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2014: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case Downloads
Trybu{\l}a, Jakub and Dariusz Zawisza
2014: Futures Premium and Efficiency of the Rice Futures Markets in Prewar Japan Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2014: Reconstruction of density functions by sk-splines Downloads
A. Kushpel and J. Levesley
2014: Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model Downloads
Takashi Shinzato
2014: Towards a Monotonicity-Compliant Price Index for the Art Market Downloads
Ventura Charlin and Arturo Cifuentes
2014: High-order compact finite difference scheme for option pricing in stochastic volatility models Downloads
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 Downloads
D\"uring, Bertram, Fourni\'e, Michel and Christof Heuer
2014: Spectral Model of Turnover Reduction Downloads
Zura Kakushadze
2014: Expected Cash Flow: A Novel Model Of Evaluating Financial Assets Downloads
Magomet Yandiev
2014: Signal-wise performance attribution for constrained portfolio optimisation Downloads
Bruno Durin
2014: Approximate aggregation in the neoclassical growth model with ideosyncratic shocks Downloads
Karsten Chipeniuk, Nets Hawk Katz and Todd Walker
2014: Modelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models Downloads
Jan Kuklinski, Doinita Negru and Pawel Pliszka
2014: Macroprudential oversight, risk communication and visualization Downloads
Peter Sarlin
2014: On small-noise equations with degenerate limiting system arising from volatility models Downloads
Giovanni Conforti, Stefano De Marco and Jean-Dominique Deuschel
2014: The Master Equation in Mean Field Theory Downloads
Alain Bensoussan, Jens Frehse and Phillip Yam
2014: Directed Random Market: the equilibrium distribution Downloads
Guy Katriel
2014: $L_p$ regularized portfolio optimization Downloads
Fabio Caccioli, Imre Kondor, Matteo Marsili and Susanne Still
2014: Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing Downloads
Mark Higgins
2014: Option Pricing Accuracy for Estimated Heston Models Downloads
Robert Azencott, Yutheeka Gadhyan and Roland Glowinski
2014: On the properties of nodal price response matrix in electricity markets Downloads
Vadim Borokhov
2014: Smile from the Past: A general option pricing framework with multiple volatility and leverage components Downloads
Adam Aleksander Majewski, Giacomo Bormetti and Fulvio Corsi
2014: Stability and Identification with Optimal Macroprudential Policy Rules Downloads
Jean-Bernard Chatelain and Kirsten Ralf
2014: Two centuries of trend following Downloads
Y. Lemp\'eri\`ere,, C. Deremble, P. Seager, M. Potters and J. P. Bouchaud
2014: Regularizing Portfolio Risk Analysis: A Bayesian Approach Downloads
Sourish Das and Dipak K. Dey
2014: A Note on the Pricing of Basket Options Using Taylor Approximations Downloads
Pablo Olivares and Alexander Alvarez
2014: Estimating nonlinear regression errors without doing regression Downloads
Hong Pi and Carsten Peterson
2014: A Dynamical Model of the Industrial Economy of the Humber Region Downloads
Christopher J. K. Knight, Alexandra S. Penn and Rebecca B. Hoyle
2014: Pricing of Basket Options Using Polynomial Approximations Downloads
Pablo Olivares
2014: Asymptotics for $d$-dimensional L\'evy-type processes Downloads
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
2014: Facelifting in Utility Maximization Downloads
Kasper Larsen, H. Mete Soner and Gordan Zitkovic
2014: Financial bubbles: mechanisms and diagnostics Downloads
Didier Sornette and Peter Cauwels
2014: Bayesian DEJD model and detection of asymmetric jumps Downloads
Maciej Kostrzewski
2014: Ramsey Rule with Progressive utility and Long Term Affine Yields Curves Downloads
Nicole El Karoui, Mohamed Mrad and Caroline Hillairet
2014: Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling Downloads
Nicole El Karoui, Caroline Hillairet and Mohamed Mrad
2014: Derivative pricing under the possibility of long memory in the supOU stochastic volatility model Downloads
Robert Stelzer and Zavi\v{s}in, Jovana
2014: Stochastic Evolution of Stock Market Volume-Price Distributions Downloads
Paulo Rocha, Frank Raischel, da Cruz, Jo\~ao P. and Pedro G. Lind
2014: Martingale optimal transport in the Skorokhod space Downloads
Y. Dolinsky and H. M. Soner
2014: A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control Downloads
Boualem Djehiche, Hamidou Tembine and Raul Tempone
2014: Emergence of communities on a coevolutive model of wealth interchange Downloads
A. Agreda and K. Tucci
2014: Discretisation-Invariant Swaps Downloads
Carol Alexander and Johannes Rauch
2014: Parallel American Monte Carlo Downloads
Calypso Herrera and Louis Paulot
2014: Dynamic Linkages Between Tokyo and Osaka Rice Futures Markets in Prewar Japan Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2014: Utility indifference pricing of derivatives written on industrial loss indexes Downloads
Gunther Leobacher and Philip Ngare
2014: Is It Possible to OD on Alpha? Downloads
Zura Kakushadze and Jim Kyung-Soo Liew
2014: Dynamic optimal execution in a mixed-market-impact Hawkes price model Downloads
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 Downloads
Figueroa-L\'opez, Jos\'e E. and \'Olafsson, Sveinn
2014: Non-Arbitrage under a Class of Honest Times Downloads
Tahir Choulli, Anna Aksamit, Jun Deng and Monique Jeanblanc
2014: Principal wind turbines for a conditional portfolio approach to wind farms Downloads
Vitor V. Lopes, Teresa Scholz, Frank Raischel and Pedro G. Lind
2014: On the range of admissible term-structures Downloads
Areski Cousin and Ibrahima Niang
2014: Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models Downloads
D. Sornette
2014: A Note on the Quantile Formulation Downloads
Zuo Quan Xu
2014: Systemic risk in dynamical networks with stochastic failure criterion Downloads
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 Downloads
Johan Gunnesson and Mu\~noz de Morales, Alberto Fern\'andez
2014: The adaptive nature of liquidity taking in limit order books Downloads
Damian Eduardo Taranto, Giacomo Bormetti and Fabrizio Lillo
2014: Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors Downloads
Mauro Bernardi and L. Petrella
2014: Propagation of Economic Shocks in Input-Output Networks: A Cross-Country Analysis Downloads
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 Downloads
Reza Farrahi Moghaddam, Fereydoun Farrahi Moghaddam and Mohamed Cheriet
2014: A New Characterization of Comonotonicity and its Application in Behavioral Finance Downloads
Zuo Quan Xu
2014: Community detection for correlation matrices Downloads
Mel MacMahon and Diego Garlaschelli
2014: On strong binomial approximation for stochastic processes and applications for financial modelling Downloads
Nikolai Dokuchaev
2014: Illiquidity and Insolvency: a Double Cascade Model of Financial Crises Downloads
Thomas R. Hurd, Davide Cellai, Huibin Cheng, Sergey Melnik and Quentin Shao
2014: Arbitrage pricing theory under transaction costs and application to the Tobin tax Downloads
Erindi Allaj
2014: Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo Downloads
Eric Beutner, Janina Schweizer and Antoon A. J. Pelsser
2014: A note on the Fundamental Theorem of Asset Pricing under model uncertainty Downloads
Erhan Bayraktar, Yuchong Zhang and Zhou Zhou
2014: The Interrupted Power Law and The Size of Shadow Banking Downloads
Davide Fiaschi, Imre Kondor, Matteo Marsili and Valerio Volpati
2014: VWAP execution and guaranteed VWAP Downloads
Gu\'eant, Olivier and Guillaume Royer
2014: Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials Downloads
Andrey Itkin
2014: Information, no-arbitrage and completeness for asset price models with a change point Downloads
Claudio Fontana, Zorana Grbac, Monique Jeanblanc and Qinghua Li
2014: Asymptotic arbitrage in the Heston model Downloads
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) Downloads
Jacky Mallett
2014: Parameter estimation for a subcritical affine two factor model Downloads
Matyas Barczy, Leif Doering, Zenghu Li and Gyula Pap
2014: On an Optimal Stopping Problem of an Insider Downloads
Erhan Bayraktar and Zhou Zhou
2014: On the Robust Optimal Stopping Problem Downloads
Erhan Bayraktar and Song Yao
2014: High-order short-time expansions for ATM option prices of exponential L\'evy models Downloads
Figueroa-L\'opez, Jos\'e E., Ruoting Gong and Houdr\'e, Christian
2014: Physical approach to price momentum and its application to momentum strategy Downloads
Jaehyung Choi
2014: Involving copula functions in Conditional Tail Expectation Downloads
Brahim Brahimi
2014: International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach Downloads
Mikio Ito, Akihiko Noda and Tatsuma Wada
2014: On the concentration of large deviations for fat tailed distributions, with application to financial data Downloads
Mario Filiasi, Giacomo Livan, Matteo Marsili, Maria Peressi, Erik Vesselli and Elia Zarinelli
2014: Utility Maximization with Addictive Consumption Habit Formation in Incomplete Semimartingale Markets Downloads
Xiang Yu
2014: The structure of optimal portfolio strategies for continuous time markets Downloads
Nikolai Dokuchaev
2014: Stable-1/2 Bridges and Insurance Downloads
Edward Hoyle, Lane P. Hughston and Andrea Macrina
2014: An agent-based computational model for China's stock market and stock index futures market Downloads
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 Downloads
Jian Zhou, Gao-Feng Gu, Zhi-Qiang Jiang, Xiong Xiong, Wei Zhang and Wei-Xing Zhou
2014: Maximum drawdown, recovery, and momentum Downloads
Jaehyung Choi
2014: Are credit ratings time-homogeneous and Markov? Downloads
Pedro Lencastre, Frank Raischel, Pedro G. Lind and Tim Rogers
2014: Pseudo Linear Pricing Rule for Utility Indifference Valuation Downloads
Vicky Henderson and Gechun Liang
2014: Evolution of wealth in a nonconservative economy driven by local Nash equilibria Downloads
Pierre Degond, Jian-Guo Liu and Christian Ringhofer
2014: Inflation securities valuation with macroeconomic-based no-arbitrage dynamics Downloads
Gabriele Sarais and Damiano Brigo
2014: Omega risk model with tax Downloads
Zhenyu Cui
2014: Anatomy of a Bail-In Downloads
Thomas Conlon and John Cotter
2014: Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach Downloads
Menelaos Karanasos, Alexandros Paraskevopoulos, Faek Menla Ali, Michail Karoglou and Stavroula Yfanti
2014: Contextual and Structural Representations of Market-mediated Economic Value Downloads
Bradly Alicea
2014: Credit acceptance process strategy case studies - the power of Credit Scoring Downloads
Karol Przanowski
2014: Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies Downloads
Stefan Bornholdt and Kim Sneppen
2014: Behavioral and Network Origins of Wealth Inequality: Insights from a Virtual World Downloads
Benedikt Fuchs and Stefan Thurner
2014: Utility maximization in the large markets Downloads
Oleksii Mostovyi
2014: The role of the "Maximizing Output Growth Inflation Rate" in monetary policy Downloads
Dominique Pépin
2014: Reward-risk momentum strategies using classical tempered stable distribution Downloads
Jaehyung Choi, Aaron Kim and Ivan Mitov
2014: The Implied Volatility Analysis: The South African Experience Downloads
Romuald N. Kenmoe S and Carine D. Tafou
2014: Sophisticated gamblers ruin and survival chances Downloads
Salil Mehta
2014: Trajectory Based Models, Arbitrage and Continuity Downloads
Alexander Alvarez and Sebastian Ferrando
2014: The acceptance-rejection method for low-discrepancy sequences Downloads
Nguyet Nguyen and \"Okten, Giray
2014: Time-changed CIR default intensities with two-sided mean-reverting jumps Downloads
Rafael Mendoza-Arriaga and Vadim Linetsky
2014: Multilevel Monte Carlo For Exponential L\'{e}vy Models Downloads
Mike Giles and Yuan Xia
2014: Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models Downloads
Archil Gulisashvili and Josep Vives
2014: Portfolio Optimization in Affine Models with Markov Switching Downloads
Marcos Escobar, Daniela Neykova and Rudi Zagst
2014: A change of measure preserving the affine structure in the BNS model for commodity markets Downloads
Fred Espen Benth and Salvador Ortiz-Latorre
2014: Branching ratio approximation for the self-exciting Hawkes process Downloads
Stephen J. Hardiman and Jean-Philippe Bouchaud
2014: Predicting market instability: New dynamics between volume and volatility Downloads
Zeyu Zheng, Zhi Qiao, Joel N. Tenenbaum, H. Eugene Stanley and Baowen Li
2014: Collective behaviours in the stock market -- A maximum entropy approach Downloads
Thomas Bury
2014: Stationarity, non-stationarity and early-warning signals in economic networks Downloads
Tiziano Squartini and Diego Garlaschelli
2014: On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market Downloads
Alexandra Rodkina and Nikolai Dokuchaev
2014: Which factor dominates the industry evolution? A synergy analysis based on China's ICT industry Downloads
Yaya Li, Yongli Li, Yulin Zhao and Fang Wang
2014: An importance sampling algorithm for copula models in insurance Downloads
Philipp Arbenz, Mathieu Cambou and Marius Hofert
2014: Least quartic Regression Criterion with Application to Finance Downloads
Giuseppe arbia
2014: Representation of infinite dimensional forward price models in commodity markets Downloads
Fred Espen Benth and Kr\"uhner, Paul
2014: An unsupervised parallel genetic cluster algorithm for graphics processing units Downloads
Dieter Hendricks, Dariusz Cieslakiewicz, Diane Wilcox and Tim Gebbie
2014: Momentum Strategies with L1 Filter Downloads
Tung-Lam Dao
2014: A fast Fourier transform method for Mellin-type option pricing Downloads
D. J. Manuge and P. T. Kim
2014: Networked relationships in the e-MID Interbank market: A trading model with memory Downloads
Giulia Iori, Rosario N. 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 Downloads
Claudiu Tiberiu Albulescu, Dominique Pépin and Aviral Kumar Tiwari
2014: Testing for Detailed Balance in a Financial Market Downloads
Rudolf Fiebig and David Musgrove
2014: Anomalous impact in reaction-diffusion models Downloads
Iacopo Mastromatteo, Bence Toth and Jean-Philippe Bouchaud
2014: Empirical properties of inter-cancellation durations in the Chinese stock market Downloads
Gao-Feng Gu, Xiong Xiong, Wei Zhang, Yong-Jie Zhang and Wei-Xing Zhou
2014: Structural Models under Additional Information Downloads
Tahir Choulli and Jun Deng
2014: Coherent Chaos Interest Rate Models Downloads
Dorje C. Brody and Stala Hadjipetri
2014: Detecting informed activities in European-style option tradings Downloads
Lyudmila A. Glik and Oleg L. Kritski
2014: Merton problem with one additional indivisible asset Downloads
Trybu{\l}a, Jakub
2014: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic factor case Downloads
Trybu{\l}a, Jakub and Dariusz Zawisza
2014: Distribution of the asset price movement and market potential Downloads
Dong Han Kim and Stefano Marmi
2014: Quadratic BSDEs with jumps: related non-linear expectations Downloads
M. Nabil Kazi-Tani, Possama\"i, Dylan and Chao Zhou
2014: A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution Downloads
Dieter Hendricks and Diane Wilcox
2014: Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models Downloads
Michael B. Walker
2014: Partial Mutual Information Analysis of Financial Networks Downloads
Paweł Fiedor
2014: Introduction to Risk Parity and Budgeting Downloads
Thierry Roncalli
2014: City growth as a resource utilization problem Downloads
Asim Ghosh, Arnab Chatterjee, Anindya S. Chakrabarti and Bikas K Chakrabarti
2014: High-Order Splitting Methods for Forward PDEs and PIDEs Downloads
Andrey Itkin
2014: Do Google Trend data contain more predictability than price returns? Downloads
Damien Challet and Ahmed Bel Hadj Ayed
2014: Inside Money, Procyclical Leverage, and Banking Catastrophes Downloads
Charles D. Brummitt, Rajiv Sethi and Duncan J. Watts
2014: A consentaneous agent based and stochastic model of the financial markets Downloads
V. Gontis and A. Kononovicius
2014: To bail-out or to bail-in? Answers from an agent-based model Downloads
Peter Klimek, Sebastian Poledna, J. Doyne Farmer and Stefan Thurner
2014: Modelling the Bid and Ask Prices of Illiquid CDSs Downloads
Michael B. Walker
2014: International Transmission of Shocks and Fragility of a Bank Network Downloads
Xiaobing Feng, Woo Seong Jo and Beom Jun Kim
2014: On the Frequency of Drawdowns for Brownian Motion Processes Downloads
David Landriault, Bin Li and Hongzhong Zhang
2014: On the Hawkes Process with Different Exciting Functions Downloads
Behzad Mehrdad and Lingjiong Zhu
2014: Asset Prices and Risk Aversion Downloads
Dominique Pépin
2014: Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics Downloads
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 Downloads
Xiangyu Cui, Duan Li and Xun Li
2014: Multi-period Trading Prediction Markets with Connections to Machine Learning Downloads
Jinli Hu and Amos Storkey
2014: Exchange Rate Predictability in a Changing World Downloads
Joseph P. Byrne, Dimitris Korobilis and Pinho J. Ribeiro
2014: Parameter estimation for subcritical Heston models based on discrete time observations Downloads
Matyas Barczy, Gyula Pap and Tamas T. Szabo
2014: Intrinsic Prices Of Risk Downloads
Truc Le
2014: Investing and Stopping Downloads
Moritz Duembgen and Leonard C G Rogers
2014: Leverage effect in energy futures Downloads
Ladislav Krištoufek
2014: Prospect Theory for Online Financial Trading Downloads
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 Downloads
Matteo Smerlak, Brady Stoll, Agam Gupta and James S. Magdanz
2014: The geometry of relative arbitrage Downloads
Soumik Pal and Ting-Kam Leonard Wong
2014: Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization Downloads
Bin Zou and Abel Cadenillas
2014: Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms Downloads
Petr Jizba and Jan Korbel
2014: Information theoretic approach for accounting classification Downloads
E. M. S. Ribeiro and G. A. Prataviera
2014: Global inequality in energy consumption from 1980 to 2010 Downloads
Scott Lawrence, Qin Liu and Victor M. Yakovenko
2014: Estimating time-changes in noisy L\'evy models Downloads
Adam D. Bull
2014: No-arbitrage conditions and absolutely continuous changes of measure Downloads
Claudio Fontana
2014: Predicting trend reversals using market instantaneous state Downloads
Thomas Bury
2014: Power identities for L\'evy risk models under taxation and capital injections Downloads
Hansjoerg Albrecher and Jevgenijs Ivanovs
2014: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions Downloads
Paulwin Graewe, Ulrich Horst and Jinniao Qiu
2014: Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains Downloads
R\'asonyi, Mikl\'os and Andrea Meireles Rodrigues
2014: Efficient hedging in general Black-Scholes model Downloads
Kyong-Hui Kim and Myong-Guk Sin
2014: Do the rich get richer? An empirical analysis of the BitCoin transaction network Downloads
Kondor, D\'aniel, P\'osfai, M\'arton, Csabai, Istv\'an and Vattay, G\'abor
2014: Measuring risk with multiple eligible assets Downloads
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
2014: Gold, Oil, and Stocks Downloads
Jozef Baruník, Evžen Kočenda and Lukas Vacha
2014: Tipping points in macroeconomic Agent-Based models Downloads
Stanislao Gualdi, Marco Tarzia, Francesco Zamponi and Jean-Philippe Bouchaud
2014: Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures Downloads
Gordan Zitkovic
2014: Predicting financial markets with Google Trends and not so random keywords Downloads
Damien Challet and Ahmed Bel Hadj Ayed
2014: Strict Local Martingales with Jumps Downloads
Philip Protter
2014: Explicit implied vols for multifactor local-stochastic vol models Downloads
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
2014: Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots Downloads
Albert Ferreiro-Castilla and Kees van Schaik
2014: Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk Downloads
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 Downloads
Lachapelle, Aim\'e, Jean-Michel Lasry, Charles-Albert LEHALLE and Pierre-Louis Lions
2014: A note on high-order short-time expansions for ATM option prices under the CGMY model Downloads
Figueroa-L\'opez, Jos\'e E., Ruoting Gong and Houdr\'e, Christian
2014: Permanent market impact can be nonlinear Downloads
Gu\'eant, Olivier
2014: The Fundamental Theorem of Asset Pricing for Liquid Financial Markets Downloads
Gabriel Frahm
2014: A convolution method for numerical solution of backward stochastic differential equations Downloads
Cody Blaine Hyndman and Polynice Oyono Ngou
2014: Coherence and elicitability Downloads
Johanna F. Ziegel
2014: A Modern Approach to the Efficient-Market Hypothesis Downloads
Gabriel Frahm
2014: On the optimal dividend problem for a spectrally positive Levy process Downloads
Chuancun Yin, Yuzhen Wen and Yongxia Zhao
2014: The effect of debt on corporate profitability: Evidence from French service sector Downloads
Mazen KEBEWAR
2014: Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model Downloads
Maria B. Chiarolla and Tiziano De Angelis
2014: Quadratic BSDEs with jumps: a fixed-point approach Downloads
M. Nabil Kazi-Tani, Possama\"i, Dylan and Chao Zhou
2014: Exploiting the flexibility of a family of models for taxation and redistribution Downloads
Maria Letizia Bertotti and Giovanni Modanese
2014: On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk-process in the presence of a penalty function Downloads
Florin Avram, Zbigniew Palmowski and Martijn R. Pistorius
2014: Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders Downloads
Taisei Kaizoji, M. Leiss, A. Saichev and D. Sornette
2014: Efficient Modeling and Forecasting of the Electricity Spot Price Downloads
Florian Ziel and Rick Steinert
2014: Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target Downloads
Hanqing Jin and Yimin Yang
2014: Finding informed traders in futures and their inderlying assets in intraday trading Downloads
Lyudmila A. Glik and Oleg L. Kritski
2014: A First-Order BSPDE for Swing Option Pricing: Classical Solutions Downloads
Christian Bender and Nikolai Dokuchaev
2014: Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift Downloads
Abdelali Gabih, Hakam Kondakji, Sass, J\"orn and Ralf Wunderlich
2014: The role of information in a two-traders market Downloads
F. Bagarello and E. Haven
2014: Time-dependent Heston model Downloads
G. S. Vasilev
2014: Estimation Error of Expected Shortfall Downloads
Imre Kondor
2014: Technology Parks Potential for Small and Medium Enterprises Downloads
Anna V. Vilisova and Qiang Fu
2014: Systemic Risk and Default Clustering for Large Financial Systems Downloads
Konstantinos Spiliopoulos
2014: Rebalancing with Linear and Quadratic Costs Downloads
Ren Liu, Johannes Muhle-Karbe and Marko Weber
2014: Trading with Small Price Impact Downloads
Ludovic Moreau, Johannes Muhle-Karbe and H. Mete Soner
2014: Purchasing Life Insurance to Reach a Bequest Goal Downloads
Erhan Bayraktar, David Promislow and Virginia Young
2014: Densely Entangled Financial Systems Downloads
Bhaskar DasGupta and Lakshmi Kaligounder
2014: Accelerating Implicit Finite Difference Schemes Using a Hardware Optimised Implementation of the Thomas Algorithm for FPGAs Downloads
Samuel Palmer and David Thomas
2014: Large deviation asymptotics for the left tail of the sum of dependent positive random variables Downloads
Peter Tankov
2014: A debt behaviour model Downloads
Wenjun Zhang and John Holt
2014: Intensive and extensive biases in economic networks: reconstructing world trade Downloads
Rossana Mastrandrea, Tiziano Squartini, Giorgio Fagiolo and Diego Garlaschelli
2014: On Simulation of Various Effects in Consolidated Order Book Downloads
A. O. Glekin, A. Lykov and K. L. Vaninsky
2014: Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach Downloads
M. Koz{\l}owska,, T. Gubiec, T. R. Werner, M. Denys, A. Sienkiewicz, R. Kutner and Z. Struzik
2014: Information-theoretic approach to lead-lag effect on financial markets Downloads
Paweł Fiedor
2014: On the shortfall risk control -- a refinement of the quantile hedging method Downloads
Barski, Micha{\l}
2014: Systemic Losses Due to Counter Party Risk in a Stylized Banking System Downloads
Annika Birch and Tomaso Aste
2014: Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching Downloads
Bin Zou and Abel Cadenillas
2014: News Cohesiveness: an Indicator of Systemic Risk in Financial Markets Downloads
Pi\v{s}korec, Matija, Nino Antulov-Fantulin, Petra Kralj Novak, Mozeti\v{c}, Igor, Gr\v{c}ar, Miha, Irena Vodenska and \v{S}muc, Tomislav
2014: Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time Downloads
Jianjun Gao, Ke Zhou, Duan Li and Xiren Cao
2014: Reference Vectors in Economic Choice Downloads
Teycir Abdelghani Goucha
2014: Information ratio analysis of momentum strategies Downloads
Fernando F. Ferreira, A. Christian Silva and Ju-Yi Yen
2014: Model-independent Superhedging under Portfolio Constraints Downloads
Arash Fahim and Yu-Jui Huang
2014: On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints Downloads
Erhan Bayraktar and Zhou Zhou
2014: Stock portfolio structure of individual investors infers future trading behavior Downloads
Ludvig Bohlin and Martin Rosvall
2014: Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression Downloads
Alice X. D. Dong, Jennifer S.K. Chan and Gareth W. Peters
2014: Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate Downloads
Anatoliy Swishchuk, Maksym Tertychnyi and Winsor Hoang
2014: Multi-scale Representation of High Frequency Market Liquidity Downloads
Anton Golub, Gregor Chliamovitch, Alexandre Dupuis and Bastien Chopard
2014: Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading Downloads
Sandrine Jacob Leal, Mauro Napoletano, Andrea Roventini and Giorgio Fagiolo
2014: Pricing Currency Derivatives with Markov-modulated Levy Dynamics Downloads
Anatoliy Swishchuk, Maksym Tertychnyi and Robert Elliott
2014: Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion Downloads
Erhan Bayraktar and Yuchong Zhang
2014: Using Twitter to Model the EUR/USD Exchange Rate Downloads
Dietmar Janetzko
2014: Option Pricing for Symmetric L\'evy Returns with Applications Downloads
Kais Hamza, Fima C. Klebaner, Zinoviy Landsman and Ying-Oon Tan
2014: Correlation and Network Topologies in Global and Local Stock Indices Downloads
Ashadun Nobi, Sungmin Lee, Doo Hwan Kim and Jae Woo Lee
2014: Are European equity markets efficient? New evidence from fractal analysis Downloads
Enrico Onali and John Goddard
2014: Partial correlation analysis: Applications for financial markets Downloads
Dror Y. Kenett, Xuqing Huang, Irena Vodenska, Shlomo Havlin and H. Eugene Stanley
2014: Market impact as anticipation of the order flow imbalance Downloads
Thibault Jaisson
2014: Crossing Stocks and the Positive Grassmannian I: The Geometry behind Stock Market Downloads
Ovidiu Racorean
2014: Option Pricing, Historical Volatility and Tail Risks Downloads
Samuel E. Vazquez
2014: Optimal allocation of wealth for two consuming agents sharing a portfolio Downloads
Oumar Mbodji, Adrien Nguyen Huu and Traian A. Pirvu
2014: Spatial and temporal structures of four financial markets in Greater China Downloads
F. Y. Ouyang, B. Zheng and X. F. Jiang
2014: The $500.00 AAPL close: Manipulation or hedging? A quantitative analysis Downloads
Yavni Bar-Yam, Marcus A. M. de Aguiar and Yaneer Bar-Yam
2014: Faster Comparison of Stopping Times by Nested Conditional Monte Carlo Downloads
Fabian Dickmann and Nikolaus Schweizer
2014: Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium Downloads
Sorin Solomon and Natasa Golo
2014: The Political Economy of FDI flows into Developing Countries: Does the depth of International Trade Agreements Matter? Downloads
Arslan Tariq Rana and Mazen KEBEWAR
2014: Elimination of systemic risk in financial networks by means of a systemic risk transaction tax Downloads
Sebastian Poledna and Stefan Thurner
2014: Arbitrage of the first kind and filtration enlargements in semimartingale financial models Downloads
Beatrice Acciaio, Claudio Fontana and Constantinos Kardaras
2014: On the Measurement of Economic Tail Risk Downloads
Steven Kou and Xianhua Peng
2014: Capital adequacy tests and limited liability of financial institutions Downloads
Pablo Koch-Medina, Santiago Moreno-Bromberg and Cosimo Munari
2014: Mean field approximation for biased diffusion on Japanese inter-firm trading network Downloads
Hayafumi Watanabe
2014: The False Premises and Promises of Bitcoin Downloads
Brian P. Hanley
2014: Nucleation, condensation and lambda-transition on a real-life stock market Downloads
M. Wilinski, B. Szewczak, T. Gubiec, R. Kutner and Z. R. Struzik
2014: Non-Arbitrage up to Random Horizon for Semimartingale Models Downloads
Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc
2014: Control of the socio-economic systems using herding interactions Downloads
Aleksejus Kononovicius and Vygintas Gontis
2014: On hedging American options under model uncertainty Downloads
Erhan Bayraktar, Yu-Jui Huang and Zhou Zhou
2014: Investment under uncertainty, competition and regulation Downloads
Adrien Nguyen Huu
2014: Detrended Cross-Correlation Analysis Consistently Extended to Multifractality Downloads
O\'swi\c{e}cimka, Pawe{\l}, Dro\.zd\.z, Stanis{\l}aw, Marcin Forczek, Jadach, Stanis{\l}aw and Kwapie\'n, Jaros{\l}aw
2014: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy Downloads
Ladislav Krištoufek and Miloslav Vošvrda
2014: Revisiting the Merit-Order Effect of Renewable Energy Sources Downloads
Marcus Hildmann, Andreas Ulbig and Andersson, G\"oran
2014: Arbitrage and Duality in Nondominated Discrete-Time Models Downloads
Bruno Bouchard and Marcel Nutz
2014: Optimal dividend problem for a generalized compound Poisson risk model Downloads
Chuancun Yin
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 Downloads
Yannis G. Yatracos
2014: Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach Downloads
Frey, R\"udiger, Abdelali Gabih and Ralf Wunderlich
2014: Ergodicity and scaling limit of a constrained multivariate Hawkes process Downloads
Ban Zheng, Roueff, Fran\c{c}ois and Abergel, Fr\'ed\'eric
2014: Superreplication under Model Uncertainty in Discrete Time Downloads
Marcel Nutz
2014: Strategy switches and co-action equilibria in a minority game Downloads
V. Sasidevan and Deepak Dhar
2014: Valuation of asset and volatility derivatives using decoupled time-changed L\'{e}vy processes Downloads
Lorenzo Torricelli
2014: Strong random correlations in networks of heterogeneous agents Downloads
Imre Kondor, Csabai, Istv\'an, Papp, G\'abor, Enys Mones, Czimbalmos, G\'abor and S\'andor, M\'at\'e Csaba
2014: Beyond cash-additive risk measures: when changing the num\'{e}raire fails Downloads
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
2014: Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes Downloads
Ying Shen, Chuancun Yin and Kam Chuen Yuen
2014: Micro to macro models for income distribution in the absence and in the presence of tax evasion Downloads
Maria Letizia Bertotti and Giovanni Modanese
2014: Hedging Expected Losses on Derivatives in Electricity Futures Markets Downloads
Adrien Nguyen Huu and Nadia Oudjane
2014: The Integrated Size and Price Optimization Problem Downloads
Kie{\ss}ling, Miriam, Sascha Kurz and Rambau, J\"org
2014: Cross-correlation asymmetries and causal relationships between stock and market risk within linear response approximation Downloads
Stanislav S. Borysov and Alexander V. Balatsky
2014: Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations Downloads
Yoshihiro Yura, Hideki Takayasu, Didier Sornette and Misako Takayasu
2014: A Stochastic Volatility Model for Crude Oil Futures Curves and the Pricing of Calendar Spread Options Downloads
Lorenz Schneider
2014: Testing for rational speculative bubbles in the Brazilian residential real-estate market Downloads
Marcelo M. de Oliveira and Alexandre C. L. Almeida
2014: Microeconomic Structure determines Macroeconomic Dynamics. Aoki defeats the Representative Agent Downloads
Sorin Solomon and Natasa Golo
2014: Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks Downloads
B. Podobnik, A. Majdandzic, C. Curme, Z. Qiao, W. -X. Zhou, H. E. Stanley and B. Li
2014: Release of the Kraken: A Novel Money Multiplier Equation's Debut in 21st Century Banking Downloads
Brian P. Hanley
2014: Self-affinity in financial asset returns Downloads
John Goddard and Enrico Onali
2014: Modeling Credit Spreads Using Nonlinear Regression Downloads
Radoslava Mirkov, Thomas Maul, Ronald Hochreiter and Holger Thomae
2014: Option Pricing of Twin Assets Downloads
Marcelo J. Villena and Axel A. Araneda
2014: Multidimensional Breeden-Litzenberger representation for state price densities and static hedging Downloads
Jarno Talponen and Lauri Viitasaari
2014: Estimate nothing Downloads
M. Duembgen and Leonard C G Rogers
2014: Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market Downloads
G. Papaioannou, P. Papaioannou and N. Parliaris
2014: On multicurve models for the term structure Downloads
Laura Morino and Wolfgang J. Ruggaldier
2014: Why free markets die: An evolutionary perspective Downloads
Eduardo Viegas, Stuart P. Cockburn, Henrik Jeldtoft Jensen and Geoffrey B. West
2014: On Convergence in the Spatial AK Growth Models Downloads
Gani Aldashev, Serik Aldashev and Timoteo Carletti
2014: Martingale Inequalities and Deterministic Counterparts Downloads
Beiglb\"ock, Mathias and Marcel Nutz
2014: Mathematical Foundations for the Economy of Giving Downloads
W. P. Weijland
2014: Wealth distribution and collective knowledge. A Boltzmann approach Downloads
Lorenzo Pareschi and Giuseppe Toscani
2014: A Multiple Network Approach to Corporate Governance Downloads
Fausto Bonacina, D'Errico, Marco, Enrico Moretto, Silvana Stefani and Anna Torriero
2014: Diversity of scales makes an advantage: The case of the Minority Game Downloads
Pi\v{s}t\v{e}k, Miroslav and Frantisek Slanina
2014: CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach Downloads
Damiano Brigo and Andrea Pallavicini
2014: A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options Downloads
Alfred Galichon, P. Henry-Labord\`ere, and N. Touzi
2014: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures Downloads
Worapree Maneesoonthorn, Catherine Scipione Forbes and Gael M. Martin
2014: Risk aggregation and stochastic claims reserving in disability insurance Downloads
Boualem Djehiche and L\"ofdahl, Bj\"orn
2014: A Creepy World Downloads
Didier Sornette and Peter Cauwels
2014: General indifference pricing with small transaction costs Downloads
Possama\"i, Dylan and Guillaume Royer
2014: Quasi-Hadamard differentiability of general risk functionals and its application Downloads
Kr\"atschmer, Volker, Alexander Schied and Z\"ahle, Henryk
2014: Bartering integer commodities with exogenous prices Downloads
Stefano Nasini, Jordi Castro and Pau Fonseca Casas
2014: Law-invariant risk measures: extension properties and qualitative robustness Downloads
Pablo Koch-Medina and Cosimo Munari
2014: Hierarchicality of Trade Flow Networks Reveals Complexity of Products Downloads
Peiteng Shi, Jiang Zhang, Bo Yang and Jingfei Luo
2014: When Finance Meets Physics: The Impact of the Speed of Light on Financial Markets and their Regulation Downloads
James J. Angel
2014: Efficient tree methods for pricing digital barrier options Downloads
Elisa Appolloni and Andrea Ligori
2014: Bayesian analysis of redistribution policy with a fixed scale Downloads
Guy Cirier
2014: Complex temporal structure of activity in on-line electronic auctions Downloads
Frantisek Slanina
2014: Mutual Information Rate-Based Networks in Financial Markets Downloads
Paweł Fiedor
2014: Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions Downloads
Weiyin Fei
2014: Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile Downloads
Nassim Nicholas Taleb
2014: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows Downloads
Masaaki Fujii and Akihiko Takahashi
2014: Refined wing asymptotics for the Merton and Kou jump diffusion models Downloads
Stefan Gerhold, Johannes F. Morgenbesser and Axel Zrunek
2014: Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting Downloads
Tao Xiong, Yukun Bao and Zhongyi Hu
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks Downloads
Li-Xin Wang
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models Downloads
Li-Xin Wang
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models Downloads
Li-Xin Wang
2014: Pricing of basket options I Downloads
Alexander Kushpel
2014: Informational Efficiency under Short Sale Constraints Downloads
Robert A Jarrow and Martin Larsson
2014: An efficient algorithm for the calculation of non-unit linked reserves Downloads
Mark Tucker and J. Mark Bull
2014: Optimal consumption and portfolio choice with ambiguity Downloads
Qian Lin and Frank Riedel
2014: Computation of the "Enrichment" of a Value Functions of an Optimization Problem on Cumulated Transaction-Costs through a Generalized Lax-Hopf Formula Downloads
Luxi Chen
2014: Measures of Causality in Complex Datasets with application to financial data Downloads
Anna Zaremba and Tomaso Aste
2014: An Empirical Method to Measure Stochasticity and Multifractality in Nonlinear Time Series Downloads
Chih-Hao Lin, Chia-Seng Chang and Sai-Ping Li
2014: Second order statistics characterization of Hawkes processes and non-parametric estimation Downloads
Emmanuel Bacry and Jean-Francois Muzy
2014: Optimal Investment with Transaction Costs and Stochastic Volatility Downloads
Maxim Bichuch and Ronnie Sircar
2014: Emergence of statistically validated financial intraday lead-lag relationships Downloads
Chester Curme, Michele Tumminello, Rosario N. Mantegna, H. Eugene Stanley and Dror Y. Kenett
2014: Accelerated Share Repurchase: pricing and execution strategy Downloads
Gu\'eant, Olivier, Jiang Pu and Guillaume Royer
2014: Option pricing and hedging with execution costs and market impact Downloads
Gu\'eant, Olivier and Jiang Pu
2014: A statistical physics perspective on criticality in financial markets Downloads
Thomas Bury
2014: Prospect Agents and the Feedback Effect on Price Fluctuations Downloads
Yipeng Yang and Allanus Tsoi
2014: Local Variance Gamma and Explicit Calibration to Option Prices Downloads
Peter Carr and Sergey Nadtochiy
2014: Optimal investment for all time horizons and Martin boundary of space-time diffusions Downloads
Sergey Nadtochiy and Michael Tehranchi
2014: The Skin In The Game Heuristic for Protection Against Tail Events Downloads
Nassim N. Taleb and Constantine Sandis
2014: Collective Philanthropy: Describing and Modeling the Ecology of Giving Downloads
William L. Gottesman, Andrew James Reagan and Peter Sheridan Dodds
2014: Cross-border Portfolio Investment Networks and Indicators for Financial Crises Downloads
Andreas Joseph, Stephan Joseph and Guanrong Chen
2014: Model-free CPPI Downloads
Alexander Schied
2014: Maximum Lebesgue Extension of Monotone Convex Functions Downloads
Keita Owari
2014: An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals Downloads
Ob{\l}\'oj, Jan and Peter Spoida
2014: Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades Downloads
Matthew Ames, Guillaume Bagnarosa and Gareth W. Peters
2014: Rationalizing Investors Choice Downloads
Carole Bernard, Jit Seng Chen and Steven Vanduffel
2014: Leverage-induced systemic risk under Basle II and other credit risk policies Downloads
Sebastian Poledna, Stefan Thurner, J. Doyne Farmer and John Geanakoplos
2014: A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection Downloads
Audrone Virbickaite, Aus\'in, M. Concepci\'on and Pedro Galeano
2014: Generalised central limit theorems for growth rate distribution of complex systems Downloads
Misako Takayasu, Hayafumi Watanabe and Hideki Takayasu
2014: Second-order BSDEs with general reflection and game options under uncertainty Downloads
Anis Matoussi, Lambert Piozin and Possama\"i, Dylan
2014: Market structure explained by pairwise interactions Downloads
Thomas Bury
2014: Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration Downloads
Jean-Pierre Fouque, Matthew Lorig and Ronnie Sircar
2014: Hedge and Mutual Funds' Fees and the Separation of Private Investments Downloads
Paolo Guasoni and Gu Wang
2014: On Global Stability of Financial Networks Downloads
Bhaskar DasGupta and Lakshmi Kaligounder
2014: Statistical pairwise interaction model of stock market Downloads
Thomas Bury
2014: Transaction Costs, Shadow Prices, and Duality in Discrete Time Downloads
Christoph Czichowsky, Johannes Muhle-Karbe and Walter Schachermayer
2014: Price manipulation in a market impact model with dark pool Downloads
Kl\"ock, Florian, Alexander Schied and Yuemeng Sun
2014: Comparative and qualitative robustness for law-invariant risk measures Downloads
Kr\"atschmer, Volker, Alexander Schied and Z\"ahle, Henryk
2014: Capital requirements with defaultable securities Downloads
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
2014: Killed Brownian motion with a prescribed lifetime distribution and models of default Downloads
Boris Ettinger, Steven N. Evans and Alexandru Hening
2014: A model for a large investor trading at market indifference prices. II: continuous-time case Downloads
Peter Bank and Dmitry Kramkov
2014: The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions Downloads
Sergio Pulido
2014: A Coupled Markov Chain Approach to Credit Risk Modeling Downloads
David Wozabal and Ronald Hochreiter
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