# Papers
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- 2017: Mean field and n-agent games for optimal investment under relative performance criteria
*Daniel Lacker* and *Thaleia Zariphopoulou*
- 2017: An Agent-based Model of Contagion in Financial Networks
*Leonardo dos Santos Pinheiro* and *Flavio Codeco COelho*
- 2017: Stochastic control on the half-line and applications to the optimal dividend/consumption problem
*Dariusz Zawisza*
- 2017: Optimal Portfolio under Fractional Stochastic Environment
*Jean-Pierre Fouque* and *Ruimeng Hu*
- 2017: New approaches in agent-based modeling of complex financial systems
*T. T. Chen*, *B. Zheng*, *Y. Li* and *X. F. Jiang*
- 2017: Direct observation of high-frequency traders' strategies and theoretical foundation for financial Brownian motion
*Kiyoshi Kanazawa*, *Takumi Sueshige*, *Hideki Takayasu* and *Misako Takayasu*
- 2017: A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors
*Sujay Mukhoti* and *Pritam Ranjan*
- 2017: How to Forecast an Election
*Nassim Nicholas Taleb*
- 2017: Pricing VIX Derivatives With Free Stochastic Volatility Model
*Wei Lin*, *Shenghong Li* and *Shane Chern*
- 2017: How well do experience curves predict technological progress? A method for making distributional forecasts
*Fran\c{c}ois Lafond*, *Aimee Gotway Bailey*, *Jan David Bakker*, *Dylan Rebois*, *Rubina Zadourian*, *Patrick McSharry* and *J. Doyne Farmer*
- 2017: Acceptability Pricing of Contingent Claims Under Model Ambiguity Using Stochastic Optimization
*Martin Glanzer* and *Georg Ch. Pflug*
- 2017: Humans of Simulated New York (HOSNY): an exploratory comprehensive model of city life
*Francis Tseng*, *Fei Liu* and *Bernardo Alves Furtado*
- 2017: Short-time near-the-money skew in rough fractional volatility models
*Christian Bayer*, *Peter K. Friz*, *Archil Gulisashvili*, *Blanka Horvath* and *Benjamin Stemper*
- 2017: Perfect hedging in rough Heston models
*Omar El Euch* and *Mathieu Rosenbaum*
- 2017: Data driven partition-of-unity copulas with applications to risk management
*Dietmar Pfeifer*, *Andreas M\"andle* and *Olena Ragulina*
- 2017: Systemic Risk, Maximum Entropy and Interbank Contagion
*M. Andrecut*
- 2017: Extremal Behavior of Long-Term Investors with Power Utility
*Nicole B\"auerle* and *Stefanie Grether*
- 2017: Topological Data Analysis of Financial Time Series: Landscapes of Crashes
*Marian Gidea* and *Yuri Katz*
- 2017: On representing and hedging claims for coherent risk measures
*Saul Jacka*, *Seb Armstrong* and *Abdelkarem Berkaoui*
- 2017: Diffusive and arrested-like dynamics in currency exchange markets
*Joaquim Clara-Rahola*, *Antonio M. Puertas*, *Miguel Angel Sanchez-Granero*, *Juan E. Trinidad-Segovia* and *F. Javier de las Nieves*
- 2017: Uncovering Offshore Financial Centers: Conduits and Sinks in the Global Corporate Ownership Network
*Javier Garcia-Bernardo*, *Jan Fichtner*, *Eelke M. Heemskerk* and *Frank W. Takes*
- 2017: Networks as Proxies: a relational approach towards economic complexity in the Roman period
*Johannes Preiser-Kapeller*
- 2017: Pythagorean theorem of Sharpe ratio
*Takashi Shinzato*
- 2017: Media Network and Return Predictability
*Li Guo* and *Yubo Tao*
- 2017: Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization under Probability and Discounting Uncertainty
*Samuel Drapeau*, *Peng Luo* and *Dewen Xiong*
- 2017: Mini-symposium on automatic differentiation and its applications in the financial industry
*S\'ebastien Geeraert*, *Charles-Albert Lehalle*, *Barak Pearlmutter*, *Olivier Pironneau* and *Adil Reghai*
- 2017: Wisdom of the institutional crowd
*Kevin Primicerio*, *Damien Challet* and *Stanislao Gualdi*
- 2017: Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion
*Danping Li*, *Dongchen Li* and *Virginia R. Young*
- 2017: Optimal investment problem with M-CEV model: closed form solution and applications to the pair trading
*Dmitry Muravey*
- 2017: Blockchains and Distributed Ledgers in Retrospective and Perspective
*Alexander Lipton*
- 2017: Collective Learning in China's Regional Economic Development
*Jian Gao*, *Bogang Jun*, *Alex "Sandy" Pentland*, *Tao Zhou* and *Cesar A. Hidalgo*
- 2017: Disentangling Price, Risk and Model Risk
*Marco Frittelli* and *Marco Maggis*
- 2017: Quantifying China's Regional Economic Complexity
*Jian Gao* and *Tao Zhou*
- 2017: Swarm behavior of traders with different subjective predictions in the Market
*Hiroshi Toyoizumi*
- 2017: Model Spaces for Risk Measures
*Felix-Benedikt Liebrich* and *Gregor Svindland*
- 2017: Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula
*Stefano De Marco* and *Claude Martini*
- 2017: Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies
*Jorge Inigo*
- 2017: A note on conditional covariance matrices for elliptical distributions
*Piotr Jaworski* and *Marcin Pitera*
- 2017: *K-means and Cluster Models for Cancer Signatures
*Zura Kakushadze* and *Willie Yu*
- 2017: A review of two decades of correlations, hierarchies, networks and clustering in financial markets
*Gautier Marti*, *Frank Nielsen*, *Miko{\l}aj Bi\'nkowski* and *Philippe Donnat*
- 2017: Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative
*Andreas Hermes* and *Stanislaus Maier-Paape*
- 2017: Are Trump and Bitcoin Good Partners?
*Jamal Bouoiyour* and *Refk Selmi*
- 2017: Recovering Linear Equations of XVA in Bilateral Contracts
*Junbeom Lee* and *Chao Zhou*
- 2017: Incremental computation of block triangular matrix exponentials with application to option pricing
*Daniel Kressner*, *Robert Luce* and *Francesco Statti*
- 2017: Reverse stress testing interbank networks
*Daniel Grigat* and *Fabio Caccioli*
- 2017: Decision structure of risky choice
*Lamb Wubin* and *Naixin Ren*
- 2017: Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets
*Antoaneta Serguieva*
- 2017: Multinomial method for option pricing under Variance Gamma
*Nicola Cantarutti* and *Jo\~ao Guerra*
- 2017: The Price of Political Uncertainty: Evidence from the 2016 U.S. Presidential Election and the U.S. Stock Markets
*Jamal Bouoiyour* and *Refk Selmi*
- 2017: BSDEs with default jump
*Roxana Dumitrescu*, *Marie-Claire Quenez* and *Agn\`es Sulem*
- 2017: Stratified regression-based variance reduction approach for weak approximation schemes
*Denis Belomestny*, *Stefan H\"afner* and *Mikhail Urusov*
- 2017: Predictable Forward Performance Processes: The Binomial Case
*Bahman Angoshtari*, *Thaleia Zariphopoulou* and *Xun Yu Zhou*
- 2017: Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix *
*Amine Ismail* and *Huy\^en Pham*
- 2017: Option pricing with Legendre polynomials
*Julien Hok* and *Tat Lung Chan*
- 2017: Mixture Diffusion for Asset Pricing
*Xin Liu*
- 2017: Serendipity and strategy in rapid innovation
*T. M. A. Fink*, *M. Reeves*, *R. Palma* and *R. S. Farr*
- 2017: Information uncertainty related to marked random times and optimal investment
*Ying Jiao* and *Idris Kharroubi*
- 2017: The Problem of Calibrating an Agent-Based Model of High-Frequency Trading
*Donovan Platt* and *Tim Gebbie*
- 2017: Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *
*Huy\^en Pham*
- 2017: Getting rich quick with the Axiom of Choice
*Vladimir Vovk*
- 2017: Market Integration in the Prewar Japanese Rice Markets
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2017: Parisian ruin for a refracted L\'evy process
*Mohamed Amine Lkabous*, *Irmina Czarna* and *Jean-Fran\c{c}ois Renaud*
- 2017: Local Parametric Estimation in High Frequency Data
*Yoann Potiron* and *Per Mykland*
- 2017: Duality formulas for robust pricing and hedging in discrete time
*Patrick Cheridito*, *Michael Kupper* and *Ludovic Tangpi*
- 2017: Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability
*Masaaki Fujii* and *Akihiko Takahashi*
- 2017: The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
*Jean-David Fermanian*, *Olivier Gu\'eant* and *Jiang Pu*
- 2017: Sticky processes, local and true martingales
*Mikl\'os R\'asonyi* and *Hasanjan Sayit*
- 2017: Correction to Black-Scholes formula due to fractional stochastic volatility
*Josselin Garnier* and *Knut Solna*
- 2017: Maximizing expected utility in the Arbitrage Pricing Model
*Miklos Rasonyi*
- 2017: Multivariate Shortfall Risk Allocation and Systemic Risk
*Yannick Armenti*, *Stephane Crepey*, *Samuel Drapeau* and *Antonis Papapantoleon*
- 2017: An Empirical Approach to Financial Crisis Indicators Based on Random Matrices
*Antoine Kornprobst* and *Raphael Douady*
- 2017: Enhanced Gravity Model of trade: reconciling macroeconomic and network models
*Assaf Almog*, *Rhys Bird* and *Diego Garlaschelli*
- 2017: Singular recursive utility
*Kristina R. Dahl* and *Bernt {\O}ksendal*
- 2017: Introduction to Stochastic Differential Equations (SDEs) for Finance
*Andrew Papanicolaou*
- 2017: A Markov model of a limit order book: thresholds, recurrence, and trading strategies
*Frank Kelly* and *Elena Yudovina*
- 2017: Pareto Efficient Nash Implementation Via Approval Voting
*Yakov Babichenko* and *Leonard J. Schulman*
- 2017: Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$
*Denis Belomestny* and *Tigran Nagapetyan*
- 2017: Functional Ito Calculus, Path-dependence and the Computation of Greeks
*Samy Jazaerli* and *Yuri F. Saporito*
- 2017: The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations
*Xiaoshan Chen*, *Yu-Jui Huang*, *Qingshuo Song* and *Chao Zhu*
- 2017: Implied Filtering Densities on Volatility's Hidden State
*Carlos Fuertes* and *Andrew Papanicolaou*
- 2017: Network Structure and Naive Sequential Learning
*Krishna Dasaratha* and *Kevin He*
- 2017: Long-run dynamics of the U.S. patent classification system
*Francois Lafond* and *Daniel Kim*
- 2017: Optimal Investment and Pricing in the Presence of Defaults
*Tetsuya Ishikawa* and *Scott Robertson*
- 2017: Solvency II, or How to Swipe the Downside Risk Under the Carpet
*Stefan Weber*
- 2017: Robust and Consistent Estimation of Generators in Credit Risk
*Greig Smith* and *Goncalo dos Reis*
- 2017: Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stability
*Yuri Biondi* and *Feng Zhou*
- 2017: Economic inequality and mobility for stochastic models with multiplicative noise
*Maria Letizia Bertotti*, *Amit K Chattopadhyay* and *Giovanni Modanese*
- 2017: Probability density of lognormal fractional SABR model
*Jiro Akahori*, *Xiaoming Song* and *Tai-Ho Wang*
- 2017: The short-term price impact of trades is universal
*Bence Toth*, *Zoltan Eisler* and *Jean-Philippe Bouchaud*
- 2017: Obligations with Physical Delivery in a Multi-Layered Financial Network
*Zachary Feinstein*
- 2017: A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes
*David Landriault*, *Bin Li* and *Hongzhong Zhang*
- 2017: A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus
*Takuji Arai* and *Yuto Imai*
- 2017: A generalized public goods game with coupling of individual ability and project benefit
*Li-Xin Zhong*, *Wen-Juan Xu*, *Yun-Xin He*, *Chen-Yang Zhong*, *Rong-Da Chen*, *Tian Qiu* and *Yong-Dong Shi*
- 2017: Time series momentum and contrarian effects in the Chinese stock market
*Huai-Long Shi* and *Wei-Xing Zhou*
- 2017: Robust Hedging of Options on a Leveraged Exchange Traded Fund
*Alexander M. G. Cox* and *Sam M. Kinsley*
- 2017: Structural Change in (Economic) Time Series
*Christian Kleiber*
- 2017: Evidence for criticality in financial data
*G. Ruiz L\'opez* and *A. Fern\'andez de Marcos*
- 2017: Performance of information criteria used for model selection of Hawkes process models of financial data
*J. M. Chen*, *A. G. Hawkes*, *E. Scalas* and *M. Trinh*
- 2017: Relation between regional uncertainty spillovers in the global banking system
*Sachapon Tungsong*, *Fabio Caccioli* and *Tomaso Aste*
- 2017: Network-based Anomaly Detection for Insider Trading
*Adarsh Kulkarni*, *Priya Mani* and *Carlotta Domeniconi*
- 2017: Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria
*Tianran Geng* and *Thaleia Zariphopoulou*
- 2017: The amazing power of dimensional analysis: Quantifying market impact
*Mathias Pohl*, *Alexander Ristig*, *Walter Schachermayer* and *Ludovic Tangpi*
- 2017: Estimation for the Prediction of Point Processes with Many Covariates
*Alessio Sancetta*
- 2017: Uncertain Volatility Models with Stochastic Bounds
*Jean-Pierre Fouque* and *Ning Ning*
- 2017: PyCaMa: Python for cash management
*Francisco Salas-Molina*, *Juan A. Rodr\'iguez-Aguilar* and *Pablo D\'iaz-Garc\'ia*
- 2017: Multi-Dimensional Pass-Through, Incidence, and the Welfare Burden of Taxation in Oligopoly
*Takanori Adachi* and *Michal Fabinger*
- 2017: A hybrid approach for risk assessment of loan guarantee network
*Zhibin Niu*, *Dawei Cheng*, *Junchi Yan*, *Jiawan Zhang*, *Liqing Zhang* and *Hongyuan Zha*
- 2017: Hawkes process model with a time-dependent background rate and its application to high-frequency financial data
*Takahiro Omi*, *Yoshito Hirata* and *Kazuyuki Aihara*
- 2017: Estimating VaR in credit risk: Aggregate vs single loss distribution
*M. Assadsolimani* and *D. Chetalova*
- 2017: Regularities and Irregularities in Order Flow Data
*Martin Theissen*, *Sebastian M. Krause* and *Thomas Guhr*
- 2017: Contagion in financial systems: A Bayesian network approach
*Carsten Chong* and *Claudia Kl\"uppelberg*
- 2017: Pricing Non-cash Collateralized Derivatives and Collateral Optimization with Liquidity Value Adjustment
*Wujiang Lou*
- 2017: Labor Contract Law -An Economic View
*Yaofeng Fu*, *Ruokun Huang* and *Yiran Sheng*
- 2017: Trading Lightly: Cross-Impact and Optimal Portfolio Execution
*Iacopo Mastromatteo*, *Michael Benzaquen*, *Zoltan Eisler* and *Jean-Philippe Bouchaud*
- 2017: Short Maturity Asian Options for the CEV Model
*Dan Pirjol* and *Lingjiong Zhu*
- 2017: A Theory of Market Efficiency
*Anup Rao*
- 2017: Invariance properties in the dynamic gaussian copula model *
*St\'ephane Cr\'epey* and *Shiqi Song*
- 2017: An applied spatial agent-based model of administrative boundaries using SEAL
*Bernardo Alves Furtado* and *Isaque Daniel Eberhardt Rocha*
- 2017: Estimation of Risk Contributions with MCMC
*Takaaki Koike* and *Mihoko Minami*
- 2017: Super Generalized Central Limit Theorem: Limit distributions for sums of non-identical random variables with power-laws
*Masaru Shintani* and *Ken Umeno*
- 2017: Rough volatility: evidence from option prices
*Giulia Livieri*, *Saad Mouti*, *Andrea Pallavicini* and *Mathieu Rosenbaum*
- 2017: Econophysics of Macroeconomics: "Action-at-a-Distance" and Waves
*Victor Olkhov*
- 2017: One-Switch Discount Functions
*Nina Anchugina*
- 2017: Conditional Davis Pricing
*Kasper Larsen*, *Halil Mete Soner* and *Gordan \v{Z}itkovi\'c*
- 2017: The Installation Costs of a Satellite and Space Shuttle Launch Complex as a Public Expenditure Project
*Dogus Ozuyar*, *Sevilay Gumus Ozuyar*, *Oguzhan Karadeniz* and *Ozge Varol*
- 2017: Existence, uniqueness, and stability of optimal portfolios of eligible assets
*Michel Baes*, *Pablo Koch-Medina* and *Cosimo Munari*
- 2017: Type-Compatible Equilibria in Signalling Games
*Drew Fudenberg* and *Kevin He*
- 2017: Business Dynamics in KPI Space. Some thoughts on how business analytics can benefit from using principles of classical physics
*Alex Ushveridze*
- 2017: Existence of a Radner equilibrium in a model with transaction costs
*Kim Weston*
- 2017: Demonetization and Its Impact on Employment in India
*Pawan Kumar*
- 2017: Perfect hedging under endogenous permanent market impacts
*Masaaki Fukasawa* and *Mitja Stadje*
- 2017: Hyperbolic Discounting of the Far-Distant Future
*Nina Anchugina*, *Matthew Ryan* and *Arkadii Slinko*
- 2017: Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical Test of Market Efficiency
*Md. Mahmudul Alam*, *Kazi Ashraful Alam* and *Md. Gazi Salah Uddin*
- 2017: Monetary value measures in a category of probability spaces
*Takanori Adachi* and *Yoshihiro Ryu*
- 2017: Estimation of a noisy subordinated Brownian Motion via two-scales power variations
*Jose E. Figueroa-Lopez* and *K. Lee*
- 2017: Invariance times
*St\'ephane Cr\'epey* and *Shiqi Song*
- 2017: Emergence of Distributed Coordination in the Kolkata Paise Restaurant Problem with Finite Information
*Diptesh Ghosh* and *Anindya S. Chakrabarti*
- 2017: Approaches to Asian Option Pricing with Discrete Dividends
*Jacob Lundgren* and *Yuri Shpolyanskiy*
- 2017: On utility maximization without passing by the dual problem
*Miklos Rasonyi*
- 2017: Record statistics of a strongly correlated time series: random walks and L\'evy flights
*Claude Godreche*, *Satya N. Majumdar* and *Gregory Schehr*
- 2017: A confidence-based model for asset and derivative prices in the BitCoin market
*Alessandra Cretarola* and *Gianna Fig\`a Talamanca*
- 2017: The valuation of European option with transaction costs by mixed fractional Merton model
*Foad Shokrollahi*
- 2017: Zipf's law for share price and company fundamentals
*Taisei Kaizoji* and *Michiko Miyano*
- 2017: A taxonomy of learning dynamics in 2 x 2 games
*Marco Pangallo*, *James Sanders*, *Tobias Galla* and *Doyne Farmer*
- 2017: Predicting Auction Price of Vehicle License Plate with Deep Recurrent Neural Network
*Vinci Chow*
- 2017: Calibration of a Four-Factor Hybrid Local-Stochastic Volatility Model with a New Control Variate Particle Method
*Matthieu Mariapragassam*, *Andrei Cozma* and *Christoph Reisinger*
- 2017: On the tail behavior of a class of multivariate conditionally heteroskedastic processes
*Rasmus Pedersen* and *Olivier Wintenberger*
- 2017: Serially Nested CES Production Frontiers
*Satoshi Nakano* and *Kazuhiko Nishimura*
- 2017: Optimal liquidation in a Level-I limit order book for large tick stocks
*Antoine Jacquier* and *Hao Liu*
- 2017: Optimal shrinkage-based portfolio selection in high dimensions
*Taras Bodnar*, *Yarema Okhrin* and *Nestor Parolya*
- 2017: Volatility Smile as Relativistic Effect
*Zura Kakushadze*
- 2017: Multivariate GARCH with dynamic beta
*Matthias Raddant* and *Friedrich Wagner*
- 2017: Trader lead-lag networks and order flow prediction
*Damien Challet*, *R\'emy Chicheportiche*, *Mehdi Lallouache* and *Serge Kassibrakis*
- 2017: Fractal approach towards power-law coherency to measure cross-correlations between time series
*Ladislav Krištoufek*
- 2017: Elicitability and backtesting: Perspectives for banking regulation
*Natalia Nolde* and *Johanna F. Ziegel*
- 2017: Bayesian Posteriors For Arbitrarily Rare Events
*Drew Fudenberg*, *Kevin He* and *Lorens Imhof*
- 2017: Statistical inference for the doubly stochastic self-exciting process
*Simon Clinet* and *Yoann Potiron*
- 2017: Smoothing the payoff for efficient computation of Basket option prices
*Christian Bayer*, *Markus Siebenmorgen* and *Raul Tempone*
- 2017: Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
*Antonis Papapantoleon* and *Robert Wardenga*
- 2017: On American VIX options under the generalized 3/2 and 1/2 models
*Yerkin Kitapbayev* and *Jerome Detemple*
- 2017: On the properties of the Lambda value at risk: robustness, elicitability and consistency
*Matteo Burzoni*, *Ilaria Peri* and *Chiara Maria Ruffo*
- 2017: Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes
*Milan Kumar Das*, *Anindya Goswami* and *Nimit Rana*
- 2017: Affine multiple yield curve models
*Christa Cuchiero*, *Claudio Fontana* and *Alessandro Gnoatto*
- 2017: Backtesting Lambda Value at Risk
*Jacopo Corbetta* and *Ilaria Peri*
- 2017: Pathways towards instability in financial networks
*Marco Bardoscia*, *Stefano Battiston*, *Fabio Caccioli* and *Guido Caldarelli*
- 2017: On the existence of shadow prices for optimal investment with random endowment
*Lingqi Gu*, *Yiqing Lin* and *Junjian Yang*
- 2017: Limit-order book resiliency after effective market orders: Spread, depth and intensity
*Hai-Chuan Xu*, *Wei Chen*, *Xiong Xiong*, *Wei Zhang*, *Wei-Xing Zhou* and *H Eugene Stanley*
- 2017: Equilibrium pricing under relative performance concerns
*Jana Bielagk*, *Arnaud Lionnet* and *Goncalo Dos Reis*
- 2017: Why Indexing Works
*J. B. Heaton*, *N. G. Polson* and *J. H. Witte*
- 2017: Detecting intraday financial market states using temporal clustering
*Dieter Hendricks*, *Tim Gebbie* and *Diane Wilcox*
- 2017: Central Clearing Valuation Adjustment
*Yannick Armenti* and *St\'ephane Cr\'epey*
- 2017: Incomplete stochastic equilibria for dynamic monetary utility
*Constantinos Kardaras*, *Hao Xing* and *Gordan \v{Z}itkovi\'c*
- 2017: Sharper asset ranking from total drawdown durations
*Damien Challet*
- 2017: Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective
*Aki-Hiro Sato*, *Paolo Tasca* and *Takashi Isogai*
- 2017: Sensitivity analysis for expected utility maximization in incomplete Brownian market models
*Julio Backhoff Veraguas* and *Francisco Silva*
- 2017: Measuring Systemic Risk: Robust Ranking Techniques Approach
*Amirhossein Sadoghi*
- 2017: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models
*Archil Gulisashvili*, *Frederi Viens* and *Xin Zhang*
- 2017: Optimal Digital Product Maintenance with a Continuous Revenue Stream
*James Fan* and *Christopher Griffin*
- 2017: Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2017: Modeling non-stationarities in high-frequency financial time series
*Linda Ponta*, *Mailan Trinh*, *Marco Raberto*, *Enrico Scalas* and *Silvano Cincotti*
- 2017: Fractional delta hedging strategy for pricing currency options with transaction costs
*Foad Shokrollahi*
- 2017: An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model
*Takashi Kato*
- 2017: On a class of path-dependent singular stochastic control problems
*Romuald Elie*, *Ludovic Moreau* and *Dylan Possama\"i*
- 2017: Understanding food inflation in India: A Machine Learning approach
*Akash Malhotra* and *Mayank Maloo*
- 2017: Asset liquidation under drift uncertainty and regime-switching volatility
*Juozas Vaicenavicius*
- 2017: Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach
*Rafael Company*, *Vera Egorova*, *Lucas J\'odar* and *Fazlollah Soleymani*
- 2017: Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models
*Tomasz R. Bielecki*, *Igor Cialenco* and *Marek Rutkowski*
- 2017: Computing the aggregate loss distribution based on numerical inversion of the compound empirical characteristic function of frequency and severity
*Viktor Witkovsky*, *Gejza Wimmer* and *Tomas Duby*
- 2017: A stability result on optimal Skorokhod embedding
*Gaoyue Guo*
- 2017: Supply based on demand dynamical model
*Asaf Levi*, *Juan Sabuco* and *Miguel A. F. Sanjuan*
- 2017: Premium valuation for a multiple state model containing manifold premium-paid states
*Joanna D\k{e}bicka* and *Beata Zmy\'slona*
- 2017: Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes
*Swarnankur Chatterjee*
- 2017: Time Series Copulas for Heteroskedastic Data
*Rub\'en Loaiza-Maya*, *Michael S. Smith* and *Worapree Maneesoonthorn*
- 2017: Monotone Martingale Transport Plans and Skorohod Embedding
*Mathias Beiglboeck*, *Pierre Henry-Labordere* and *Nizar Touzi*
- 2017: Econophysics Macroeconomic Model
*Victor Olkhov*
- 2017: Economic Growth Model with Constant Pace and Dynamic Memory
*Valentina V. Tarasova* and *Vasily E. Tarasov*
- 2017: A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation
*Andrzej Ruszczynski* and *Jianing Yao*
- 2017: Topology data analysis of critical transitions in financial networks
*Marian Gidea*
- 2017: Asymptotic efficiency of the proportional compensation scheme for a large number of producers
*Dmitry B. Rokhlin* and *Anatoly Usov*
- 2017: Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
*Niushan Gao*, *Denny H. Leung*, *Cosimo Munari* and *Foivos Xanthos*
- 2017: Bank monitoring incentives under moral hazard and adverse selection
*Nicol\'as Hern\'andez Santib\'a\~nez*, *Dylan Possama\"i* and *Chao Zhou*
- 2017: The Value of Timing Risk
*Jiro Akahori*, *Flavia Barsotti* and *Yuri Imamura*
- 2017: The Internet as Quantitative Social Science Platform: Insights from a Trillion Observations
*Klaus Ackermann*, *Simon D Angus* and *Paul Raschky*
- 2017: An Optimal Combination of Proportional and Stop-Loss Reinsurance Contracts From Insurer's and Reinsurer's Viewpoints
*Amir T. Payandeh-Najafabadi* and *Ali Panahi-Bazaz*
- 2017: An Optimal Multi-layer Reinsurance Policy under Conditional Tail Expectation
*Amir T. Payandeh Najafabadi* and *Ali Panahi Bazaz*
- 2017: Dynamic Prize Linked Savings: Maximizing Savings and Managing Risk
*Oisin Connolly*
- 2017: Some correspondences between Index Number Theory in economy and the General Theory of Relativity in physics
*Ali Hosseiny*
- 2017: Mean-Reverting Portfolio Design with Budget Constraint
*Ziping Zhao* and *Daniel P. Palomar*
- 2017: Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version
*Ruediger Frey*, *Lars Roesler* and *Dan Lu*
- 2017: An application of time reversal to credit risk management
*Masahiko Egami* and *Rusudan Kevkhishvili*
- 2017: A geometric approach to the transfer problem for a finite number of traders
*Tomohiro Uchiyama*
- 2017: Interpolating between matching and hedonic pricing models
*Brendan Pass*
- 2017: On VIX Futures in the rough Bergomi model
*Antoine Jacquier*, *Claude Martini* and *Aitor Muguruza*
- 2017: Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
*Anulekha Dhara*, *Bikramjit Das* and *Karthik Natarajan*
- 2017: A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities
*Seyed Amir Hejazi*, *Kenneth R. Jackson* and *Guojun Gan*
- 2017: Optimal Trading with a Trailing Stop
*Tim Leung* and *Hongzhong Zhang*
- 2017: A Black--Scholes inequality: applications and generalisation
*Michael R. Tehranchi*
- 2017: The structural constraints of income inequality in Latin America
*Dominik Hartmann*, *Cristian Jara-Figueroa*, *Miguel Guevara*, *Alex Simoes* and *C\'esar A. Hidalgo*
- 2017: Parallelizing Computation of Expected Values in Recombinant Binomial Trees
*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
*Shanshan Wang*
- 2017: Robust Portfolio Optimisation with Specified Competitors
*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
*Andrey Itkin*
- 2017: Phase-type Approximation of the Gerber-Shiu Function
*Kazutoshi Yamazaki*
- 2017: Recursive Marginal Quantization of Higher-Order Schemes
*Thomas McWalter*, *R. Rudd*, *J. Kienitz* and *Eckhard Platen*
- 2017: Property Safety Stock Policy for Correlated Commodities Based on Probability Inequality
*Takashi Shinzato*
- 2017: Political elections and uncertainty -Are BRICS markets equally exposed to Trump's agenda?
*Jamal Bouoiyour* and *Refk Selmi*
- 2017: Stability for gains from large investors' strategies in M1/J1 topologies
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2017: Asset correlation estimation for inhomogeneous exposure pools
*Christoph Wunderer*
- 2017: Functional Analytic (Ir-)Regularity Properties of SABR-type Processes
*Leif D\"oring*, *Blanka Horvath* and *Josef Teichmann*
- 2017: Pricing insurance drawdown-type contracts with underlying L\'evy assets
*Zbigniew Palmowski* and *Joanna Tumilewicz*
- 2017: The Shapley Value of Digraph Games
*Krishna Khatri*
- 2017: Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
*Wenting Chen*, *Kai Du* and *Xinzi Qiu*
- 2017: Chebyshev Reduced Basis Function applied to Option Valuation
*Javier de Frutos* and *Victor Gaton*
- 2017: Predicting Economic Recessions Using Machine Learning Algorithms
*Rickard Nyman* and *Paul Ormerod*
- 2017: Rational Decision-Making Under Uncertainty: Observed Betting Patterns on a Biased Coin
*Victor Haghani* and *Richard Dewey*
- 2017: Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets
*V. Gontis* and *A. Kononovicius*
- 2017: Efficient asymptotic variance reduction when estimating volatility in high frequency data
*Simon Clinet* and *Yoann Potiron*
- 2017: Brownian trading excursions and avalanches
*Friedrich Hubalek*, *Paul Kr\"uhner* and *Thorsten Rheinl\"ander*
- 2017: Pricing European Options by Stable Fourier-Cosine Series Expansions
*Chunfa Wang*
- 2017: Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
*Tim Leung* and *Yerkin Kitapbayev*
- 2017: Net Stable Funding Ratio: Impact on Funding Value Adjustment
*Medya Siadat* and *Ola Hammarlid*
- 2017: Measuring the temperature and diversity of the U.S. regulatory ecosystem
*Michael J Bommarito* and *Daniel Martin Katz*
- 2017: Fractional Dynamics of Natural Growth and Memory Effect in Economics
*Valentina V. Tarasova* and *Vasily E. Tarasov*
- 2017: Analytic solution to variance optimization with no short-selling
*Imre Kondor*, *G\'abor Papp* and *Fabio Caccioli*
- 2017: Information, Impact, Ignorance, Illegality, Investing, and Inequality
*Bruce Knuteson*
- 2017: Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping
*Kiran Sharma*, *Balagopal Gopalakrishnan*, *Anindya S. Chakrabarti* and *Anirban Chakraborti*
- 2017: Price Dynamics Via Expectations, and the Role of Money Therein
*Gesine A. Steudle*, *Saini Yang* and *Carlo C. Jaeger*
- 2017: The Fatou Closedness under Model Uncertainty
*Marco Maggis*, *Thilo Meyer-Brandis* and *Gregor Svindland*
- 2017: Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions
*J. D. Opdyke*
- 2017: The dividend problem with a finite horizon
*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
*Ali Hosseiny* and *Mauro Gallegati*
- 2017: A functional convergence theorem for interpolated Markov chains to an infinite dimensional diffusion with application to limit order books
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- 2017: Intergenerational Equity in a Finite Horizon
*Satoshi Nakano* and *Kazuhiko Nishimura*
- 2017: Multifactor CES General Equilibrium: Models and Applications
*Jiyoung Kim*, *Satoshi Nakano* and *Kazuhiko Nishimura*
- 2017: Statistical Industry Classification
*Zura Kakushadze* and *Willie Yu*
- 2017: MPDATA Meets Black-Scholes: Derivative Pricing as a Transport Problem
*Sylwester Arabas* and *Ahmad Farhat*
- 2017: Existence of a calibrated regime switching local volatility model and new fake Brownian motions
*Benjamin Jourdain* and *Alexandre Zhou*
- 2017: Mean field games of timing and models for bank runs
*Rene Carmona*, *Francois Delarue* and *Daniel Lacker*
- 2017: A constraint-based framework to study rationality, competition and cooperation in fisheries
*Christian Mullon* and *Charles Mullon*
- 2017: Exponentially concave functions and a new information geometry
*Soumik Pal* and *Ting-Kam Leonard Wong*
- 2017: Optimal market making
*Olivier Gu\'eant*
- 2017: Factor Models for Cancer Signatures
*Zura Kakushadze* and *Willie Yu*
- 2017: Concurrent Credit Portfolio Losses
*Joachim Sicking*, *Thomas Guhr* and *Rudi Sch\"afer*
- 2017: A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
*Tomasz R. Bielecki*, *Igor Cialenco* and *Marcin Pitera*
- 2017: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
*Tomas Krehlik* and *Jozef Baruník*
- 2017: David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs
*Ravi Kashyap*
- 2017: Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance
*Thibaut Lux* and *Antonis Papapantoleon*
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*Zura Kakushadze* and *Willie Yu*
- 2017: Optimal investment and consumption with liquid and illiquid assets
*Jin Hyuk Choi*
- 2017: Comonotonic risk measures in a world without risk-free assets
*Pablo Koch-Medina*, *Cosimo Munari* and *Gregor Svindland*
- 2017: Option Pricing in Markets with Unknown Stochastic Dynamics
*Hanno Gottschalk*, *Elpida Nizami* and *Marius Schubert*
- 2017: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate
*Pavel V. Shevchenko* and *Xiaolin Luo*
- 2017: Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
*Imke Redeker* and *Ralf Wunderlich*
- 2017: Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model
*Aur\'elien Hazan*
- 2017: Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data
*Richard Y. Chen* and *Per A. Mykland*
- 2017: Optimal Control of Conditional Value-at-Risk in Continuous Time
*Christopher W. Miller* and *Insoon Yang*
- 2017: Dynamic programming approach to principal-agent problems
*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
*Alexander Schied*, *Elias Strehle* and *Tao Zhang*
- 2017: Correlated Poisson processes and self-decomposable laws
*Nicola Cufaro Petroni* and *Piergiacomo Sabino*
- 2017: Linking Economic Complexity, Institutions and Income Inequality
*Dominik Hartmann*, *M. R. Guevara*, *C. Jara-Figueroa*, *M. Aristaran* and *Cesar Hidalgo*
- 2017: An equilibrium model for spot and forward prices of commodities
*Michail Anthropelos*, *Michael Kupper* and *Antonis Papapantoleon*
- 2017: VWAP Execution as an Optimal Strategy
*Takashi Kato*
- 2017: On the optimal exercise boundaries of swing put options
*Tiziano De Angelis* and *Yerkin Kitapbayev*
- 2017: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
*Tiziano De Angelis*, *Salvatore Federico* and *Giorgio Ferrari*
- 2017: A heuristic pricing and hedging framework for multi-currency fixed income desks
*Eduard Gim\'enez*, *Alberto Elices* and *Giovanna Villani*
- 2017: Sensitivity analysis in a market with memory
*David R. Banos*, *Giulia Di Nunno* and *Frank Proske*
- 2017: On the Market Viability under Proportional Transaction Costs
*Erhan Bayraktar* and *Xiang Yu*
- 2017: Stationary Markov Perfect Equilibria in Discounted Stochastic Games
*Wei He* and *Yeneng Sun*
- 2017: Stock price direction prediction by directly using prices data: an empirical study on the KOSPI and HSI
*Yanshan Wang*
- 2017: Smooth solutions to portfolio liquidation problems under price-sensitive market impact
*Paulwin Graewe*, *Ulrich Horst* and *Eric S\'er\'e*
- 2017: Deriving Derivatives
*Andrei N. Soklakov*
- 2017: General Smooth Solutions to the HJB PDE: Applications to Finance
*Moawia Alghalith*
- 2017: Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces
*Zbigniew Palmowski* and *Sebastian Baran*
- 2017: Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
*Takashi Kato*
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