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2014: Study of a model for the distribution of wealth
Yves Pomeau and Ricardo Lopez-Ruiz
2014: New analytic approach to address Put - Call parity violation due to discrete dividends
Alexander Buryak and Ivan Guo
2014: Effective and simple VWAP option pricing model
Alexander Buryak and Ivan Guo
2014: Grid Integration Costs of Fluctuating Renewable Energy Sources
M\"uller, Jonas , Marcus Hildmann , Andreas Ulbig and Andersson, G\"oran
2014: Wealth distribution of simple exchange models coupled with extremal dynamics
N. Bagatella-Flores , M. Rodriguez-Achach , H. F. Coronel-Brizio and A. R. Hernandez-Montoya
2014: Semiparametric Estimation of First-Price Auction Models
Gaurab Aryal , Maria Florenica Gabrielli and Quang Vuong
2014: On the optimal exercise boundaries of swing put options
Tiziano De Angelis and Yerkin Kitapbayev
2014: Fokker-Planck Description of Wealth Dynamics and the Origin of Pareto's Law
Bruce M. Boghosian
2014: On the role of F\"ollmer-Schweizer minimal martingale measure in Risk Sensitive control Asset Management
Amogh Deshpande
2014: A finite set of equilibria for the indeterminacy of linear rational expectations models
Jean-Bernard Chatelain and Kirsten Ralf
2014: Linear vector optimization and European option pricing under proportional transaction costs
Alet Roux and Tomasz Zastawniak
2014: One-level limit order books with sparsity and memory
Ch\'avez-Casillas, Jonathan A. and Figueroa-L\'opez, Jos\'e E.
2014: Arbitrage-free prediction of the implied volatility smile
Petros Dellaportas and Mijatovi\'c, Aleksandar
2014: Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets
Ladislav Krištoufek and Petra Lunackova
2014: Bank-firm credit network in Japan. An analysis of a bipartite network
Luca Marotta , Miccich\`e, Salvatore , Yoshi Fujiwara , Hiroshi Iyetomi , Hideaki Aoyama , Mauro Gallegati and Rosario N. Mantegna
2014: The dynamics of the leverage cycle
Christoph Aymanns and J. Doyne Farmer
2014: Risk-sensitive investment in a market with animal spirits
Grzegorz Andruszkiewicz , Mark H. A. Davis and Lleo, S\'ebastien
2014: Agent-based model with asymmetric trading and herding for complex financial systems
Jun-jie Chen , Bo Zheng and Lei Tan
2014: Permutation approach, high frequency trading and variety of micro patterns in financial time series
Cina Aghamohammadi , Mehran Ebrahimian and Hamed Tahmooresi
2014: Unanticipated Features of the Multidimensional $G$-Normal Distribution
Erhan Bayraktar and Alexander Munk
2014: An exact and explicit formula for pricing Asian options with regime switching
Leunglung Chan and Song-Ping Zhu
2014: Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns
Vladimir Filimonov and Didier Sornette
2014: Causal Non-Linear Financial Networks
Paweł Fiedor
2014: An exact and explicit formula for pricing lookback options with regime switching
Leunglung Chan and Song-Ping Zhu
2014: Identification of cross and autocorrelations in time series within an approach based on Wigner eigenspectrum of random matrices
Michal Sawa and Dariusz Grech
2014: A convex duality method for optimal liquidation with participation constraints
Gu\'eant, Olivier , Jean-Michel Lasry and Jiang Pu
2014: Exact and asymptotic solutions of the call auction problem
Ioane Muni Toke
2014: New Pricing Framework: Options and Bonds
Nick Laskin
2014: Forecasting future oil production in Norway and the UK: a general improved methodology
Lucas Fievet , Forr\`o, Zal\`an , Peter Cauwels and Didier Sornette
2014: Slow decay of impact in equity markets
X. Brokmann , E. Serie , J. Kockelkoren and J. -P. Bouchaud
2014: Arbitrage in markets with bid-ask spreads
Rola, Przemys{\l}aw
2014: CVA under Partial Risk Warehousing and Tax Implications
Chris Kenyon and Andrew Green
2014: Comparing series of rankings with ties by using complex networks: An analysis of the spanish stock market (IBEX-35 index)
F. Pedroche , R. Criado , E. Garcia , M. Romance and V. E. Sanchez
2014: Portfolio optimization in the case of an asset with a given liquidation time distribution
Ljudmila A. Bordag , Ivan P. Yamshchikov and Dmitry Zhelezov
2014: Impacts of Regional Trade Agreements(RTAs) on Food Security: A Case of ASEAN Free Trade Agreement
H. M. S. P. Herath , Cao Liang and Chen Yongbing
2014: A Bellman View of Jesse Livermore
Nick Polson and Jan Hendrik Witte
2014: Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps
Friedrich Hubalek , Martin Keller-Ressel and Carlo Sgarra
2014: Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems
\c{C}etin, Umut and Albina Danilova
2014: Cross-correlations in coupled heterogeneous Brownian motions
Paolo Barucca
2014: Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals
Sebastian. E. Ferrando , Alfredo L. Gonzalez , Ivan L. Degano and Massoome Rahsepar
2014: Superstars in politics: the role of the media in the rise and success of Junichiro Koizumi
Eiji Yamamura and Fabio Sabatini
2014: Density of Skew Brownian motion and its functionals with application in finance
Alexander Gairat and Vadim Shcherbakov
2014: Robust Superhedging with Jumps and Diffusion
Marcel Nutz
2014: Non linear filtering and optimal investment under partial information for stochastic volatility models
Dalia Ibrahim and Abergel, Fr\'ed\'eric
2014: Non-arbitrage for Informational Discrete Time Market Models
Tahir Choulli and Jun Deng
2014: Computing Greeks for L\'evy Models: The Fourier Transform Approach
Federico De Olivera and Ernesto Mordecki
2014: On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility
Alessandro Ramponi
2014: Robust Arbitrage under Uncertainty in Discrete Time
Matteo Burzoni , Marco Frittelli and Marco Maggis
2014: Decision-theoretic approaches to non-knowledge in economics
Ekaterina Svetlova and Henk van Elst
2014: Stochastic model of a pension plan
Paz Grimberg and Zeev Schuss
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: One more no-arbitrage parametric fit of volatility smile
Andrey Itkin
2014: World Input-Output Network
Federica Cerina , Zhen Zhu , Alessandro Chessa and Massimo Riccaboni
2014: A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition
Ulrich Horst , Jinniao Qiu and Qi Zhang
2014: Thermodynamics of inequalities: from precariousness to economic stratification
Matteo Smerlak
2014: Exact fit of simple finite mixture models
Dirk Tasche
2014: Statistical Arbitrage in the Black-Scholes Framework
Ahmet Goncu
2014: A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
Christa Cuchiero and Josef Teichmann
2014: Multilevel path simulation for weak approximation schemes
Denis Belomestny and Tigran Nagapetyan
2014: Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness
J. D. Opdyke
2014: Can Turnover Go to Zero?
Zura Kakushadze
2014: Combining Alpha Streams with Costs
Zura Kakushadze
2014: Valuation and Hedging of Contracts with Funding Costs and Collateralization
Tomasz R. Bielecki and Marek Rutkowski
2014: On a Convex Measure of Drawdown Risk
Lisa R. Goldberg and Ola Mahmoud
2014: Inflation securities valuation with macroeconomic-based no-arbitrage dynamics
Gabriele Sarais and Damiano Brigo
2014: High-speed emergence of financial stock clusters using an unsupervised parallel genetic cluster algorithm
Dieter Hendricks , Dariusz Cieslakiewicz , Diane Wilcox and Tim Gebbie
2014: Consentaneous agent-based and stochastic model of the financial markets
V. Gontis and A. Kononovicius
2014: Purchasing Life Insurance to Reach a Bequest Goal
Erhan Bayraktar , David Promislow and Virginia Young
2014: Information ratio analysis of momentum strategies
Fernando F. Ferreira , A. Christian Silva and Ju-Yi Yen
2014: On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints
Erhan Bayraktar and Zhou Zhou
2014: Cross-correlation asymmetries and causal relationships between stock and market risk
Stanislav S. Borysov and Alexander V. Balatsky
2014: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows
Masaaki Fujii and Akihiko Takahashi
2014: Dynamic Limit Growth Indices in Discrete Time
Tomasz R. Bielecki , Igor Cialenco and Marcin Pitera
2014: Actuarial fairness and solidarity in pooled annuity funds
Catherine Donnelly
2014: Impact of information cost and switching of trading strategies in an artificial stock market
Yi-Fang Liu , Wei Zhang , Chao Xu , Andersen, J{\o}rgen Vitting and Hai-Chuan Xu
2014: Modeling of Volatility with Non-linear Time Series Model
Kim Song Yon and Kim Mun Chol
2014: The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations
Hyong-Chol O , Yong-hwa Ro and Ning Wan
2014: On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Carole Bernard , Zhenyu Cui and Don McLeish
2014: Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
Vladimir Filimonov and Didier Sornette
2014: Optimal Payoffs under State-dependent Preferences
Carole Bernard , Franck Moraux , Ludger Rueschendorf and Steven Vanduffel
2014: Weak reflection principle for L\'evy processes
Erhan Bayraktar and Sergey Nadtochiy
2014: Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?
Jozef Baruník , Evžen Kočenda and Lukas Vacha
2014: Extracting information from the signature of a financial data stream
Gyurk\'o, Lajos Gergely , Terry Lyons , Mark Kontkowski and Jonathan Field
2014: Random Market Models with an H-Theorem
Ricardo Lopez-Ruiz , Elyas Shivanian and Jose-Luis Lopez
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: Pricing in Complex and Efficient Financial Markets
Gabriel Frahm
2014: Suitability of Capital Allocations for Performance Measurement
Eduard Kromer and Ludger Overbeck
2014: On the Robust Optimal Stopping Problem
Erhan Bayraktar and Song Yao
2014: Optimal Stopping under Adverse Nonlinear Expectation and Related Games
Marcel Nutz and Jianfeng Zhang
2014: Optimal execution and block trade pricing: a general framework
Gu\'eant, Olivier
2014: Physical approach to price momentum and its application to momentum strategy
Jaehyung Choi
2014: Approximating stochastic volatility by recombinant trees
Aky{\i}ld{\i}r{\i}m, Erd\.{i}n\c{c} , Yan Dolinsky and H. Mete Soner
2014: Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias
Figueroa-L\'opez, Jos\'e E. and Peter Tankov
2014: Small-time expansions for local jump-diffusion models with infinite jump activity
Figueroa-L\'opez, Jos\'e E. , Yankeng Luo and Cheng Ouyang
2014: An Optimal Execution Problem in Geometric Ornstein-Uhlenbeck Price Process
Takashi Kato
2014: Record statistics of financial time series and geometric random walks
Behlool Sabir and M. S. Santhanam
2014: A two-stage model for dealing with temporal degradation of credit scoring
Maria Rocha Sousa , Gama, Jo\~ao and Gon\c{c}alves, Manuel J. Silva
2014: Bank Networks from Text: Interrelations, Centrality and Determinants
R\"onnqvist, Samuel and Peter Sarlin
2014: Active extension portfolio optimization with non-convex risk measures using metaheuristics
Ronald Hochreiter and Christoph Waldhauser
2014: Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy
Xiaoxiao Zheng and Xin Zhang
2014: Optimal investment-reinsurance policy under a long-term perspective
Xiaoxiao Zheng and Xin Zhang
2014: Predictability of Volatility Homogenised Financial Time Series
Paweł Fiedor and Odd Magnus Trondrud
2014: Stock Market Prediction from WSJ: Text Mining via Sparse Matrix Factorization
Felix Ming Fai Wong , Zhenming Liu and Mung Chiang
2014: Income Inequality in the 21st Century -- A biased summary of Piketty's Capital in the Twenty-First Century
Dietrich Stauffer
2014: Hierarchical Structure of the Foreign Trade: The Case of the United State
Ersin Kantar
2014: Optimal Portfolio Problem Using Entropic Value at Risk: When the Underlying Distribution is Non-Elliptical
Hassan Omidi Firouzi and Andrew Luong
2014: On the Depletion Problem for an Insurance Risk Process: New Non-ruin Quantities in Collective Risk Theory
Zied Ben-Salah , Gu\'erin, H\'el\`ene , Manuel Morales and Hassan Omidi Firouzi
2014: Change of numeraire in the two-marginals martingale transport problem
Luciano Campi , Ismail Laachir and Claude Martini
2014: Optimal Investment with Stopping in Finite Horizon
Xiongfei Jian , Xun Li and Fahuai Yi
2014: Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Claudia Ceci , Katia Colaneri and Alessandra Cretarola
2014: Coping with area price risk in electricity markets: Forecasting Contracts for Difference in the Nordic power market
Egil Ferkingstad and L{\o}land, Anders
2014: Credit Risk in a Geometric Arbitrage Perspective
Simone Farinelli
2014: Causality Networks
Ishanu Chattopadhyay
2014: Game Theory, Statistical Mechanics and Income Inequality
Venkat Venkatasubramanian , Yu Luo and Jay Sethuraman
2014: Systemic risk through contagion in a core-periphery structured banking network
Oliver Kley , Kl\"uppelberg, Claudia and Lukas Reichel
2014: Hierarchical structure of the countries based on electricity consumption and economic growth
Ersin Kantar , Alper Aslan , Bayram Deviren and Mustafa Keskin
2014: Hierarchical structure of the European countries based on debts as a percentage of GDP during the 2000-2011 period
Ersin Kantar , Bayram Deviren and Mustafa Keskin
2014: Using an Artificial Financial Market for studying a Cryptocurrency Market
Luisanna Cocco , Giulio Concas and Michele Marchesi
2014: Optimal investment with time-varying stochastic endowments
An Chen , Carla Mereu and Robert Stelzer
2014: How to hedge extrapolated yield curves
Lager{\aa}s, Andreas
2014: Probabilistic flows of inhabitants in urban areas and self-organization in housing markets
Takao Hishikawa and Jun-ichi Inoue
2014: Semiclassical approximation in stochastic optimal control I. Portfolio construction problem
Sakda Chaiworawitkul , Patrick S. Hagan and Andrew Lesniewski
2014: From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments
Henry Lam and Zhenming Liu
2014: Moral Hazard in Dynamic Risk Management
Cvitani\'c, Jak\v{s}a , Possama\"i, Dylan and Nizar Touzi
2014: Reduction of systemic risk by means of Pigouvian taxation
Zlati\'c, Vinko , Giampaolo Gabbi and Hrvoje Abraham
2014: A Bond Consistent Derivative Fair Value
Johan Gunnesson and Mu\~noz de Morales, Alberto Fern\'andez
2014: An Unconventional Attempt to Tame Mandelbrot's Grey Swans
Denis M. Filatov and Maksim A. Vanyarkho
2014: Survival Models for the Duration of Bid-Ask Spread Deviations
Efstathios Panayi and Gareth Peters
2014: Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data
Efstathios Panayi , Gareth Peters and Ioannis Kosmidis
2014: A robust algorithm and convergence analysis for static replications of nonlinear payoffs
Jingtang Ma , Dongya Deng and Harry Zheng
2014: Zooming into market states
Desislava Chetalova , Sch\"afer, Rudi and Thomas Guhr
2014: Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage in Markovian Models of Financial Markets
Martin Le Doux Mbele Bidima and R\'asonyi, Mikl\'os
2014: On possible origins of trends in financial market price changes
Ryo Murakami , Tomomichi Nakamura , Shin Kimura , Masashi Manabe and Toshihiro Tanizawa
2014: Strategy-proofness and single-peackedness in bounded distributive lattices
Ernesto Savaglio and Stefano Vannucci
2014: A variation of the Dragulescu-Yakovenko income model
Sarabia, Jos\'e Mar\'ia , Faustino Prieto and Jord\'a, Vanesa
2014: Instabilities in large economies: aggregate volatility without idiosyncratic shocks
Julius Bonart , Jean-Philippe Bouchaud , Augustin Landier and David Thesmar
2014: Advisors and indicators based on the SSA models and non-linear generalizations
A. M. Avdeenko
2014: Ergodic BSDEs with jumps and time dependence
Samuel N. Cohen and Victor Fedyashov
2014: Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence
Matthew Ames , Gareth W. Peters , Guillaume Bagnarosa and Ioannis Kosmidis
2014: A general HJM framework for multiple yield curve modeling
Christa Cuchiero , Claudio Fontana and Alessandro Gnoatto
2014: On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment
Tiziano De Angelis , Salvatore Federico and Giorgio Ferrari
2014: A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information
Takashi Kato , Jun Sekine and Hiromitsu Yamamoto
2014: Investment under Duality Risk Measure
Zuo Quan Xu
2014: Climate Events and Insurance Demand - The effect of potentially catastrophic events on insurance demand in Italy
Alessandro Chieppa , Andrea Ricca and Gianluca Rosso
2014: Statistically significant fits of Hawkes processes to financial data
Mehdi Lallouache and Damien Challet
2014: The G\"{a}rtner-Ellis theorem, homogenization, and affine processes
Archil Gulisashvili and Josef Teichmann
2014: Decoding Stock Market Behavior with the Topological Quantum Computer
Ovidiu Racorean
2014: Factor Models for Alpha Streams
Zura Kakushadze
2014: Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
Oscar Lopez and Rafael Serrano
2014: Hierarchical representation of socio-economic complex systems according to minimal sapnning trees
Andrzej Jarynowski and Andrzej Buda
2014: On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums
Hirbod Assa
2014: Analitic approach to solve a degenerate parabolic PDE for the Heston model
A. Canale , R. M. Mininni and A. Rhandi
2014: Historical Backtesting of Local Volatility Model using AUD/USD Vanilla Options
Timothy G. Ling and Pavel V. Shevchenko
2014: A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations
Hyong-chol O , Yong-hwa Ro and Ning Wan
2014: Stochastic Analysis Seminar on Filtering Theory
Andrew Papanicolaou
2014: A generalized pricing and hedging framework for multi-currency fixed income desks
Gim\'enez, Eduard , Alberto Elices and Giovanna Villani
2014: The Naive Extrapolation Hypothesis and the Rosy-Gloomy Forecasts
Vasileios Barmpoutis
2014: Arbitrage-free exchange rate ensembles over a general trade network
Stan Palasek
2014: Notes on Alpha Stream Optimization
Zura Kakushadze
2014: Numerical analysis for Spread option pricing model in illiquid underlying asset market: full feedback model
Ahmad Reza Yazdanian and T A Pirvu
2014: Integration of a Predictive, Continuous Time Neural Network into Securities Market Trading Operations
Christopher S Kirk
2014: Supervised classification-based stock prediction and portfolio optimization
Sercan Arik , Sukru Burc Eryilmaz and Adam Goldberg
2014: Robust pricing and hedging under trading restrictions and the emergence of local martingale models
Alexander M. G. Cox , Zhaoxu Hou and Jan Obloj
2014: Clustering and hierarchy of financial markets data: advantages of the DBHT
Nicolo Musmeci , Tomaso Aste and Tiziana Di Matteo
2014: Buyer to Seller Recommendation under Constraints
Cheng Chen , Lan Zheng , Venkatesh Srinivasan , Alex Thomo , Kui Wu and Anthony Sukow
2014: Estimation of the Global Minimum Variance Portfolio in High Dimensions
Taras Bodnar , Nestor Parolya and Wolfgang Schmid
2014: Option Pricing in an Imperfect World
Gianluca A. Cassese
2014: Implied volatility of basket options at extreme strikes
Archil Gulisashvili and Peter Tankov
2014: What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis
Ladislav Krištoufek
2014: Inverse Optimal Stopping
Thomas Kruse and Philipp Strack
2014: Optimal investment under behavioural criteria -- a dual approach
R\'asonyi, Mikl\'os and Rodr\'iguez-Villarreal, Jos\'e G.
2014: An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs
Jean-Francois Chassagneux , Antoine Jacquier and Ivo Mihaylov
2014: Affine LIBOR models with multiple curves: theory, examples and calibration
Zorana Grbac , Antonis Papapantoleon , John Schoenmakers and David Skovmand
2014: Braided and Knotted Stocks in the Stock Market: Anticipating the flash crashes
Ovidiu Racorean
2014: Macroprudential oversight, risk communication and visualization
Peter Sarlin
2014: A Bitcoin system with no mining and no history transactions: Build a compact Bitcoin system
Qian Xiaochao
2014: Intrinsic Prices Of Risk
Truc Le
2014: Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching
Bin Zou and Abel Cadenillas
2014: An efficient algorithm for the calculation of reserves for non-unit linked life policies
Mark Tucker and J. Mark Bull
2014: Measures of Causality in Complex Datasets with application to financial data
Anna Zaremba and Tomaso Aste
2014: Estimating time-changes in noisy L\'evy models
Adam D. Bull
2014: Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion
John Armstrong , Martin Forde , Matthew Lorig and Hongzhong Zhang
2014: Self-organization and phase transition in financial markets with multiple choices
Li-Xin Zhong , Wen-Juan Xu , Ping Huang , Chen-Yang Zhong and Tian Qiu
2014: A New Characterization of Comonotonicity and its Application in Behavioral Finance
Zuo Quan Xu
2014: Order Estimates for the Exact Lugannani-Rice Expansion
Takashi Kato , Jun Sekine and Kenichi Yoshikawa
2014: The impact of lead time forecasting on the bullwhip effect
Zbigniew Michna and Peter Nielsen
2014: Short-term Market Reaction after Trading Halts in Chinese Stock Market
Hai-Chuan Xu , Wei Zhang and Yi-Fang Liu
2014: Semiparametric stochastic volatility modelling using penalized splines
Roland Langrock , Michelot, Th\'eo , Alexander Sohn and Thomas Kneib
2014: Portfolio return distributions: Sample statistics with non-stationary correlations
Desislava Chetalova , Thilo A. Schmitt , Sch\"afer, Rudi and Thomas Guhr
2014: On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix
Taras Bodnar , Arjun K. Gupta and Nestor Parolya
2014: The Financing of Innovative SMEs: a multicriteria credit rating model
Silvia Angilella and Mazz\`u, Sebastiano
2014: Tipping points in macroeconomic Agent-Based models
Stanislao Gualdi , Marco Tarzia , Francesco Zamponi and Jean-Philippe Bouchaud
2014: Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process
Vladimir Filimonov , Spencer Wheatley and Didier Sornette
2014: A Robust Version of Convex Integral Functionals
Keita Owari
2014: The Convexity of the Free Boundary for American-style put options
Hsuan-Ku Liu
2014: Dynamic Credit Investment in Partially Observed Markets
Agostino Capponi , Jose Enrique Figueroa Lopez and Andrea Pascucci
2014: The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
Chuancun Yin , Yuzhen Wen , Zhaojun Zong and Ying Shen
2014: Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function
Kensuke Ishitani and Takashi Kato
2014: How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related
Tahir Choulli , Jun Deng and Junfeng Ma
2014: From characteristic functions to implied volatility expansions
Antoine Jacquier and Matthew Lorig
2014: Patience vs. Impatience of Stock Traders
Peter Lerner
2014: On the concentration of large deviations for fat tailed distributions, with application to financial data
Mario Filiasi , Giacomo Livan , Matteo Marsili , Maria Peressi , Erik Vesselli and Elia Zarinelli
2014: American and Bermudan options in currency markets under proportional transaction costs
Alet Roux and Tomasz Zastawniak
2014: Computation of copulas by Fourier methods
Antonis Papapantoleon
2014: An Optimal Execution Problem with Market Impact
Takashi Kato
2014: Field Theory of Macroeconomics
Heribert Genreith
2014: Microscopic Models for Welfare Measures Addressing a Reduction of Economic Inequality
Maria Letizia Bertotti and Giovanni Modanese
2014: Path Diffusion, Part I
Johan GB Beumee , Chris Cormack , Peyman Khorsand and Manish Patel
2014: Structure of local interactions in complex financial dynamics
X. F. Jiang , T. T. Chen and B. Zheng
2014: Explicit investment rules with time-to-build and uncertainty
Aid, Ren\'e , Salvatore Federico , Pham, Huy\^en and Bertrand Villeneuve
2014: Gambling in Contests with Random Initial Law
Han Feng and David Hobson
2014: Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics
Fabio Dercole and Davide Radi
2014: VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution
Chris Kenyon and Andrew Green
2014: Mixed Tempered Stable distribution
Edit Rroji and Lorenzo Mercuri
2014: Option Pricing in a Dynamic Variance-Gamma Model
Lorenzo Mercuri and Fabio Bellini
2014: Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series
Sergey A. Kamenshchikov
2014: On the stationarity of Dynamic Conditional Correlation models
Jean-David Fermanian and Hassan Malongo
2014: Bregman superquantiles. Estimation methods and applications
Fabrice Gamboa , Garivier, Aur\'elien , Bertrand Iooss and Tatiana Labopin-Richard
2014: Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility
Martino Bardi , Annalisa Cesaroni and Andrea Scotti
2014: Networks of Military Alliances, Wars, and International Trade
Matthew O. Jackson and Stephen M. Nei
2014: Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
Andrey Itkin
2014: Modeling FX market activity around macroeconomic news: a Hawkes process approach
Marcello Rambaldi , Paris Pennesi and Fabrizio Lillo
2014: R&D Strategy Document
James B. Glattfelder , Thomas Bisig and Richard B. Olsen
2014: Wealth share analysis with "fundamentalist/chartist" heterogeneous agents
Hai-Chuan Xu , Wei Zhang , Xiong Xiong and Wei-Xing Zhou
2014: Stationarity of Bivariate Dynamic Contagion Processes
Angelos Dassios and Xin Dong
2014: Micro and Macro Benefits of Random Investments in Financial Markets
Alessio Emanuele Biondo , Alessandro Pluchino and Andrea Rapisarda
2014: Big Data, Socio-Psychological Theory, Algorithmic Text Analysis and Predicting the Michigan Consumer Sentiment Index
Rickard Nyman and Paul Ormerod
2014: Valuation of Barrier Options using Sequential Monte Carlo
Pavel V. Shevchenko and Pierre Del Moral
2014: A Functional Limit Theorem for Limit Order Books
Christian Bayer , Ulrich Horst and Jinniao Qiu
2014: Correlation structure and principal components in global crude oil market
Yue-Hua Dai , Wen-Jie Xie , Zhi-Qiang Jiang , George J. Jiang and Wei-Xing Zhou
2014: Set-valued shortfall and divergence risk measures
Ararat, \c{C}a\u{g}\in , Andreas H. Hamel and Birgit Rudloff
2014: Rough paths, Signatures and the modelling of functions on streams
Terry Lyons
2014: The Economics of BitCoin Price Formation
Pavel Ciaian , Miroslava Rajcaniova and Kancs, d'Artis
2014: Quantum spatial-periodic harmonic model for daily price-limited stock markets
Xiangyi Meng , Jian-Wei Zhang , Jingjing Xu and Hong Guo
2014: No-arbitrage condition for $S^{\mathfrak{t}-}$ in a progressively enlarged filtration
Shiqi Song
2014: Local times for typical price paths and pathwise Tanaka formulas
Nicolas Perkowski and Pr\"omel, David J.
2014: Mining Urban Performance: Scale-Independent Classification of Cities Based on Individual Economic Transactions
Stanislav Sobolevsky , Izabela Sitko , Sebastian Grauwin , Remi Tachet des Combes , Bartosz Hawelka , Juan Murillo Arias and Carlo Ratti
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Ruodu Wang and Johanna F. Ziegel
2014: Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information
Xin Dong and Harry Zheng
2014: A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
Aktar, Yal\c{c}in and Erik Taflin
2014: Quantum Brownian motion model for stock markets
Xiangyi Meng , Jian-Wei Zhang and Hong Guo
2014: Can Analysts Predict Rallies Better Than Crashes?
Ivan Medovikov
2014: The systematic structure and predictability of urban business diversity
Hyejin Youn , Bettencourt, Lu\'is M. A. , Lobo, Jos\'e , Deborah Strumsky , Horacio Samaniego and Geoffrey B. West
2014: Arbitrage Pricing of Multi-person Game Contingent Claims
Ivan Guo and Marek Rutkowski
2014: Simple examples of pure-jump strict local martingales
Martin Keller-Ressel
2014: Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets, A Measure-Theoretic Proof
Nassim N. Taleb
2014: Interest rate models and Whittaker functions
Dmitry Muravey
2014: How does bad and good volatility spill over across petroleum markets?
Jozef Baruník , Evžen Kočenda and Lukas Vacha
2014: A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
Tiziano De Angelis , Giorgio Ferrari and John Moriarty
2014: A Multi-factor Adaptive Statistical Arbitrage Model
Wenbin Zhang , Zhen Dai , Bindu Pan and Milan Djabirov
2014: Optimal stopping under model uncertainty: randomized stopping times approach
Denis Belomestny and Volker Kraetschmer
2014: Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market
Li-Xin Wang
2014: Merchant Sharing Towards a Zero Marginal Cost Economy
Laurent Fournier
2014: Optimal Execution in Lit and Dark Pools
M. Alessandra Crisafi and Andrea Macrina
2014: Phynance
Zura Kakushadze
2014: On the Biases and Variability in the Estimation of Concentration Using Bracketed Quantile Contributions
Nassim N Taleb and Raphael Douady
2014: Paths and indices of maximal tail dependence
Edward Furman , Jianxi Su and Zitikis, Ri\v{c}ardas
2014: Default Probability Estimation via Pair Copula Constructions
Luciana Dalla Valle , Maria Elena De Giuli , Claudia Tarantola and Claudio Manelli
2014: The super-replication theorem under proportional transaction costs revisited
Walter Schachermayer
2014: Stylized facts of price gaps in limit order books: Evidence from Chinese stocks
Gao-Feng Gu , Xiong Xiong , Yong-Jie Zhang , Wei Chen , Wei Zhang and Wei-Xing Zhou
2014: Market risk modelling in Solvency II regime and hedging options not using underlying
Klusik, Przemys\law
2014: Market Coupling as the Universal Algorithm to Assess Zonal Divisions
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2014: Spatial interactions in agent-based modeling
Marcel Ausloos , Herbert Dawid and Ugo Merlone
2014: Hedging of equity-linked with maximal success factor
Klusik Przemyslaw
2014: Evaluating gambles using dynamics
Ole Peters and Murray Gell-Mann
2014: KVA: Capital Valuation Adjustment
Andrew Green and Chris Kenyon
2014: Calculating the Funding Valuation Adjustment (FVA) of Value-at-Risk (VAR) based Initial Margin
Andrew Green and Chris Kenyon
2014: A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing
Masaaki Fujii
2014: The least squares method for option pricing revisited
Maciej Klimek and Marcin Pitera
2014: Dynamic Linkages between Tokyo and Osaka Rice Futures Markets in Prewar Japan
Mikio Ito , Kiyotaka Maeda and Akihiko Noda
2014: Maximum drawdown, recovery, and momentum
Jaehyung Choi
2014: Reward-risk momentum strategies using classical tempered stable distribution
Jaehyung Choi , Young Shin Kim and Ivan Mitov
2014: Stationarity, non-stationarity and early warning signals in economic networks
Tiziano Squartini and Diego Garlaschelli
2014: A Multiple Network Approach to Corporate Governance
Fausto Bonacina , D'Errico, Marco , Enrico Moretto , Silvana Stefani and Anna Torriero
2014: A state-constrained differential game arising in optimal portfolio liquidation
Alexander Schied and Tao Zhang
2014: Optimal Strategies for a Long-Term Static Investor
Lingjiong Zhu
2014: The Origin of Fat Tails
Martin Gremm
2014: Multivariate transient price impact and matrix-valued positive definite functions
Alfonsi, Aur\'elien , Alexander Schied and Kl\"ock, Florian
2014: Implicit transaction costs and the fundamental theorems of asset pricing
Erindi Allaj
2014: The fine structure of volatility feedback II: overnight and intra-day effects
Pierre Blanc , Chicheportiche, R\'emy and Jean-Philippe Bouchaud
2014: Optimal Liquidity Provision in Limit Order Markets
K\"uhn, Christoph and Johannes Muhle-Karbe
2014: On the Stochastic Solution to a Cauchy Problem Associated with Nonnegative Price Processes
Xiaoshan Chen , Yu-Jui Huang , Qingshuo Song and Chao Zhu
2014: Analytical models of operational risk and new results on the correlation problem
Vivien Brunel
2014: Admissible Trading Strategies under Transaction Costs
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2014: Option pricing with non-Gaussian scaling and infinite-state switching volatility
Fulvio Baldovin , Massimiliano Caporin , Michele Caraglio , Attilio Stella and Marco Zamparo
2014: Tick Size Reduction and Price Clustering in a FX Order Book
Mehdi Lallouache and Abergel, Fr\'ed\'eric
2014: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
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2014: Collective Philanthropy: Describing and Modeling the Ecology of Giving
William L. Gottesman , Andrew James Reagan and Peter Sheridan Dodds
2014: VWAP execution and guaranteed VWAP
Gu\'eant, Olivier and Guillaume Royer
2014: B-spline techniques for volatility modeling
Sylvain Corlay
2014: Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization
Damiano Brigo , Jan-Frederik Mai and Matthias Scherer
2014: Survey data and Bayesian analysis: a cost-efficient way to estimate customer equity
Juha Karvanen , Ari Rantanen and Lasse Luoma
2014: Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions
Damiano Brigo and Giuseppe Di Graziano
2014: Pricing approximations and error estimates for local L{\'e}vy-type models with default
Matthew Lorig , Stefano Pagliarani and Andrea Pascucci
2014: Weak and strong no-arbitrage conditions for continuous financial markets
Claudio Fontana
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: Multi-portfolio time consistency for set-valued convex and coherent risk measures
Zachary Feinstein and Birgit Rudloff
2014: Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance
Nikolai Dokuchaev
2014: Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs
M. Nabil Kazi-Tani , Possama\"i, Dylan and Chao Zhou
2014: Price manipulation in a market impact model with dark pool
Kl\"ock, Florian , Alexander Schied and Yuemeng Sun
2014: The Wishart short rate model
Alessandro Gnoatto
2014: International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
Mikio Ito , Akihiko Noda and Tatsuma Wada
2014: Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without L\'{e}vy area simulation
Michael B. Giles and Lukasz Szpruch
2014: A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
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2014: Geometric Arbitrage Theory and Market Dynamics
Simone Farinelli
2014: An Optimal Consumption-Investment Model with Constraint on Consumption
Zuo Quan Xu and Fahuai Yi
2014: The role of the information set for forecasting - with applications to risk management
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2014: Predictive regressions for macroeconomic data
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2014: A multivariate model for financial indexes and an algorithm for detection of jumps in the volatility
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2014: Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs
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2014: The Italian Crisis and Producer Households Debt: a Source of Stability? A Reproducible Research
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2014: Sell the news? A news-driven model of the stock market
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2014: Analysis of a decision model in the context of equilibrium pricing and order book pricing
Daniel C. Wagner , Thilo A. Schmitt , Sch\"afer, Rudi , Thomas Guhr and Dietrich E. Wolf
2014: Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context
Qinghua Li
2014: Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
Damiano Brigo , Qing Liu , Andrea Pallavicini and David Sloth
2014: Leveraged {ETF} implied volatilities from {ETF} dynamics
Tim Leung , Matthew Lorig and Andrea Pascucci
2014: A Multi-Entity Input Output (MEIO) Approach to Sustainability - Water-Energy-GHG (WEG) Footprint Statements in Use Cases from Auto and Telco Industries
Reza Farrahi Moghaddam , Fereydoun Farrahi Moghaddam and Mohamed Cheriet
2014: Polynomial Models for interest rates and stochastic volatility
Si Cheng and Michael R. Tehranchi
2014: Incorporating a Volatility Smile into the Markov-Functional Model
Feijia Wang
2014: Measurement and Internalization of Systemic Risk in a Global Banking Network
Xiaobing Feng and Haibo Hu
2014: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case
Trybu{\l}a, Jakub and Dariusz Zawisza
2014: Futures Premium and Efficiency of the Rice Futures Markets in Prewar Japan
Mikio Ito , Kiyotaka Maeda and Akihiko Noda
2014: Reconstruction of density functions by sk-splines
A. Kushpel and J. Levesley
2014: Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model
Takashi Shinzato
2014: Towards a Monotonicity-Compliant Price Index for the Art Market
Ventura L Charlin and Arturo Cifuentes
2014: High-order compact finite difference scheme for option pricing in stochastic volatility models
D\"uring, Bertram and Fourni\'e, Michel
2014: High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
D\"uring, Bertram , Fourni\'e, Michel and Christof Heuer
2014: Spectral Model of Turnover Reduction
Zura Kakushadze
2014: Expected Cash Flow: A Novel Model Of Evaluating Financial Assets
Magomet Yandiev
2014: Signal-wise performance attribution for constrained portfolio optimisation
Bruno Durin
2014: Approximate aggregation in the neoclassical growth model with ideosyncratic shocks
Karsten Chipeniuk , Nets Hawk Katz and Todd B. Walker
2014: Modelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models
Jan Kuklinski , Doinita Negru and Pawel Pliszka
2014: On small-noise equations with degenerate limiting system arising from volatility models
Giovanni Conforti , Stefano De Marco and Jean-Dominique Deuschel
2014: The Master Equation in Mean Field Theory
Alain Bensoussan , Jens Frehse and Phillip Yam
2014: Directed Random Market: the equilibrium distribution
Guy Katriel
2014: $L_p$ regularized portfolio optimization
Fabio Caccioli , Imre Kondor , Matteo Marsili and Susanne Still
2014: Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing
Mark Higgins
2014: Option Pricing Accuracy for Estimated Heston Models
Robert Azencott , Yutheeka Gadhyan and Roland Glowinski
2014: On the properties of nodal price response matrix in electricity markets
Vadim Borokhov
2014: Smile from the Past: A general option pricing framework with multiple volatility and leverage components
Adam Aleksander Majewski , Giacomo Bormetti and Fulvio Corsi
2014: Stability and Identification with Optimal Macroprudential Policy Rules
Jean-Bernard Chatelain and Kirsten Ralf
2014: Two centuries of trend following
Y. Lemp\'eri\`ere, , C. Deremble , P. Seager , M. Potters and J. P. Bouchaud
2014: Regularizing Portfolio Risk Analysis: A Bayesian Approach
Sourish Das and Dipak K. Dey
2014: A Note on the Pricing of Basket Options Using Taylor Approximations
Pablo Olivares and Alexander Alvarez
2014: Estimating nonlinear regression errors without doing regression
Hong Pi and Carsten Peterson
2014: A Dynamical Model of the Industrial Economy of the Humber Region
Christopher J. K. Knight , Alexandra S. Penn and Rebecca B. Hoyle
2014: Pricing of Basket Options Using Polynomial Approximations
Pablo Olivares
2014: Asymptotics for $d$-dimensional L\'evy-type processes
Matthew Lorig , Stefano Pagliarani and Andrea Pascucci
2014: Facelifting in Utility Maximization
Kasper Larsen , H. Mete Soner and Gordan Zitkovic
2014: Financial bubbles: mechanisms and diagnostics
Didier Sornette and Peter Cauwels
2014: Bayesian DEJD model and detection of asymmetric jumps
Maciej Kostrzewski
2014: Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
Nicole El Karoui , Mohamed Mrad and Caroline Hillairet
2014: Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
Nicole El Karoui , Caroline Hillairet and Mohamed Mrad
2014: Derivative pricing under the possibility of long memory in the supOU stochastic volatility model
Robert Stelzer and Zavi\v{s}in, Jovana
2014: Impulse Control of a Diffusion with a Change Point
Lokman A. Abbas-Turki , Ioannis Karatzas and Qinghua Li
2014: Stochastic Evolution of Stock Market Volume-Price Distributions
Paulo Rocha , Frank Raischel , da Cruz, Jo\~ao P. and Pedro G. Lind
2014: Martingale optimal transport in the Skorokhod space
Y. Dolinsky and H. M. Soner
2014: A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
Boualem Djehiche , Hamidou Tembine and Raul Tempone
2014: Emergence of communities on a coevolutive model of wealth interchange
A. Agreda and K. Tucci
2014: Discretisation-Invariant Swaps
Carol O Alexander and Johannes Rauch
2014: Parallel American Monte Carlo
Calypso Herrera and Louis Paulot
2014: Utility indifference pricing of derivatives written on industrial loss indexes
Gunther Leobacher and Philip Ngare
2014: Is It Possible to OD on Alpha?
Zura Kakushadze and Jim Kyung-Soo Liew
2014: Dynamic optimal execution in a mixed-market-impact Hawkes price model
Alfonsi, Aur\'elien and Pierre Blanc
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: Non-Arbitrage under a Class of Honest Times
Tahir Choulli , Anna Aksamit , Jun Deng and Monique Jeanblanc
2014: Principal wind turbines for a conditional portfolio approach to wind farms
Vitor V. Lopes , Teresa Scholz , Frank Raischel and Pedro G. Lind
2014: On the range of admissible term-structures
Areski Cousin and Ibrahima Niang
2014: Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models
D. Sornette
2014: A Note on the Quantile Formulation
Zuo Quan Xu
2014: Systemic risk in dynamical networks with stochastic failure criterion
B. Podobnik , D. Horvatic , M. Bertella , L. Feng , X. Huang and B. Li
2014: Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging
Johan Gunnesson and Mu\~noz de Morales, Alberto Fern\'andez
2014: The adaptive nature of liquidity taking in limit order books
Damian Eduardo Taranto , Giacomo Bormetti and Fabrizio Lillo
2014: Intensive and extensive biases in economic networks: reconstructing the world trade multiplex
Rossana Mastrandrea , Tiziano Squartini , Giorgio Fagiolo and Diego Garlaschelli
2014: Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors
Mauro Bernardi and L. Petrella
2014: Propagation of Economic Shocks in Input-Output Networks: A Cross-Country Analysis
Martha G. Alatriste Contreras and Giorgio Fagiolo
2014: IIGHGINT: A generalization to the modified GHG intensity universal indicator toward a production/consumption insensitive border carbon tax
Reza Farrahi Moghaddam , Fereydoun Farrahi Moghaddam and Mohamed Cheriet
2014: A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades
Teruyoshi Kobayashi
2014: Community detection for correlation matrices
Mel MacMahon and Diego Garlaschelli
2014: On strong binomial approximation for stochastic processes and applications for financial modelling
Nikolai Dokuchaev
2014: Illiquidity and Insolvency: a Double Cascade Model of Financial Crises
Thomas R. Hurd , Davide Cellai , Huibin Cheng , Sergey Melnik and Quentin Shao
2014: Asymptotic Glosten Milgrom equilibrium
Cheng Li and Hao Xing
2014: Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo
Eric Beutner , Janina Schweizer and Antoon A. J. Pelsser
2014: A note on the Fundamental Theorem of Asset Pricing under model uncertainty
Erhan Bayraktar , Yuchong Zhang and Zhou Zhou
2014: The Interrupted Power Law and The Size of Shadow Banking
Davide Fiaschi , Imre Kondor , Matteo Marsili and Valerio Volpati
2014: Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials
Andrey Itkin
2014: Information, no-arbitrage and completeness for asset price models with a change point
Claudio Fontana , Zorana Grbac , Monique Jeanblanc and Qinghua Li
2014: Asymptotic arbitrage in the Heston model
Fatma Haba and Antoine Jacquier
2014: An examination of the effect on the Icelandic Banking System of Ver{\dh}trygg{\dh} L\'{a}n (Indexed-Linked Loans)
Jacky Mallett
2014: Parameter estimation for a subcritical affine two factor model
Matyas Barczy , Leif Doering , Zenghu Li and Gyula Pap
2014: On an Optimal Stopping Problem of an Insider
Erhan Bayraktar and Zhou Zhou
2014: High-order short-time expansions for ATM option prices of exponential L\'evy models
Figueroa-L\'opez, Jos\'e E. , Ruoting Gong and Houdr\'e, Christian
2014: Stochastic target games with controlled loss
Bruno Bouchard , Ludovic Moreau and Marcel Nutz
2014: Involving copula functions in Conditional Tail Expectation
Brahim Brahimi
2014: Utility Maximization with Addictive Consumption Habit Formation in Incomplete Semimartingale Markets
Xiang Yu
2014: Asymptotically optimal discretization of hedging strategies with jumps
Mathieu Rosenbaum and Peter Tankov
2014: On martingale measures and pricing for continuous bond-stock market with stochastic bond
Nikolai Dokuchaev
2014: The structure of optimal portfolio strategies for continuous time markets
Nikolai Dokuchaev
2014: Stable-1/2 Bridges and Insurance
Edward Hoyle , Lane P. Hughston and Andrea Macrina
2014: An agent-based computational model for China's stock market and stock index futures market
Hai-Chuan Xu , Wei Zhang , Xiong Xiong and Wei-Xing Zhou
2014: Microscopic determinants of the weak-form efficiency of an artificial order-driven stock market
Jian Zhou , Gao-Feng Gu , Zhi-Qiang Jiang , Xiong Xiong , Wei Zhang and Wei-Xing Zhou
2014: Are credit ratings time-homogeneous and Markov?
Pedro Lencastre , Frank Raischel , Pedro G. Lind and Tim Rogers
2014: Pseudo Linear Pricing Rule for Utility Indifference Valuation
Vicky Henderson and Gechun Liang
2014: Evolution of wealth in a nonconservative economy driven by local Nash equilibria
Pierre Degond , Jian-Guo Liu and Christian Ringhofer
2014: Omega risk model with tax
Zhenyu Cui
2014: Anatomy of a Bail-In
Thomas Conlon and John Cotter
2014: Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach
Menelaos Karanasos , Alexandros Paraskevopoulos , Faek Menla Ali , Michail Karoglou and Stavroula Yfanti
2014: Contextual and Structural Representations of Market-mediated Economic Value
Bradly Alicea
2014: Credit acceptance process strategy case studies - the power of Credit Scoring
Karol Przanowski
2014: Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies
Stefan Bornholdt and Kim Sneppen
2014: Behavioral and Network Origins of Wealth Inequality: Insights from a Virtual World
Benedikt Fuchs and Stefan Thurner
2014: Utility maximization in the large markets
Oleksii Mostovyi
2014: The role of the "Maximizing Output Growth Inflation Rate" in monetary policy
Dominique Pépin
2014: The Implied Volatility Analysis: The South African Experience
Romuald N. Kenmoe S and Carine D. Tafou
2014: Sophisticated gamblers ruin and survival chances
Salil Mehta
2014: Trajectory Based Models, Arbitrage and Continuity
Alexander Alvarez and Sebastian Ferrando
2014: The acceptance-rejection method for low-discrepancy sequences
Nguyet Nguyen and \"Okten, Giray
2014: Time-changed CIR default intensities with two-sided mean-reverting jumps
Rafael Mendoza-Arriaga and Vadim Linetsky
2014: Multilevel Monte Carlo For Exponential L\'{e}vy Models
Mike Giles and Yuan Xia
2014: Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
Archil Gulisashvili and Josep Vives
2014: Portfolio Optimization in Affine Models with Markov Switching
Marcos Escobar , Daniela Neykova and Rudi Zagst
2014: A change of measure preserving the affine structure in the BNS model for commodity markets
Fred Espen Benth and Salvador Ortiz-Latorre
2014: Branching ratio approximation for the self-exciting Hawkes process
Stephen J. Hardiman and Jean-Philippe Bouchaud
2014: Predicting market instability: New dynamics between volume and volatility
Zeyu Zheng , Zhi Qiao , Joel N. Tenenbaum , H. Eugene Stanley and Baowen Li
2014: Collective behaviours in the stock market -- A maximum entropy approach
Thomas Bury
2014: On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market
Alexandra Rodkina and Nikolai Dokuchaev
2014: Which factor dominates the industry evolution? A synergy analysis based on China's ICT industry
Yaya Li , Yongli Li , Yulin Zhao and Fang Wang
2014: An importance sampling algorithm for copula models in insurance
Philipp Arbenz , Mathieu Cambou and Marius Hofert
2014: Least quartic Regression Criterion with Application to Finance
Giuseppe arbia
2014: Representation of infinite dimensional forward price models in commodity markets
Fred Espen Benth and Kr\"uhner, Paul
2014: Momentum Strategies with L1 Filter
Tung-Lam Dao
2014: A fast Fourier transform method for Mellin-type option pricing
D. J. Manuge and P. T. Kim
2014: Networked relationships in the e-MID Interbank market: A trading model with memory
Giulia Iori , Rosario Nunzio Mantegna , Luca Marotta , Micciche', Salvatore , James Porter and Michele Tumminello
2014: A re-examination of real interest parity in CEECs using old and new generations of panel unit root tests
Claudiu Tiberiu Albulescu , Dominique Pépin and Aviral Kumar Tiwari
2014: Testing for Detailed Balance in a Financial Market
Rudolf Fiebig and David Musgrove
2014: Anomalous impact in reaction-diffusion models
Iacopo Mastromatteo , Bence Toth and Jean-Philippe Bouchaud
2014: Empirical properties of inter-cancellation durations in the Chinese stock market
Gao-Feng Gu , Xiong Xiong , Wei Zhang , Yong-Jie Zhang and Wei-Xing Zhou
2014: Structural Models under Additional Information
Tahir Choulli and Jun Deng
2014: Coherent Chaos Interest Rate Models
Dorje C. Brody and Stala Hadjipetri
2014: Detecting informed activities in European-style option tradings
Lyudmila A. Glik and Oleg L. Kritski
2014: Merton problem with one additional indivisible asset
Trybu{\l}a, Jakub
2014: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic factor case
Trybu{\l}a, Jakub and Dariusz Zawisza
2014: Distribution of the asset price movement and market potential
Dong Han Kim and Stefano Marmi
2014: Quadratic BSDEs with jumps: related non-linear expectations
M. Nabil Kazi-Tani , Possama\"i, Dylan and Chao Zhou
2014: A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution
Dieter Hendricks and Diane Wilcox
2014: Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models
Michael B. Walker
2014: Partial Mutual Information Analysis of Financial Networks
Paweł Fiedor
2014: Introduction to Risk Parity and Budgeting
Thierry Roncalli
2014: City growth as a resource utilization problem
Asim Ghosh , Arnab Chatterjee , Anindya S. Chakrabarti and Bikas K Chakrabarti
2014: High-Order Splitting Methods for Forward PDEs and PIDEs
Andrey Itkin
2014: Do Google Trend data contain more predictability than price returns?
Damien Challet and Ahmed Bel Hadj Ayed
2014: Inside Money, Procyclical Leverage, and Banking Catastrophes
Charles D. Brummitt , Rajiv Sethi and Duncan J. Watts
2014: To bail-out or to bail-in? Answers from an agent-based model
Peter Klimek , Sebastian Poledna , J. Doyne Farmer and Stefan Thurner
2014: Modelling the Bid and Ask Prices of Illiquid CDSs
Michael B. Walker
2014: International Transmission of Shocks and Fragility of a Bank Network
Xiaobing Feng , Woo Seong Jo and Beom Jun Kim
2014: On the Frequency of Drawdowns for Brownian Motion Processes
David Landriault , Bin Li and Hongzhong Zhang
2014: On the Hawkes Process with Different Exciting Functions
Behzad Mehrdad and Lingjiong Zhu
2014: Asset Prices and Risk Aversion
Dominique Pépin
2014: Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics
Andreas Joseph , Irena Vodenska , Eugene Stanley and Guanrong Chen
2014: Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
Xiangyu Cui , Duan Li and Xun Li
2014: Multi-period Trading Prediction Markets with Connections to Machine Learning
Jinli Hu and Amos Storkey
2014: Exchange Rate Predictability in a Changing World
Joseph P. Byrne , Dimitris Korobilis and Pinho J. Ribeiro
2014: Parameter estimation for subcritical Heston models based on discrete time observations
Matyas Barczy , Gyula Pap and Tamas T. Szabo
2014: Investing and Stopping
Moritz Duembgen and Leonard C G Rogers
2014: Leverage effect in energy futures
Ladislav Krištoufek
2014: Prospect Theory for Online Financial Trading
Yang-Yu Liu , Jose C. Nacher , Tomoshiro Ochiai , Mauro Martino and Yaniv Altshuler
2014: Mapping systemic risk: critical degree and failures distribution in financial networks
Matteo Smerlak , Brady Stoll , Agam Gupta and James S. Magdanz
2014: The geometry of relative arbitrage
Soumik Pal and Ting-Kam Leonard Wong
2014: Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
Bin Zou and Abel Cadenillas
2014: Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms
Petr Jizba and Jan Korbel
2014: Information theoretic approach for accounting classification
E. M. S. Ribeiro and G. A. Prataviera
2014: Global inequality in energy consumption from 1980 to 2010
Scott Lawrence , Qin Liu and Victor M. Yakovenko
2014: No-arbitrage conditions and absolutely continuous changes of measure
Claudio Fontana
2014: Predicting trend reversals using market instantaneous state
Thomas Bury
2014: Power identities for L\'evy risk models under taxation and capital injections
Hansjoerg Albrecher and Jevgenijs Ivanovs
2014: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
Paulwin Graewe , Ulrich Horst and Jinniao Qiu
2014: Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains
R\'asonyi, Mikl\'os and Andrea Meireles Rodrigues
2014: Efficient hedging in general Black-Scholes model
Kyong-Hui Kim and Myong-Guk Sin
2014: Do the rich get richer? An empirical analysis of the BitCoin transaction network
Kondor, D\'aniel , P\'osfai, M\'arton , Csabai, Istv\'an and Vattay, G\'abor
2014: Measuring risk with multiple eligible assets
Walter Farkas , Pablo Koch-Medina and Cosimo Munari
2014: Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix
Taras Bodnar , Arjun K. Gupta and Nestor Parolya
2014: Gold, Oil, and Stocks
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2014: Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures
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2014: Predicting financial markets with Google Trends and not so random keywords
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2014: Strict Local Martingales with Jumps
Philip Protter
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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: Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk
M. H. A Davis and M. R. Pistorius
2014: Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
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2014: A note on high-order short-time expansions for ATM option prices under the CGMY model
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2014: Permanent market impact can be nonlinear
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2014: A convolution method for numerical solution of backward stochastic differential equations
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2014: Coherence and elicitability
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2014: A Modern Approach to the Efficient-Market Hypothesis
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2014: The effect of debt on corporate profitability: Evidence from French service sector
Mazen KEBEWAR
2014: Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model
Maria B. Chiarolla and Tiziano De Angelis
2014: Quadratic BSDEs with jumps: a fixed-point approach
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2014: Exploiting the flexibility of a family of models for taxation and redistribution
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2014: On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk-process in the presence of a penalty function
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2014: Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders
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2014: Efficient Modeling and Forecasting of the Electricity Spot Price
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2014: Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target
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2014: Finding informed traders in futures and their inderlying assets in intraday trading
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2014: A First-Order BSPDE for Swing Option Pricing: Classical Solutions
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2014: Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift
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2014: The role of information in a two-traders market
F. Bagarello and E. Haven
2014: Time-dependent Heston model
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2014: Estimation Error of Expected Shortfall
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2014: Systemic Risk and Default Clustering for Large Financial Systems
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2014: Rebalancing with Linear and Quadratic Costs
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2014: Trading with Small Price Impact
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2014: Densely Entangled Financial Systems
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2014: Accelerating Implicit Finite Difference Schemes Using a Hardware Optimised Implementation of the Thomas Algorithm for FPGAs
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2014: Large deviation asymptotics for the left tail of the sum of dependent positive random variables
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2014: A debt behaviour model
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2014: On Simulation of Various Effects in Consolidated Order Book
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2014: Information-theoretic approach to lead-lag effect on financial markets
Paweł Fiedor
2014: On the shortfall risk control -- a refinement of the quantile hedging method
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2014: News Cohesiveness: an Indicator of Systemic Risk in Financial Markets
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2014: Reference Vectors in Economic Choice
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2014: Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression
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2014: Pricing Currency Derivatives with Markov-modulated Levy Dynamics
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2014: Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
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2014: Using Twitter to Model the EUR/USD Exchange Rate
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2014: Are European equity markets efficient? New evidence from fractal analysis
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2014: Partial correlation analysis: Applications for financial markets
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2014: Market impact as anticipation of the order flow imbalance
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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: Optimal allocation of wealth for two consuming agents sharing a portfolio
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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: Mean field approximation for biased diffusion on Japanese inter-firm trading network
Hayafumi Watanabe
2014: The False Premises and Promises of Bitcoin
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2014: Investment under uncertainty, competition and regulation
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2014: Detrended Cross-Correlation Analysis Consistently Extended to Multifractality
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2014: Revisiting the Merit-Order Effect of Renewable Energy Sources
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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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Ban Zheng , Roueff, Fran\c{c}ois and Abergel, Fr\'ed\'eric
2014: Superreplication under Model Uncertainty in Discrete Time
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2014: Strategy switches and co-action equilibria in a minority game
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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: A Stochastic Volatility Model for Crude Oil Futures Curves and the Pricing of Calendar Spread Options
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2014: Testing for rational speculative bubbles in the Brazilian residential real-estate market
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2014: Option Pricing of Twin Assets
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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: On Convergence in the Spatial AK Growth Models
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2014: Martingale Inequalities and Deterministic Counterparts
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2014: Mathematical Foundations for the Economy of Giving
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2014: CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach
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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: Risk aggregation and stochastic claims reserving in disability insurance
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2014: A Creepy World
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2014: General indifference pricing with small transaction costs
Possama\"i, Dylan and Guillaume Royer
2014: Quasi-Hadamard differentiability of general risk functionals and its application
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2014: Bartering integer commodities with exogenous prices
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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: Efficient tree methods for pricing digital barrier options
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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
Li-Xin Wang
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: Optimal Investment with Transaction Costs and Stochastic Volatility
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2014: Emergence of statistically validated financial intraday lead-lag relationships
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2014: Accelerated Share Repurchase: pricing and execution strategy
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2014: Option pricing and hedging with execution costs and market impact
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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: Cross-border Portfolio Investment Networks and Indicators for Financial Crises
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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: An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals
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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: Leverage-induced systemic risk under Basle II and other credit risk policies
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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: Market structure explained by pairwise interactions
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2014: Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
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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
Thomas Bury
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
Walter Farkas , Pablo Koch-Medina and Cosimo Munari
2014: Killed Brownian motion with a prescribed lifetime distribution and models of default
Boris Ettinger , Steven N. Evans and Alexandru Hening
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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