubble in Hong Kong: A predicted decade-long slump (2016-2025) Downloads
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2016: A General Framework for Pairs Trading with a Control-Theoretic Point of View Downloads
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2016: Emergent organization in a model market Downloads
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2016: A Gaussian Markov alternative to fractional Brownian motion for pricing financial derivatives Downloads
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2016: Some Contributions to Sequential Monte Carlo Methods for Option Pricing Downloads
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2016: Managing counterparty credit risk via BSDEs Downloads
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2016: Dynamic portfolio strategy using clustering approach Downloads
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2016: Dynamic structure of stock communities: A comparative study between stock returns and turnover rates Downloads
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2016: Another example of duality between game-theoretic and measure-theoretic probability Downloads
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2016: Arbitrage-Free XVA Downloads
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2016: A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes Downloads
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2016: Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall Downloads
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2016: Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data Downloads
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2016: Toward Development of a New Health Economic Evaluation Definition Downloads
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2016: A functional convergence theorem for interpolated Markov chains to an infinite dimensional diffusion Downloads
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2016: Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs Downloads
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2016: Efficient exposure computation by risk factor decomposition Downloads
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2016: The boundary non-Crossing probabilities for Slepian process Downloads
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2016: Fluctuation of USA Gold Price - Revisited with Chaos-based Complex Network Method Downloads
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2016: On the Use of Computer Programs as Money Downloads
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2016: SPDE limit of the global fluctuations in rank-based models Downloads
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2016: On optimal investment with processes of long or negative memory Downloads
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2016: A continuous and efficient fundamental price on the discrete order book grid Downloads
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2016: Indirect Inference With(Out) Constraints Downloads
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2016: A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets- Downloads
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2016: Swaption Prices in HJM model. Nonparametric fit Downloads
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2016: On American VIX options Downloads
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2016: The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios Downloads
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2016: Generalized Leverage Effects in Asset Returns Downloads
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2016: Exponentially concave functions and a new information geometry Downloads
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2016: Convergence of Economic Growth and the Great Recession as Seen From a Celestial Observatory Downloads
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2016: Non-concave optimal investment and no-arbitrage: a measure theoretical approach Downloads
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2016: Robust Mean-Variance Hedging via G-Expectation Downloads
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2016: Moment explosions, implied volatility and local volatility at extreme strikes Downloads
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2016: A stochastic Stefan-type problem under first order boundary conditions Downloads
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2016: Uniform bounds for Black--Scholes implied volatility Downloads
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2016: Arbitrage and Hedging in model-independent markets with frictions Downloads
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2016: Sticky processes, local and true martingales Downloads
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2016: Electricity Price Forecasting using Sale and Purchase Curves: The X-Model Downloads
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2016: Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer Downloads
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2016: Asyptotic Normality for Maximum Likelihood Estimation and Operational Risk Downloads
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2016: Bridging AIC and BIC: a new criterion for autoregression Downloads
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2016: Existence of continuous euclidean embeddings for a weak class of orders Downloads
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2016: Violation of Invariance of Measurement for GDP Growth Rate and its Consequences Downloads
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2016: Tightness and duality of martingale transport on the Skorokhod space Downloads
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2016: Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models Downloads
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2016: Nonparametric and arbitrage-free construction of call surfaces using l1-recovery Downloads
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2016: Optimal Skorokhod embedding under finitely-many marginal constraints Downloads
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2016: The gradual evolution of buyer--seller networks and their role in aggregate fluctuations Downloads
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2016: Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk$^+$ Downloads
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2016: Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion Downloads
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2016: Polynomial term structure models Downloads
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2016: Sorting in Networks: Adversity and Structure Downloads
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2016: Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis Downloads
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2016: Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples Downloads
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2016: Nonparametric Stochastic Discount Factor Decomposition Downloads
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2016: Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model Downloads
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2016: Path Integral and Asset Pricing Downloads
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2016: An expansion in the model space in the context of utility maximization Downloads
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2016: A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics Downloads
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2016: Shapes of implied volatility with positive mass at zero Downloads
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2016: Change of measure up to a random time: Details Downloads
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2016: Option pricing with linear market impact and non-linear Black and Scholes equations Downloads
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2016: The Fellowship of LIBOR: A Study of Spurious Interbank Correlations by the Method of Wigner-Ville Function Downloads
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2016: Copula-Based Univariate Time Series Structural Shift Identification Test Downloads
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2016: A Simple Model of Credit Expansion Downloads
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2016: Multidimensional Polarization Index and its Application to an Analysis of the Russian State Duma Downloads
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2016: Pricing Weakly Model Dependent Barrier Products Downloads
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2016: Metastable Features of Economic Networks and Responses to Exogenous Shocks Downloads
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2016: Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility Downloads
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2016: Self-organization in a distributed coordination game through heuristic rules Downloads
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2016: The effect of heterogeneity on flocking behavior and systemic risk Downloads
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2016: Asymmetric volatility connectedness on forex markets Downloads
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2016: Modelling the impact of financialization on agricultural commodity markets Downloads
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2016: The Rank Effect for Commodities Downloads
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2016: On the support of extremal martingale measures with given marginals: the countable case Downloads
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2016: Model-Independent Price Bounds for Catastrophic Mortality Bonds Downloads
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2016: Inverse Optimization of Convex Risk Functions Downloads
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2016: On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples Downloads
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2016: Systemic Risk and Stochastic Games with Delay Downloads
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2016: Effects of Sea Level Rise on Economy of the United States Downloads
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2016: Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes Downloads
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2016: Estimating the Integrated Parameter of the Time-Varying Parameter Self-Exciting Process Downloads
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2016: A Comparison of Nineteen Various Electricity Consumption Forecasting Approaches and Practicing to Five Different Households in Turkey Downloads
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2016: Identification of market trends with string and D2-brane maps Downloads
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2016: Smoothing the payoff for efficient computation of Basket option prices Downloads
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2016: Sectoral co-movements in the Indian stock market: A mesoscopic network analysis Downloads
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2016: Extracting Geography from Trade Data Downloads
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2016: Numerical and analytical methods for bond pricing in short rate convergence models of interest rates Downloads
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2016: Statistical Industry Classification Downloads
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2016: Multiple risk factor dependence structures: Distributional properties Downloads
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2016: A form of multivariate Pareto distribution with applications to financial risk measurement Downloads
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2016: Hedging under generalized good-deal bounds and model uncertainty Downloads
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2016: The Oxford Olympics Study 2016: Cost and Cost Overrun at the Games Downloads
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2016: Existence and uniqueness results for BSDEs with jumps: the whole nine yards Downloads
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2016: Fashion, fads and the popularity of choices: micro-foundations for non-equilibrium consumer theory Downloads
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2016: Controlling Public Debt without Forgetting Inflation Downloads
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2016: Insurance valuation: a computable multi-period cost-of-capital approach Downloads
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2016: Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA Downloads
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2016: Dual representations for systemic risk measures Downloads
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2016: Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals Downloads
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2016: Information uncertainty related to marked random times and optimal investment Downloads
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2016: On the time consistency of collective preferences Downloads
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2016: Deep Learning for Mortgage Risk Downloads
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2016: Fair division with divisible and indivisible items Downloads
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2016: Rating models: emerging market distinctions Downloads
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2016: Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory Downloads
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2016: Divisive-agglomerative algorithm and complexity of automatic classification problems Downloads
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2016: Tail protection for long investors: Trend convexity at work Downloads
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2016: Matrix-vector representation of various solution concepts Downloads
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2016: Artificial Neural Network and Time Series Modeling Based Approach to Forecasting the Exchange Rate in a Multivariate Framework Downloads
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2016: On the American swaption in the linear-rational framework Downloads
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2016: Inferring the contiguity matrix for spatial autoregressive analysis with applications to house price prediction Downloads
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2016: Granger Independent Martingale Processes Downloads
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2016: Dynamic optimization and its relation to classical and quantum constrained systems Downloads
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2016: Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching Downloads
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2016: Utility Indifference Pricing of Insurance Catastrophe Derivatives Downloads
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2016: A probability-free and continuous-time explanation of the equity premium and CAPM Downloads
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2016: Comments on the BCBS proposal for a New Standardized Approach for Operational Risk Downloads
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2016: Recursive utility optimization with concave coefficients Downloads
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2016: Time-Inconsistent Stochastic Linear-quadratic Differential Game Downloads
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2016: Estimation and prediction of credit risk based on rating transition systems Downloads
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2016: Network Valuation in Financial Systems Downloads
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2016: The Impact of Services on Economic Complexity: Service Sophistication as Route for Economic Growth Downloads
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2016: Betting and Belief: Prediction Markets and Attribution of Climate Change Downloads
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2016: Optimal dividend payments for a two-dimensional insurance risk process Downloads
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2016: Estimating the Integrated Parameter of the Locally Parametric Model in High-Frequency Data Downloads
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2016: Tipping elements and climate-economic shocks: Pathways toward integrated assessment Downloads
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2016: Statistical Risk Models Downloads
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2016: On an Optimal Extraction Problem with Regime Switching Downloads
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2016: On optimal strategies for utility maximizers in the Arbitrage Pricing Model Downloads
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2016: The value of foresight Downloads
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2016: Fighting Uncertainty with Uncertainty Downloads
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2016: Deep Learning for Limit Order Books Downloads
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2016: A unified view of LIBOR models Downloads
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2016: A detailed heterogeneous agent model for a single asset financial market with trading via an order book Downloads
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2016: Minimax perfect stopping rules for selling an asset near its ultimate maximum Downloads
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2016: MVA Transfer Pricing Downloads
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2016: FX Options in Target Zone Downloads
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2016: A Theory of Individualism, Collectivism and Economic Outcomes Downloads
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2016: Approximate Option Pricing in the L\'evy Libor Model Downloads
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2016: Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series Downloads
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2016: Hedging with Temporary Price Impact Downloads
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2016: Cointegrating Jumps: an Application to Energy Facilities Downloads
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2016: Sequential Design for Ranking Response Surfaces Downloads
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2016: Hydroassets Portfolio Management for Intraday Electricity Trading in a Discrete Time Stochastic Optimization Perspective Downloads
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2016: Detecting early signs of the 2007-2008 crisis in the world trade Downloads
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2016: A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle Downloads
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2016: Risk Quantification in Stochastic Simulation under Input Uncertainty Downloads
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2016: Multivariate Shortfall Risk Allocation and Systemic Risk Downloads
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2016: Model-independent bounds for Asian options: a dynamic programming approach Downloads
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2016: Understanding the Impact of Microcredit Expansions: A Bayesian Hierarchical Analysis of 7 Randomised Experiments Downloads
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2016: Optimal Stopping with Random Maturity under Nonlinear Expectations Downloads
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2016: Chebyshev Interpolation for Parametric Option Pricing Downloads
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2016: Convergence of binomial tree method and explicit difference scheme for American put options with time dependent coefficients Downloads
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2016: Pathwise super-replication via Vovk's outer measure Downloads
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2016: Sensitivity analysis for expected utility maximization in incomplete brownian market models Downloads
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2016: Risk Sensitive Control of the Lifetime Ruin Problem Downloads
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2016: An equilibrium model for spot and forward prices of commodities Downloads
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2016: Equilibrium in risk-sharing games Downloads
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2016: Regulatory Capital Modelling for Credit Risk Downloads
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2016: Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia Downloads
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2016: Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That Downloads
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2016: Optimising Credit Portfolio Using a Quadratic Nonlinear Projection Method Downloads
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2016: Comeback kids: an evolutionary approach of the long-run innovation process Downloads
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2016: General smile asymptotics with bounded maturity Downloads
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2016: GMWB Riders in a Binomial Framework - Pricing, Hedging, and Diversification of Mortality Risk Downloads
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2016: Banach geometry of arbitrage free markets Downloads
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2016: Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments Downloads
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2016: Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$ Downloads
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2016: Paths and indices of maximal tail dependence Downloads
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2016: On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation Downloads
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2016: Multivariate risk measures: a constructive approach based on selections Downloads
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2016: Properties of the financial break-even point in a simple investment project as a function of the discount rate Downloads
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2016: A mathematical model for a gaming community Downloads
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2016: Fake Brownian motion and calibration of a Regime Switching Local Volatility model Downloads
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2016: Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information Downloads
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2016: A multilayer approach for price dynamics in financial markets Downloads
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2016: Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement Downloads
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2016: Replica approach to mean-variance portfolio optimization Downloads
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2016: Complex Systems and a Computational Social Science Perspective on the Labor Market Downloads
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2016: An agent behavior based model for diffusion price processes with application to phase transition and oscillations Downloads
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2016: A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities Downloads
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2016: Stock markets reconstruction via entropy maximization driven by fitness and density Downloads
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2016: Spread, volatility, and volume relationship in financial markets and market making profit optimization Downloads
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2016: Skorohod's representation theorem and optimal strategies for markets with frictions Downloads
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2016: Validation of the Replica Trick for Simple Models Downloads
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2016: A New Currency of the Future: The Novel Commodity Money with Attenuation Coefficient Based on the Logistics Cost of Anchor Downloads
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2016: Brexit or Bremain ? Evidence from bubble analysis Downloads
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2016: A mathematical model of demand-supply dynamics with collectability and saturation factors Downloads
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2016: Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options Downloads
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2016: An "inverse square law" for the currency market: Uncovering hidden universality in heterogeneous complex systems Downloads
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2016: Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms? Downloads
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2016: Using String Invariants for Prediction Searching for Optimal Parameters Downloads
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2016: A new decomposition of portfolio return Downloads
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2016: Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations Downloads
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2016: Shall I Sell or Shall I Wait? Optimal Liquidation under Partial Information with Price Impact Downloads
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2016: The multiplex dependency structure of financial markets Downloads
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2016: The Sound of Silence: equilibrium filtering and optimal censoring in financial markets Downloads
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2016: Kolmogorov Space in Time Series Data Downloads
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2016: Exact Smooth Term Structure Estimation Downloads
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2016: Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring Downloads
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2016: Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading Downloads
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2016: The study of Thai stock market across the 2008 financial crisis Downloads
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2016: A non-equilibrium formulation of food security resilience Downloads
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2016: A Contextual Model Of The Secessionist Rebellion in Eastern Ukraine Downloads
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2016: On the "usual" misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis Downloads
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2016: The Zero-Coupon Rate Model for Derivatives Pricing Downloads
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2016: A data driven network approach to rank countries production diversity and food specialization Downloads
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2016: World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive Downloads
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2016: The space of outcomes of semi-static trading strategies need not be closed Downloads
Beatrice Acciaio, Martin Larsson and Walter Schachermayer
2016: Price formation on a housing market and spatial income segregation Downloads
Marco Pangallo, Jean Pierre Nadal and Annick Vignes
2016: Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso Downloads
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2016: Trading VIX Futures under Mean Reversion with Regime Switching Downloads
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2016: Risk Arbitrage and Hedging to Acceptability Downloads
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2016: Pathwise Iteration for Backward SDEs Downloads
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2016: The Jacobi Stochastic Volatility Model Downloads
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2016: Factor Models for Cancer Signatures Downloads
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2016: The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model Downloads
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2016: How to Combine a Billion Alphas Downloads
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2016: Hong Kong - Shanghai Connect / Hong Kong - Beijing Disconnect (?), Scaling the Great Wall of Chinese Securities Trading Costs Downloads
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2016: Backtesting Lambda Value at Risk Downloads
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2016: Empirical Methods for Dynamic Power Law Distributions in the Social Sciences Downloads
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2016: Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model Downloads
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2016: Purely pathwise probability-free Ito integral Downloads
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2016: Optimal Real-Time Bidding Strategies Downloads
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2016: Equilibrium pricing under relative performance concerns Downloads
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2016: Latency and liquidity provision in a limit order book Downloads
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2016: Foundations for Wash Sales Downloads
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2016: Pathwise no-arbitrage in a class of Delta hedging strategies Downloads
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2016: Law invariant risk measures and information divergences Downloads
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2016: Analysis of Markovian Competitive Situations using Nonatomic Games---the Shock-driven Case and Its Dynamic Pricing Application Downloads
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2016: A Link between Sequential Semi-anonymous Nonatomic Games and their Large Finite Counterparts Downloads
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2016: Optimal growth trajectories with finite carrying capacity Downloads
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2016: Retarded action principle and self-financing portfolio dynamics Downloads
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2016: Reputational Learning and Network Dynamics Downloads
Simpson Zhang and Mihaela van der Schaar
2016: Complete Duality for Martingale Optimal Transport on the Line Downloads
Mathias Beiglb\"ock, Marcel Nutz and Nizar Touzi
2016: Resolute refinements of social choice correspondences Downloads
Daniela Bubboloni and Michele Gori
2016: Semimartingale detection and goodness-of-fit tests Downloads
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2016: The Temporal Dimension of Risk Downloads
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2016: Conditional Analysis and a Principal-Agent problem Downloads
Julio Backhoff and Ulrich Horst
2016: A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations Downloads
Polynice Oyono Ngou and Cody Hyndman
2016: An $\alpha$-stable limit theorem under sublinear expectation Downloads
Erhan Bayraktar and Alexander Munk
2016: Fragility of the Commons under Prospect-Theoretic Risk Attitudes Downloads
Ashish R. Hota, Siddharth Garg and Shreyas Sundaram
2016: Quantile Hedging in a Semi-Static Market with Model Uncertainty Downloads
Erhan Bayraktar and Gu Wang
2016: Pathwise stochastic integrals for model free finance Downloads
Nicolas Perkowski and David J. Pr\"omel
2016: Varadhan's formula, conditioned diffusions, and local volatilities Downloads
Stefano De Marco and Peter Friz
2016: Option Pricing under Heston Stochastic Volatility Model using Discontinuous Galerkin Finite Elements Downloads
Sinem Kozp{\i}nar, Murat Uzunca, Yeliz Yolcu Okur and B\"ulent Karas\"ozen
2016: Note on level r consensus Downloads
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2016: Local Operators in Kinetic Wealth Distribution Downloads
M. Andrecut
2016: Credit allocation based on journal impact factor and coauthorship contribution Downloads
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2016: Endogenous Formation of Limit Order Books: Dynamics Between Trades Downloads
Roman Gayduk and Sergey Nadtochiy
2016: A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting Downloads
Man Chung Fung, Gareth W. Peters and Pavel V. Shevchenko
2016: A Mean Field Game of Optimal Stopping Downloads
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2016: What does past correlation structure tell us about the future? An answer from network filtering Downloads
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2016: Modelling Trading Networks and the Role of Trust Downloads
Rafael A. Barrio, Tzipe Govezensky, \'Elfego Ruiz-Guti\'errez and Kimmo K. Kaski
2016: Can an interdisciplinary field contribute to one of the parent disciplines from which it emerged? Downloads
Anirban Chakraborti, Dhruv Raina and Kiran Sharma
2016: The race for boats Downloads
Christian Mullon and Charles Mullon
2016: Contracting theory with competitive interacting agents Downloads
Romuald Elie and Dylan Possama\"i
2016: Foreign exchange risk premia: from traditional to state-space analyses Downloads
Siwat Nakmai
2016: Generalized Subjective Lexicographic Expected Utility Representation Downloads
Hugo Cruz-Sanchez
2016: Linear Credit Risk Models Downloads
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2016: Discrete Wavelet Transform-Based Prediction of Stock Index: A Study on National Stock Exchange Fifty Index Downloads
Dhanya Jothimani, Ravi Shankar and Surendra S. Yadav
2016: Deep Portfolio Theory Downloads
J. B. Heaton, N. G. Polson and J. H. Witte
2016: A note on optimal expected utility of dividend payments with proportional reinsurance Downloads
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2016: Minimal Investment Risk of Portfolio Optimization Problem with Budget and Investment Concentration Constraints Downloads
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2016: Portfolio Optimization Problem with Non-identical Variances of Asset Returns using Statistical Mechanical Informatics Downloads
Takashi Shinzato
2016: Asymptotic Eigenvalue Distribution of Wishart Matrices whose Components are not Independently and Identically Distributed Downloads
Takashi Shinzato
2016: The impact of the financial crisis on the long-range memory of European corporate bond and stock markets Downloads
Lisana B. Martinez, M. Belen Guercio, Aurelio Fernandez Bariviera and Antonio Terce\~no
2016: Hedging with Small Uncertainty Aversion Downloads
Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried
2016: BSDEs with mean reflection Downloads
Philippe Briand, Romuald Elie and Ying Hu
2016: Some Mathematical Aspects of Price Optimisation Downloads
Y. Bai, E. Hashorva, G. Ratovomirija and M. Tamraz
2016: Recursive utility maximization under partial information Downloads
Shaolin Ji and Xiaomin Shi
2016: Far from equilibrium: Wealth reallocation in the United States Downloads
Yonatan Berman, Ole Peters and Alexander Adamou
2016: Elections in Russia, 1991-2008 Downloads
Daniel Treisman
2016: Wrong-Way Risk Models: A Comparison of Analytical Exposures Downloads
Fr\'ed\'eric Vrins
2016: Optimality of two-parameter strategies in stochastic control Downloads
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2016: Quantum theory of securities price formation in financial markets Downloads
Jack Sarkissian
2016: Extended nonlinear feedback model for describing episodes of high inflation Downloads
M A Szybisz and L Szybisz
2016: Learning zero-cost portfolio selection with pattern matching Downloads
Tim Gebbie and Fayyaaz Loonat
2016: On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums Downloads
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2016: Knight--Walras Equilibria Downloads
Patrick Beissner and Frank Riedel
2016: Empowering cash managers to achieve cost savings by improving predictive accuracy Downloads
Francisco Salas-Molina, Francisco J. Martin, Juan A. Rodr\'iguez-Aguilar, Joan Serr\`a and Josep Ll. Arcos
2016: Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions Downloads
Takashi Kato
2016: High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering Downloads
Erhan Bayraktar and Alexander Munk
2016: Survey on log-normally distributed market-technical trend data Downloads
Ren\'e Kempen and Stanislaus Maier-Paape
2016: Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate Downloads
Martin Gremm
2016: Economic Development and Inequality: a complex system analysis Downloads
Angelica Sbardella, Emanuele Pugliese and Luciano Pietronero
2016: Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model Downloads
Siyan Zhang, Anna L. Mazzucato and Victor Nistor
2016: Stochastic Portfolio Theory: A Machine Learning Perspective Downloads
Yves-Laurent Kom Samo and Alexander Vervuurt
2016: Robust framework for quantifying the value of information in pricing and hedging Downloads
Anna Aksamit, Zhaoxu Hou and Jan Ob\l\'oj
2016: Generalized semi-Markovian dividend discount model: risk and return Downloads
Guglielmo D'Amico
2016: Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors Downloads
Sujay Mukhoti and Pritam Ranjan
2016: Coherence and incoherence collective behavior in financial market Downloads
Shangmei Zhao, Qiuchao Xie, Qing Lu, Xin Jiang and Wei Chen
2016: Forecasting time series with structural breaks with Singular Spectrum Analysis, using a general form of recurrent formula Downloads
Donya Rahmani, Saeed Heravi, Hossein Hassani and Mansi Ghodsi
2016: Unbiased Monte Carlo Simulation of Diffusion Processes Downloads
Louis Paulot
2016: The Accounting Network: how financial institutions react to systemic crisis Downloads
Andrea Flori, Giuseppe Pappalardo, Michelangelo Puliga, Alessandro Chessa and Fabio Pammolli
2016: The wage transition in developed countries and its implications for China Downloads
Belal Baaquie, Bertrand M. Roehner and Qinghai Wang
2016: Is it "natural" to expect Economics to become a part of the Natural Sciences? Downloads
Arnab Chatterjee
2016: Modeling and Simulation of the Economics of Mining in the Bitcoin Market Downloads
Luisanna Cocco and Michele Marchesi
2016: No-arbitrage and hedging with liquid American options Downloads
Erhan Bayraktar and Zhou Zhou
2016: Lie symmetries of (1+2) nonautonomous evolution equations in Financial Mathematics Downloads
A. Paliathanasis, R. M. Morris and P. G. L. Leach
2016: Regrets, learning and wisdom Downloads
Damien Challet
2016: On Optimal Retirement (How to Retire Early) Downloads
Philip Ernst, Dean Foster and Larry Shepp
2016: The Local Fractional Bootstrap Downloads
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2016: Revisiting a Theorem of L.A. Shepp on Optimal Stopping Downloads
Philip Ernst and Larry Shepp
2016: Why have asset price properties changed so little in 200 years Downloads
Jean-Philippe Bouchaud and Damien Challet
2016: A unified pricing of variable annuity guarantees under the optimal stochastic control framework Downloads
Pavel V. Shevchenko and Xiaolin Luo
2016: Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options Downloads
Jan Kuklinski and Kevin Tyloo
2016: 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
2016: Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything Downloads
Ravi Kashyap
2016: Stochastic Perron for Stochastic Target Problems Downloads
Erhan Bayraktar and Jiaqi Li
2016: Getting rich quick with the Axiom of Choice Downloads
Vladimir Vovk
2016: The unresolved mystery of the great divergence is solved Downloads
Ron W Nielsen
2016: Optimal Liquidation under Stochastic Resilience of Price Impact Downloads
Dirk Becherer, Todor Bilarev and Peter Frentrup
2016: Tukey's Transformational Ladder for Portfolio Management Downloads
Philip Ernst, James Thompson and Yinsen Miao
2016: Sharp convex bounds on the aggregate sums--An alternative proof Downloads
Chuancun Yin and Dan Zhu
2016: Strength of weak layers in cascading failures on multiplex networks: case of the international trade network Downloads
Kyu-Min Lee and Kwang-Il Goh
2016: Securities Lending Strategies, Exclusive Auction Bids Downloads
Ravi Kashyap
2016: David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs Downloads
Ravi Kashyap
2016: Modeling the relation between income and commuting distance Downloads
Giulia Carra, Ismir Mulalic, Mogens Fosgerau and Marc Barthelemy
2016: A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes Downloads
Ravi Kashyap
2016: The hidden hyperbolic geometry of international trade: World Trade Atlas 1870-2013 Downloads
Guillermo Garc\'ia-P\'erez, Mari\'an Bogu\~n\'a, Antoine Allard and M. \'Angeles Serrano
2016: Full and fast calibration of the Heston stochastic volatility model Downloads
Yiran Cui, Sebastian del Ba\~no Rollin and Guido Germano
2016: Preemptive Investment under Uncertainty Downloads
Jan-Henrik Steg
2016: An empirical analysis of the relationships between crude oil, gold and stock markets Downloads
Semei Coronado, Rebeca Jim\'enez-Rodr\'iguez and Omar Rojas
2016: Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation Downloads
Ahmed Kebaier and J\'er\^ome Lelong
2016: Mathematical Analysis of the Historical Economic Growth Downloads
Ron W. Nielsen
2016: Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility Downloads
A. Paliathanasis, K. Krishnakumar, K. M. Tamizhmani and P. G. L. Leach
2016: Optimal Taxation with Endogenous Default under Incomplete Markets Downloads
Demian Pouzo and Ignacio Presno
2016: Minimizing the Probability of Lifetime Drawdown under Constant Consumption Downloads
Bahman Angoshtari, Erhan Bayraktar and Virginia R. Young
2016: One bank problem in the federal funds market Downloads
Traian A. Pirvu and Elena Cristina Canepa
2016: Inequality and risk aversion in economies open to altruistic attitudes Downloads
Eleonora Perversi and Eugenio Regazzini
2016: Model-free Superhedging Duality Downloads
Matteo Burzoni, Marco Frittelli and Marco Maggis
2016: A system of non-local parabolic PDE and application to option pricing Downloads
Anindya Goswami, Jeeten Patel and Poorva Shevgaonkar
2016: Weak Convergence of Path-Dependent SDEs in Basket CDS Pricing with Contagion Risk Downloads
Yao Tung Huang, Qingshuo Song and Harry Zheng
2016: A Profit-maximization Model for a Company that Sells an Arbitrary Number of Products Downloads
Dragos-Patru Covei
2016: Optimally Investing to Reach a Bequest Goal Downloads
Erhan Bayraktar and Virginia R. Young
2016: Equilibrium in Misspecified Markov Decision Processes Downloads
Ignacio Esponda and Demian Pouzo
2016: 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
2016: Shortfall Deviation Risk: An alternative to risk measurement Downloads
Marcelo Brutti Righi and Paulo Sergio Ceretta
2016: Optimal martingale transport between radially symmetric marginals in general dimensions Downloads
Tongseok Lim
2016: Berk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified Models Downloads
Ignacio Esponda and Demian Pouzo
2016: Optimal execution of ASR contracts with fixed notional Downloads
Olivier Gu\'eant
2016: A system of quadratic BSDEs arising in a price impact model Downloads
Dmitry Kramkov and Sergio Pulido
2016: Small-maturity asymptotics for the at-the-money implied volatility slope in L\'evy models Downloads
Stefan Gerhold, I. Cetin G\"ul\"um and Arpad Pinter
2016: Relativistic Black-Scholes model Downloads
Maciej Trzetrzelewski
2016: Generalised arbitrage-free SVI volatility surfaces Downloads
Gaoyue Guo, Antoine Jacquier, Claude Martini and Leo Neufcourt
2016: The Effect of Market Power on Risk-Sharing Downloads
Michail Anthropelos
2016: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model Downloads
Louis Paulot
2016: Kinetic and mean field description of Gibrat's law Downloads
Giuseppe Toscani
2016: How brokers can optimally plot against traders Downloads
Manuel Lafond
2016: Robustness of mathematical models and technical analysis strategies Downloads
Ahmed Bel Hadj Ayed, Gr\'egoire Loeper and Fr\'ed\'eric Abergel
2016: Depreciation and the Time Value of Money Downloads
Brendon Farrell
2016: Nonzero-sum stochastic differential games with impulse controls and applications to retail energy markets Downloads
Ren\'e A\"id, Matteo Basei, Giorgia Callegaro, Luciano Campi and Tiziano Vargiolu
2016: The puzzle that just isn't Downloads
Christian Mueller-Kademann
2016: A new structural stochastic volatility model of asset pricing and its stylized facts Downloads
Radu T. Pruna, Maria Polukarov and Nicholas R. Jennings
2016: Pricing Bermudan options under local L\'evy models with default Downloads
Anastasia Borovykh, Cornelis W. Oosterlee and Andrea Pascucci
2016: An Explicit Formula for Likelihood Function for Gaussian Vector Autoregressive Moving-Average Model Conditioned on Initial Observables with Application to Model Calibration Downloads
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2016: Convex Hedging in Incomplete Markets Downloads
Birgit Rudloff
2016: On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation Downloads
Martijn Pistorius and Mitja Stadje
2016: On the Surprising Explanatory Power of Higher Realized Moments in Practice Downloads
Keren Shen, Jianfeng Yao and Wai Keung Li
2016: Is the public sector of your country a diffusion borrower? Empirical evidence from Brazil Downloads
Leno S. Rocha, Frederico S. A. Rocha and Th\'arsis T. P. Souza
2016: Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model Downloads
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Toth
2016: Entropy and credit risk in highly correlated markets Downloads
Sylvia Gottschalk
2016: Extreme Concurrent Portfolio Losses in Credit Risk Downloads
Joachim Sicking, Thomas Guhr and Rudi Sch\"afer
2016: On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums Downloads
Ewa Marciniak and Zbigniew Palmowski
2016: Entangling credit and funding shocks in interbank markets Downloads
Giulio Cimini and Matteo Serri
2016: Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications Downloads
Huy\^en Pham
2016: Optimal trading with online parameters revisions Downloads
N Baradel, B Bouchard and Ngoc Minh Dang
2016: Random factor approach for large sets of equity time-series Downloads
Antti Tanskanen, Jani Lukkarinen and Kari Vatanen
2016: Multidimensional matching Downloads
Pierre-Andr\'e Chiappori, Robert McCann and Brendan Pass
2016: Regime switching vine copula models for global equity and volatility indices Downloads
Holger Fink, Yulia Klimova, Claudia Czado and Jakob St\"ober
2016: Duality in nondominated discrete-time models for Americain options Downloads
Shuoqing Deng and Xiaolu Tan
2016: High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation Downloads
Yuri M. Dimitrov and Lubin G. Vulkov
2016: Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty Downloads
Erhan Bayraktar and Zhou Zhou
2016: On the survival of poor peasants Downloads
Andrea C. Levi and Ubaldo Garibaldi
2016: Evidence of Self-Organization in Time Series of Capital Markets Downloads
Leopoldo S\'anchez-Cant\'u, Carlos Arturo Soto-Campos, Oswaldo Morales-Matamoros and Alba Lucero Garc\'ia-P\'erez
2016: Pricing American options using martingale bases Downloads
J\'er\^ome Lelong
2016: Reconstruction of Order Flows using Aggregated Data Downloads
Ioane Muni Toke
2016: Describing Realistic Wealth Distributions with the Extended Yard-Sale Model of Asset Exchange Downloads
Bruce M. Boghosian, Adrian Devitt-Lee, Jie Li, Jeremy A. Marcq and Hongyan Wang
2016: More on hedging American options under model uncertainty Downloads
David Hobson and Anthony Neuberger
2016: On the value of being American Downloads
David Hobson and Anthony Neuberger
2016: Kriging of financial term-structures Downloads
Areski Cousin, Hassan Maatouk and Didier Rulli\`ere
2016: The statistical significance of multivariate Hawkes processes fitted to limit order book data Downloads
Roger Martins and Dieter Hendricks
2016: Aggregating time preferences with decreasing impatience Downloads
Nina Anchugina, Matthew Ryan and Arkadii Slinko
2016: Market Imitation and Win-Stay Lose-Shift strategies emerge as unintended patterns in market direction guesses Downloads
Mario Guti\'errez-Roig, Carlota Segura, Jordi Duch and Josep Perell\'o
2016: Relativistic Quantum Finance Downloads
Juan M. Romero and Ilse B. Zubieta-Mart\'inez
2016: Copula--based Specification of vector MEMs Downloads
Fabrizio Cipollini, Robert Engle and Giampiero Gallo
2016: Controllability Analyses on Firm Networks Based on Comprehensive Data Downloads
Hiroyasu Inoue
2016: Option Pricing in the Moderate Deviations Regime Downloads
Peter Friz, Stefan Gerhold and Arpad Pinter
2016: From Big Data To Important Information Downloads
Yaneer Bar-Yam
2016: On regularity of primal and dual dynamic value functions related to investment problem Downloads
Michael Mania and Revaz Tevzadze
2016: The Mittag-Leffler Phillips Curve Downloads
Tomas Skovranek
2016: Systemic Risks in CCP Networks Downloads
Russell Barker, Andrew Dickinson, Alex Lipton and Rajeev Virmani
2016: Market Integration in the Prewar Japanese Rice Markets Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2016: The Meta-Distribution of Standard P-Values Downloads
Nassim Nicholas Taleb
2016: Clustering Financial Time Series: How Long is Enough? Downloads
Gautier Marti, S\'ebastien Andler, Frank Nielsen and Philippe Donnat
2016: Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $\mathbb{H}^3$ Downloads
Martin Forde and Hongzhong Zhang
2016: Mathematical analysis of historical income per capita distributions Downloads
Ron W Nielsen
2016: Cross-response in correlated financial markets: individual stocks Downloads
Shanshan Wang, Rudi Sch\"afer and Thomas Guhr
2016: Puzzling properties of the historical growth rate of income per capita explained Downloads
Ron W Nielsen
2016: When does inequality freeze an economy? Downloads
Jo\~ao Pedro Jerico, Fran\c{c}ois P. Landes, Matteo Marsili, Isaac P\'erez Castillo and Valerio Volpati
2016: The noisy voter model on complex networks Downloads
Adri\'an Carro, Ra\'ul Toral and Maxi San Miguel
2016: Power-law cross-correlations estimation under heavy tails Downloads
Ladislav Krištoufek
2016: Optimal Control of an Energy Storage Facility Under a Changing Economic Environment and Partial Information Downloads
Anton A. Shardin and Michaela Sz\"olgyenyi
2016: On minimising a portfolio's shortfall probability Downloads
Anatolii A. Puhalskii
2016: Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps Downloads
Michael Ho and Jack Xin
2016: Model-Free Discretisation-Invariant Swap Contracts Downloads
Carol Alexander and Johannes Rauch
2016: Predicting Human Cooperation Downloads
John J. Nay and Yevgeniy Vorobeychik
2016: Hyperinflation in Brazil, Israel, and Nicaragua revisited Downloads
M. A. Szybisz and L. Szybisz
2016: Analyses of Aggregate Fluctuations of Firm Network Based on the Self-Organized Criticality Model Downloads
Hiroyasu Inoue
2016: Robust hedging of options on local time Downloads
Julien Claisse, Gaoyue Guo and Pierre Henry-Labordere
2016: Markov-modulated floating-strike Asian options Downloads
Adriana Ocejo
2016: An elementary approach to the option pricing problem Downloads
Nikolaos Halidias
2016: A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model Downloads
Andrei Cozma and Christoph Reisinger
2016: Central Clearing Valuation Adjustment Downloads
Yannick Armenti and St\'ephane Cr\'epey
2016: Bounds for randomly shared risk of heavy-tailed loss factors Downloads
Oliver Kley and Claudia Kluppelberg
2016: How crude oil prices shape the global division of labour Downloads
Francesco Picciolo, Andreas Papandreou, Klaus Hubacek and Franco Ruzzenenti
2016: Diversification, protection of liability holders and regulatory arbitrage Downloads
Pablo Koch-Medina, Cosimo Munari and Mario Sikic
2016: Portfolio Optimization under Shortfall Risk Constraint Downloads
Oliver Janke and Qinghua Li
2016: Toward robust early-warning models: A horse race, ensembles and model uncertainty Downloads
Markus Holopainen and Peter Sarlin
2016: Stochastic Perron for stochastic target games Downloads
Erhan Bayraktar and Jiaqi Li
2016: An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients Downloads
Jean-Francois Chassagneux, Antoine Jacquier and Ivo Mihaylov
2016: Non-Arbitrage under a Class of Honest Times Downloads
Tahir Choulli, Anna Aksamit, Jun Deng and Monique Jeanblanc
2016: On the Market Viability under Proportional Transaction Costs Downloads
Erhan Bayraktar and Xiang Yu
2016: The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations Downloads
Xiaoshan Chen, Yu-Jui Huang, Qingshuo Song and Chao Zhu
2016: On the probability density function of baskets Downloads
Christian Bayer, Peter Friz and Peter Laurence
2016: On the Robust Optimal Stopping Problem Downloads
Erhan Bayraktar and Song Yao
2016: Chinese Medical Device Market and The Investment Vector Downloads
Weifan Zhang, Rebecca Liu and Chris Chatwin
2016: Mortgages and Refinancing Downloads
Khizar Qureshi and Cheng Su
2016: Value-at-Risk: The Effect of Autoregression in a Quantile Process Downloads
Khizar Qureshi
2016: Optimal investment and consumption with downside risk constraint in jump-diffusion models Downloads
Thai Nguyen
2016: Option pricing under fast-varying long-memory stochastic volatility Downloads
Josselin Garnier and Knut Solna
2016: Low-traffic limit and first-passage times for a simple model of the continuous double auction Downloads
Enrico Scalas, Fabio Rapallo and Tijana Radivojevi\'c
2016: Deterministic Income with Deterministic and Stochastic Interest Rates Downloads
Julia Eisenberg
2016: On the properties of the Lambda value at risk: robustness, elicitability and consistency Downloads
Matteo Burzoni, Ilaria Peri and Chiara Maria Ruffo
2016: Risk contagion under regular variation and asymptotic tail independence Downloads
Bikramjit Das and Vicky Fasen
2016: Pricing occupation-time options in a mixed-exponential jump-diffusion model Downloads
Djilali Ait Aoudia and Jean-Fran\c{c}ois Renaud
2016: Parisian ruin for a refracted L\'evy process Downloads
Mohamed Amine Lkabous, Irmina Czarna and Jean-Fran\c{c}ois Renaud
2016: 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
2016: Financial equilibrium with asymmetric information and random horizon Downloads
Umut \c{C}etin
2016: Modelling income, wealth, and expenditure data by use of Econophysics Downloads
Elvis Oltean
2016: Interest Rates and Inflation Downloads
Michael Coopersmith and Pascal J. Gambardella
2016: Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching Downloads
Jiling Cao, Teh Raihana Nazirah Roslan and Wenjun Zhang
2016: Trading Strategies Generated by Lyapunov Functions Downloads
Ioannis Karatzas and Johannes Ruf
2016: A Flexible Galerkin Scheme for Option Pricing in L\'evy Models Downloads
Maximilian Ga{\ss} and Kathrin Glau
2016: Robust Optimization of Credit Portfolios Downloads
Agostino Capponi and Lijun Bo
2016: Conjoint axiomatization of the Choquet integral for heterogeneous product sets Downloads
Mikhail Timonin
2016: GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model Downloads
Tetsuya Takaishi
2016: On clustering financial time series: a need for distances between dependent random variables Downloads
Gautier Marti, Frank Nielsen, Philippe Donnat and S\'ebastien Andler
2016: A Note on the Optimal Dividends Paid in a Foreign Currency Downloads
Julia Eisenberg and Paul Kr\"uhner
2016: Conic Martingales from Stochastic Integrals Downloads
Fr\'ed\'eric Vrins and Monique Jeanblanc
2016: A hybrid approach for the implementation of the Bates model with stochastic interest rate Downloads
Maya Briani, Lucia Caramellino and Antonino Zanette
2016: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets Downloads
Tomas Krehlik and Jozef Baruník
2016: The behavioural aspect of green technology investments: a general positive model in the context of heterogeneous agents Downloads
F. Knobloch and Jean-Francois Mercure
2016: Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets Downloads
Dieter Hendricks
2016: Universal trading under proportional transaction costs Downloads
Richard J Martin
2016: The mathematics of non-linear metrics for nested networks Downloads
Rui-Jie Wu, Gui-Yuan Shi, Yi-Cheng Zhang and Manuel Sebastian Mariani
2016: Extracting Predictive Information from Heterogeneous Data Streams using Gaussian Processes Downloads
Sid Ghoshal and Stephen Roberts
2016: Switching Economics for Physics and the Carbon Price Inflation: Problems in Integrated Assessment Models and their Implications Downloads
Sgouris Sgouridis, Abdulla Kaya and Denes Csala
2016: Risk-Constrained Kelly Gambling Downloads
Enzo Busseti, Ernest K. Ryu and Stephen Boyd
2016: The Circle of Investment: Connecting the Dots of the Portfolio Management Cycle Downloads
Ravi Kashyap
2016: Online Networks, Social Interaction and Segregation: An Evolutionary Approach Downloads
Angelo Antoci, Fabio Sabatini and Francesco Sarracino
2016: The geometric phase of stock trading Downloads
Claudio Altafini
2016: Market Dynamics vs. Statistics: Limit Order Book Example Downloads
Vladislav Gennadievich Malyshkin and Ray Bakhramov
2016: Modeling and Estimation of the Risk When Choosing a Provider Downloads
Alla Sorokina
2016: Can banks default overnight? Modeling endogenous contagion on O/N interbank market Downloads
Pawe{\l} Smaga, Mateusz Wili\'nski, Piotr Ochnicki, Piotr Arendarski and Tomasz Gubiec
2016: On the overlaps between eigenvectors of correlated random matrices Downloads
Jo\"el Bun, Jean-Philippe Bouchaud and Marc Potters
2016: Contagion and Stability in Financial Networks Downloads
Seyyed Mostafa Mousavi, Robert Mackay and Alistair Tucker
2016: Analysis of the nonlinear option pricing model under variable transaction costs Downloads
Daniel Sevcovic and Magdalena Zitnanska
2016: Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model Downloads
Ale\v{s} \v{C}ern\'y
2016: Financial contagion in investment funds Downloads
Leonardo dos Santos Pinheiro and Flavio Codeco Coelho
2016: General dynamic term structures under default risk Downloads
Claudio Fontana and Thorsten Schmidt
2016: Capital Valuation Adjustment and Funding Valuation Adjustment Downloads
Claudio Albanese, Simone Caenazzo and St\'ephane Cr\'epey
2016: Interacting Default Intensity with Hidden Markov Process Downloads
Feng-Hui Yu, Wai-Ki Ching, Jia-Wen Gu and Tak-Kuen Siu
2016: Libor at crossroads: stochastic switching detection using information theory quantifiers Downloads
Aurelio Fernandez Bariviera, M. Belen Guercio, Lisana B. Martinez and Osvaldo A. Rosso
2016: Convex duality in optimal investment and contingent claim valuation in illiquid markets Downloads
Teemu Pennanen and Ari-Pekka Perkki\"o
2016: A Mathematical Model of Foreign Capital Inflow Downloads
Gopal K. Basak, Pranab Das and Allena Rohit
2016: Stock Selection as a Problem in Phylogenetics -- Evidence from the ASX Downloads
Hannah Cheng, Juan Zhan, William Rea and Alethea Rea
2016: Exponentially concave functions and high dimensional stochastic portfolio theory Downloads
Soumik Pal
2016: Big is Fragile: An Attempt at Theorizing Scale Downloads
Atif Ansar, Bent Flyvbjerg, Alexander Budzier and Daniel Lunn
2016: Latent class analyisis for reliable measure of inflation expectation in the indian public Downloads
Sunil Kumar
2016: Dynamic Adaptive Mixture Models Downloads
Leopoldo Catania
2016: Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes Downloads
Claudiu Albulescu, Christian Aubin and Daniel Goyeau
2016: Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law Downloads
Marcel Ausloos, Rosella Castellano and Roy Cerqueti
2016: Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-moments Downloads
Gareth W. Peters, Wilson Y. Chen and Richard H. Gerlach
2016: Financial Services, Economic Growth and Well-Being: A Four-Pronged Study Downloads
Ravi Kashyap
2016: Equity forecast: Predicting long term stock price movement using machine learning Downloads
Nikola Milosevic
2016: The Value of A Statistical Life in Absence of Panel Data: What can we do? Downloads
Andr\'es Riquelme and Marcela Parada
2016: Affine multiple yield curve models Downloads
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
2016: Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models Downloads
Ludovic Gouden\`ege, Andrea Molent and Antonino Zanette
2016: Tsallis statistics in the income distribution of Brazil Downloads
Abner D. Soares, Newton J. Moura and Marcelo Ribeiro
2016: The Postulate of the Three Regimes of Economic Growth Contradicted by Data Downloads
Ron W Nielsen
2016: Multifactor Risk Models and Heterotic CAPM Downloads
Zura Kakushadze and Willie Yu
2016: Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift Downloads
J\"orn Sass, Dorothee Westphal and Ralf Wunderlich
2016: Unified Growth Theory Contradicted by the Absence of Takeoffs in the Gross Domestic Product Downloads
Ron W Nielsen
2016: A nonlinear impact: evidences of causal effects of social media on market prices Downloads
Th\'arsis T. P. Souza and Tomaso Aste
2016: Unified Growth Theory Contradicted by the Economic Growth in Latin America Downloads
Ron W Nielsen
2016: Geography and distance effect on financial dynamics in the Chinese stock market Downloads
Xing Li, Tian Qiu, Guang Chen, Li-Xin Zhong and Xiong-Fei Jiang
2016: 101 Formulaic Alphas Downloads
Zura Kakushadze
2016: The F\"ollmer-Schweizer decomposition under incomplete information Downloads
Claudia Ceci, Katia Colaneri and Alessandra Cretarola
2016: A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions Downloads
Xin Liu, Qi Gong and Vidyadhar G. Kulkarni
2016: Getting started with particle Metropolis-Hastings for inference in nonlinear dynamical models Downloads
Johan Dahlin and Thomas B. Sch\"on
2016: Game-theoretic Modeling of Players' Ambiguities on External Factors Downloads
Jian Yang
2016: Dynamics and Stability in Retail Competition Downloads
Marcelo J. Villena and Axel A. Araneda
2016: Price response in correlated financial markets: empirical results Downloads
Shanshan Wang, Rudi Sch\"afer and Thomas Guhr
2016: Performance v. Turnover: A Story by 4,000 Alphas Downloads
Zura Kakushadze and Igor Tulchinsky
2016: Optimal trading strategies - a time series approach Downloads
Peter A. Bebbington and Reimer Kuehn
2016: Detecting intraday financial market states using temporal clustering Downloads
Dieter Hendricks, Tim Gebbie and Diane Wilcox
2016: Forecasting stock market returns over multiple time horizons Downloads
Dimitri Kroujiline, Maxim Gusev, Dmitry Ushanov, Sergey V. Sharov and Boris Govorkov
2016: Axiomatization of the Choquet integral for 2-dimensional heterogeneous product sets Downloads
Mikhail Timonin
2016: Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model Downloads
Nicolas Langren\'e, Geoffrey Lee and Zili Zhu
2016: Convergence of Estimated Option Price in a Regime switching Market Downloads
Anindya Goswami and Sanket Nandan
2016: Time-scale analysis of co-movement in EU sovereign bond markets Downloads
Filip Smolik and Lukas Vacha
2016: Transition from lognormal to chi-square superstatistics for financial time series Downloads
Dan Xu and Christian Beck
2016: Small-time asymptotics for Gaussian self-similar stochastic volatility models Downloads
Archil Gulisashvili, Frederi Viens and Xin Zhang
2016: Pricing complexity options Downloads
Malihe Alikhani, Bj{\o}rn Kjos-Hanssen, Amirarsalan Pakravan and Babak Saadat
2016: New class of distortion risk measures and their tail asymptotics with emphasis on VaR Downloads
Chuancun Yin and Dan Zhu
2016: Principal Components Analysis for Semimartingales and Stochastic PDE Downloads
Alberto Ohashi and Alexandre B Simas
2016: Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion Downloads
Hagen Kleinert and Jan Korbel
2016: Robust Utility Maximization with L\'evy Processes Downloads
Ariel Neufeld and Marcel Nutz
2016: Optimal Asset Liquidation with Multiplicative Transient Price Impact Downloads
Dirk Becherer, Todor Bilarev and Peter Frentrup
2016: Existence and Uniqueness of a Steady State for an OTC Market with Several Assets Downloads
Alain Belanger and Ndoune Ndoune
2016: Pricing and Hedging Long-Term Options Downloads
Hyungbin Park
2016: A polynomial distribution applied to income and wealth distribution Downloads
Elvis Oltean and Fedor Kusmartsev
2016: A statistical physics analysis of expenditure in the UK Downloads
Elvis Oltean and Fedor Kusmartsev
2016: An econophysical approach of polynomial distribution applied to income and expenditure Downloads
Elvis Oltean
2016: An Econophysical dynamical approach of expenditure and income distribution in the UK Downloads
Elvis Oltean and Fedor Kusmartsev
2016: Applications of statistical physics distributions to several types of income Downloads
Elvis Oltean and Fedor V. Kusmartsev
2016: A study of Methods from Statistical Mechanics applied to income distribution Downloads
Elvis Oltean and Fedor Kusmartsev
2016: One-level limit order book models with memory and variable spread Downloads
Jonathan A. Ch\'avez-Casillas and Jos\'e E. Figueroa-L\'opez
2016: Change of numeraire in the two-marginals martingale transport problem Downloads
Luciano Campi, Ismail Laachir and Claude Martini
2016: On the stationarity of Dynamic Conditional Correlation models Downloads
Jean-David Fermanian and Hassan Malongo
2016: Polynomial Term Structure Models Downloads
Si Cheng and Michael R. Tehranchi
2016: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures Downloads
Worapree Maneesoonthorn, Catherine Forbes and Gael Martin
2016: Learning from the past, predicting the statistics for the future, learning an evolving system Downloads
Daniel Levin, Terry Lyons and Hao Ni
2016: Boundary-degenerate elliptic operators and Holder continuity for solutions to variational equations and inequalities Downloads
Paul M. N. Feehan and Camelia A. Pop
2016: The topology of card transaction money flows Downloads
Massimiliano Zanin, David Papo, Miguel Romance, Regino Criado and Santiago Moral
2016: Fairs for e-commerce: the benefits of aggregating buyers and sellers Downloads
Pierluigi Gallo, Francesco Randazzo and Ignazio Gallo
2016: A Rank-Based Approach to Zipf's Law Downloads
Ricardo Fernholz and Robert Fernholz
2016: Microscopic models for the study of taxpayer audit effects Downloads
M. L. Bertotti and G. Modanese
2016: No such thing as a risk-neutral market Downloads
D. L. Wilcox
2016: Spatio-temporal analysis of micro economic activities in Rome reveals patterns of mixed-use urban evolution Downloads
Alessandro Fiasconaro, Emanuele Strano, Vincenzo Nicosia, Sergio Porta and Vito Latora
2016: Fluctuation-bias trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization Downloads
G\'abor Papp, Fabio Caccioli and Imre Kondor
2016: Order Book, Financial Markets and Self-Organized Criticality Downloads
Alessio Emanuele Biondo, Alessandro Pluchino and Andrea Rapisarda
2016: Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles Downloads
Vladimir Filimonov, Guilherme Demos and Didier Sornette
2016: The role of volume in order book dynamics: a multivariate Hawkes process analysis Downloads
Marcello Rambaldi, Emmanuel Bacry and Fabrizio Lillo
2016: The Invisible Hand of Laplace: the Role of Market Structure in Price Convergence and Oscillation Downloads
Yuval Rabani and Leonard J. Schulman
2016: Contagion in the world's stock exchanges seen as a set of coupled oscillators Downloads
Lucia Bellenzier, J{\o}rgen Vitting Andersen and Giulia Rotundo
2016: Limit Order Book and its modelling in terms of Gibbs Grand-Canonical Ensemble Downloads
Alberto Bicci
2016: Credit risk and companies' inter-organizational networks: Assessing impact of suppliers and buyers on CDS spreads Downloads
Tore Opsahl and William Newton
2016: Solar energy production: Short-term forecasting and risk management Downloads
C\'edric Join, Michel Fliess, Cyril Voyant and Fr\'ed\'eric Chaxel
2016: Household Income Distribution in the USA Downloads
Costas Efthimiou and Adam Wearne
2016: Modeling Stock Price Dynamics with Fuzzy Opinion Networks Downloads
Li-Xin Wang
2016: Accrual valuation and mark to market adjustment Downloads
Alexey Bakshaev
2016: Blunt Honesty, Incentives, and Knowledge Exchange Downloads
Bruce Knuteson
2016: Noise Fit, Estimation Error and a Sharpe Information Criterion Downloads
Dirk Paulsen and Jakob S\"ohl
2016: Duality formulas for robust pricing and hedging in discrete time Downloads
Patrick Cheridito, Michael Kupper and Ludovic Tangpi
2016: Density analysis of non-Markovian BSDEs and applications to biology and finance Downloads
Thibaut Mastrolia
2016: Funding, Repo and Credit Inclusion in Option Pricing via Dividends Downloads
Damiano Brigo, Cristin Buescu and Marek Rutkowski
2016: Pathways towards instability in financial networks Downloads
Marco Bardoscia, Stefano Battiston, Fabio Caccioli and Guido Caldarelli
2016: On the Profitability of Optimal Mean Reversion Trading Strategies Downloads
Peng Huang and Tianxiang Wang
2016: Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution Downloads
Stavros Stavroyiannis
2016: Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling Downloads
Ying Jiao, Chunhua Ma and Simone Scotti
2016: Do co-jumps impact correlations in currency markets? Downloads
Jozef Baruník and Lukas Vacha
2016: Robust Financial Bubbles Downloads
Francesca Biagini and Jacopo Mancin
2016: Studies on Regional Wealth Inequalities: the case of Italy Downloads
Marcel Ausloos and Roy Cerqueti
2016: Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models Downloads
Vikram Krishnamurthy, Elisabeth Leoff and J\"orn Sass
2016: Dynamic portfolio selection without risk-free assets Downloads
Chi Kin Lam, Yuhong Xu and Guosheng Yin
2016: A pathwise approach to continuous-time trading Downloads
Candia Riga
2016: Bayesian Dividend Optimization and Finite Time Ruin Probabilities Downloads
Gunther Leobacher, Michaela Sz\"olgyenyi and Stefan Thonhauser
2016: Dividend maximization in a hidden Markov switching model Downloads
Michaela Sz\"olgyenyi
2016: Ruin under stochastic dependence between premium and claim arrivals Downloads
Matija Vidmar
2016: Mediation with near insolvent defaulting suppliers: a linear optimisation model to find an optimal outcome Downloads
Eric Lavallee
2016: Market Dynamics. On Supply and Demand Concepts Downloads
Vladislav Gennadievich Malyshkin
2016: Local Volatility Models in Commodity Markets and Online Calibration Downloads
Vinicius Albani, Uri M. Ascher and Jorge P. Zubelli
2016: Path probability of stochastic motion: A functional approach Downloads
Masayuki Hattori and Sumiyoshi Abe
2016: On the topologic structure of economic complex networks: Empirical evidence from large scale payment network of Estonia Downloads
Stephanie Rend\'on de la Torre, Jaan Kalda, Robert Kitt and J\"uri Engelbrecht
2016: Modelling intensities of order flows in a limit order book Downloads
Ioane Muni Toke and Nakahiro Yoshida
2016: Basel III capital surcharges for G-SIBs fail to control systemic risk and can cause pro-cyclical side effects Downloads
Sebastian Poledna, Olaf Bochmann and Stefan Thurner
2016: Pricing options on forwards in energy markets: the role of mean reversion's speed Downloads
Maren Diane Schmeck
2016: A study of co-movements between oil price, stock index and exchange rate under a cross-bicorrelation perspective: the case of Mexico Downloads
Semei Coronado and Omar Rojas
2016: The square-root impact law also holds for option markets Downloads
Bence Toth, Zoltan Eisler and Jean-Philippe Bouchaud
2016: Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations Downloads
Fred Espen Benth and Heidar Eyjolfsson
2016: Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact Downloads
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Toth
2016: Issues with the Smith-Wilson method Downloads
Andreas Lager{\aa}s and Mathias Lindholm
2016: Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices Downloads
Emre Kahraman and Gazanfer \"Unal
2016: On the parameter identifiability problem in Agent Based economical models Downloads
Di Molfetta Giuseppe
2016: On the existence of shadow prices for optimal investment with random endowment Downloads
Lingqi Gu, Yiqing Lin and Junjian Yang
2016: A note on utility maximization with transaction costs and random endoment: num\'eraire-based model and convex duality Downloads
Lingqi Gu, Yiqing Lin and Junjian Yang
2016: Smooth solutions to discounted reward control problems with unbounded discount rate and financial applications Downloads
Dariusz Zawisza
2016: Tail Risk Premia for Long-Term Equity Investors Downloads
Johannes Rauch and Carol Alexander
2016: Portfolio Selection: The Power of Equal Weight Downloads
Philip Ernst, James Thompson and Yinsen Miao
2016: Limit-order book resiliency after effective market orders: Empirical facts and applications to high-frequency trading Downloads
Hai-Chuan Xu, Wei Chen, Xiong Xiong, Wei Zhang and Wei-Xing Zhou
2016: How to improve accuracy for DFA technique Downloads
Alessandro Stringhi and Silvia Figini
2016: Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes Downloads
Adil Yilmaz and Gazanfer Unal
2016: Critical value of the total debt in view of the debts durations Downloads
I. A. Molotkov and N. A. Ryabova
2016: On construction of boundary preserving numerical schemes Downloads
Nikolaos Halidias
2016: Asymptotic Analysis for Optimal Dividends in a Dual Risk Model Downloads
Arash Fahim and Lingjiong Zhu
2016: Dependence of technological improvement on artifact interactions Downloads
Subarna Basnet and Christopher L. Magee
2016: Dynamic Multi-Factor Bid-Offer Adjustment Model: A Feedback Mechanism for Dealers (Market Makers) to Deal (Grapple) with the Uncertainty Principle of the Social Sciences Downloads
Ravi Kashyap
2016: Unified Growth Theory Contradicted by the Economic Growth in Europe Downloads
Ron W Nielsen
2016: Unified Growth Theory Contradicted by the Economic Growth in the Former USSR Downloads
Ron W Nielsen
2016: Unified Growth Theory Contradicted by the Economic Growth in Asia Downloads
Ron W Nielsen
2016: Deep Learning Stock Volatility with Google Domestic Trends Downloads
Ruoxuan Xiong, Eric P. Nichols and Yuan Shen
2016: Unified Growth Theory Contradicted by the Economic Growth in Africa Downloads
Ron W Nielsen
2016: A Framework for Analyzing Stochastic Jumps in Finance based on Belief and Knowledge Downloads
Takanori Adachi
2016: Trading Networks with Bilateral Contracts Downloads
Tam\'as Fleiner, Zsuzsanna Jank\'o, Akihisa Tamura and Alexander Teytelboym
2016: Inequality measures in kinetic exchange models of wealth distributions Downloads
Asim Ghosh, Arnab Chatterjee, Jun-ichi Inoue and Bikas K. Chakrabarti
2016: Maximizing expected utility in the Arbitrage Pricing Model Downloads
Miklos Rasonyi
2016: Game Design and Analysis for Price based Demand Response: An Aggregate Game Approach Downloads
Maojiao Ye and Guoqiang Hu
2016: Modelling complex systems of heterogeneous agents to better design sustainability transitions policy Downloads
Jean-Francois Mercure, H. Pollitt, A. M. Bassi, J. E Vi\~nuales and N. R. Edwards
2016: Business cycle synchronization within the European Union: A wavelet cohesion approach Downloads
Lubos Hanus and Lukas Vacha
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Paolo Guasoni and Eberhard Mayerhofer
2016: Optimal Investment to Minimize the Probability of Drawdown Downloads
Bahman Angoshtari, Erhan Bayraktar and Virginia R. Young
2016: Time-consistency of risk measures with GARCH volatilities and their estimation Downloads
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2016: Leveraging the network: a stress-test framework based on DebtRank Downloads
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2016: Arbitrage, hedging and utility maximization using semi-static trading strategies with American options Downloads
Erhan Bayraktar and Zhou Zhou
2016: Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix Downloads
Patrick Steffen Michelberger and Jan Hendrik Witte
2016: Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming Downloads
Erhan Bayraktar, David Promislow and Virginia Young
2016: Hydrodynamic limit of order book dynamics Downloads
Xuefeng Gao and S. J. Deng
2016: A continuous auction model with insiders and random time of information release Downloads
Jos\'e Manuel Corcuera, Giulia Di Nunno, Gergely Farkas and Bernt {\O}ksendal
2016: Indifference pricing for Contingent Claims: Large Deviations Effects Downloads
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2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks Downloads
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2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models Downloads
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2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models Downloads
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2016: Implicit transaction costs and the fundamental theorems of asset pricing Downloads
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2016: Investor's sentiment in multi-agent model of the continuous double auction Downloads
A. Lykov, S. Muzychka and K. Vaninsky
2016: The Topology of African Exports: emerging patterns on spanning trees Downloads
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2016: Bunching of numbers in a non-ideal roulette: the key to winning strategies Downloads
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2016: Trading Strategy with Stochastic Volatility in a Limit Order Book Market Downloads
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2016: Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling Downloads
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2016: Market correlation structure changes around the Great Crash Downloads
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2016: CoCos under short-term uncertainty Downloads
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2016: A Simple extension of Dematerialization Theory: Incorporation of Technical Progress and the Rebound Effect Downloads
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2016: Regional Oil Extraction and Consumption: A simple production model for the next 35 years Part I Downloads
Michael Dittmar
2016: Micro-foundation using percolation theory of the finite-time singular behavior of the crash hazard rate in a class of rational expectation bubbles Downloads
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2016: Portfolio Optimization in the Stochastic Portfolio Theory Framework Downloads
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2016: Trading-profit attribution for the size factor Downloads
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2016: Sufficiency on the Stock Market Downloads
Peter Harremo\"es
2016: Robust Optimal Risk Sharing and Risk Premia in Expanding Pools Downloads
Thomas Knispel, Roger Laeven and Gregor Svindland
2016: Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data Downloads
Jonas Hallgren and Timo Koski
2016: Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums Downloads
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2016: Explicit moments of decision times for single- and double-threshold drift-diffusion processes Downloads
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2016: Negative oil price bubble is likely to burst in March - May 2016. A forecast on the basis of the law of log-periodical dynamics Downloads
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2016: Speculative Futures Trading under Mean Reversion Downloads
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2016: A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks Downloads
M. Fern\'andez-Mart\'inez, M. A S\'anchez-Granero, Mar\'ia Jos\'e Mu\~noz Torrecillas and Bill McKelvey
2016: A Statistical Model of Inequality Downloads
Ricardo Fernholz
2016: Do Mature Economies Grow Exponentially? Downloads
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2016: Inter-occurrence times and universal laws in finance, earthquakes and genomes Downloads
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2016: Generalization of Doob decomposition Theorem Downloads
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Anindya S. Chakrabarti, Arnab Chatterjee, Tushar Nandi, Asim Ghosh and Anirban Chakraborti
2016: Decomposition of Time Series Data of Stock Markets and its Implications for Prediction: An Application for the Indian Auto Sector Downloads
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2016: Systemic Risk Management in Financial Networks with Credit Default Swaps Downloads
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2016: Computing semiparametric bounds on the expected payments of insurance instruments via column generation Downloads
Robert Howley, Robert Storer, Juan Vera and Luis F. Zuluaga
2016: Irreversibility of financial time series: a graph-theoretical approach Downloads
Lucas Lacasa and Ryan Flanagan
2016: Brownian Bridges on Random Intervals Downloads
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2016: Teaching Economics and Providing Visual "Big Pictures" Downloads
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2016: Modelling and Measuring the Irrational behaviour of Agents in Financial Markets: Discovering the Psychological Soliton Downloads
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2016: Pricing barrier options with discrete dividends Downloads
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2016: Essay on the State of Research and Innovation in France and the European Union Downloads
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Lev B Klebanov
2016: Black-Litterman model with intuitionistic fuzzy posterior return Downloads
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2016: Long-run evolution of the global economy - Part 2: Hindcasts of innovation and growth Downloads
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2016: On a Generalization of Markowitz Preference Relation Downloads
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2016: Optimal Control of Conditional Value-at-Risk in Continuous Time Downloads
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2016: Financial Models with Defaultable Num\'eraires Downloads
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Philipp Harms and David Stefanovits
2016: Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure Downloads
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2016: A BSDE arising in an exponential utility maximization problem in a pure jump market model Downloads
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2016: Bermudan options by simulation Downloads
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2016: Heterotic Risk Models Downloads
Zura Kakushadze
2016: Identification of Insurance Models with Multidimensional Screening Downloads
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2016: Bifurcation patterns of market regime transition Downloads
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2016: Record statistics for random walk bridges Downloads
Claude Godreche, Satya N. Majumdar and Gregory Schehr
2016: Switching-GAS Copula Models With Application to Systemic Risk Downloads
Mauro Bernardi and Leopoldo Catania
2016: Local risk-minimization for Barndorff-Nielsen and Shephard models Downloads
Takuji Arai, Yuto Imai and Ryoichi Suzuki
2016: A hybrid tree/finite-difference approach for Heston-Hull-White type models Downloads
M. Briani, L. Caramellino and A. Zanette
2016: Monetary Policy and Dark Corners in a stylized Agent-Based Model Downloads
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2016: Solving finite time horizon Dynkin games by optimal switching Downloads
Randall Martyr
2016: Conditional Preference Orders and their Numerical Representations Downloads
Samuel Drapeau and Asgar Jamneshan
2016: Near-optimal estimation of jump activity in semimartingales Downloads
Adam D. Bull
2016: On Correlated Defaults and Incomplete Information Downloads
Wai-Ki Ching, Jia-Wen Gu and Harry Zheng
2016: Default contagion risks in Russian interbank market Downloads
A. V. Leonidov and E. L. Rumyantsev
2016: Risk-sensitive investment in a finite-factor model Downloads
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2016: Bregman superquantiles. Estimation methods and applications Downloads
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2016: Simultaneous Trading in 'Lit' and Dark Pools Downloads
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2016: Tails of weakly dependent random vectors Downloads
Peter Tankov
2016: Tail behavior of sums and differences of log-normal random variables Downloads
Archil Gulisashvili and Peter Tankov
2016: Energy, entropy, and arbitrage Downloads
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2016: Pricing and Valuation under the Real-World Measure Downloads
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2016: A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan Downloads
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2016: C^{1,1} regularity for degenerate elliptic obstacle problems Downloads
Panagiota Daskalopoulos and Paul M. N. Feehan
2016: The maximum maximum of a martingale with given $n$ marginals Downloads
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2016: Integral representations of risk functions for basket derivatives Downloads
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2016: On incompleteness of bond markets with infinite number of random factors Downloads
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