# Papers
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- 2015: Sensitivity and Computational Complexity in Financial Networks
*Brett Hemenway* and *Sanjeev Khanna*
- 2015: Network formation with value heterogeneity: centrality, segregation and adverse effects
*Andreas Bjerre-Nielsen*
- 2015: Optimal Position Management for a Market Maker with Stochastic Price Impacts
*Masaaki Fujii*
- 2015: A study of co-movements between USA and Latin American stock markets: a cross-bicorrelations perspective
*Semei Coronado*, *Omar Rojas*, *Rafael Romero-Meza* and *Francisco Venegas-Martínez*
- 2015: Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights
*Jonathan Donier* and *Jean-Philippe Bouchaud*
- 2015: A Unified Approach to Systemic Risk Measures via Acceptance Sets
*Francesca Biagini*, *Jean-Pierre Fouque*, *Marco Frittelli* and *Thilo Meyer-Brandis*
- 2015: Measuring Systemic Risk: Robust Ranking Techniques Approach
*Amirhossein Sadoghi*
- 2015: Canonical Sectors and Evolution of Firms in the US Stock Markets
*Ricky Chachra*, *Alexander A. Alemi*, *Lorien X. Hayden*, *Paul H. Ginsparg* and *James P. Sethna*
- 2015: Insights in Economical Complexity in Spain: the hidden boost of migrants in international tradings
*Elena Agliari*, *Adriano Barra*, *Andrea Galluzzi*, *Francisco Requena-Silvente* and *Daniele Tantari*
- 2015: Principal Components Analysis for Semi-Martingales and Stochastic PDE
*Alberto Ohashi* and *Alexandre B Simas*
- 2015: Risk Sensitive Control of the Lifetime Ruin Problem
*Erhan Bayraktar* and *Asaf Cohen*
- 2015: Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion
*Hagen Kleinert* and *Jan Korbel*
- 2015: Club Convergence of House Prices: Evidence from China's Ten Key Cities
*Hao Meng*, *Wen-Jie Xie* and *Wei-Xing Zhou*
- 2015: Almost-sure hedging with permanent price impact
*B. Bouchard*, *G. Loeper* and *Y. Zou*
- 2015: The Principal-Agent Problem With Time Inconsistent Utility Functions
*Boualem Djehiche* and *Peter Helgesson*
- 2015: ON Integrated Chance Constraints in ALM for Pension Funds
*Youssouf A. F. Toukourou* and *Fran\c{c}ois Dufresne*
- 2015: Re-visiting the Distance Coefficient in Gravity Model
*Haonan Wu*
- 2015: Pricing of Warrants with Stock Price Dependent Threshold Conditions
*Ander Olvik* and *Raul Kangro*
- 2015: Tornadoes and related damage costs: statistical modeling with a semi-Markov approach
*Chiara Corini*, *Guglielmo D'Amico*, *Filippo Petroni*, *Flavio Prattico* and *Raimondo Manca*
- 2015: Randomizing bipartite networks: the case of the World Trade Web
*Fabio Saracco*, *Riccardo Di Clemente*, *Andrea Gabrielli* and *Tiziano Squartini*
- 2015: The affine inflation market models
*Stefan Waldenberger*
- 2015: From anti-conformism to extremism
*G\'erard Weisbuch*
- 2015: A dynamic game on Green Supply Chain Management
*Mehrnoosh Khademi*, *Massimiliano Ferrara*, *Bruno Pansera* and *Mehdi Salimi*
- 2015: Optimal risk allocation in a market with non-convex preferences
*Hirbod Assa*
- 2015: Measuring switching processes in financial markets with the Mean-Variance spin glass approach
*Jan Jurczyk*
- 2015: L\'evy Processes For Finance: An Introduction In R
*D. J. Manuge*
- 2015: Bounds for randomly shared risk of heavy-tailed loss factors
*Oliver Kley* and *Claudia Kluppelberg*
- 2015: Numerical approximations for Heston-Hull-White type models
*M. Briani*, *L. Caramellino* and *A. Zanette*
- 2015: Profitable forecast of prices of stock options on real market data via the solution of an ill-posed problem for the Black-Scholes equation
*Michael V. Klibanov* and *Andrey V. Kuzhuget*
- 2015: Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets
*Yu-Lei Wan*, *Wen-Jie Xie*, *Gao-Feng Gu*, *Zhi-Qiang Jiang*, *Wei Chen*, *Xiong Xiong*, *Wei Zhang* and *Wei-Xing Zhou*
- 2015: Symmetry structure and solution of evolution-type equations with time dependent parameters in financial Mathematics
*Michael Okelola* and *Keshlan Govinder*
- 2015: Negative Dependence Concept in Copulas and the Marginal Free Herd Behavior Index
*Jae Youn Ahn*
- 2015: Some new results on Dufffie-type OTC markets
*Alain B\'elanger*, *Gaston Giroux* and *Ndoun\'e Ndoun\'e*
- 2015: On robust pricing--hedging duality in continuous time
*Zhaoxu Hou* and *Jan Obloj*
- 2015: Cournot Games with Uncertainty: Coalitions, Competition, and Efficiency
*Baosen Zhang*, *Ramesh Johari* and *Ram Rajagopal*
- 2015: Detecting and interpreting distortions in hierarchical organization of complex time series
*Stanis{\l}aw Dro\.zd\.z* and *Pawe{\l} O\'swi\k{e}cimka*
- 2015: Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case
*Erhan Bayraktar*, *Virginia R. Young* and *David Promislow*
- 2015: Compounding approach for univariate time series with non-stationary variances
*Rudi Sch\"afer*, *Sonja Barkhofen*, *Thomas Guhr*, *Hans-J\"urgen St\"ockmann* and *Ulrich Kuhl*
- 2015: A generic model for spouse's pensions with a view towards the calculation of liabilities
*Alexander Sokol*
- 2015: Game-theoretic approach to risk-sensitive benchmarked asset management
*Amogh Deshpande* and *Saul D. Jacka*
- 2015: A Quantization Approach to the Counterparty Credit Exposure Estimation
*M. Bonollo*, *L. Di Persio*, *I. Oliva* and *A. Semmoloni*
- 2015: Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data
*Frederik Meudt*, *Martin Theissen*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2015: Optimally Investing to Reach a Bequest Goal
*Erhan Bayraktar* and *Virginia R. Young*
- 2015: Understanding Financial Market States Using Artificial Double Auction Market
*Kyubin Yim*, *Gabjin Oh* and *Seunghwan Kim*
- 2015: Affine LIBOR models driven by real-valued affine processes
*Stefan Waldenberger* and *Wolfgang M\"uller*
- 2015: Influence network in Chinese stock market
*Ya-Chun Gao*, *Yong Zeng* and *Shi-Min Cai*
- 2015: Leveraging the network: a stress-test framework based on DebtRank
*Stefano Battiston*, *Marco D'Errico*, *Stefano Gurciullo* and *Guido Caldarelli*
- 2015: Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example
*Yuriy Stepanov*, *Philip Rinn*, *Thomas Guhr*, *Joachim Peinke* and *Rudi Sch\"afer*
- 2015: Diversity waves in collapse-driven population dynamics
*Sergei Maslov* and *Kim Sneppen*
- 2015: State and group dynamics of world stock market by principal component analysis
*Ashadun Nobi* and *Jae Woo Lee*
- 2015: An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab
*Ricardo Crisostomo*
- 2015: Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates
*Andrei Cozma* and *Christoph Reisinger*
- 2015: Shortfall Deviation Risk: An alternative to risk measurement
*Marcelo Brutti Righi* and *Paulo Sergio Ceretta*
- 2015: Adaptive Market Efficiency of Agricultural Commodity Futures Contracts
*Semei Coronado-Ram\'irez*, *Pedro Celso-Arellano* and *Omar Rojas*
- 2015: Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange
*Mitsuaki Murota* and *Jun-ichi Inoue*
- 2015: A fully consistent, minimal model for non-linear market impact
*Jonathan Donier*, *Julius Bonart*, *Iacopo Mastromatteo* and *Jean-Philippe Bouchaud*
- 2015: Identifying A Screening Model with Multidimensional Private Information
*Gaurab Aryal*
- 2015: Portfolio Selection with Multiple Spectral Risk Constraints
*Carlos Abad* and *Garud Iyengar*
- 2015: Ross Recovery with Recurrent and Transient Processes
*Hyungbin Park*
- 2015: Sudden Trust Collapse in Networked Societies
*Jo\~ao da Gama Batista*, *Jean-Philippe Bouchaud* and *Damien Challet*
- 2015: Near-optimal estimation of jump activity in semimartingales
*Adam D. Bull*
- 2015: 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*
- 2015: A Lattice Framework for Pricing Display Ad Options with the Stochastic Volatility Underlying Model
*Bowei Chen* and *Jun Wang*
- 2015: On the role of F\"ollmer-Schweizer minimal martingale measure in Risk Sensitive control Asset Management
*Amogh Deshpande*
- 2015: Density of Skew Brownian motion and its functionals with application in finance
*Alexander Gairat* and *Vadim Shcherbakov*
- 2015: Moral Hazard in Dynamic Risk Management
*Jak\v{s}a Cvitani\'c*, *Dylan Possama\"i* and *Nizar Touzi*
- 2015: The limits of statistical significance of Hawkes processes fitted to financial data
*Mehdi Lallouache* and *Damien Challet*
- 2015: Notes on Alpha Stream Optimization
*Zura Kakushadze*
- 2015: Affine LIBOR models with multiple curves: theory, examples and calibration
*Zorana Grbac*, *Antonis Papapantoleon*, *John Schoenmakers* and *David Skovmand*
- 2015: Phynance
*Zura Kakushadze*
- 2015: On the Hawkes Process with Different Exciting Functions
*Behzad Mehrdad* and *Lingjiong Zhu*
- 2015: Optimal allocation of wealth for two consuming agents sharing a portfolio
*Oumar Mbodji*, *Adrien Nguyen Huu* and *Traian A. Pirvu*
- 2015: Asymptotic distribution of the Markowitz portfolio
*Steven E. Pav*
- 2015: Limit theorems for nearly unstable Hawkes processes
*Thibault Jaisson* and *Mathieu Rosenbaum*
- 2015: Learning from the past, predicting the statistics for the future, learning an evolving system
*Daniel Levin*, *Terry Lyons* and *Hao Ni*
- 2015: Social Discounting and the Long Rate of Interest
*Dorje C. Brody* and *Lane P. Hughston*
- 2015: Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions
*Helena Jasiulewicz* and *Wojciech Kordecki*
- 2015: Arbitrage and duality in nondominated discrete-time models
*Bruno Bouchard* and *Marcel Nutz*
- 2015: Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model
*Jos\'{e} E. Figueroa-L\'{o}pez*, *Ruoting Gong* and *Christian Houdr\'{e}*
- 2015: A hot-potato game under transient price impact
*Alexander Schied* and *Tao Zhang*
- 2015: Impact of time illiquidity in a mixed market without full observation
*Salvatore Federico*, *Paul Gassiat* and *Fausto Gozzi*
- 2015: The Evolution of Stock Market Efficiency in the U.S.: A Non-Bayesian Time-Varying Model Approach
*Mikio Ito*, *Akihiko Noda* and *Tatsuma Wada*
- 2015: Forest Fire Model as a Supercritical Dynamic Model in Financial Systems
*Deokjae Lee*, *Jae-Young Kim*, *Jeho Lee* and *B. Kahng*
- 2015: Metabolic paths in world economy and crude oil price
*Francesco Picciolo*, *Andreas Papandreou* and *Franco Ruzzenenti*
- 2015: Error analysis in Fourier methods for option pricing
*Fabi\'an Crocce*, *Juho H\"app\"ol\"a*, *Jonas Kiessling* and *Ra\'ul Tempone*
- 2015: Measures of Systemic Risk
*Zachary Feinstein*, *Birgit Rudloff* and *Stefan Weber*
- 2015: Developing Knowledge States: Technology and the Enhancement of National Statistical Capacity
*Derrick M. Anderson* and *Andrew B. Whitford*
- 2015: Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity
*Tihomir Gyulov* and *Lyuben Valkov*
- 2015: Feynman-Kac formula for L\'evy processes with discontinuous killing rate
*Kathrin Glau*
- 2015: Dynamics of quasi-stationary systems: Finance as an example
*Philip Rinn*, *Yuriy Stepanov*, *Joachim Peinke*, *Thomas Guhr* and *Rudi Sch\"afer*
- 2015: Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
*Stephane Crepey*, *Andrea Macrina*, *Tuyet Mai Nguyen* and *David Skovmand*
- 2015: Comparing systemic risk in European government bonds and national indices
*Jan Jurczyk*, *Alexander Eckrot* and *Ingo Morgenstern*
- 2015: Estimation of Several Political Action Effects of Energy Prices
*Andrew B. Whitford*
- 2015: Model risk on credit risk
*J. Molins* and *E. Vives*
- 2015: A Framework for Modeling Bounded Rationality: Mis-specified Bayesian-Markov Decision Processes
*Ignacio Esponda* and *Demian Pouzo*
- 2015: International R&D Spillovers and other Unobserved Common Spillovers and Shocks
*Diego-Ivan Ruge-Leiva*
- 2015: Rotational invariant estimator for general noisy matrices
*Jo\"el Bun*, *Romain Allez*, *Jean-Philippe Bouchaud* and *Marc Potters*
- 2015: Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
*Erhan Bayraktar* and *Zhou Zhou*
- 2015: Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
*Florian Ziel*
- 2015: Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators
*Antonio Dalessandro* and *Gareth W. Peters*
- 2015: Contour map of estimation error for Expected Shortfall
*Imre Kondor*, *Fabio Caccioli*, *G\'abor Papp* and *Matteo Marsili*
- 2015: Threadneedle: An Experimental Tool for the Simulation and Analysis of Fractional Reserve Banking Systems
*Jacky Mallett*
- 2015: Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis
*Maxim Bichuch*, *Agostino Capponi* and *Stephan Sturm*
- 2015: Ho and Lee Model on a String
*Zura Kakushadze*
- 2015: Robust Utility Maximization with L\'evy Processes
*Ariel Neufeld* and *Marcel Nutz*
- 2015: The existence of optimal bang-bang controls for GMxB contracts
*Parsiad Azimzadeh* and *Peter A. Forsyth*
- 2015: Stock market comovements: nonlinear approach for 48 countries
*Paulo Ferreira*, *Andreia Dion\'isio* and *S. M. S. Movahed*
- 2015: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models
*Archil Gulisashvili*, *Frederi Viens* and *Xin Zhang*
- 2015: Detecting weaks signals with record statistics
*Damien Challet*
- 2015: How predictable is technological progress?
*J. Doyne Farmer* and *François Lafond*
- 2015: One-Shot Bargaining Mechanisms
*Yakov Babichenko* and *Leonard J. Schulman*
- 2015: Identification of Atlas models
*Robert Fernholz*
- 2015: Hawkes processes in finance
*Emmanuel Bacry*, *Iacopo Mastromatteo* and *Jean-Fran\c{c}ois Muzy*
- 2015: A dynamic optimal execution strategy under stochastic price recovery
*Masashi Ieda*
- 2015: A weak law of large numbers for a limit order book model with fully state dependent order dynamics
*Ulrich Horst* and *D\"orte Kreher*
- 2015: Non Parametric Estimates of Option Prices Using Superhedging
*Gianluca Cassese*
- 2015: Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing
*Boris Buchmann*, *Benjamin Kaehler*, *Ross Maller* and *Alexander Szimayer*
- 2015: Stationary distribution of the volume at the best quote in a Poisson order book model
*Ioane Muni Toke*
- 2015: Market Dynamics and Indirect Network Effects in Electric Vehicle Diffusion
*Zhe Yu*, *Shanjun Li* and *Lang Tong*
- 2015: Quasi-Newton particle Metropolis-Hastings applied to intractable likelihood models
*Johan Dahlin*, *Fredrik Lindsten* and *Thomas B. Sch\"on*
- 2015: Asymptotic indifference pricing in exponential L\'evy models
*Cl\'ement M\'enass\'e* and *Peter Tankov*
- 2015: Mass at zero and small-strike implied volatility expansion in the SABR model
*Archil Gulisashvili*, *Blanka Horvath* and *Antoine Jacquier*
- 2015: Diversification, protection of liability holders and regulatory arbitrage
*Pablo Koch-Medina*, *Cosimo Munari* and *Mario Sikic*
- 2015: Semi-Discrete method and stochastic volatility
*Nikolaos Halidias* and *Ioannis Stamatiou*
- 2015: Learning and Portfolio Decisions for HARA Investors
*Michele Longo* and *Alessandra Mainini*
- 2015: Consistent Recalibration of Yield Curve Models
*Philipp Harms*, *David Stefanovits*, *Josef Teichmann* and *Mario W\"uthrich*
- 2015: Dark-Pool Perspective of Optimal Market Making
*M. Alessandra Crisafi* and *Andrea Macrina*
- 2015: The Robust Merton Problem of an Ambiguity Averse Investor
*Sara Biagini* and *Mustafa Pinar*
- 2015: The pricing of lookback options and binomial approximation
*Karl Grosse-Erdmann* and *Fabien Heuwelyckx*
- 2015: Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps
*Jos\'e E. Figueroa-L\'opez* and *Sveinn \'Olafsson*
- 2015: Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities
*Dimitri O. Ledenyov* and *Viktor O. Ledenyov*
- 2015: Optimal portfolio with unobservable market parameters and certainty equivalence principle
*Nikolai Dokuchaev*
- 2015: Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
*Tatiana Belkina* and *Shangzhen Luo*
- 2015: Information and Trading Targets in a Dynamic Market Equilibrium
*Jin Hyuk Choi*, *Kasper Larsen* and *Duane J. Seppi*
- 2015: Systemic Risk with Exchangeable Contagion: Application to the European Banking System
*Umberto Cherubini* and *Sabrina Mulinacci*
- 2015: Archimedean-based Marshall-Olkin Distributions and Related Copula Functions
*Sabrina Mulinacci*
- 2015: Convex duality with transaction costs
*Yan Dolinsky* and *H. Mete Soner*
- 2015: Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
*Michael Ho*, *Zheng Sun* and *Jack Xin*
- 2015: Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model
*Frederik Meudt*, *Thilo A. Schmitt*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2015: A Directional Multivariate Value at Risk
*Ra\'ul Torres*, *Rosa E. Lillo* and *Henry Laniado*
- 2015: A New Methodology for Estimating Internal Credit Risk and Bankruptcy Prediction under Basel II Regime
*M. Naresh Kumar* and *V. Sree Hari Rao*
- 2015: An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions
*Eric Dahlgren* and *Tim Leung*
- 2015: How volatilities nonlocal in time affect the price dynamics in complex financial systems
*Lei Tan*, *Bo Zheng*, *Jun-Jie Chen* and *Xiong-Fei Jiang*
- 2015: On the multiplicative effect of government spending (or any other spending for that matter)
*Jo\~ao P. da Cruz*
- 2015: Quasi-Centralized Limit Order Books
*Martin D. Gould*, *Mason A. Porter* and *Sam D. Howison*
- 2015: An equilibrium model for spot and forward prices of commodities
*Michail Anthropelos*, *Michael Kupper* and *Antonis Papapantoleon*
- 2015: Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties
*Tim Leung* and *Yoshihiro Shirai*
- 2015: Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components
*Ladislav Krištoufek*
- 2015: Direct Foreign Investment in Kurdistan Region of Middle-East: Non-Oil Sector Analysis
*Angus O. Unegbu* and *Augustine Okanlawon*
- 2015: Portfolio Optimization under Shortfall Risk Constraint
*Oliver Janke* and *Qinghua Li*
- 2015: Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
*Maxim Bichuch*, *Agostino Capponi* and *Stephan Sturm*
- 2015: Consumption investment optimization with Epstein-Zin utility in incomplete markets
*Hao Xing*
- 2015: Toward robust early-warning models: A horse race, ensembles and model uncertainty
*Markus Holopainen* and *Peter Sarlin*
- 2015: Optional Decomposition for continuous semimartingales under arbitrary filtrations
*Ioannis Karatzas* and *Constantinos Kardaras*
- 2015: Community detection in temporal multilayer networks, and its application to correlation networks
*Marya Bazzi*, *Mason A. Porter*, *Stacy Williams*, *Mark McDonald*, *Daniel J. Fenn* and *Sam D. Howison*
- 2015: Nonlinear GARCH model and 1/f noise
*Aleksejus Kononovicius* and *Julius Ruseckas*
- 2015: Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA
*Giovanni Mottola*
- 2015: Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
*Tim Leung* and *Xin Li*
- 2015: Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization and Ross Recovery
*Likuan Qin* and *Vadim Linetsky*
- 2015: Optimizing Credit Portfolio Using a Quadratic Nonlinear Projection Method
*Boguk Kim*
- 2015: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
*Rodrigo Targino*, *Gareth W. Peters* and *Pavel V. Shevchenko*
- 2015: Herding interactions as an opportunity to prevent extreme events in financial markets
*Aleksejus Kononovicius* and *Vygintas Gontis*
- 2015: VWAP Execution as an Optimal Strategy
*Takashi Kato*
- 2015: Diversification and Endogenous Financial Networks
*Jean-Cyprien H\'eam* and *Erwan Koch*
- 2015: Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty
*Matteo Burzoni*, *Marco Frittelli* and *Marco Maggis*
- 2015: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
*Tiziano De Angelis*, *Salvatore Federico* and *Giorgio Ferrari*
- 2015: A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics
*Christian Bayer*, *Ulrich Horst* and *Jinniao Qiu*
- 2015: Paths and indices of maximal tail dependence
*Edward Furman*, *Jianxi Su* and *Ri\v{c}ardas Zitikis*
- 2015: Spectral Model of Turnover Reduction
*Zura Kakushadze*
- 2015: Martingale optimal transport in the Skorokhod space
*Y. Dolinsky* and *H. M. Soner*
- 2015: Reward-risk momentum strategies using classical tempered stable distribution
*Jaehyung Choi*, *Young Shin Kim* and *Ivan Mitov*
- 2015: Systemic Risk and Default Clustering for Large Financial Systems
*Konstantinos Spiliopoulos*
- 2015: Trading with Small Price Impact
*Ludovic Moreau*, *Johannes Muhle-Karbe* and *H. Mete Soner*
- 2015: Left tail of the sum of dependent positive random variables
*Peter Tankov*
- 2015: From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options
*Lorenz Schneider* and *Bertrand Tavin*
- 2015: Quasi-Hadamard differentiability of general risk functionals and its application
*Volker Kr\"atschmer*, *Alexander Schied* and *Henryk Z\"ahle*
- 2015: Second order statistics characterization of Hawkes processes and non-parametric estimation
*Emmanuel Bacry* and *Jean-Francois Muzy*
- 2015: A state-constrained differential game arising in optimal portfolio liquidation
*Alexander Schied* and *Tao Zhang*
- 2015: Liquidation of an indivisible asset with independent investment
*Emilie Fabre*, *Guillaume Royer* and *Nizar Touzi*
- 2015: Option pricing and hedging with execution costs and market impact
*Olivier Gu\'eant* and *Jiang Pu*
- 2015: On strong binomial approximation for stochastic processes and applications for financial modelling
*Nikolai Dokuchaev*
- 2015: Default Clustering in Large Pools: Large Deviations
*Konstantinos Spiliopoulos* and *Richard B. Sowers*
- 2015: Optimal Liquidity Provision
*Christoph K\"uhn* and *Johannes Muhle-Karbe*
- 2015: Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data
*Krenar Avdulaj* and *Jozef Baruník*
- 2015: Continuous-Time Public Good Contribution under Uncertainty
*Giorgio Ferrari*, *Frank Riedel* and *Jan-Henrik Steg*
- 2015: Fluctuation Analysis for the Loss From Default
*Konstantinos Spiliopoulos*, *Justin A. Sirignano* and *Kay Giesecke*
- 2015: An Optimal Execution with Uncertain Market Impact
*Kensuke Ishitani* and *Takashi Kato*
- 2015: Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
*Salvatore Federico*, *Paul Gassiat* and *Fausto Gozzi*
- 2015: Asymptotics of forward implied volatility
*Antoine Jacquier* and *Patrick Roome*
- 2015: Modeling and forecasting exchange rate volatility in time-frequency domain
*Jozef Baruník*, *Tomas Krehlik* and *Lukas Vacha*
- 2015: Large Portfolio Asymptotics for Loss From Default
*Kay Giesecke*, *Konstantinos Spiliopoulos*, *Richard B. Sowers* and *Justin A. Sirignano*
- 2015: The intensity of the random variable intercept in the sector of negative probabilities
*Marcin Makowski*, *Edward W. Piotrowski*, *Jan S{\l}adkowski* and *Jacek Syska*
- 2015: An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series
*Alexander Schnurr*
- 2015: Worldwide clustering of the corruption perception
*Michal Paulus* and *Ladislav Krištoufek*
- 2015: Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix
*Patrick Steffen Michelberger* and *Jan Hendrik Witte*
- 2015: Adaptive Filter Design for Stock Market Prediction Using a Correlation-based Criterion
*J. E. Wesen*, *V. Vv. Vermehren* and *H. M. de Oliveira*
- 2015: Information in stock prices and some consequences
*Yannis G. Yatracos*
- 2015: Liquidity costs: a new numerical methodology and an empirical study
*Christophe Michel*, *Victor Reutenauer*, *Denis Talay* and *Etienne Tanr\'e*
- 2015: Valuation Algorithms for Structural Models of Financial Interconnectedness
*Johannes Hain* and *Tom Fischer*
- 2015: Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk
*Gildas Ratovomirija*
- 2015: Optimal strategies of investment in a linear stochastic model of market
*O. S. Rozanova* and *G. S. Kambarbaeva*
- 2015: Short-time at-the-money skew and rough fractional volatility
*Masaaki Fukasawa*
- 2015: Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach
*Jinbeom Kim* and *Tim Leung*
- 2015: Positively-homogeneous Konus-Divisia indices and their applications to demand analysis and forecasting
*Nikolay Klemashev* and *Alexander Shananin*
- 2015: Interbank markets and multiplex networks: centrality measures and statistical null models
*Leonardo Bargigli*, *Giovanni di Iasio*, *Luigi Infante*, *Fabrizio Lillo* and *Federico Pierobon*
- 2015: Cascades in multiplex financial networks with debts of different seniority
*Charles D. Brummitt* and *Teruyoshi Kobayashi*
- 2015: Combining Alphas via Bounded Regression
*Zura Kakushadze*
- 2015: Bin Size Independence in Intra-day Seasonalities for Relative Prices
*Esteban Guevara*
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