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2014: Optimal strategies in collective Parrondo games
Luis Dinis and Juan M. R. Parrondo
2014: Asset Pricing in an Imperfect World
Gianluca Cassese
2014: Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates
Beata Stehlikova
2014: Pricing of European Basket Call Option under Exponential Ornstein-Uhlenbeck Process
Jingwei Liu , Jiwen Luo and Xing Chen
2014: Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
Dmitry Kramkov and Sergio Pulido
2014: Is mathematics able to give insight into current questions in finance, economics and politics?
Larry Shepp and Michael Imerman
2014: The non-linear trade-off between return and risk: a regime-switching multi-factor framework
John Cotter and Enrique Salvador
2014: Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem
V'yugin, Vladimir
2014: Recombining binomial tree for constant elasticity of variance process
Hi Jun Choe , Jeong Ho Chu and So Jeong Shin
2014: The Precautionary Principle (with Application to the Genetic Modification of Organisms)
Nassim Nicholas Taleb , Rupert Read , Raphael Douady , Joseph Norman and Yaneer Bar-Yam
2014: Risk diversification: a study of persistence with a filtered correlation-network approach
Musmeci, Nicol\'o , Tomaso Aste and Tiziana Di Matteo
2014: 4-Factor Model for Overnight Returns
Zura Kakushadze
2014: Conditional Preference Orders and their Numerical Representations
Samuel Drapeau and Asgar Jamneshan
2014: Portfolio Selection with Multiple Spectral Risk Constraints
Carlos Abad and Garud Iyengar
2014: RHOMOLO: A Dynamic Spatial General Equilibrium Model for Assessing the Impact of Cohesion Policy
Andries Brandsma , Kancs, d'Artis , Philippe Monfort and Alexandra Rillaers
2014: Robust Fundamental Theorem for Continuous Processes
Sara Biagini , Bruno Bouchard , Constantinos Kardaras and Marcel Nutz
2014: Assessing the Inequalities of Wealth in Regions: the Italian Case
Roy Cerqueti and Marcel Ausloos
2014: A polynomial distribution applied to income and wealth distribution
Elvis Oltean and Fedor Kusmartsev
2014: Arbitrage free markets geometry
A. V. Lebedev and P. P. Zabreiko
2014: Global Value Trees
Zhen Zhu , Michelangelo Puliga , Federica Cerina , Alessandro Chessa and Massimo Riccaboni
2014: Consistency of internal risk measure estimates
Mark H. A. Davis
2014: A statistical physics analysis of expenditure in the UK
Elvis Oltean and Fedor Kusmartsev
2014: An econophysical approach of polynomial distribution applied to income and expenditure
Elvis Oltean
2014: An Econophysical dynamic approach of expenditure and income distribution in the UK
Elvis Oltean and Fedor Kusmartsev
2014: Applications of statistical physics distributions to several types of income
Elvis Oltean and Fedor V. Kusmartsev
2014: Optimal dividend payment under time of ruin contraint: Exponential case
Camilo Hernandez and Mauricio Junca
2014: Volatility is rough
Jim Gatheral , Thibault Jaisson and Mathieu Rosenbaum
2014: A study of Methods from Statistical Mechanics applied to income distribution
Elvis Oltean and Fedor Kusmartsev
2014: Arbitrage theory without a num\'eraire
Michael R. Tehranchi
2014: Benford's law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions
Tariq Ahmad Mir , Marcel Ausloos and Roy Cerqueti
2014: Optimal Monitoring and Mitigation of Systemic Risk in Financial Networks
Zhang Li , Xiaojun Lin , Borja Peleato-Inarrea and Ilya Pollak
2014: Communication impacting financial markets
Jorgen Vitting Andersen , Ioannis Vrontos , Petros Dellaportas and Serge Galam
2014: Propagation of Systemic Risk in Interbank Networks
Vanessa Hoffmann de Quadros , Gonz\'alez-Avella, Juan Carlos and Iglesias, Jos\'e Roberto
2014: Ross Recovery with Recurrent and Transient Processes
Hyungbin Park
2014: Reconstructing topological properties of complex networks using the fitness model
Giulio Cimini , Tiziano Squartini , Musmeci, Nicol\`o , Michelangelo Puliga , Andrea Gabrielli , Diego Garlaschelli , Stefano Battiston and Guido Caldarelli
2014: An initial approach to Risk Management of Funding Costs
Damiano Brigo and Cyril Durand
2014: Tug-of-war, market manipulation and option pricing
Nystr\"om, Kaj and Mikko Parviainen
2014: Path Integral and Asset Pricing
Zura Kakushadze
2014: Optimal execution of ASR contracts with fixed notional
Gu\'eant, Olivier
2014: On volatility smile and an investment strategy with out-of-the-money calls
Jarno Talponen
2014: Rationality parameter for exercising American put
K. Gad and J. L. Pedersen
2014: Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
Cody Hyndman and Xinghua Zhou
2014: Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control
Vladimir Dombrovskii and Tatyana Obyedko
2014: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
Rodrigo S. Targino , Gareth W. Peters and Pavel V. Shevchenko
2014: Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
Wanyang Dai
2014: An expansion in the model space in the context of utility maximization
Kasper Larsen , Oleksii Mostovyi and \v{Z}itkovi\'c, Gordan
2014: Stability of Utility Maximization in Nonequivalent Markets
Kim Weston
2014: A General Duality Relation with Applications in Quantitative Risk Management
Raphael Hauser , Sergey Shahverdyan and Paul Embrechts
2014: Fair bilateral prices in Bergman's model
Tianyang Nie and Marek Rutkowski
2014: A generalized Dynkin game of switching type for defaultable claims in presence of contingent CSA
Giovanni Mottola
2014: Fair and profitable bilateral prices under funding costs and collateralization
Tianyang Nie and Marek Rutkowski
2014: Indifference pricing for Contingent Claims: Large Deviations Effects
Scott Robertson and Konstantinos Spiliopoulos
2014: On the convergence of the Fitness-Complexity Algorithm
Emanuele Pugliese , Andrea Zaccaria and Luciano Pietronero
2014: Systemic Interbank Network Risks in Russia
A. V. Leonidov and E. L. Rumyantsev
2014: The Fourier estimation method with positive semi-definite estimators
Akahori, Jir\^o , Nien-Lin Liu , Maria Elvira Mancino and Yukie Yasuda
2014: A Systemic Stress Test Model in Bank-Asset Networks
Nima Dehmamy , Sergey V. Buldyrev , Shlomo Havlin , H. Eugene Stanley and Irena Vodenska
2014: Socio-economic inequalities: a statistical physics perspective
Arnab Chatterjee
2014: Preventing endogenous extreme events in herding dominant agent-based financial market
Aleksejus Kononovicius and Vygintas Gontis
2014: A simple dynamical model leading to Pareto wealth distribution and stability
P\'erez-Marco, Ricardo
2014: Optimal Execution with Dynamic Order Flow Imbalance
Kyle Bechler and Mike Ludkovski
2014: Mean-Reversion and Optimization
Zura Kakushadze
2014: A system of quadratic BSDEs arising in a price impact model
Dmitry Kramkov and Sergio Pulido
2014: A convex duality method for optimal liquidation with participation constraints
Gu\'eant, Olivier , Jean-Michel Lasry and Jiang Pu
2014: New Pricing Framework: Options and Bonds
Nick Laskin
2014: A Bellman View of Jesse Livermore
Nick Polson and Jan Hendrik Witte
2014: Localization in covariance matrices of coupled heterogenous Ornstein-Uhlenbeck processes
Paolo Barucca
2014: A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition
Ulrich Horst , Jinniao Qiu and Qi Zhang
2014: Optimal investment with time-varying stochastic endowments
An Chen , Carla Mereu and Robert Stelzer
2014: Factor Models for Alpha Streams
Zura Kakushadze
2014: Multilevel path simulation for weak approximation schemes
Denis Belomestny and Tigran Nagapetyan
2014: Can Turnover Go to Zero?
Zura Kakushadze
2014: Networks of Military Alliances, Wars, and International Trade
Matthew O. Jackson and Stephen M. Nei
2014: Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility
Figueroa-L\'opez, Jos\'e E. and \'Olafsson, Sveinn
2014: Utility maximization in the large markets
Oleksii Mostovyi
2014: Branching ratio approximation for the self-exciting Hawkes process
Stephen J. Hardiman and Jean-Philippe Bouchaud
2014: High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm
Dieter Hendricks , Diane Wilcox and Tim Gebbie
2014: Zipf's law in city size from a resource utilization model
Asim Ghosh , Arnab Chatterjee , Anindya S. Chakrabarti and Bikas K Chakrabarti
2014: Efficient Modeling and Forecasting of the Electricity Spot Price
Florian Ziel , Rick Steinert and Sven Husmann
2014: Systemic Risk and Default Clustering for Large Financial Systems
Konstantinos Spiliopoulos
2014: Martingale Inequalities and Deterministic Counterparts
Beiglb\"ock, Mathias and Marcel Nutz
2014: Estimating time-changes in noisy L\'evy models
Adam D. Bull
2014: Optimal Strategies for a Long-Term Static Investor
Lingjiong Zhu
2014: Modeling capital gains taxes for trading strategies of infinite variation
K\"uhn, Christoph and Ulbricht, Bj\"orn
2014: Analytical solution for a class of network dynamics with mechanical and financial applications
Krej\v{c}\'i, Pavel , Harbir Lamba , Sergey Melnik and Dmitrii Rachinskii
2014: Heavy tailed time series with extremal independence
Rafal Kulik and Philippe Soulier
2014: The Convexity of the Free Boundary for American-style put options
Hsuan-Ku Liu
2014: Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims
Lingjiong Zhu
2014: Multiportfolio time consistency for set-valued convex and coherent risk measures
Zachary Feinstein and Birgit Rudloff
2014: Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact
Baojun Bian , Nan Wu and Harry Zheng
2014: A simple strong solution to non-linear HJB PDEs: an application to the portfolio model
Moawia Alghalith
2014: Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations
Paul M. N. Feehan and Camelia A. Pop
2014: C^{1,1} regularity for degenerate elliptic obstacle problems
Panagiota Daskalopoulos and Paul M. N. Feehan
2014: Impact of shadow banks on financial contagion
Yoshiharu Maeno , Kenji Nishiguchi , Satoshi Morinaga and Hirokazu Matsushima
2014: Time Evolution of Non-linear Currency Networks
Paweł Fiedor and Ho{\l}da, Artur
2014: Tax Compliance and Public Goods Provision -- An Agent-based Econophysics Approach
Sascha Hokamp and G. Seibold
2014: Apparent impact: the hidden cost of one-shot trades
Iacopo Mastromatteo
2014: Sudden Trust Collapse in Networked Societies
Batista, Jo\~ao da Gama , Jean-Philippe Bouchaud and Damien Challet
2014: Fact Sheet Research on Bayesian Decision Theory
H. R. N. van Erp , R. O. Linger and P. H. A. J. M. van Gelder
2014: Minimax estimation of jump activity in semimartingales
Adam D. Bull
2014: Scaling analysis of time series of daily prices from stock markets of transitional economies in the Western Balkans
Darko Savran , Djordje Stratimirovic , Suzana Blesic and Vladimir Miljkovic
2014: Multi-asset consumption-investment problems with infinite transaction costs
David Hobson and Yeqi Zhu
2014: An $\alpha$-Stable Limit Theorem Under Sublinear Expectation
Erhan Bayraktar and Alexander Munk
2014: Parametric Risk Parity
Lorenzo Mercuri and Edit Rroji
2014: Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions
Baojun Bian and Harry Zheng
2014: Risk Premia: Asymmetric Tail Risks and Excess Returns
Y. Lemp\'eri\`ere, , C. Deremble , T. T. Nguyen , P. Seager , M. Potters and J. P. Bouchaud
2014: The evolution of wealth transmission in human populations: a stochastic model
G. Augustins , L. Etienne , J-B. Ferdy , R. Ferrer , B. Godelle , E. Pitard and F. Rousset
2014: High-Resilience Limits of Block-Shaped Order Books
Jan Kallsen and Johannes Muhle-Karbe
2014: On time consistency of dynamic risk and performance measures in discrete time
Tomasz R. Bielecki , Igor Cialenco and Marcin Pitera
2014: Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty
Patrick Beißner and Frank Riedel
2014: Finite sample properties of power-law cross-correlations estimators
Ladislav Krištoufek
2014: On a Stopping Game in continuous time
Erhan Bayraktar and Zhou Zhou
2014: A GDP-driven model for the binary and weighted structure of the International Trade Network
Assaf Almog , Tiziano Squartini and Diego Garlaschelli
2014: The Immediate Exchange model: an analytical investigation
Guy Katriel
2014: Calculation of a power price equilibrium
Miha Troha and Raphael Hauser
2014: On the interplay between short and long term memory in the power-law cross-correlations setting
Ladislav Krištoufek
2014: Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags
Paul Gaskell , Frank McGroarty and Thanassis Tiropanis
2014: Optimal models of extreme volume-prices are time-dependent
Paulo Rocha , Frank Raischel , Boto, Jo\~ao Pedro and Pedro G. Lind
2014: Funding Value Adjustment and Incomplete Markets
Lorenzo Cornalba
2014: Option pricing in constant elasticity of variance model with liquidity costs
Krzysztof Turek
2014: Distance to the line in the Heston model
Archil Gulisashvili
2014: International trade network: fractal properties and globalization puzzle
Mariusz Karpiarz , Piotr Fronczak and Agata Fronczak
2014: Bounds on Portfolio Quality
Steven E. Pav
2014: Pricing and hedging of energy spread options and volatility modulated Volterra processes
Fred Espen Benth and Hanna Zdanowicz
2014: Empirical Study of the 1-2-3 Trend Indicator
Yasemin Hafizogullari , Stanislaus Maier-Paape and Andreas Platen
2014: The $\alpha$-Hypergeometric Stochastic Volatility Model
Da Fonseca, Jos\'e and Claude Martini
2014: Mean of Ratios or Ratio of Means: statistical uncertainty applied to estimate Multiperiod Probability of Defaul
Matteo Formenti
2014: The Credibility Theory applied to backtesting Counterparty Credit Risk
Matteo Formenti
2014: Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence
Matteo Formenti
2014: Visualising stock flow consistent models as directed acyclic graphs
Peter G. Fennell , O'Sullivan, David , Antoine Godin and Stephen Kinsella
2014: Indicators of availability of non-market relations in the sphere of labor market in Ukraine
Valery Tabakov
2014: Rawls' Fairness, Income Distribution and Alarming Level of Gini Coefficient
Yong Tao , Xiangjun Wu and Changshuai Li
2014: Portfolio Selection with Mandatory Bequest
Jiacheng Feng
2014: Instability and network effects in innovative markets
Paolo Sgrignoli , Elena Agliari , Raffaella Burioni and Augusto Schianchi
2014: The World Trade Web: A Multiple-Network Perspective
Paolo Sgrignoli
2014: Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks
Benjamin Vandermarliere , Alexei Karas , Jan Ryckebusch and Koen Schoors
2014: Optimal consumption and sale strategies for a risk averse agent
David Hobson and Yeqi Zhu
2014: Endogenous crisis waves: a stochastic model with synchronized collective behavior
Stanislao Gualdi , Jean-Philippe Bouchaud , Giulia Cencetti , Marco Tarzia and Francesco Zamponi
2014: Synergy cycles in the Norwegian innovation system: The relation between synergy and cycle values
Inga Ivanova , Oivind Strand and Loet Leydesdorff
2014: The effect of the number of states on the validity of credit ratings
P. Lencastre , F. Raischel and P. G. Lind
2014: Contagion in an interacting economy
Pierre Paga and K\"uhn, Reimer
2014: Custom v. Standardized Risk Models
Zura Kakushadze and Jim Kyung-Soo Liew
2014: Optimal double stopping of a Brownian bridge
Erik J. Baurdoux , Nan Chen , Budhi A. Surya and Kazutoshi Yamazaki
2014: Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
Nien-Lin Liu and Hoang-Long Ngo
2014: Optimal investment with bounded above utilities in discrete time markets
Miklos Rasonyi
2014: A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities
Roberto Casarin , Fabrizio Leisen , German Molina and Enrique ter Horst
2014: Affine Processes
Eberhard Mayerhofer
2014: Discrete Time Term Structure Theory and Consistent Recalibration Models
Anja Richter and Josef Teichmann
2014: Zero-determinant strategies in iterated multi-strategy games
Jin-Li Guo
2014: A spring-block analogy for the dynamics of stock indexes
Bulcsu Sandor and Zoltan Neda
2014: Orthogonal Polynomials for Seminonparametric Instrumental Variables Model
Yevgeniy Kovchegov and Nese Yildiz
2014: Opening discussion on banking sector risk exposures and vulnerabilities from virtual currencies: An operational risk perspective
Gareth W. Peters , Ariane Chapelle and Efstathios Panayi
2014: On the design of sell-side limit and market order tactics
Vladimir Markov
2014: Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands
Vladimir Markov , Slava Mazur and David Saltz
2014: On Correlated Defaults and Incomplete Information
Wai-Ki Ching , Jia-Wen Gu and Harry Zheng
2014: Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models
Pablo Olivares and Matthew Cane
2014: Default contagion risks in Russian interbank market
A. V. Leonidov and E. L. Rumyantsev
2014: Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo
Rosario Nunzio Mantegna
2014: A Lattice Framework for Pricing Display Ad Options with the Stochastic Volatility Underlying Model
Bowei Chen and Jun Wang
2014: Optimal Dynamic Procurement Policies for a Storable Commodity with L\'evy Prices and Convex Holding Costs
Maria B. Chiarolla , Giorgio Ferrari and Gabriele Stabile
2014: Manipulating decision making of typical agents
V. . Yukalov and D. Sornette
2014: Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
Chuancun Yin and Kam Chuen Yuen
2014: Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation
Xiaolin Luo and Pavel V. Shevchenko
2014: Stochastic Perron for Stochastic Target Games
Erhan Bayraktar and Jiaqi Li
2014: Game theory analysis for carbon auction market through electricity market coupling
Mireille Bossy , Nadia Maizi and Odile Pourtallier
2014: Hierarchical causality in financial economics
Diane Wilcox and Tim Gebbie
2014: Determining Optimal Trading Rules without Backtesting
Peter P. Carr and Marcos Lopez de Prado
2014: Utility indifference pricing and hedging for structured contracts in energy markets
Giorgia Callegaro , Luciano Campi and Tiziano Vargiolu
2014: Microscopic Models for Welfare Measures Addressing a Reduction of Economic Inequality
Maria Letizia Bertotti and Giovanni Modanese
2014: Economic Optimal Operation of Community Energy Storage Systems in Competitive Energy Markets
Reza Arghandeh , Jeremy Woyak , Ahmet Onen , Jaesung Jung and Robert P. Broadwater
2014: Income Inequality in the 21st Century -- A biased summary of Piketty's Capital in the Twenty-First Century
Dietrich Stauffer
2014: Change of numeraire in the two-marginals martingale transport problem
Luciano Campi , Ismail Laachir and Claude Martini
2014: A Bond Consistent Derivative Fair Value
Johan Gunnesson and Mu\~noz de Morales, Alberto Fern\'andez
2014: Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series
Sergey A. Kamenshchikov
2014: A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing
Masaaki Fujii
2014: Predictable markets? A news-driven model of the stock market
Maxim Gusev , Dimitri Kroujiline , Boris Govorkov , Sergey V. Sharov , Dmitry Ushanov and Maxim Zhilyaev
2014: From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options
Lorenz Schneider and Bertrand Tavin
2014: Information theoretic approach for accounting classification
E. M. S. Ribeiro and G. A. Prataviera
2014: The process of macroprudential oversight in Europe
Peter Sarlin and Henrik J. Nyman
2014: Accelerated Share Repurchase: pricing and execution strategy
Gu\'eant, Olivier , Jiang Pu and Guillaume Royer
2014: Simulating and analyzing order book data: The queue-reactive model
Weibing Huang , Charles-Albert LEHALLE and Mathieu Rosenbaum
2014: A primal-dual algorithm for BSDEs
Christian Bender , Nikolaus Schweizer and Jia Zhuo
2014: Taylor approximation of incomplete Radner equilibrium models
Jin Hyuk Choi and Kasper Larsen
2014: Shapes of implied volatility with positive mass at zero
Stefano De Marco , Caroline Hillairet and Antoine Jacquier
2014: Hedging under an expected loss constraint with small transaction costs
Bruno Bouchard , Ludovic Moreau and Mete H. Soner
2014: A note on the Fundamental Theorem of Asset Pricing under model uncertainty
Erhan Bayraktar , Yuchong Zhang and Zhou Zhou
2014: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
Paulwin Graewe , Ulrich Horst and Jinniao Qiu
2014: Weak reflection principle for L\'evy processes
Erhan Bayraktar and Sergey Nadtochiy
2014: A hybrid tree-finite difference approach for the Heston model
Maya Briani , Lucia Caramellino and Antonino Zanette
2014: Tick Size Reduction and Price Clustering in a FX Order Book
Mehdi Lallouache and Abergel, Fr\'ed\'eric
2014: Maximization of recursive utilities under convex portfolio constraints
Anis Matoussi , Hanen Mezghani and Mohamed Mnif
2014: Statistical Mechanics of Competitive Resource Allocation using Agent-based Models
Anirban Chakraborti , Damien Challet , Arnab Chatterjee , Matteo Marsili , Yi-Cheng Zhang and Bikas K. Chakrabarti
2014: The pricing formula for cancellable European options
Hsuan-Ku Liu
2014: The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles
Damiano Brigo , Francesco Rapisarda and Abir Sridi
2014: Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models
Laurence Carassus and Miklos Rasonyi
2014: Multivariate risk measures: a constructive approach based on selections
Ignacio Cascos and Ilya Molchanov
2014: State-independent Importance Sampling for Random Walks with Regularly Varying Increments
Karthyek R. A. Murthy , Sandeep Juneja and Jose Blanchet
2014: Toehold Purchase Problem: A comparative analysis of two strategies
Iryna Banakh , Taras Banakh , Pavel Trisch and Myroslava Vovk
2014: The maximum maximum of a martingale with given n marginals
Pierre Henry-Labordere , Jan Obloj , Peter Spoida and Nizar Touzi
2014: On martingale measures and pricing for continuous bond-stock market with stochastic bond
Nikolai Dokuchaev
2014: Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
Takashi Kato
2014: Holder-extendible European option: corrections and extensions
Pavel V. Shevchenko
2014: Pragmatic Information Rates, Generalizations of the Kelly Criterion, and Financial Market Efficiency
Edward D. Weinberger
2014: Entropy and Optimization of Portfolios
Krzysztof Urbanowicz
2014: Analysis of Spin Financial Market by GARCH Model
Tetsuya Takaishi
2014: What You Should Know About Megaprojects, and Why: An Overview
Bent Flyvbjerg
2014: Should we build more large dams? The actual costs of hydropower megaproject development
Atif Ansar , Bent Flyvbjerg , Alexander Budzier and Daniel Lunn
2014: Long Term Optimal Investment in Matrix Valued Factor Models
Scott Robertson and Hao Xing
2014: How structurally stable are global socioeconomic systems?
Serguei Saavedra , Rudolf P. Rohr , Luis J. Gilarranz and Jordi Bascompte
2014: Hedging Conditional Value at Risk with Options
Capi\'nski, Maciej J.
2014: Can Google searches help nowcast and forecast unemployment rates in the Visegrad Group countries?
Jaroslav Pavlicek and Ladislav Krištoufek
2014: Spectrum-based estimators of the bivariate Hurst exponent
Ladislav Krištoufek
2014: Efficient solution of structural default models with correlated jumps. A fractional PDE approach
Andrey Itkin and Alexander Lipton
2014: Long time asymptotics for optimal investment
Huyen Pham
2014: A Noisy Principal Component Analysis for Forward Rate Curves
Márcio Laurini and Alberto Ohashi
2014: Intra-day variability of the stock market activity versus stationarity of the financial time series
T. Gubiec and M. Wili\'nski,
2014: VWAP Execution as an Optimal Strategy
Takashi Kato
2014: Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation
Xiangyu Cui , Xun Li , Duan Li and Yun Shi
2014: Shadow prices for continuous processes
Christoph Czichowsky , Walter Schachermayer and Junjian Yang
2014: A Framework of Conjugate Direction Methods for Symmetric Linear Systems in Optimization
Giovanni Fasano
2014: Duality Theory for Portfolio Optimisation under Transaction Costs
Christoph Czichowsky and Walter Schachermayer
2014: Fragility of the Commons under Prospect-Theoretic Risk Attitudes
Ashish R. Hota , Siddharth Garg and Shreyas Sundaram
2014: Asymptotic replication with modified volatility under small transaction costs
Jiatu Cai and Masaaki Fukasawa
2014: Approximating the zero-coupon bond price in a general one-factor model with constant coefficients
Beata Stehlikova
2014: Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies
Hao Meng , Wei-Xing Zhou and Didier Sornette
2014: High Performance Financial Simulation Using Randomized Quasi-Monte Carlo Methods
Linlin Xu and \"Okten, Giray
2014: Consistent Price Systems under Model Uncertainty
Bruno Bouchard and Marcel Nutz
2014: The optimal hedging in a semi-Markov modulated market
Anindya Goswami , Jeeten Patel and Poorva Sevgaonkar
2014: Quantile Hedging in a Semi-Static Market with Model Uncertainty
Erhan Bayraktar and Gu Wang
2014: Diversification and Endogenous Financial Networks
H\'eam, Jean-Cyprien and Erwan Koch
2014: Risk Minimization in Markets Imposing Minimal Transaction Costs
Yan Dolinsky and Yuri Kifer
2014: Maximum Entropy Production Principle for Stock Returns
Paweł Fiedor
2014: On Zero-sum Optimal Stopping Games
Erhan Bayraktar and Zhou Zhou
2014: The Random Walk of High Frequency Trading
Eric Mark Aldrich , Indra Heckenbach and Gregory Laughlin
2014: Elliptical Tempered Stable Distribution and Fractional Calculus
Hassan A. Fallahgoul and Young S. Kim
2014: Downturn LGD: A More Conservative Approach for Economic Decline Periods
Mauro R. Oliveira and Armando Chinelatto Neto
2014: Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment
V\'yrost, Tom\'a\v{s} , Ly\'ocsa, \v{S}tefan and Baum\"ohl, Eduard
2014: Realization Utility with Reference-Dependent Preferences
Jonathan E. Ingersoll and Lawrence J. Jin
2014: Accelerated Portfolio Optimization with Conditional Value-at-Risk Constraints using a Cutting-Plane Method
Georg Hofmann
2014: Sector-Based Factor Models for Asset Returns
Angela Gu and Patrick Zeng
2014: Value-at-Risk time scaling for long-term risk estimation
Luca Spadafora , Marco Dubrovich and Marcello Terraneo
2014: Agent based models for wealth distribution with preference in interaction
Sanchari Goswami and Parongama Sen
2014: How the Taxonomy of Products Drives the Economic Development of Countries
Andrea Zaccaria , Matthieu Cristelli , Andrea Tacchella and Luciano Pietronero
2014: Dynamics in two networks based on stocks of the US stock market
Leonidas Sandoval Junior
2014: Structural social capital and health in Italy
Damiano Fiorillo and Fabio Sabatini
2014: The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy
David Garcia , Claudio Juan Tessone , Pavlin Mavrodiev and Nicolas Perony
2014: Optimal Consumption With Habit Formation In Markets with Transaction Costs And Unbounded Random Endowment
Xiang Yu
2014: Kinetic Exchange Models in Economics and Sociology
Sanchari Goswami and Anirban Chakraborti
2014: A simple model of local prices and associated risk evaluation
Krzysztof Urbanowicz , Peter Richmond and Ho{\l}yst, Janusz A.
2014: A Note on Kuhn's Theorem with Ambiguity Averse Players
Gaurab Aryal and Ronald Stauber
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2014: Stochastic Analysis Seminar on Filtering Theory
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2014: A New Characterization of Comonotonicity and its Application in Behavioral Finance
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2014: The impact of lead time forecasting on the bullwhip effect
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2014: Short-term Market Reaction after Trading Halts in Chinese Stock Market
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2014: Semiparametric stochastic volatility modelling using penalized splines
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2014: On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix
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2014: The Financing of Innovative SMEs: a multicriteria credit rating model
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2014: Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process
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2014: A Robust Version of Convex Integral Functionals
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2014: The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
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2014: Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function
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2014: How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related
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2014: Patience vs. Impatience of Stock Traders
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2014: On the concentration of large deviations for fat tailed distributions, with application to financial data
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2014: American and Bermudan options in currency markets under proportional transaction costs
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2014: An Optimal Execution Problem with Market Impact
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2014: Field Theory of Macroeconomics
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2014: Path Diffusion, Part I
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2014: Structure of local interactions in complex financial dynamics
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2014: Explicit investment rules with time-to-build and uncertainty
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2014: Gambling in Contests with Random Initial Law
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2014: Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics
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2014: VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution
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2014: Mixed Tempered Stable distribution
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2014: Option Pricing in a Dynamic Variance-Gamma Model
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2014: On the stationarity of Dynamic Conditional Correlation models
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2014: Bregman superquantiles. Estimation methods and applications
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2014: Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility
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2014: Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
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2014: Modeling FX market activity around macroeconomic news: a Hawkes process approach
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2014: Structural Models under Additional Information
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2014: Partial Mutual Information Analysis of Financial Networks
Paweł Fiedor
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2014: Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics
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2014: Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
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2014: Multi-period Trading Prediction Markets with Connections to Machine Learning
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2014: Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots
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2014: Time-dependent Heston model
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2014: Information-theoretic approach to lead-lag effect on financial markets
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2014: Reference Vectors in Economic Choice
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2014: Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
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2014: Partial correlation analysis: Applications for financial markets
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2014: Crossing Stocks and the Positive Grassmannian I: The Geometry behind Stock Market
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2014: Option Pricing, Historical Volatility and Tail Risks
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2014: The Political Economy of FDI flows into Developing Countries: Does the depth of International Trade Agreements Matter?
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2014: The False Premises and Promises of Bitcoin
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2014: Detrended Cross-Correlation Analysis Consistently Extended to Multifractality
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2014: Arbitrage and Duality in Nondominated Discrete-Time Models
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2014: A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role
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2014: Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach
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2014: Superreplication under Model Uncertainty in Discrete Time
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2014: Strong random correlations in networks of heterogeneous agents
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2014: Micro to macro models for income distribution in the absence and in the presence of tax evasion
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2014: Hedging Expected Losses on Derivatives in Electricity Futures Markets
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2014: Testing for rational speculative bubbles in the Brazilian residential real-estate market
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2014: Estimate nothing
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2014: Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market
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2014: On multicurve models for the term structure
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2014: A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
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2014: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
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2014: A Creepy World
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2014: General indifference pricing with small transaction costs
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2014: Quasi-Hadamard differentiability of general risk functionals and its application
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2014: Law-invariant risk measures: extension properties and qualitative robustness
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2014: Hierarchicality of Trade Flow Networks Reveals Complexity of Products
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2014: When Finance Meets Physics: The Impact of the Speed of Light on Financial Markets and their Regulation
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2014: Bayesian analysis of redistribution policy with a fixed scale
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2014: Complex temporal structure of activity in on-line electronic auctions
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2014: Mutual Information Rate-Based Networks in Financial Markets
Paweł Fiedor
2014: Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions
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2014: Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile
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2014: Refined wing asymptotics for the Merton and Kou jump diffusion models
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2014: Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting
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2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks
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2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models
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2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models
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2014: Pricing of basket options I
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2014: Informational Efficiency under Short Sale Constraints
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2014: Optimal consumption and portfolio choice with ambiguity
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2014: Computation of the "Enrichment" of a Value Functions of an Optimization Problem on Cumulated Transaction-Costs through a Generalized Lax-Hopf Formula
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2014: An Empirical Method to Measure Stochasticity and Multifractality in Nonlinear Time Series
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2014: Second order statistics characterization of Hawkes processes and non-parametric estimation
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2014: A statistical physics perspective on criticality in financial markets
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2014: Prospect Agents and the Feedback Effect on Price Fluctuations
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2014: Local Variance Gamma and Explicit Calibration to Option Prices
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2014: Optimal investment for all time horizons and Martin boundary of space-time diffusions
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2014: The Skin In The Game Heuristic for Protection Against Tail Events
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2014: Model-free CPPI
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2014: Maximum Lebesgue Extension of Monotone Convex Functions
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2014: Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades
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2014: Rationalizing Investors Choice
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2014: A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection
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2014: Generalised central limit theorems for growth rate distribution of complex systems
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2014: Second-order BSDEs with general reflection and game options under uncertainty
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2014: Hedge and Mutual Funds' Fees and the Separation of Private Investments
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2014: Statistical pairwise interaction model of stock market
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2014: Transaction Costs, Shadow Prices, and Duality in Discrete Time
Christoph Czichowsky , Johannes Muhle-Karbe and Walter Schachermayer
2014: Comparative and qualitative robustness for law-invariant risk measures
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2014: Capital requirements with defaultable securities
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2014: Killed Brownian motion with a prescribed lifetime distribution and models of default
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2014: A model for a large investor trading at market indifference prices. II: continuous-time case
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2014: The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
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2014: A Coupled Markov Chain Approach to Credit Risk Modeling
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