# Papers
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- 2016: The Jacobi Stochastic Volatility Model
*Damien Ackerer*, *Damir Filipovi\'c* and *Sergio Pulido*
- 2016: A note on optimal expected utility of dividend payments with proportional reinsurance
*Xiaoqing Liang* and *Zbigniew Palmowski*
- 2016: Minimal Investment Risk of Portfolio Optimization Problem with Budget and Investment Concentration Constraints
*Takashi Shinzato*
- 2016: Portfolio Optimization Problem with Non-identical Variances of Asset Returns using Statistical Mechanical Informatics
*Takashi Shinzato*
- 2016: Asymptotic Eigenvalue Distribution of Wishart Matrices whose Components are not Independently and Identically Distributed
*Takashi Shinzato*
- 2016: The impact of the financial crisis on the long-range memory of European corporate bond and stock markets
*Lisana B. Martinez*, *M. Belen Guercio*, *Aurelio F. Bariviera* and *Antonio Terce\~no*
- 2016: Generalized Leverage Effects in Asset Returns
*Kenichiro McAlinn*, *Asahi Ushio* and *Teruo Nakatsuma*
- 2016: Hedging with Small Uncertainty Aversion
*Sebastian Herrmann*, *Johannes Muhle-Karbe* and *Frank Thomas Seifried*
- 2016: BSDEs with mean reflection
*Philippe Briand*, *Romuald Elie* and *Ying Hu*
- 2016: Exponentially concave functions and a new information geometry
*Soumik Pal* and *Ting-Kam Leonard Wong*
- 2016: Some Mathematical Aspects of Price Optimisation
*Y. Bai*, *E. Hashorva*, *G. Ratovomirija* and *M. Tamraz*
- 2016: Recursive utility maximization under partial information
*Shaolin Ji* and *Xiaomin Shi*
- 2016: Far from equilibrium: Wealth reallocation in the United States
*Yonatan Berman*, *Ole Peters* and *Alexander Adamou*
- 2016: Elections in Russia, 1991-2008
*Daniel Treisman*
- 2016: Wrong-Way Risk Models: A Comparison of Analytical Exposures
*Fr\'ed\'eric Vrins*
- 2016: Optimality of two-parameter strategies in stochastic control
*Kazutoshi Yamazaki*
- 2016: Quantum theory of securities price formation in financial markets
*Jack Sarkissian*
- 2016: Extended nonlinear feedback model for describing episodes of high inflation
*M A Szybisz* and *L Szybisz*
- 2016: Learning zero-cost portfolio selection with pattern matching
*Tim Gebbie* and *Fayyaaz Loonat*
- 2016: On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums
*Ewa Marciniak* and *Zbigniew Palmowski*
- 2016: Knight--Walras Equilibria
*Patrick Beissner* and *Frank Riedel*
- 2016: Empowering cash managers to achieve cost savings by improving predictive accuracy
*Francisco Salas-Molina*, *Francisco J. Martin*, *Juan A. Rodr\'iguez-Aguilar*, *Joan Serr\`a* and *Josep Ll. Arcos*
- 2016: Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions
*Takashi Kato*
- 2016: High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering
*Erhan Bayraktar* and *Alexander Munk*
- 2016: Survey on log-normally distributed market-technical trend data
*Ren\'e Kempen* and *Stanislaus Maier-Paape*
- 2016: Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate
*Martin Gremm*
- 2016: Economic Development and Inequality: a complex system analysis
*Angelica Sbardella*, *Emanuele Pugliese* and *Luciano Pietronero*
- 2016: Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model
*Siyan Zhang*, *Anna L. Mazzucato* and *Victor Nistor*
- 2016: Stochastic Portfolio Theory: A Machine Learning Perspective
*Yves-Laurent Kom Samo* and *Alexander Vervuurt*
- 2016: Robust framework for quantifying the value of information in pricing and hedging
*Anna Aksamit*, *Zhaoxu Hou* and *Jan Ob\l\'{o}j*
- 2016: Generalized semi-Markovian dividend discount model: risk and return
*Guglielmo D'Amico*
- 2016: Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors
*Sujay Mukhoti* and *Pritam Ranjan*
- 2016: Coherence and incoherence collective behavior in financial market
*Shangmei Zhao*, *Qiuchao Xie*, *Qing Lu*, *Xin Jiang* and *Wei Chen*
- 2016: Forecasting time series with structural breaks with Singular Spectrum Analysis, using a general form of recurrent formula
*Donya Rahmani*, *Saeed Heravi*, *Hossein Hassani* and *Mansi Ghodsi*
- 2016: Unbiased Monte Carlo Simulation of Diffusion Processes
*Louis Paulot*
- 2016: The Accounting Network: how financial institutions react to systemic crisis
*Andrea Flori*, *Giuseppe Pappalardo*, *Michelangelo Puliga*, *Alessandro Chessa* and *Fabio Pammolli*
- 2016: The wage transition in developed countries and its implications for China
*Belal Baaquie*, *Bertrand M. Roehner* and *Qinghai Wang*
- 2016: Is it "natural" to expect Economics to become a part of the Natural Sciences?
*Arnab Chatterjee*
- 2016: Optimal market making
*Olivier Gu\'eant*
- 2016: Modeling and Simulation of the Economics of Mining in the Bitcoin Market
*Luisanna Cocco* and *Michele Marchesi*
- 2016: Electoral Systems Used around the World
*Siamak F. Shahandashti*
- 2016: Arbitrage and hedging with liquid American options
*Erhan Bayraktar* and *Zhou Zhou*
- 2016: Lie symmetries of (1+2) nonautonomous evolution equations in Financial Mathematics
*A. Paliathanasis*, *R. M. Morris* and *P. G. L. Leach*
- 2016: Regrets, learning and wisdom
*Damien Challet*
- 2016: On Optimal Retirement (How to Retire Early)
*Philip Ernst*, *Dean Foster* and *Larry Shepp*
- 2016: The Local Fractional Bootstrap
*Mikkel Bennedsen*, *Ulrich Hounyo*, *Asger Lunde* and *Mikko S. Pakkanen*
- 2016: Revisiting a Theorem of L.A. Shepp on Optimal Stopping
*Philip Ernst* and *Larry Shepp*
- 2016: Why have asset price properties changed so little in 200 years
*Jean-Philippe Bouchaud* and *Damien Challet*
- 2016: A unified pricing of variable annuity guarantees under the optimal stochastic control framework
*Pavel V. Shevchenko* and *Xiaolin Luo*
- 2016: Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options
*Jan Kuklinski* and *Kevin Tyloo*
- 2016: Density forecasting comparison of volatility models
*Leopoldo Catania* and *Nima Nonejad*
- 2016: Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty
*Brian Bulthuis*, *Julio Concha*, *Tim Leung* and *Brian Ward*
- 2016: Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything
*Ravi Kashyap*
- 2016: Stochastic Perron for Stochastic Target Problems
*Erhan Bayraktar* and *Jiaqi Li*
- 2016: Getting rich quick with the Axiom of Choice
*Vladimir Vovk*
- 2016: Microstructure under the Microscope: Combining Dimension Reduction, Distance Measures and Covariance
*Ravi Kashyap*
- 2016: The unresolved mystery of the great divergence is solved
*Ron W Nielsen*
- 2016: First Order BSPDEs: examples in higher dimension
*Nikolai Dokuchaev*
- 2016: Optimal Liquidation under Stochastic Resilience of Price Impact
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2016: Tukey's Transformational Ladder for Portfolio Management
*Philip Ernst*, *James Thompson* and *Yinsen Miao*
- 2016: Sharp convex bounds on the aggregate sums--An alternative proof
*Chuancun Yin* and *Dan Zhu*
- 2016: Hong Kong - Shanghai Connect / Hong Kong - Beijing Disconnect (?), Scaling the Great Wall of Chinese Securities Trading Costs
*Ravi Kashyap*
- 2016: Securities Lending Strategies, Exclusive Auction Bids
*Ravi Kashyap*
- 2016: Tipping elements and climate-economic shocks: Pathways toward integrated assessment
*Robert E. Kopp*, *Rachael Shwom*, *Gernot Wagner* and *Jiacan Yuan*
- 2016: Polynomial Diffusion Models for Life Insurance Liabilities
*Francesca Biagini* and *Yinglin Zhang*
- 2016: Comonotonic risk measures in a world without risk-free assets
*Pablo Koch-Medina*, *Cosimo Munari* and *Gregor Svindland*
- 2016: Modeling the relation between income and commuting distance
*Giulia Carra*, *Ismir Mulalic*, *Mogens Fosgerau* and *Marc Barthelemy*
- 2016: A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes
*Ravi Kashyap*
- 2016: Fighting Uncertainty with Uncertainty
*Ravi Kashyap*
- 2016: Deep Learning for Limit Order Books
*Justin Sirignano*
- 2016: The hidden hyperbolic geometry of international trade: World Trade Atlas 1870-2013
*Guillermo Garc\'ia-P\'erez*, *Mari\'an Bogu\~n\'a*, *Antoine Allard* and *M. \'Angeles Serrano*
- 2016: Arbitrage and Hedging in model-independent markets with frictions
*Matteo Burzoni*
- 2016: Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation
*Ahmed Kebaier* and *J\'er\^ome Lelong*
- 2016: Mathematical Analysis of the Historical Economic Growth
*Ron W. Nielsen*
- 2016: Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility
*A. Paliathanasis*, *K. Krishnakumar*, *K. M. Tamizhmani* and *P. G. L. Leach*
- 2016: Hydroassets Portfolio Management for Intraday Electricity Trading in a Discrete Time Stochastic Optimization Perspective
*Simone Farinelli* and *Luisa Tibiletti*
- 2016: Optimal Taxation with Endogenous Default under Incomplete Markets
*Demian Pouzo* and *Ignacio Presno*
- 2016: Minimizing the Probability of Lifetime Drawdown under Constant Consumption
*Bahman Angoshtari*, *Erhan Bayraktar* and *Virginia R. Young*
- 2016: Inequality and risk aversion in economies open to altruistic attitudes
*Eleonora Perversi* and *Eugenio Regazzini*
- 2016: Model-free Superhedging Duality
*Matteo Burzoni*, *Marco Frittelli* and *Marco Maggis*
- 2016: A system of non-local parabolic PDE and application to option pricing
*Anindya Goswami*, *Jeeten Patel* and *Poorva Shevgaonkar*
- 2016: Weak Convergence of Path-Dependent SDEs in Basket CDS Pricing with Contagion Risk
*Yao Tung Huang*, *Qingshuo Song* and *Harry Zheng*
- 2016: A Profit-maximization Model for a Company that Sells an Arbitrary Number of Products
*Dragos-Patru Covei*
- 2016: Introduction to Stochastic Differential Equations (SDEs) for Finance
*A. Papanicolaou*
- 2016: Equilibrium in Misspecified Markov Decision Processes
*Ignacio Esponda* and *Demian Pouzo*
- 2016: A weak law of large numbers for a limit order book model with fully state dependent order dynamics
*Ulrich Horst* and *D\"orte Kreher*
- 2016: Shortfall Deviation Risk: An alternative to risk measurement
*Marcelo Brutti Righi* and *Paulo Sergio Ceretta*
- 2016: Optimal martingale transport between radially symmetric marginals in general dimensions
*Tongseok Lim*
- 2016: Long Term Risk: A Martingale Approach
*Likuan Qin* and *Vadim Linetsky*
- 2016: Berk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified Models
*Ignacio Esponda* and *Demian Pouzo*
- 2016: Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
*Dmitry Kramkov* and *Sergio Pulido*
- 2016: Optimal execution of ASR contracts with fixed notional
*Olivier Gu\'eant*
- 2016: Fragility of the Commons under Prospect-Theoretic Risk Attitudes
*Ashish R. Hota*, *Siddharth Garg* and *Shreyas Sundaram*
- 2016: A system of quadratic BSDEs arising in a price impact model
*Dmitry Kramkov* and *Sergio Pulido*
- 2016: Drawdown: From Practice to Theory and Back Again
*Lisa R. Goldberg* and *Ola Mahmoud*
- 2016: Option pricing with linear market impact and non-linear Black and Scholes equations
*Gregoire Loeper*
- 2016: The Effect of Market Power on Risk-Sharing
*Michail Anthropelos*
- 2016: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
*Louis Paulot*
- 2016: How brokers can optimally plot against traders
*Manuel Lafond*
- 2016: Robustness of mathematical models and technical analysis strategies
*Ahmed Bel Hadj Ayed*, *Gr\'egoire Loeper* and *Fr\'ed\'eric Abergel*
- 2016: Depreciation and the Time Value of Money
*Brendon Farrell*
- 2016: Nonzero-sum stochastic differential games with impulse controls and applications to retail energy markets
*Ren\'e A\"id*, *Matteo Basei*, *Giorgia Callegaro*, *Luciano Campi* and *Tiziano Vargiolu*
- 2016: The puzzle that just isn't
*Christian Mueller-Kademann*
- 2016: A new structural stochastic volatility model of asset pricing and its stylized facts
*Radu T. Pruna*, *Maria Polukarov* and *Nicholas R. Jennings*
- 2016: Factor Models for Cancer Signatures
*Zura Kakushadze* and *Willie Yu*
- 2016: Pricing Bermudan options under local L\'evy models with default
*Anastasia Borovykh*, *Cornelis W. Oosterlee* and *Andrea Pascucci*
- 2016: An Explicit Formula for Likelihood Function for Gaussian Vector Autoregressive Moving-Average Model Conditioned on Initial Observables with Application to Model Calibration
*Du Nguyen*
- 2016: Utility maximization problem with random endowment and transaction costs: when wealth may become negative
*Yiqing Lin* and *Junjian Yang*
- 2016: Convex Hedging in Incomplete Markets
*Birgit Rudloff*
- 2016: On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation
*Martijn Pistorius* and *Mitja Stadje*
- 2016: On the Surprising Explanatory Power of Higher Realized Moments in Practice
*Keren Shen*, *Jianfeng Yao* and *Wai Keung Li*
- 2016: Is the public sector of your country a diffusion borrower? Empirical evidence from Brazil
*Leno S. Rocha*, *Frederico S. A. Rocha* and *Th\'arsis T. P. Souza*
- 2016: Arbitrage without borrowing or short selling?
*Jani Lukkarinen* and *Mikko S. Pakkanen*
- 2016: Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model
*Damian Eduardo Taranto*, *Giacomo Bormetti*, *Jean-Philippe Bouchaud*, *Fabrizio Lillo* and *Bence Toth*
- 2016: Entropy and credit risk in highly correlated markets
*Sylvia Gottschalk*
- 2016: Extreme Concurrent Portfolio Losses in Credit Risk
*Joachim Sicking*, *Thomas Guhr* and *Rudi Sch\"afer*
- 2016: On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums
*Ewa Marciniak* and *Zbigniew Palmowski*
- 2016: Entangling credit and funding shocks in interbank markets
*Giulio Cimini* and *Matteo Serri*
- 2016: Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
*Huy\^en Pham*
- 2016: Optimal trading with online parameters revisions
*N Baradel*, *B Bouchard* and *Ngoc Minh Dang*
- 2016: The Impact of Services on Economic Complexity: Service Sophistication as Route for Economic Growth
*Viktor Stojkoski*, *Zoran Utkovski* and *Ljupco Kocarev*
- 2016: Random factor approach for large sets of equity time-series
*Antti Tanskanen*, *Jani Lukkarinen* and *Kari Vatanen*
- 2016: Multidimensional matching
*Pierre-Andr\'e Chiappori*, *Robert McCann* and *Brendan Pass*
- 2016: Regime switching vine copula models for global equity and volatility indices
*Holger Fink*, *Yulia Klimova*, *Claudia Czado* and *Jakob St\"ober*
- 2016: Duality in nondominated discrete-time models for Americain options
*Shuoqing Deng* and *Xiaolu Tan*
- 2016: Capital Pricing in Margin Periods of Risk and Repo KVA
*Wujiang Lou*
- 2016: Repo Haircuts and Economic Capital
*Wujiang Lou*
- 2016: High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation
*Yuri M. Dimitrov* and *Lubin G. Vulkov*
- 2016: Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty
*Erhan Bayraktar* and *Zhou Zhou*
- 2016: Convergence of Economic Growth and the Great Recession as Seen From a Celestial Observatory
*Eamon Duede* and *Victor Zhorin*
- 2016: On the survival of poor peasants
*Andrea C. Levi* and *Ubaldo Garibaldi*
- 2016: Evidence of Self-Organization in Time Series of Capital Markets
*Leopoldo S\'anchez-Cant\'u*, *Carlos Arturo Soto-Campos*, *Oswaldo Morales-Matamoros* and *Alba Lucero Garc\'ia-P\'erez*
- 2016: Local Wilcoxon Statistic in Detecting Nonstationarity of Functional Time Series
*Daniel Kosiorowski*, *Jerzy P. Rydlewski* and *Ma{\l}gorzata Snarska*
- 2016: The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model
*Dominique Pépin*
- 2016: Pricing American options using martingale bases
*J\'er\^ome Lelong*
- 2016: Distribution-Constrained Optimal Stopping
*Erhan Bayraktar* and *Christopher W. Miller*
- 2016: Reconstruction of Order Flows using Aggregated Data
*Ioane Muni Toke*
- 2016: Describing Realistic Wealth Distributions with the Extended Yard-Sale Model of Asset Exchange
*Bruce M. Boghosian*, *Adrian Devitt-Lee*, *Jie Li*, *Jeremy A. Marcq* and *Hongyan Wang*
- 2016: More on hedging American options under model uncertainty
*David Hobson* and *Anthony Neuberger*
- 2016: On the value of being American
*David Hobson* and *Anthony Neuberger*
- 2016: Kriging of financial term-structures
*Areski Cousin*, *Hassan Maatouk* and *Didier Rulli\`ere*
- 2016: The statistical significance of multivariate Hawkes processes fitted to limit order book data
*Roger Martins* and *Dieter Hendricks*
- 2016: Aggregating time preferences with decreasing impatience
*Nina Anchugina*, *Matthew Ryan* and *Arkadii Slinko*
- 2016: Market Imitation and Win-Stay Lose-Shift strategies emerge as unintended patterns in market direction guesses
*Mario Guti\'errez-Roig*, *Carlota Segura*, *Jordi Duch* and *Josep Perell\'o*
- 2016: Relativistic Quantum Finance
*Juan M. Romero* and *Ilse B. Zubieta-Mart\'inez*
- 2016: Copula--based Specification of vector MEMs
*Fabrizio Cipollini*, *Robert F. Engle* and *Giampiero Gallo*
- 2016: Controllability Analyses on Firm Networks Based on Comprehensive Data
*Hiroyasu Inoue*
- 2016: Option Pricing in the Moderate Deviations Regime
*Peter Friz*, *Stefan Gerhold* and *Arpad Pinter*
- 2016: Commodity Dynamics: A Sparse Multi-class Approach
*Luca Barbaglia*, *Ines Wilms* and *Christophe Croux*
- 2016: From Big Data To Important Information
*Yaneer Bar-Yam*
- 2016: On regularity of primal and dual dynamic value functions related to investment problem
*Michael Mania* and *Revaz Tevzadze*
- 2016: The Mittag-Leffler Phillips Curve
*Tomas Skovranek*
- 2016: Systemic Risks in CCP Networks
*Russell Barker*, *Andrew Dickinson*, *Alex Lipton* and *Rajeev Virmani*
- 2016: Market Integration in the Prewar Japanese Rice Markets
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2016: Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes
*Milan Kumar Das*, *Anindya Goswami* and *Nimit Rana*
- 2016: The Meta-Distribution of Standard P-Values
*Nassim Nicholas Taleb*
- 2016: Clustering Financial Time Series: How Long is Enough?
*Gautier Marti*, *S\'ebastien Andler*, *Frank Nielsen* and *Philippe Donnat*
- 2016: Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $\mathbb{H}^3$
*Martin Forde* and *Hongzhong Zhang*
- 2016: Mathematical analysis of historical income per capita distributions
*Ron W Nielsen*
- 2016: Cross-response in correlated financial markets: individual stocks
*Shanshan Wang*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2016: David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs
*Ravi Kashyap*
- 2016: Puzzling properties of the historical growth rate of income per capita explained
*Ron W Nielsen*
- 2016: When does inequality freeze an economy?
*Jo\~ao Pedro Jerico*, *Fran\c{c}ois P. Landes*, *Matteo Marsili*, *Isaac P\'erez Castillo* and *Valerio Volpati*
- 2016: The noisy voter model on complex networks
*Adri\'an Carro*, *Ra\'ul Toral* and *Maxi San Miguel*
- 2016: Power-law cross-correlations estimation under heavy tails
*Ladislav Krištoufek*
- 2016: Optimal Control of an Energy Storage Facility Under a Changing Economic Environment and Partial Information
*Anton A. Shardin* and *Michaela Sz\"olgyenyi*
- 2016: On minimising a portfolio's shortfall probability
*Anatolii A. Puhalskii*
- 2016: Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps
*Michael Ho* and *Jack Xin*
- 2016: Model-Free Discretisation-Invariant Swap Contracts
*Carol Alexander* and *Johannes Rauch*
- 2016: Empirical Methods for Dynamic Power Law Distributions in the Social Sciences
*Ricardo Fernholz*
- 2016: Predicting Human Cooperation
*John J. Nay* and *Yevgeniy Vorobeychik*
- 2016: Crunching Mortality and Annuity Portfolios with extended CreditRisk+
*Jonas Hirz*, *Uwe Schmock* and *Pavel V. Shevchenko*
- 2016: Hyperinflation in Brazil, Israel, and Nicaragua revisited
*M. A. Szybisz* and *L. Szybisz*
- 2016: Analyses of Aggregate Fluctuations of Firm Network Based on the Self-Organized Criticality Model
*Hiroyasu Inoue*
- 2016: Robust hedging of options on local time
*Julien Claisse*, *Gaoyue Guo* and *Pierre Henry-Labordere*
- 2016: Markov-modulated floating-strike Asian options
*Adriana Ocejo*
- 2016: An elementary approach to the option pricing problem
*Nikolaos Halidias*
- 2016: A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model
*Andrei Cozma* and *Christoph Reisinger*
- 2016: Diversification Preferences in the Theory of Choice
*Enrico De Giorgi* and *Ola Mahmoud*
- 2016: Complete Duality for Martingale Optimal Transport on the Line
*Mathias Beiglb\"ock*, *Marcel Nutz* and *Nizar Touzi*
- 2016: Central Clearing Valuation Adjustment
*Yannick Armenti* and *St\'ephane Cr\'epey*
- 2016: Bounds for randomly shared risk of heavy-tailed loss factors
*Oliver Kley* and *Claudia Kluppelberg*
- 2016: How crude oil prices shape the global division of labour
*Francesco Picciolo*, *Andreas Papandreou*, *Klaus Hubacek* and *Franco Ruzzenenti*
- 2016: Diversification, protection of liability holders and regulatory arbitrage
*Pablo Koch-Medina*, *Cosimo Munari* and *Mario Sikic*
- 2016: Portfolio Optimization under Shortfall Risk Constraint
*Oliver Janke* and *Qinghua Li*
- 2016: Toward robust early-warning models: A horse race, ensembles and model uncertainty
*Markus Holopainen* and *Peter Sarlin*
- 2016: Optimizing Credit Portfolio Using a Quadratic Nonlinear Projection Method
*Boguk Kim*, *Chulwoo Han* and *Frank Chongwoo Park*
- 2016: Stochastic Perron for stochastic target games
*Erhan Bayraktar* and *Jiaqi Li*
- 2016: An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
*Jean-Francois Chassagneux*, *Antoine Jacquier* and *Ivo Mihaylov*
- 2016: A Bitcoin system with no mining and no history transactions: Build a compact Bitcoin system
*Xiaochao Qian*
- 2016: Non-Arbitrage under a Class of Honest Times
*Tahir Choulli*, *Anna Aksamit*, *Jun Deng* and *Monique Jeanblanc*
- 2016: On the Market Viability under Proportional Transaction Costs
*Erhan Bayraktar* and *Xiang Yu*
- 2016: The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations
*Xiaoshan Chen*, *Yu-Jui Huang*, *Qingshuo Song* and *Chao Zhu*
- 2016: On the probability density function of baskets
*Christian Bayer*, *Peter Friz* and *Peter Laurence*
- 2016: On the Robust Optimal Stopping Problem
*Erhan Bayraktar* and *Song Yao*
- 2016: Stochastic Effects in a Discretized Kinetic Model of Economic Exchange
*M. L. Bertotti*, *A. K. Chattopadhyay* and *G. Modanese*
- 2016: Mortgages and Refinancing
*Khizar Qureshi* and *Cheng Su*
- 2016: Value-at-Risk: The Effect of Autoregression in a Quantile Process
*Khizar Qureshi*
- 2016: Optimal investment and consumption with downside risk constraint in jump-diffusion models
*Thai Nguyen*
- 2016: Option pricing under fast-varying long-memory stochastic volatility
*Josselin Garnier* and *Knut Solna*
- 2016: Low-traffic limit and first-passage times for a simple model of the continuous double auction
*Enrico Scalas*, *Fabio Rapallo* and *Tijana Radivojevi\'c*
- 2016: Deterministic Income with Deterministic and Stochastic Interest Rates
*Julia Eisenberg*
- 2016: On the properties of the Lambda value at risk: robustness, elicitability and consistency
*Matteo Burzoni*, *Ilaria Peri* and *Chiara Maria Ruffo*
- 2016: Risk contagion under regular variation and asymptotic tail independence
*Bikramjit Das* and *Vicky Fasen*
- 2016: Pricing occupation-time options in a mixed-exponential jump-diffusion model
*Djilali Ait Aoudia* and *Jean-Fran\c{c}ois Renaud*
- 2016: Parisian ruin for a refracted L\'evy process
*Mohamed Amine Lkabous*, *Irmina Czarna* and *Jean-Fran\c{c}ois Renaud*
- 2016: Numerical approximation of a cash-constrained firm value with investment opportunities
*Erwan Pierre*, *St\'ephane Villeneuve* and *Xavier Warin*
- 2016: A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
*Tomasz R. Bielecki*, *Igor Cialenco* and *Marcin Pitera*
- 2016: Betting and Belief: Prediction Markets and Attribution of Climate Change
*John J. Nay*, *Martin Van der Linden* and *Jonathan M. Gilligan*
- 2016: Financial equilibrium with asymmetric information and random horizon
*Umut \c{C}etin*
- 2016: Modelling income, wealth, and expenditure data by use of Econophysics
*Elvis Oltean*
- 2016: Interest Rates and Inflation
*Michael Coopersmith* and *Pascal J. Gambardella*
- 2016: Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
*Jiling Cao*, *Teh Raihana Nazirah Roslan* and *Wenjun Zhang*
- 2016: Trading Strategies Generated by Lyapunov Functions
*Ioannis Karatzas* and *Johannes Ruf*
- 2016: A Flexible Galerkin Scheme for Option Pricing in L\'evy Models
*Maximilian Ga{\ss}* and *Kathrin Glau*
- 2016: Robust Optimization of Credit Portfolios
*Agostino Capponi* and *Lijun Bo*
- 2016: Conjoint axiomatization of the Choquet integral for heterogeneous product sets
*Mikhail Timonin*
- 2016: GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model
*Tetsuya Takaishi*
- 2016: On clustering financial time series: a need for distances between dependent random variables
*Gautier Marti*, *Frank Nielsen*, *Philippe Donnat* and *S\'ebastien Andler*
- 2016: Descending Price Coordinates Approximately Efficient Search
*Robert Kleinberg*, *Bo Waggoner* and *E. Glen Weyl*
- 2016: A Note on the Optimal Dividends Paid in a Foreign Currency
*Julia Eisenberg* and *Paul Kr\"uhner*
- 2016: Conic Martingales from Stochastic Integrals
*Fr\'ed\'eric Vrins* and *Monique Jeanblanc*
- 2016: A hybrid approach for the implementation of the Bates model with stochastic interest rate
*Maya Briani*, *Lucia Caramellino* and *Antonino Zanette*
- 2016: On random convex analysis
*Tiexin Guo*, *Erxin Zhang*, *Mingzhi Wu*, *Bixuan Yang* and *George Yuan*
- 2016: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
*Tomas Krehlik* and *Jozef Baruník*
- 2016: Optimal dividend payments for a two-dimensional insurance risk process
*Pablo Azcue*, *Nora Muler* and *Zbigniew Palmowski*
- 2016: The behavioural aspect of green technology investments: a general positive model in the context of heterogeneous agents
*F. Knobloch* and *Jean-Francois Mercure*
- 2016: Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets
*Dieter Hendricks*
- 2016: Universal trading under proportional transaction costs
*Richard J Martin*
- 2016: The mathematics of non-linear metrics for nested networks
*Rui-Jie Wu*, *Gui-Yuan Shi*, *Yi-Cheng Zhang* and *Manuel Sebastian Mariani*
- 2016: No-arbitrage bounds for the forward smile given marginals
*Sergey Badikov*, *Antoine Jacquier*, *Daphne Qing Liu* and *Patrick Roome*
- 2016: A rank based mean field game in the strong formulation
*Erhan Bayraktar* and *Yuchong Zhang*
- 2016: Extracting Predictive Information from Heterogeneous Data Streams using Gaussian Processes
*Sid Ghoshal* and *Stephen Roberts*
- 2016: Switching Economics for Physics and the Carbon Price Inflation: Problems in Integrated Assessment Models and their Implications
*Sgouris Sgouridis*, *Abdulla Kaya* and *Denes Csala*
- 2016: Risk-Constrained Kelly Gambling
*Enzo Busseti*, *Ernest K. Ryu* and *Stephen Boyd*
- 2016: The Circle of Investment: Connecting the Dots of the Portfolio Management Cycle
*Ravi Kashyap*
- 2016: Solving Society's Big Ills, A Small Step
*Ravi Kashyap*
- 2016: How to Combine a Billion Alphas
*Zura Kakushadze* and *Willie Yu*
- 2016: Statistically similar portfolios and systemic risk
*Stanislao Gualdi*, *Giulio Cimini*, *Kevin Primicerio*, *Riccardo Di Clemente* and *Damien Challet*
- 2016: Online Networks, Social Interaction and Segregation: An Evolutionary Approach
*Angelo Antoci*, *Fabio Sabatini* and *Francesco Sarracino*
- 2016: Estimating the Integrated Parameter of the Locally Parametric Model in High-Frequency Data
*Yoann Potiron*
- 2016: Bank distress in the news: Describing events through deep learning
*Samuel R\"onnqvist* and *Peter Sarlin*
- 2016: The geometric phase of stock trading
*Claudio Altafini*
- 2016: Market Dynamics vs. Statistics: Limit Order Book Example
*Vladislav Gennadievich Malyshkin* and *Ray Bakhramov*
- 2016: Modeling and Estimation of the Risk When Choosing a Provider
*Alla Sorokina*
- 2016: Strength of weak layers in cascading failures on multiplex networks: case of the international trade network
*Kyu-Min Lee* and *Kwang-Il Goh*
- 2016: Can banks default overnight? Modeling endogenous contagion on O/N interbank market
*Pawe{\l} Smaga*, *Mateusz Wili\'nski*, *Piotr Ochnicki*, *Piotr Arendarski* and *Tomasz Gubiec*
- 2016: On the overlaps between eigenvectors of correlated random matrices
*Jo\"el Bun*, *Jean-Philippe Bouchaud* and *Marc Potters*
- 2016: Contagion and Stability in Financial Networks
*Seyyed Mostafa Mousavi*, *Robert Mackay* and *Alistair Tucker*
- 2016: Analysis of the nonlinear option pricing model under variable transaction costs
*Daniel Sevcovic* and *Magdalena Zitnanska*
- 2016: Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model
*Ale\v{s} \v{C}ern\'y*
- 2016: Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment
*Jean-Pierre Fouque* and *Ruimeng Hu*
- 2016: Financial contagion in investment funds
*Leonardo dos Santos Pinheiro* and *Flavio Codeco Coelho*
- 2016: General dynamic term structures under default risk
*Claudio Fontana* and *Thorsten Schmidt*
- 2016: Capital Valuation Adjustment and Funding Valuation Adjustment
*Claudio Albanese*, *Simone Caenazzo* and *St\'ephane Cr\'epey*
- 2016: Interacting Default Intensity with Hidden Markov Process
*Feng-Hui Yu*, *Wai-Ki Ching*, *Jia-Wen Gu* and *Tak-Kuen Siu*
- 2016: Libor at crossroads: stochastic switching detection using information theory quantifiers
*Aurelio Fernandez Bariviera*, *M. Belen Guercio*, *Lisana B. Martinez* and *Osvaldo A. Rosso*
- 2016: Convex duality in optimal investment and contingent claim valuation in illiquid markets
*Teemu Pennanen* and *Ari-Pekka Perkki\"o*
- 2016: Unbiased estimation of risk
*Marcin Pitera* and *Thorsten Schmidt*
- 2016: A Mathematical Model of Foreign Capital Inflow
*Gopal K. Basak*, *Pranab Kumar Das* and *Allena Rohit*
- 2016: Stock Selection as a Problem in Phylogenetics -- Evidence from the ASX
*Hannah Cheng*, *Juan Zhan*, *William Rea* and *Alethea Rea*
- 2016: Exponentially concave functions and high dimensional stochastic portfolio theory
*Soumik Pal*
- 2016: Average cross-responses in correlated financial market
*Shanshan Wang*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2016: Big is Fragile: An Attempt at Theorizing Scale
*Atif Ansar*, *Bent Flyvbjerg*, *Alexander Budzier* and *Daniel Lunn*
- 2016: Latent class analyisis for reliable measure of inflation expectation in the indian public
*Sunil Kumar*
- 2016: Dynamic Adaptive Mixture Models
*Leopoldo Catania*
- 2016: Option spanning beyond $L_p$-models
*Niushan Gao* and *Foivos Xanthos*
- 2016: Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes
*Claudiu Albulescu*, *Christian Aubin* and *Daniel Goyeau*
- 2016: Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law
*Marcel Ausloos*, *Rosella Castellano* and *Roy Cerqueti*
- 2016: Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-moments
*Gareth W. Peters*, *Wilson Y. Chen* and *Richard H. Gerlach*
- 2016: Financial Services, Economic Growth and Well-Being: A Four-Pronged Study
*Ravi Kashyap*
- 2016: Equity forecast: Predicting long term stock price movement using machine learning
*Nikola Milosevic*
- 2016: The Value of A Statistical Life in Absence of Panel Data: What can we do?
*Andr\'es Riquelme* and *Marcela Parada*
- 2016: Affine multiple yield curve models
*Christa Cuchiero*, *Claudio Fontana* and *Alessandro Gnoatto*
- 2016: Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
*Ludovic Gouden\`ege*, *Andrea Molent* and *Antonino Zanette*
- 2016: Improved Fr\'echet--Hoeffding bounds on $d$-copulas and applications in model-free finance
*Thibaut Lux* and *Antonis Papapantoleon*
- 2016: Tsallis statistics in the income distribution of Brazil
*Abner D. Soares*, *Newton J. Moura* and *Marcelo Ribeiro*
- 2016: Non-concave optimal investment and no-arbitrage: a measure theoretical approach
*Romain Blanchard* and *Laurence Carassus*
- 2016: On optimal strategies for utility maximizers in the Arbitrage Pricing Model
*Miklos Rasonyi*
- 2016: The Postulate of the Three Regimes of Economic Growth Contradicted by Data
*Ron W Nielsen*
- 2016: Multifactor Risk Models and Heterotic CAPM
*Zura Kakushadze* and *Willie Yu*
- 2016: Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift
*J\"orn Sass*, *Dorothee Westphal* and *Ralf Wunderlich*
- 2016: Unified Growth Theory Contradicted by the Absence of Takeoffs in the Gross Domestic Product
*Ron W Nielsen*
- 2016: A nonlinear impact: evidences of causal effects of social media on market prices
*Th\'arsis T. P. Souza* and *Tomaso Aste*
- 2016: Unified Growth Theory Contradicted by the Economic Growth in Latin America
*Ron W Nielsen*
- 2016: Geography and distance effect on financial dynamics in the Chinese stock market
*Xing Li*, *Tian Qiu*, *Guang Chen*, *Li-Xin Zhong* and *Xiong-Fei Jiang*
- 2016: 101 Formulaic Alphas
*Zura Kakushadze*
- 2016: Pathwise probability-free It\^o integral
*Vladimir Vovk*
- 2016: The F\"ollmer-Schweizer decomposition under incomplete information
*Claudia Ceci*, *Katia Colaneri* and *Alessandra Cretarola*
- 2016: A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions
*Xin Liu*, *Qi Gong* and *Vidyadhar G. Kulkarni*
- 2016: Getting started with particle Metropolis-Hastings for inference in nonlinear dynamical models
*Johan Dahlin* and *Thomas B. Sch\"on*
- 2016: Game-theoretic Modeling of Players' Ambiguities on External Factors
*Jian Yang*
- 2016: Mathematical Foundations of Realtime Equity Trading. Liquidity Deficit and Market Dynamics. Automated Trading Machines
*Vladislav Gennadievich Malyshkin* and *Ray Bakhramov*
- 2016: Dynamics and Stability in Retail Competition
*Marcelo J. Villena* and *Axel A. Araneda*
- 2016: Weakly chained matrices, policy iteration, and impulse control
*Parsiad Azimzadeh* and *Peter A. Forsyth*
- 2016: Price response in correlated financial markets: empirical results
*Shanshan Wang*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2016: Performance v. Turnover: A Story by 4,000 Alphas
*Zura Kakushadze* and *Igor Tulchinsky*
- 2016: Optimal trading strategies - a time series approach
*Peter A. Bebbington* and *Reimer Kuehn*
- 2016: Detecting intraday financial market states using temporal clustering
*Dieter Hendricks*, *Tim Gebbie* and *Diane Wilcox*
- 2016: Forecasting stock market returns over multiple time horizons
*Dimitri Kroujiline*, *Maxim Gusev*, *Dmitry Ushanov*, *Sergey V. Sharov* and *Boris Govorkov*
- 2016: Axiomatization of the Choquet integral for 2-dimensional heterogeneous product sets
*Mikhail Timonin*
- 2016: Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model
*Nicolas Langren\'e*, *Geoffrey Lee* and *Zili Zhu*
- 2016: Convergence of Estimated Option Price in a Regime switching Market
*Anindya Goswami* and *Sanket Nandan*
- 2016: Time-scale analysis of co-movement in EU sovereign bond markets
*Filip Smolik* and *Lukas Vacha*
- 2016: Transition from lognormal to chi-square superstatistics for financial time series
*Dan Xu* and *Christian Beck*
- 2016: Small-time asymptotics for Gaussian self-similar stochastic volatility models
*Archil Gulisashvili*, *Frederi Viens* and *Xin Zhang*
- 2016: Pricing complexity options
*Malihe Alikhani*, *Bj{\o}rn Kjos-Hanssen*, *Amirarsalan Pakravan* and *Babak Saadat*
- 2016: A Markov model of a limit order book: thresholds, recurrence, and trading strategies
*Frank Kelly* and *Elena Yudovina*
- 2016: New class of distortion risk measures and their tail asymptotics with emphasis on VaR
*Chuancun Yin* and *Dan Zhu*
- 2016: Principal Components Analysis for Semimartingales and Stochastic PDE
*Alberto Ohashi* and *Alexandre B Simas*
- 2016: Risk Sensitive Control of the Lifetime Ruin Problem
*Erhan Bayraktar* and *Asaf Cohen*
- 2016: Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion
*Hagen Kleinert* and *Jan Korbel*
- 2016: Measures of Systemic Risk
*Zachary Feinstein*, *Birgit Rudloff* and *Stefan Weber*
- 2016: Robust Utility Maximization with L\'evy Processes
*Ariel Neufeld* and *Marcel Nutz*
- 2016: Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing
*Boris Buchmann*, *Benjamin Kaehler*, *Ross Maller* and *Alexander Szimayer*
- 2016: Optimal Asset Liquidation with Multiplicative Transient Price Impact
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2016: Existence and Uniqueness of a Steady State for an OTC Market with Several Assets
*Alain Belanger* and *Ndoune Ndoune*
- 2016: Pricing and Hedging Long-Term Options
*Hyungbin Park*
- 2016: A polynomial distribution applied to income and wealth distribution
*Elvis Oltean* and *Fedor Kusmartsev*
- 2016: A statistical physics analysis of expenditure in the UK
*Elvis Oltean* and *Fedor Kusmartsev*
- 2016: An econophysical approach of polynomial distribution applied to income and expenditure
*Elvis Oltean*
- 2016: An Econophysical dynamical approach of expenditure and income distribution in the UK
*Elvis Oltean* and *Fedor Kusmartsev*
- 2016: Applications of statistical physics distributions to several types of income
*Elvis Oltean* and *Fedor V. Kusmartsev*
- 2016: A study of Methods from Statistical Mechanics applied to income distribution
*Elvis Oltean* and *Fedor Kusmartsev*
- 2016: One-level limit order book models with memory and variable spread
*Jonathan A. Ch\'avez-Casillas* and *Jos\'e E. Figueroa-L\'opez*
- 2016: Change of numeraire in the two-marginals martingale transport problem
*Luciano Campi*, *Ismail Laachir* and *Claude Martini*
- 2016: On the stationarity of Dynamic Conditional Correlation models
*Jean-David Fermanian* and *Hassan Malongo*
- 2016: Polynomial Term Structure Models
*Si Cheng* and *Michael R. Tehranchi*
- 2016: The Futures Premium and Rice Market Efficiency in Prewar Japan
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2016: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
*Worapree Maneesoonthorn*, *Catherine Forbes* and *Gael Martin*
- 2016: Learning from the past, predicting the statistics for the future, learning an evolving system
*Daniel Levin*, *Terry Lyons* and *Hao Ni*
- 2016: Deriving Derivatives
*Andrei N. Soklakov*
- 2016: Boundary-degenerate elliptic operators and Holder continuity for solutions to variational equations and inequalities
*Paul M. N. Feehan* and *Camelia A. Pop*
- 2016: The topology of card transaction money flows
*Massimiliano Zanin*, *David Papo*, *Miguel Romance*, *Regino Criado* and *Santiago Moral*
- 2016: Fairs for e-commerce: the benefits of aggregating buyers and sellers
*Pierluigi Gallo*, *Francesco Randazzo* and *Ignazio Gallo*
- 2016: A Rank-Based Approach to Zipf's Law
*Ricardo T. Fernholz* and *Robert Fernholz*
- 2016: Microscopic models for the study of taxpayer audit effects
*M. L. Bertotti* and *G. Modanese*
- 2016: No such thing as a risk-neutral market
*D. L. Wilcox*
- 2016: Spatio-temporal analysis of micro economic activities in Rome reveals patterns of mixed-use urban evolution
*Alessandro Fiasconaro*, *Emanuele Strano*, *Vincenzo Nicosia*, *Sergio Porta* and *Vito Latora*
- 2016: Fluctuation-bias trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization
*G\'abor Papp*, *Fabio Caccioli* and *Imre Kondor*
- 2016: Order Book, Financial Markets and Self-Organized Criticality
*Alessio Emanuele Biondo*, *Alessandro Pluchino* and *Andrea Rapisarda*
- 2016: Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles
*Vladimir Filimonov*, *Guilherme Demos* and *Didier Sornette*
- 2016: Statistical Risk Models
*Zura Kakushadze* and *Willie Yu*
- 2016: The role of volume in order book dynamics: a multivariate Hawkes process analysis
*Marcello Rambaldi*, *Emmanuel Bacry* and *Fabrizio Lillo*
- 2016: The Invisible Hand of Laplace: the Role of Market Structure in Price Convergence and Oscillation
*Yuval Rabani* and *Leonard J. Schulman*
- 2016: Backtesting Lambda Value at Risk
*Jacopo Corbetta* and *Ilaria Peri*
- 2016: Contagion in the world's stock exchanges seen as a set of coupled oscillators
*Lucia Bellenzier*, *J{\o}rgen Vitting Andersen* and *Giulia Rotundo*
- 2016: Optimal investment and consumption with liquid and illiquid assets
*Jin Hyuk Choi*
- 2016: Limit Order Book and its modelling in terms of Gibbs Grand-Canonical Ensemble
*Alberto Bicci*
- 2016: Explicit Solution to an Optimal Extraction Problem with Regime Switching
*Giorgio Ferrari* and *Shuzhen Yang*
- 2016: Credit risk and companies' inter-organizational networks: Assessing impact of suppliers and buyers on CDS spreads
*Tore Opsahl* and *William Newton*
- 2016: Solar energy production: Short-term forecasting and risk management
*C\'edric Join*, *Michel Fliess*, *Cyril Voyant* and *Fr\'ed\'eric Chaxel*
- 2016: Household Income Distribution in the USA
*Costas Efthimiou* and *Adam Wearne*
- 2016: Modeling Stock Price Dynamics with Fuzzy Opinion Networks
*Li-Xin Wang*
- 2016: Accrual valuation and mark to market adjustment
*Alexey Bakshaev*
- 2016: Blunt Honesty, Incentives, and Knowledge Exchange
*Bruce Knuteson*
- 2016: Noise Fit, Estimation Error and a Sharpe Information Criterion
*Dirk Paulsen* and *Jakob S\"ohl*
- 2016: Duality formulas for robust pricing and hedging in discrete time
*Patrick Cheridito*, *Michael Kupper* and *Ludovic Tangpi*
- 2016: Density analysis of non-Markovian BSDEs and applications to biology and finance
*Thibaut Mastrolia*
- 2016: Funding, Repo and Credit Inclusion in Option Pricing via Dividends
*Damiano Brigo*, *Cristin Buescu* and *Marek Rutkowski*
- 2016: Pathways towards instability in financial networks
*Marco Bardoscia*, *Stefano Battiston*, *Fabio Caccioli* and *Guido Caldarelli*
- 2016: On the Profitability of Optimal Mean Reversion Trading Strategies
*Peng Huang* and *Tianxiang Wang*
- 2016: Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution
*Stavros Stavroyiannis*
- 2016: Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling
*Ying Jiao*, *Chunhua Ma* and *Simone Scotti*
- 2016: Do co-jumps impact correlations in currency markets?
*Jozef Baruník* and *Lukas Vacha*
- 2016: Robust Mean-Variance Hedging via G-Expectation
*Francesca Biagini*, *Jacopo Mancin* and *Thilo Meyer Brandis*
- 2016: Robust Financial Bubbles
*Francesca Biagini* and *Jacopo Mancin*
- 2016: Studies on Regional Wealth Inequalities: the case of Italy
*Marcel Ausloos* and *Roy Cerqueti*
- 2016: Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models
*Vikram Krishnamurthy*, *Elisabeth Leoff* and *J\"orn Sass*
- 2016: Dynamic portfolio selection without risk-free assets
*Chi Kin Lam*, *Yuhong Xu* and *Guosheng Yin*
- 2016: Deviations in expected price impact for small transaction volumes under fee restructuring
*Michael Harvey*, *Dieter Hendricks*, *Tim Gebbie* and *Diane Wilcox*
- 2016: A pathwise approach to continuous-time trading
*Candia Riga*
- 2016: Option Pricing in Markets with Unknown Stochastic Dynamics
*Hanno Gottschalk* and *Elpida Nizami*
- 2016: Bayesian Dividend Optimization and Finite Time Ruin Probabilities
*Gunther Leobacher*, *Michaela Sz\"olgyenyi* and *Stefan Thonhauser*
- 2016: Dividend maximization in a hidden Markov switching model
*Michaela Sz\"olgyenyi*
- 2016: Ruin under stochastic dependence between premium and claim arrivals
*Matija Vidmar*
- 2016: Mediation with near insolvent defaulting suppliers: a linear optimisation model to find an optimal outcome
*Eric Lavallee*
- 2016: Market Dynamics. On Supply and Demand Concepts
*Vladislav Gennadievich Malyshkin*
- 2016: Local Volatility Models in Commodity Markets and Online Calibration
*Vinicius Albani*, *Uri M. Ascher* and *Jorge P. Zubelli*
- 2016: Path probability of stochastic motion: A functional approach
*Masayuki Hattori* and *Sumiyoshi Abe*
- 2016: On the topologic structure of economic complex networks: Empirical evidence from large scale payment network of Estonia
*Stephanie Rend\'on de la Torre*, *Jaan Kalda*, *Robert Kitt* and *J\"uri Engelbrecht*
- 2016: Modelling intensities of order flows in a limit order book
*Ioane Muni Toke* and *Nakahiro Yoshida*
- 2016: Basel III capital surcharges for G-SIBs fail to control systemic risk and can cause pro-cyclical side effects
*Sebastian Poledna*, *Olaf Bochmann* and *Stefan Thurner*
- 2016: Pricing options on forwards in energy markets: the role of mean reversion's speed
*Maren Diane Schmeck*
- 2016: A study of co-movements between oil price, stock index and exchange rate under a cross-bicorrelation perspective: the case of Mexico
*Semei Coronado* and *Omar Rojas*
- 2016: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate
*Xiaolin Luo* and *Pavel V. Shevchenko*
- 2016: The square-root impact law also holds for option markets
*Bence Toth*, *Zoltan Eisler* and *Jean-Philippe Bouchaud*
- 2016: Unravelling the trading invariance hypothesis
*Michael Benzaquen*, *Jonathan Donier* and *Jean-Philippe Bouchaud*
- 2016: Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations
*Fred Espen Benth* and *Heidar Eyjolfsson*
- 2016: Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact
*Damian Eduardo Taranto*, *Giacomo Bormetti*, *Jean-Philippe Bouchaud*, *Fabrizio Lillo* and *Bence Toth*
- 2016: Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
*Leopoldo Catania* and *Anna Gloria Bill\'e*
- 2016: Economic and Technological Complexity: A Model Study of Indicators of Knowledge-based Innovation Systems
*Inga Ivanova*, *Oivind Strand*, *Duncan Kushnir* and *Loet Leydesdorff*
- 2016: Issues with the Smith-Wilson method
*Andreas Lager{\aa}s* and *Mathias Lindholm*
- 2016: Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices
*Emre Kahraman* and *Gazanfer \"Unal*
- 2016: On the parameter identifiability problem in Agent Based economical models
*Di Molfetta Giuseppe*
- 2016: On the existence of shadow prices for optimal investment with random endowment
*Lingqi Gu*, *Yiqing Lin* and *Junjian Yang*
- 2016: A note on utility maximization with transaction costs and random endoment: num\'eraire-based model and convex duality
*Lingqi Gu*, *Yiqing Lin* and *Junjian Yang*
- 2016: Should employers pay their employees better?
*Sebastien Valeyre*, *Denis Grebenkov*, *Qian Liu*, *Sofiane Aboura* and *Francois Bonnin*
- 2016: Smooth solutions to discounted reward control problems with unbounded discount rate and financial applications
*Dariusz Zawisza*
- 2016: Tail Risk Premia for Long-Term Equity Investors
*Johannes Rauch* and *Carol Alexander*
- 2016: Portfolio Selection: The Power of Equal Weight
*Philip Ernst*, *James Thompson* and *Yinsen Miao*
- 2016: Limit-order book resiliency after effective market orders: Empirical facts and applications to high-frequency trading
*Hai-Chuan Xu*, *Wei Chen*, *Xiong Xiong*, *Wei Zhang* and *Wei-Xing Zhou*
- 2016: How to improve accuracy for DFA technique
*Alessandro Stringhi* and *Silvia Figini*
- 2016: Stock loans with liquidation
*Parsiad Azimzadeh*
- 2016: Portfolio optimization under dynamic risk constraints
*Imke H\"ofers* and *Ralf Wunderlich*
- 2016: Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes
*Adil Yilmaz* and *Gazanfer Unal*
- 2016: Critical value of the total debt in view of the debts durations
*I. A. Molotkov* and *N. A. Ryabova*
- 2016: On construction of boundary preserving numerical schemes
*Nikolaos Halidias*
- 2016: Asymptotic Analysis for Optimal Dividends in a Dual Risk Model
*Arash Fahim* and *Lingjiong Zhu*
- 2016: Dependence of technological improvement on artifact interactions
*Subarna Basnet* and *Christopher L. Magee*
- 2016: Dynamic Multi-Factor Bid-Offer Adjustment Model: A Feedback Mechanism for Dealers (Market Makers) to Deal (Grapple) with the Uncertainty Principle of the Social Sciences
*Ravi Kashyap*
- 2016: Unified Growth Theory Contradicted by the Economic Growth in Europe
*Ron W Nielsen*
- 2016: Unified Growth Theory Contradicted by the Economic Growth in the Former USSR
*Ron W Nielsen*
- 2016: Unified Growth Theory Contradicted by the Economic Growth in Asia
*Ron W Nielsen*
- 2016: Deep Learning Stock Volatility with Google Domestic Trends
*Ruoxuan Xiong*, *Eric P. Nichols* and *Yuan Shen*
- 2016: Unified Growth Theory Contradicted by the Economic Growth in Africa
*Ron W Nielsen*
- 2016: A Framework for Analyzing Stochastic Jumps in Finance based on Belief and Knowledge
*Takanori Adachi*
- 2016: Complexity driven collapse of economic equilibria
*Marco Bardoscia*, *Giacomo Livan* and *Matteo Marsili*
- 2016: A simple agent-based spatial model of the economy: tools for policy
*Bernardo Furtado* and *Isaque Daniel Rocha Eberhardt*
- 2016: Trading Networks with Bilateral Contracts
*Tam\'as Fleiner*, *Zsuzsanna Jank\'o*, *Akihisa Tamura* and *Alexander Teytelboym*
- 2016: Inequality measures in kinetic exchange models of wealth distributions
*Asim Ghosh*, *Arnab Chatterjee*, *Jun-ichi Inoue* and *Bikas K. Chakrabarti*
- 2016: Maximizing expected utility in the Arbitrage Pricing Model
*Miklos Rasonyi*
- 2016: Super-replication in Extremely Incomplete Markets
*Yan Dolinsky* and *Ariel Neufeld*
- 2016: Game Design and Analysis for Price based Demand Response: An Aggregate Game Approach
*Maojiao Ye* and *Guoqiang Hu*
- 2016: Estimation of integrated quadratic covariation with endogenous sampling times
*Yoann Potiron* and *Per Mykland*
- 2016: Modelling complex systems of heterogeneous agents to better design sustainability transitions policy
*Jean-Francois Mercure*, *H. Pollitt*, *A. M. Bassi*, *J. E Vi\~nuales* and *N. R. Edwards*
- 2016: Business cycle synchronization within the European Union: A wavelet cohesion approach
*Lubos Hanus* and *Lukas Vacha*
- 2016: The Limits of Leverage
*Paolo Guasoni* and *Eberhard Mayerhofer*
- 2016: Optimal Investment to Minimize the Probability of Drawdown
*Bahman Angoshtari*, *Erhan Bayraktar* and *Virginia R. Young*
- 2016: Semimartingale detection and goodness-of-fit tests
*Adam D. Bull*
- 2016: Time-consistency of risk measures with GARCH volatilities and their estimation
*Claudia Kl\"uppelberg* and *Jianing Zhang*
- 2016: Leveraging the network: a stress-test framework based on DebtRank
*Stefano Battiston*, *Marco D'Errico*, *Stefano Gurciullo* and *Guido Caldarelli*
- 2016: Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
*Erhan Bayraktar* and *Zhou Zhou*
- 2016: Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix
*Patrick Steffen Michelberger* and *Jan Hendrik Witte*
- 2016: Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
*Erhan Bayraktar*, *David Promislow* and *Virginia Young*
- 2016: Hydrodynamic limit of order book dynamics
*Xuefeng Gao* and *S. J. Deng*
- 2016: A continuous auction model with insiders and random time of information release
*Jos\'e Manuel Corcuera*, *Giulia Di Nunno*, *Gergely Farkas* and *Bernt {\O}ksendal*
- 2016: Process-Based Risk Measures and Risk-Averse Control of Observable and Partially Observable Discrete-Time Controlled Systems
*Jingnan Fan* and *Andrzej Ruszczynski*
- 2016: Indifference pricing for Contingent Claims: Large Deviations Effects
*Scott Robertson* and *Konstantinos Spiliopoulos*
- 2016: Mean-Reversion and Optimization
*Zura Kakushadze*
- 2016: Utility indifference pricing and hedging for structured contracts in energy markets
*Giorgia Callegaro*, *Luciano Campi*, *Valeria Giusto* and *Tiziano Vargiolu*
- 2016: Gambling in contests with random initial law
*Han Feng* and *David Hobson*
- 2016: Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia
*Carol Alexander* and *Johannes Rauch*
- 2016: Parameter estimation for the subcritical Heston model based on discrete time observations
*Matyas Barczy*, *Gyula Pap* and *Tamas T. Szabo*
- 2016: Elimination of systemic risk in financial networks by means of a systemic risk transaction tax
*Sebastian Poledna* and *Stefan Thurner*
- 2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks
*Li-Xin Wang*
- 2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models
*Li-Xin Wang*
- 2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models
*Li-Xin Wang*
- 2016: 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*
- 2016: Implicit transaction costs and the fundamental theorems of asset pricing
*Erindi Allaj*
- 2016: Investor's sentiment in multi-agent model of the continuous double auction
*A. Lykov*, *S. Muzychka* and *K. Vaninsky*
- 2016: The Topology of African Exports: emerging patterns on spanning trees
*Tanya Ara\'ujo* and *M. Ennes Ferreira*
- 2016: Bunching of numbers in a non-ideal roulette: the key to winning strategies
*A. V. Kavokin*, *A. S. Sheremet* and *M. Yu. Petrov*
- 2016: Trading Strategy with Stochastic Volatility in a Limit Order Book Market
*Wai-Ki Ching*, *Jia-Wen Gu*, *Tak Kuen Siu* and *Qing-Qing Yang*
- 2016: Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling
*Lev B. Klebanov*, *Greg Temnov* and *Ashot V. Kakosyan*
- 2016: Market correlation structure changes around the Great Crash
*Rui-Qi Han*, *Wen-Jie Xie*, *Xiong Xiong*, *Wei Zhang* and *Wei-Xing Zhou*
- 2016: CoCos under short-term uncertainty
*Jos\'e Manuel Corcuera* and *Arturo Valdivia*
- 2016: A Simple extension of Dematerialization Theory: Incorporation of Technical Progress and the Rebound Effect
*Christopher L. Magee* and *Tessaleno C. Devezas*
- 2016: Exact solutions for optimal execution of portfolios transactions and the Riccati equation
*Juan M. Romero* and *Jorge Bautista*
- 2016: The ecology of social interactions in online and offline environments
*Angelo Antoci*, *Alexia Delfino*, *Fabio Paglieri* and *Fabio Sabatini*
- 2016: Regional Oil Extraction and Consumption: A simple production model for the next 35 years Part I
*Michael Dittmar*
- 2016: Micro-foundation using percolation theory of the finite-time singular behavior of the crash hazard rate in a class of rational expectation bubbles
*Maximilian Seyrich* and *Didier Sornette*
- 2016: Portfolio Optimization in the Stochastic Portfolio Theory Framework
*Vassilios Papathanakos*
- 2016: Trading-profit attribution for the size factor
*Vassilios Papathanakos*
- 2016: Sufficiency on the Stock Market
*Peter Harremo\"es*
- 2016: Moment explosions, implied volatility and local volatility at extreme strikes
*Sidi Mohamed Aly*
- 2016: Robust Optimal Risk Sharing and Risk Premia in Expanding Pools
*Thomas Knispel*, *Roger Laeven* and *Gregor Svindland*
- 2016: Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data
*Jonas Hallgren* and *Timo Koski*
- 2016: Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums
*Likuan Qin*, *Vadim Linetsky* and *Yutian Nie*
- 2016: Explicit moments of decision times for single- and double-threshold drift-diffusion processes
*Vaibhav Srivastava*, *Philip Holmes* and *Patrick Simen*
- 2016: RiskRank: Measuring interconnected risk
*J\'ozsef Mezei* and *Peter Sarlin*
- 2016: The value of foresight
*Philip Ernst*, *Leonard Rogers* and *Quan Zhou*
- 2016: The role of networks in firms' multi-characteristics competition and market-share inequality
*Antonios Garas* and *Athanasios Lapatinas*
- 2016: On "A General Framework for Pricing Asian Options Under Markov Processes"
*Zhenyu Cui*, *Chihoon Lee* and *Yanchu Liu*
- 2016: Portfolio Optimisation Under Flexible Dynamic Dependence Modelling
*Mauro Bernardi* and *Leopoldo Catania*
- 2016: Econo- and socio- physics based remarks on the economical growth of the World
*Rzoska Agata Angelika*
- 2016: A Simple Measure of Economic Complexity
*Sabiou Inoua*
- 2016: General Equilibrium and Recession Phenomenon
*Nicholas S. Gonchar*, *Wolodymyr H. Kozyrski* and *Anatol S. Zhokhin*
- 2016: The Excess Returns of "Quality" Stocks: A Behavioral Anomaly
*Jean-Philippe Bouchaud*, *Stefano Ciliberti*, *Augustin Landier*, *Guillaume Simon* and *David Thesmar*
- 2016: On bivariate lifetime modelling in life insurance applications
*Fran\c{c}ois Dufresne*, *Enkelejd Hashorva*, *Gildas Ratovomirija* and *Youssouf Toukourou*
- 2016: Negative oil price bubble is likely to burst in March - May 2016. A forecast on the basis of the law of log-periodical dynamics
*Alexey Fomin*, *Andrey Korotayev* and *Julia Zinkina*
- 2016: Speculative Futures Trading under Mean Reversion
*Tim Leung*, *Jiao Li*, *Xin Li* and *Zheng Wang*
- 2016: A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks
*M. Fern\'andez-Mart\'inez*, *M. A S\'anchez-Granero*, *Mar\'ia Jos\'e Mu\~noz Torrecillas* and *Bill McKelvey*
- 2016: A Statistical Model of Inequality
*Ricardo Fernholz*
- 2016: Do Mature Economies Grow Exponentially?
*Steffen Lange*, *Peter P\"utz* and *Thomas Kopp*
- 2016: Inter-occurrence times and universal laws in finance, earthquakes and genomes
*Constantino Tsallis*
- 2016: Generalization of Doob decomposition Theorem
*Nicholas Gonchar*
- 2016: Convex duality for stochastic differential utility
*Anis Matoussi* and *Hao Xing*
- 2016: Large losses - probability minimizing approach
*Micha{\l} Barski*
- 2016: Quantile hedging on markets with proportional transaction costs
*Micha{\l} Barski*
- 2016: On a law of large numbers for insurance risks
*Yumiharu Nakano*
- 2016: International Trade: a Reinforced Urn Network Model
*Stefano Peluso*, *Antonietta Mira*, *Pietro Muliere* and *Alessandro Lomi*
- 2016: Credit risk: Taking fluctuating asset correlations into account
*Thilo A. Schmitt*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2016: The invisible hand and the rational agent are behind bubbles and crashes
*Serge Galam*
- 2016: Quantifying invariant features of within-group inequality in consumption across groups
*Anindya S. Chakrabarti*, *Arnab Chatterjee*, *Tushar Nandi*, *Asim Ghosh* and *Anirban Chakraborti*
- 2016: Decomposition of Time Series Data of Stock Markets and its Implications for Prediction: An Application for the Indian Auto Sector
*Jaydip Sen* and *Tamal Datta Chaudhuri*
- 2016: Negative interest rates: why and how?
*Jozef Kiselak*, *Philipp Hermann* and *Milan Stehlik*
- 2016: Systemic Risk Management in Financial Networks with Credit Default Swaps
*Matt V. Leduc*, *Sebastian Poledna* and *Stefan Thurner*
- 2016: Computing semiparametric bounds on the expected payments of insurance instruments via column generation
*Robert Howley*, *Robert Storer*, *Juan Vera* and *Luis F. Zuluaga*
- 2016: Irreversibility of financial time series: a graph-theoretical approach
*Lucas Lacasa* and *Ryan Flanagan*
- 2016: Brownian Bridges on Random Intervals
*Matteo Ludovico Bedini*, *Rainer Buckdahn* and *Hans-J\"urgen Engelbert*
- 2016: Teaching Economics and Providing Visual "Big Pictures"
*Seyyed Ali Zeytoon Nejad Moosavian*
- 2016: A Semi-Markovian Modeling of Limit Order Markets
*Anatoliy Swishchuk* and *Nelson Vadori*
- 2016: Modelling and Measuring the Irrational behaviour of Agents in Financial Markets: Discovering the Psychological Soliton
*Gurjeet Dhesi* and *Marcel Ausloos*
- 2016: A unified view of LIBOR models
*Kathrin Glau*, *Zorana Grbac* and *Antonis Papapantoleon*
- 2016: Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation
*Sergii Kuchuk-Iatsenko* and *Yuliya Mishura*
- 2016: Pricing barrier options with discrete dividends
*D. Jason Gibson* and *Aaron Wingo*
- 2016: Long memory and multifractality: A joint test
*John Goddard* and *Enrico Onali*
- 2016: Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model
*Aur\'elien Hazan*
- 2016: Multistage Portfolio Optimization: A Duality Result in Conic Market Models
*Robert Bassett* and *Khoa Le*
- 2016: Essay on the State of Research and Innovation in France and the European Union
*Antoine Kornprobst*
- 2016: No Stable Distributions in Finance, please!
*Lev B Klebanov*
- 2016: Black-Litterman model with intuitionistic fuzzy posterior return
*Krzysztof Echaust* and *Krzysztof Piasecki*
- 2016: Time and Frequency Structure of Causal Correlation Network in China Bond Market
*Zhongxing Wang*, *Yan Yan* and *Xiaosong Chen*
- 2016: Long-run evolution of the global economy - Part 2: Hindcasts of innovation and growth
*Timothy J. Garrett*
- 2016: A detailed heterogeneous agent model for a single asset financial market with trading via an order book
*Roberto Mota Navarro* and *Hern\'an Larralde Ridaura*
- 2016: Minimax perfect stopping rules for selling an asset near its ultimate maximum
*Dmitry B. Rokhlin*
- 2016: On a Generalization of Markowitz Preference Relation
*Valentin Vankov Iliev*
- 2016: Discerning Non-Stationary Market Microstructure Noise and Time-Varying Liquidity in High Frequency Data
*Richard Y. Chen* and *Per A. Mykland*
- 2016: Optimal Control of Conditional Value-at-Risk in Continuous Time
*Christopher W. Miller* and *Insoon Yang*
- 2016: Optimal Trading with Linear and (small) Non-Linear Costs
*A. Rej*, *R. Benichou*, *J. de Lataillade*, *G. Z\'erah* and *J. -Ph. Bouchaud*
- 2016: Financial Models with Defaultable Num\'eraires
*Travis Fisher*, *Sergio Pulido* and *Johannes Ruf*
- 2016: Pathwise no-arbitrage in a class of Delta hedging strategies
*Alexander Schied* and *Iryna Voloshchenko*
- 2016: Affine representations of fractional processes with applications in mathematical finance
*Philipp Harms* and *David Stefanovits*
- 2016: Universal portfolios in stochastic portfolio theory
*Ting-Kam Leonard Wong*
- 2016: Kriging Metamodels for Bermudan Option Pricing
*Michael Ludkovski*
- 2016: Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure
*Florian Ziel*
- 2016: A BSDE arising in an exponential utility maximization problem in a pure jump market model
*Carla Mereu* and *Robert Stelzer*
- 2016: Bermudan options by simulation
*Leonard Rogers*
- 2016: Heterotic Risk Models
*Zura Kakushadze*
- 2016: Detecting the bipartite World Trade Web evolution across 2007: a motifs-based analysis
*Fabio Saracco*, *Riccardo Di Clemente*, *Andrea Gabrielli* and *Tiziano Squartini*
- 2016: Identification of Insurance Models with Multidimensional Screening
*Gaurab Aryal*, *Isabelle Perrigne* and *Quang Vuong*
- 2016: Bifurcation patterns of market regime transition
*Sergey Kamenshchikov*
- 2016: The gradual evolution of the interfirm buyer--seller network and its role in aggregate fluctuations
*Ryohei Hisano*, *Tsutomu Watanabe*, *Takayuki Mizuno*, *Takaaki Ohnishi* and *Didier Sornette*
- 2016: Record statistics for random walk bridges
*Claude Godreche*, *Satya N. Majumdar* and *Gregory Schehr*
- 2016: Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk$^+$
*Jonas Hirz*, *Uwe Schmock* and *Pavel V. Shevchenko*
- 2016: Switching-GAS Copula Models With Application to Systemic Risk
*Mauro Bernardi* and *Leopoldo Catania*
- 2016: Local risk-minimization for Barndorff-Nielsen and Shephard models
*Takuji Arai*, *Yuto Imai* and *Ryoichi Suzuki*
- 2016: A hybrid tree/finite-difference approach for Heston-Hull-White type models
*M. Briani*, *L. Caramellino* and *A. Zanette*
- 2016: Monetary Policy and Dark Corners in a stylized Agent-Based Model
*Stanislao Gualdi*, *Marco Tarzia*, *Francesco Zamponi* and *Jean-Philippe Bouchaud*
- 2016: Randomized versions of Mazur lemma and Krein-\v{S}mulian Theorem with application to conditional convex risk measures for portfolio vectors
*Jos\'e Miguel Zapata*
- 2016: Solving finite time horizon Dynkin games by optimal switching
*Randall Martyr*
- 2016: Conditional Preference Orders and their Numerical Representations
*Samuel Drapeau* and *Asgar Jamneshan*
- 2016: Near-optimal estimation of jump activity in semimartingales
*Adam D. Bull*
- 2016: On Correlated Defaults and Incomplete Information
*Wai-Ki Ching*, *Jia-Wen Gu* and *Harry Zheng*
- 2016: Default contagion risks in Russian interbank market
*A. V. Leonidov* and *E. L. Rumyantsev*
- 2016: Risk-sensitive investment in a finite-factor model
*Grzegorz Andruszkiewicz*, *Mark H. A. Davis* and *Sebastien Lleo*
- 2016: Bregman superquantiles. Estimation methods and applications
*Tatiana Labopin-Richard*, *Fabrice Gamboa*, *Aur\'elien Garivier* and *Bertrand Iooss*
- 2016: Simultaneous Trading in 'Lit' and Dark Pools
*M. Alessandra Crisafi* and *Andrea Macrina*
- 2016: Tails of weakly dependent random vectors
*Peter Tankov*
- 2016: Tail behavior of sums and differences of log-normal random variables
*Archil Gulisashvili* and *Peter Tankov*
- 2016: Energy, entropy, and arbitrage
*Soumik Pal* and *Ting-Kam Leonard Wong*
- 2016: Pricing and Valuation under the Real-World Measure
*Gabriel Frahm*
- 2016: A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan
*Akihiko Noda*
- 2016: C^{1,1} regularity for degenerate elliptic obstacle problems
*Panagiota Daskalopoulos* and *Paul M. N. Feehan*
- 2016: The maximum maximum of a martingale with given $n$ marginals
*Pierre Henry-Labord\`ere*, *Jan Ob{\l}\'oj*, *Peter Spoida* and *Nizar Touzi*
- 2016: Integral representations of risk functions for basket derivatives
*Micha{\l} Barski*
- 2016: Quantile hedging for basket derivatives
*Micha{\l} Barski*
- 2016: On incompleteness of bond markets with infinite number of random factors
*Micha{\l} Barski*, *Jacek Jakubowski* and *Jerzy Zabczyk*
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