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2014: Backtest of Trading Systems on Candle Charts
Stanislaus Maier-Paape and Andreas Platen
2014: Indifference prices, implied volatilities and implied Sharpe ratios
Matthew Lorig
2014: Aggregation operators for the measurement of systemic risk
Jozsef Mezei and Peter Sarlin
2014: Comprehensive Time-Series Regression Models Using GRETL---U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013
Juehui Shi
2014: A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models
Galina Andreeva , Raffaella Calabrese and Silvia Angela Osmetti
2014: Efficient XVA Management: Computation, Hedging, and Attribution using Trade-Level Regression and Global Conditioning
Chris Kenyon and Andrew Green
2014: Convenient liquidity measure for Financial markets
Oleh Danyliv , Bruce Bland and Daniel Nicholass
2014: Optimal execution with nonlinear transient market impact
Gianbiagio Curato , Jim Gatheral and Fabrizio Lillo
2014: Conditional Analysis and a Principal-Agent problem
Julio Backhoff and Ulrich Horst
2014: On Pareto theory of circulation of elites
P\'erez-Marco, Ricardo
2014: A Million Metaorder Analysis of Market Impact on the Bitcoin
Jonathan Donier and Julius Bonart
2014: Nonparametric Stochastic Discount Factor Decomposition
Timothy Christensen
2014: Russian-Doll Risk Models
Zura Kakushadze
2014: Equilibrium in risk-sharing games
Michail Anthropelos and Constantinos Kardaras
2014: Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$
Denis Belomestny and Tigran Nagapetyan
2014: Coupling news sentiment with web browsing data predicts intra-day stock prices
Gabriele Ranco , Ilaria Bordino , Giacomo Bormetti , Guido Caldarelli , Fabrizio Lillo and Michele Treccani
2014: Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model
Q. Feng and C. W. Oosterlee
2014: Max-factor individual risk models with application to credit portfolios
Michel Denuit , Anna Kiriliouk and Johan Segers
2014: Multilevel approximation of backward stochastic differential equations
Dirk Becherer and Plamen Turkedjiev
2014: Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets
Omar Rojas and Carlos Trejo-Pech
2014: Taxation as an instrument of stimulation of innovation-active business entities
Andrey Nechaev
2014: A BSDE approach to fair bilateral pricing under endogenous collateralization
Tianyang Nie and Marek Rutkowski
2014: Modellierungskonzepte der Synergetik und der Theorie der Selbstorganisation
Werner Ebeling and Andrea Scharnhorst
2014: Purchasing Term Life Insurance to Reach a Bequest while Consuming
Erhan Bayraktar , David Promislow and Virginia Young
2014: Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate
Elia Zarinelli , Michele Treccani , J. Doyne Farmer and Fabrizio Lillo
2014: Competition of Commodities for the Status of Money in an Agent-based Model
G\k{e}barowski, Robert , Dro\.zd\.z, Stanis{\l}aw , G\'orski, Andrzej Z. and O\'swi\k{e}cimka, Pawe{\l}
2014: Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games
Erhan Bayraktar and Song Yao
2014: Reserve-Dependent Surrender
Gad, Kamille Sofie T{\aa}gholt , Jeppe Juhl and Mogens Steffensen
2014: Stess-testing the system: Financial shock contagion in the realm of uncertainty
Stefano Gurciullo
2014: Spanning trees of the World Trade Web: real-world data and the gravity model of trade
Patryk Skowron , Mariusz Karpiarz , Agata Fronczak and Piotr Fronczak
2014: A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding
Giovanni Mottola
2014: Model-Independent Pricing of Asian Options via Optimal Martingale Transport
Florian Stebegg
2014: Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA
Giovanni Mottola
2014: Gas Storage valuation with regime switching
B\"auerle, Nicole and Viola Riess
2014: Skewness and kurtosis analysis for non-Gaussian distributions
Ahmet Celikoglu and Ugur Tirnakli
2014: Regulatory Capital Modelling for Credit Risk
Marek Rutkowski and Silvio Tarca
2014: Firm size distribution in Italy and employment protection
Luca Amendola
2014: Market impacts and the life cycle of investors orders
Emmanuel Bacry , Adrian Iuga , Matthieu Lasnier and Charles-Albert Lehalle
2014: The impact of startup costs and the grid operator on the power price equilibrium
Miha Troha and Raphael Hauser
2014: A fully consistent, minimal model for non-linear market impact
Jonathan Donier , Julius Bonart , Iacopo Mastromatteo and Jean-Philippe Bouchaud
2014: Risk minimization and portfolio diversification
Farzad Pourbabaee , Minsuk Kwak and Traian A. Pirvu
2014: Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm
Frank Gehmlich and Thorsten Schmidt
2014: The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels
Jihun Han and Hyungbin Park
2014: On the Coherent Risk Measure Representations in the Discrete Probability Spaces
Kerem Ugurlu
2014: Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics
Rafael Serrano
2014: Global Value Trees
Zhen Zhu , Michelangelo Puliga , Federica Cerina , Alessandro Chessa and Massimo Riccaboni
2014: Optimal Monitoring and Mitigation of Systemic Risk in Financial Networks
Zhang Li , Xiaojun Lin , Borja Peleato-Inarrea and Ilya Pollak
2014: Ross Recovery with Recurrent and Transient Processes
Hyungbin Park
2014: Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
Cody Hyndman and Xinghua Zhou
2014: Fair bilateral prices in Bergman's model
Tianyang Nie and Marek Rutkowski
2014: Fair and profitable bilateral prices under funding costs and collateralization
Tianyang Nie and Marek Rutkowski
2014: On the convergence of the Fitness-Complexity Algorithm
Emanuele Pugliese , Andrea Zaccaria and Luciano Pietronero
2014: Classical mechanics of economic networks
Nima Dehmamy , Sergey V. Buldyrev , Shlomo Havlin , H. Eugene Stanley and Irena Vodenska
2014: On the interplay between short and long term memory in the power-law cross-correlations setting
Ladislav Krištoufek
2014: Optimal double stopping of a Brownian bridge
Erik J. Baurdoux , Nan Chen , Budhi A. Surya and Kazutoshi Yamazaki
2014: Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation
Xiaolin Luo and Pavel V. Shevchenko
2014: VWAP Execution as an Optimal Strategy
Takashi Kato
2014: Comparing the $G$-Normal Distribution to its Classical Counterpart
Erhan Bayraktar and Alexander Munk
2014: To sigmoid-based functional description of the volatility smile
Andrey Itkin
2014: Valuation and Hedging of Contracts with Funding Costs and Collateralization
Tomasz R. Bielecki and Marek Rutkowski
2014: Optimal stopping under model uncertainty: randomized stopping times approach
Denis Belomestny and Volker Kraetschmer
2014: An importance sampling approach for copula models in insurance
Philipp Arbenz , Mathieu Cambou and Marius Hofert
2014: Multivariate transient price impact and matrix-valued positive definite functions
Alfonsi, Aur\'elien , Alexander Schied and Kl\"ock, Florian
2014: Implicit transaction costs and the fundamental theorems of asset pricing
Erindi Allaj
2014: Cascades in real interbank markets
Fariba Karimi and Matthias Raddant
2014: The Convexity of the Free Boundary for the American put option
Hsuan-Ku Liu
2014: Asset Pricing and Valuation under the Real-World Probability Measure
Gabriel Frahm
2014: An Optimal Execution Problem with Market Impact
Takashi Kato
2014: Dual Stochastic Transformations of Solvable Diffusions
Giuseppe Campolieti and Roman N. Makarov
2014: Budget Imbalance Criteria for Auctions: A Formalized Theorem
Marco B. Caminati , Manfred Kerber and Colin Rowat
2014: A biased view of a few possible components when reflecting on the present decade financial and economic crisis
Marcel Ausloos
2014: Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia
Marek Rutkowski and Silvio Tarca
2014: Misspecified Recovery
Borovi\v{c}ka, Jaroslav , Lars Peter Hansen and Scheinkman, Jos\'e A.
2014: Existence of Steady States for Over-the-Counter Market Models with Several Assets
Alain Belanger , Gaston Giroux and Ndoune Ndoune
2014: Evidence of Economic Regularities and Disparities of Italian Regions From Aggregated Tax Income Size Data
Roy Cerqueti and Marcel Ausloos
2014: Improving predictability of time series using maximum entropy methods
Gregor Chliamovitch , Alexandre Dupuis , Bastien Chopard and Anton Golub
2014: Capital Investment and Liquidity Management with collateralized debt
Erwan Pierre , Villeneuve, St\'ephane and Xavier Warin
2014: Asymptotic behaviour of the fractional Heston model
Hamza Guennoun , Antoine Jacquier and Patrick Roome
2014: Indirect Influences in International Trade
Rafael Diaz and Laura Gomez
2014: Hydrodynamic limit of order book dynamics
Xuefeng Gao , J. G. Dai , A. B. Dieker and S. J. Deng
2014: An Evolutionary Optimization Approach to Risk Parity Portfolio Selection
Ronald Hochreiter
2014: Risk-Sensitive Mean-Field Type Control under Partial Observation
Boualem Djehiche and Hamidou Tembine
2014: On Trading American Put Options with Interactive Volatility
Sigurd Assing and Yufan Zhao
2014: On robust representation of conditional risk measures on a $L^\infty$-type module
Zapata, Jos\'e Miguel
2014: Identifying A Screening Model with Multidimensional Private Information
Gaurab Aryal
2014: Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
Tim Leung , Xin Li and Zheng Wang
2014: Two maxentropic approaches to determine the probability density of compound risk losses
Gomes-Gon\c{c}alves, Erika , Henryk Gzyl and Silvia Mayoral
2014: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization
Xiaolin Luo and Pavel V. Shevchenko
2014: Large deviations of the realized (co-)volatility vector
Djellout, Hac\`ene , Arnaud Guillin and Yacouba Samoura
2014: Optimal Mean Reversion Trading with Transaction Cost and Stop-Loss Exit
Tim Leung and Xin Li
2014: Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines
David Walsh-Jones , Daniel Jones and Christoph Reisinger
2014: Diversification versus specialization -- lessons from a noise driven linear dynamical system
Gabriell Mate and Zoltan Neda
2014: Theories of Accounting: Evolution & Developments, Income-Determination and Diversities in Use
Angus O. Unegbu
2014: Solving finite time horizon Dynkin games by optimal switching
Randall Martyr
2014: Methodological thoughts on expected loss estimates for IFRS 9 Impairment: hidden reserves, cyclical loss predictions and LGD backtesting
Wolfgang Reitgruber
2014: Characterization of Market Models in the Presence of Traded Vanilla and Barrier Options
Peter Spoida
2014: Multi-curve HJM modelling for risk management
Chiara Sabelli , Michele Pioppi , Luca Sitzia and Giacomo Bormetti
2014: Holding Period Information in Options Hedging
Antoine E. Zambelli
2014: A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
Ben Hambly , Matthieu Mariapragassam and Christoph Reisinger
2014: Kelly criterion for variable pay-off
P\'erez-Marco, Ricardo
2014: Trend and Fractality Assessment of Mexico's Stock Exchange
Javier Morales , Tercero, V\'ictor , Fernando Camacho , Eduardo Cordero , L\'opez, Luis and F-Javier Almaguer
2014: Long Term Risk: A Martingale Approach
Likuan Qin and Vadim Linetsky
2014: Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization and Ross Recovery
Likuan Qin and Vadim Linetsky
2014: Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That
Peter B. Lerner
2014: A continuous auction model with insiders and random time of information release
Corcuera, Jos\'e Manuel , Giulia Di Nunno , Gergely Farkas and {\O}ksendal, Bernt
2014: Process-Based Risk Measures for Observable and Partially Observable Discrete-Time Controlled Systems
Jingnan Fan and Andrzej Ruszczynski
2014: Exact solution of a generalized version of the Black-Scholes equation
Liviu-Adrian Cotfas , Camelia Delcea and Nicolae Cotfas
2014: A Quadratic Optimization Framework for Credit Portfolio
Boguk Kim
2014: Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary
Giorgio Ferrari and Paavo Salminen
2014: Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction
Shingo Ichiki and Katsuhiro Nishinari
2014: Innovation, competition, diversification: a tree form dynamics of long-term development
Shidong Wang and Cheng Wan
2014: Evolving intraday foreign exchange trading strategies utilizing multiple instruments price series
Simone Cirillo , Stefan Lloyd and Peter Nordin
2014: It's not the economy, stupid! How social capital and GDP relate to happiness over time
Stefano Bartolini and Francesco Sarracino
2014: A General Equilibrium Theorem for the Economy of Giving
W. P. Weijland
2014: On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets
Daniel Wilson-Nunn and Hector Zenil
2014: Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents
Mateusz Denys , Tomasz Gubiec and Ryszard Kutner
2014: General smile asymptotics with bounded maturity
Francesco Caravenna and Jacopo Corbetta
2014: On Stochastic Orders and its applications: Policy limits and Deductibles
Halim Zeghdoudi , Meriem Bouhadjar and Mohamed Riad Remita
2014: Income Distribution in the European Union Versus in the United States
Maciej Jagielski , Duczmal, Rafa{\l} and Ryszard Kutner
2014: Modelling cross-border systemic risk in the European banking sector: a copula approach
Raffaella Calabrese and Silvia Osmetti
2014: Super-replication with nonlinear transaction costs and volatility uncertaint
Peter Bank , Yan Dolinsky and G\"okay, Selim
2014: An Equilibrium Framework for Players with Misspecified Models
Ignacio Esponda and Demian Pouzo
2014: Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations
B\"auerle, Nicole , Igor Gilitschenski and Uwe D. Hanebeck
2014: Incorporating Views on Marginal Distributions in the Calibration of Risk Models
Santanu Dey , Sandeep Juneja and Karthyek R. A. Murthy
2014: Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
Ladislav Krištoufek
2014: Risk measures with the CxLS property
Freddy Delbaen , Fabio Bellini , Valeria Bignozzi and Johanna F. Ziegel
2014: Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
Dmitry Kramkov and Sergio Pulido
2014: Fact Sheet Research on Bayesian Decision Theory
H. R. N. van Erp , R. O. Linger and P. H. A. J. M. van Gelder
2014: Spectrum-based estimators of the bivariate Hurst exponent
Ladislav Krištoufek
2014: Efficient solution of structural default models with correlated jumps and mutual obligations
Andrey Itkin and Alexander Lipton
2014: Optimization of relative arbitrage
Ting-Kam Leonard Wong
2014: One-level limit order books with sparsity and memory
Ch\'avez-Casillas, Jonathan A. and Figueroa-L\'opez, Jos\'e E.
2014: Exact and asymptotic solutions of the call auction problem
Ioane Muni Toke
2014: Game Theory, Statistical Mechanics and Income Inequality
Venkat Venkatasubramanian , Yu Luo and Jay Sethuraman
2014: Thermodynamics of inequalities: from precariousness to economic stratification
Matteo Smerlak
2014: On possible origins of trends in financial market price changes
Ryo Murakami , Tomomichi Nakamura , Shin Kimura , Masashi Manabe and Toshihiro Tanizawa
2014: Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness
J. D. Opdyke
2014: Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$
Shiqi Song
2014: A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
Tiziano De Angelis , Giorgio Ferrari and John Moriarty
2014: On the Super-Additivity and Estimation Biases of Quantile Contributions
Nassim N Taleb and Raphael Douady
2014: Default Probability Estimation via Pair Copula Constructions
Luciana Dalla Valle , Maria Elena De Giuli , Claudia Tarantola and Claudio Manelli
2014: Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs
Erhan Bayraktar and Yuchong Zhang
2014: The Master Equation in Mean Field Theory
Alain Bensoussan , Jens Frehse and Phillip Yam
2014: Asymptotics for $d$-dimensional L\'evy-type processes
Matthew Lorig , Stefano Pagliarani and Andrea Pascucci
2014: On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market
Alexandra Rodkina and Nikolai Dokuchaev
2014: A First-Order BSPDE for Swing Option Pricing: Classical Solutions
Christian Bender and Nikolai Dokuchaev
2014: Reconstructing the world trade multiplex: the role of intensive and extensive biases
Rossana Mastrandrea , Tiziano Squartini , Giorgio Fagiolo and Diego Garlaschelli
2014: The geometry of relative arbitrage
Soumik Pal and Ting-Kam Leonard Wong
2014: Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
Erhan Bayraktar and Yuchong Zhang
2014: Mathematical Foundations for the Economy of Giving
W. P. Weijland
2014: Estimating time-changes in noisy L\'evy models
Adam D. Bull
2014: Local risk-minimization under restricted information to asset prices
Claudia Ceci , Katia Colaneri and Alessandra Cretarola
2014: Analytical expansions for parabolic equations
Matthew Lorig , Stefano Pagliarani and Andrea Pascucci
2014: What is the best risk measure in practice? A comparison of standard measures
Susanne Emmer , Marie Kratz and Dirk Tasche
2014: Pathwise stochastic integrals for model free finance
Nicolas Perkowski and Pr\"omel, David J.
2014: Time--consistent investment under model uncertainty: the robust forward criteria
Sigrid Kallblad , Jan Obloj and Thaleia Zariphopoulou
2014: Illiquidity and Insolvency: a Double Cascade Model of Financial Crises
Thomas R. Hurd , Davide Cellai , Sergey Melnik and Quentin Shao
2014: Revisiting the Merit-Order Effect of Renewable Energy Sources
Marcus Hildmann , Andreas Ulbig and Andersson, G\"oran
2014: Explicit implied volatilities for multifactor local-stochastic volatility models
Matthew Lorig , Stefano Pagliarani and Andrea Pascucci
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
Yannis G. Yatracos
2014: An age structured demographic theory of technological change
Jean-Francois Mercure
2014: Pricing approximations and error estimates for local L\'evy-type models with default
Matthew Lorig , Stefano Pagliarani and Andrea Pascucci
2014: Optimal order placement in limit order markets
Rama Cont and Arseniy Kukanov
2014: Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations
Paul M. N. Feehan and Camelia A. Pop
2014: A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
Taras Bodnar , Nestor Parolya and Wolfgang Schmid
2014: Valuation and parities for exchange options
Constantinos Kardaras
2014: An algorithm for the orthogonal decomposition of financial return data
Vic Norton
2014: Universal Algorithm for Online Trading Based on the Method of Calibration
V'yugin, Vladimir and Vladimir Trunov
2014: Why is order flow so persistent?
Bence Toth , Imon Palit , Fabrizio Lillo and J. Doyne Farmer
2014: Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model
Runhuan Feng , Hans Volkmer , Shuaiqi Zhang and Chao Zhu
2014: Optimal strategies in collective Parrondo games
Luis Dinis and Juan M. R. Parrondo
2014: Cooperation under Incomplete Information on the Discount Factors
Cy Maor and Eilon Solan
2014: Systemic risk in a large claims insurance market with bipartite graph structure
Oliver Kley , Claudia Kluppelberg and Gesine Reinert
2014: Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy
Xiaolin Luo and Pavel Shevchenko
2014: Global convergence and stability of a convolution method for numerical solution of BSDEs
Cody Blaine Hyndman and Polynice Oyono Ngou
2014: The Model Confidence Set package for R
Mauro Bernardi and Leopoldo Catania
2014: Cycling in stochastic general equilibrium
Zhijian Wang and Bin Xu
2014: When does the stock market listen to economic news? New evidence from copulas and news wires
Ivan Medovikov
2014: Optimal Allocation of Trend Following Strategies
Denis S. Grebenkov and Jeremy Serror
2014: Efficient price dynamics in a limit order market: an utility indifference approach
Masaaki Fukasawa
2014: Pricing and Hedging Long-Term Options
Hyungbin Park
2014: Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending
Vladimir Dombrovskii and Tatyana Obedko
2014: Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis
Hao-Che Chen
2014: A new multivariate dependence measure based on comonotonicity
Ying Zhang and Chuancun Yin
2014: Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window
Luca Onorante and Adrian E. Raftery
2014: Pricing and Hedging GMWB Riders in a Binomial Framework
Cody B. Hyndman and Menachem Wenger
2014: Continuous time analysis of fleeting discrete price moves
Neil Shephard and Justin J. Yang
2014: Randomisation and recursion methods for mixed-exponential Levy models, with financial applications
Aleksandar Mijatovic , Martijn Pistorius and Johannes Stolte
2014: Large-Maturity Regimes of the Heston Forward Smile
Antoine Jacquier and Patrick Roome
2014: Are news important to predict large losses?
Mauro Bernardi , Leopoldo Catania and Lea Petrella
2014: qGaussian model of default
Yuri A. Katz
2014: Stock fluctuations are correlated and amplified across networks of interlocking directorates
Serguei Saavedra , Luis J. Gilarranz , Rudolf P. Rohr , Michael Schnabel , Brian Uzzi and Jordi Bascompte
2014: Asset Pricing in an Imperfect World
Gianluca Cassese
2014: Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates
Beata Stehlikova
2014: Pricing of European Basket Call Option under Exponential Ornstein-Uhlenbeck Process
Jingwei Liu , Jiwen Luo and Xing Chen
2014: Is mathematics able to give insight into current questions in finance, economics and politics?
Larry Shepp and Michael Imerman
2014: The non-linear trade-off between return and risk: a regime-switching multi-factor framework
John Cotter and Enrique Salvador
2014: Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem
V'yugin, Vladimir
2014: Recombining binomial tree for constant elasticity of variance process
Hi Jun Choe , Jeong Ho Chu and So Jeong Shin
2014: The Precautionary Principle (with Application to the Genetic Modification of Organisms)
Nassim Nicholas Taleb , Rupert Read , Raphael Douady , Joseph Norman and Yaneer Bar-Yam
2014: Risk diversification: a study of persistence with a filtered correlation-network approach
Musmeci, Nicol\'o , Tomaso Aste and Tiziana Di Matteo
2014: 4-Factor Model for Overnight Returns
Zura Kakushadze
2014: Conditional Preference Orders and their Numerical Representations
Samuel Drapeau and Asgar Jamneshan
2014: Portfolio Selection with Multiple Spectral Risk Constraints
Carlos Abad and Garud Iyengar
2014: RHOMOLO: A Dynamic Spatial General Equilibrium Model for Assessing the Impact of Cohesion Policy
Andries Brandsma , Kancs, d'Artis , Philippe Monfort and Alexandra Rillaers
2014: Robust Fundamental Theorem for Continuous Processes
Sara Biagini , Bruno Bouchard , Constantinos Kardaras and Marcel Nutz
2014: Assessing the Inequalities of Wealth in Regions: the Italian Case
Roy Cerqueti and Marcel Ausloos
2014: A polynomial distribution applied to income and wealth distribution
Elvis Oltean and Fedor Kusmartsev
2014: Arbitrage free markets geometry
A. V. Lebedev and P. P. Zabreiko
2014: Consistency of internal risk measure estimates
Mark H. A. Davis
2014: A statistical physics analysis of expenditure in the UK
Elvis Oltean and Fedor Kusmartsev
2014: An econophysical approach of polynomial distribution applied to income and expenditure
Elvis Oltean
2014: An Econophysical dynamic approach of expenditure and income distribution in the UK
Elvis Oltean and Fedor Kusmartsev
2014: Applications of statistical physics distributions to several types of income
Elvis Oltean and Fedor V. Kusmartsev
2014: Optimal dividend payment under time of ruin contraint: Exponential case
Camilo Hernandez and Mauricio Junca
2014: Volatility is rough
Jim Gatheral , Thibault Jaisson and Mathieu Rosenbaum
2014: A study of Methods from Statistical Mechanics applied to income distribution
Elvis Oltean and Fedor Kusmartsev
2014: Arbitrage theory without a num\'eraire
Michael R. Tehranchi
2014: Benford's law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions
Tariq Ahmad Mir , Marcel Ausloos and Roy Cerqueti
2014: Communication impacting financial markets
Jorgen Vitting Andersen , Ioannis Vrontos , Petros Dellaportas and Serge Galam
2014: Propagation of Systemic Risk in Interbank Networks
Vanessa Hoffmann de Quadros , Gonz\'alez-Avella, Juan Carlos and Iglesias, Jos\'e Roberto
2014: Reconstructing topological properties of complex networks using the fitness model
Giulio Cimini , Tiziano Squartini , Musmeci, Nicol\`o , Michelangelo Puliga , Andrea Gabrielli , Diego Garlaschelli , Stefano Battiston and Guido Caldarelli
2014: An initial approach to Risk Management of Funding Costs
Damiano Brigo and Cyril Durand
2014: Tug-of-war, market manipulation and option pricing
Nystr\"om, Kaj and Mikko Parviainen
2014: Path Integral and Asset Pricing
Zura Kakushadze
2014: Optimal execution of ASR contracts with fixed notional
Gu\'eant, Olivier
2014: On volatility smile and an investment strategy with out-of-the-money calls
Jarno Talponen
2014: Rationality parameter for exercising American put
K. Gad and J. L. Pedersen
2014: Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control
Vladimir Dombrovskii and Tatyana Obyedko
2014: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
Rodrigo S. Targino , Gareth W. Peters and Pavel V. Shevchenko
2014: Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
Wanyang Dai
2014: An expansion in the model space in the context of utility maximization
Kasper Larsen , Oleksii Mostovyi and \v{Z}itkovi\'c, Gordan
2014: Stability of Utility Maximization in Nonequivalent Markets
Kim Weston
2014: A General Duality Relation with Applications in Quantitative Risk Management
Raphael Hauser , Sergey Shahverdyan and Paul Embrechts
2014: A generalized Dynkin game of switching type for defaultable claims in presence of contingent CSA
Giovanni Mottola
2014: Indifference pricing for Contingent Claims: Large Deviations Effects
Scott Robertson and Konstantinos Spiliopoulos
2014: Systemic Interbank Network Risks in Russia
A. V. Leonidov and E. L. Rumyantsev
2014: The Fourier estimation method with positive semi-definite estimators
Akahori, Jir\^o , Nien-Lin Liu , Maria Elvira Mancino and Yukie Yasuda
2014: Socio-economic inequalities: a statistical physics perspective
Arnab Chatterjee
2014: Preventing endogenous extreme events in herding dominant agent-based financial market
Aleksejus Kononovicius and Vygintas Gontis
2014: A simple dynamical model leading to Pareto wealth distribution and stability
P\'erez-Marco, Ricardo
2014: Optimal Execution with Dynamic Order Flow Imbalance
Kyle Bechler and Mike Ludkovski
2014: Quantile Hedging in a Semi-Static Market with Model Uncertainty
Erhan Bayraktar and Gu Wang
2014: Mean-Reversion and Optimization
Zura Kakushadze
2014: A system of quadratic BSDEs arising in a price impact model
Dmitry Kramkov and Sergio Pulido
2014: A convex duality method for optimal liquidation with participation constraints
Gu\'eant, Olivier , Jean-Michel Lasry and Jiang Pu
2014: New Pricing Framework: Options and Bonds
Nick Laskin
2014: A Bellman View of Jesse Livermore
Nick Polson and Jan Hendrik Witte
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2014: Agent-based model with asymmetric trading and herding for complex financial systems
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2014: Permutation approach, high frequency trading and variety of micro patterns in financial time series
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2014: Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns
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2014: Causal Non-Linear Financial Networks
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2014: An exact and explicit formula for pricing lookback options with regime switching
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2014: Forecasting future oil production in Norway and the UK: a general improved methodology
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2014: Slow decay of impact in equity markets
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2014: Comparing series of rankings with ties by using complex networks: An analysis of the spanish stock market (IBEX-35 index)
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Claudio Fontana
2014: Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance
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2014: Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs
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2014: The Wishart short rate model
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2014: International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
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2014: A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
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2014: Geometric Arbitrage Theory and Market Dynamics
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2014: An Optimal Consumption-Investment Model with Constraint on Consumption
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2014: The Italian Crisis and Producer Households Debt: a Source of Stability? A Reproducible Research
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2014: Analysis of a decision model in the context of equilibrium pricing and order book pricing
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2014: Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
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2014: A Multi-Entity Input Output (MEIO) Approach to Sustainability - Water-Energy-GHG (WEG) Footprint Statements in Use Cases from Auto and Telco Industries
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2014: Incorporating a Volatility Smile into the Markov-Functional Model
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2014: Measurement and Internalization of Systemic Risk in a Global Banking Network
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2014: High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
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2014: Spectral Model of Turnover Reduction
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2014: Expected Cash Flow: A Novel Model Of Evaluating Financial Assets
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2014: On the properties of nodal price response matrix in electricity markets
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2014: Stability and Identification with Optimal Macroprudential Policy Rules
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2014: A Note on the Pricing of Basket Options Using Taylor Approximations
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2014: Facelifting in Utility Maximization
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2014: Bayesian DEJD model and detection of asymmetric jumps
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2014: Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
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2014: Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
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2014: Derivative pricing under the possibility of long memory in the supOU stochastic volatility model
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2014: Impulse Control of a Diffusion with a Change Point
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2014: Parallel American Monte Carlo
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2014: Principal wind turbines for a conditional portfolio approach to wind farms
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2014: Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models
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2014: A Note on the Quantile Formulation
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2014: IIGHGINT: A generalization to the modified GHG intensity universal indicator toward a production/consumption insensitive border carbon tax
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Teruyoshi Kobayashi
2014: On strong binomial approximation for stochastic processes and applications for financial modelling
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2014: Asymptotic Glosten Milgrom equilibrium
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2014: Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo
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2014: High-order short-time expansions for ATM option prices of exponential L\'evy models
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2014: Stochastic target games with controlled loss
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2014: Involving copula functions in Conditional Tail Expectation
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2014: Utility Maximization with Addictive Consumption Habit Formation in Incomplete Semimartingale Markets
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2014: Stable-1/2 Bridges and Insurance
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2014: Credit acceptance process strategy case studies - the power of Credit Scoring
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2014: Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies
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2014: The Implied Volatility Analysis: The South African Experience
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2014: Trajectory Based Models, Arbitrage and Continuity
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2014: The acceptance-rejection method for low-discrepancy sequences
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2014: Time-changed CIR default intensities with two-sided mean-reverting jumps
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2014: Multilevel Monte Carlo For Exponential L\'{e}vy Models
Mike Giles and Yuan Xia
2014: Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
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2014: Portfolio Optimization in Affine Models with Markov Switching
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2014: A change of measure preserving the affine structure in the BNS model for commodity markets
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2014: Predicting market instability: New dynamics between volume and volatility
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2014: Collective behaviours in the stock market -- A maximum entropy approach
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2014: Which factor dominates the industry evolution? A synergy analysis based on China's ICT industry
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2014: Least quartic Regression Criterion with Application to Finance
Giuseppe arbia
2014: Representation of infinite dimensional forward price models in commodity markets
Fred Espen Benth and Kr\"uhner, Paul
2014: Momentum Strategies with L1 Filter
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2014: A fast Fourier transform method for Mellin-type option pricing
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2014: Networked relationships in the e-MID Interbank market: A trading model with memory
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2014: A re-examination of real interest parity in CEECs using old and new generations of panel unit root tests
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2014: Testing for Detailed Balance in a Financial Market
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2014: Anomalous impact in reaction-diffusion models
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2014: Empirical properties of inter-cancellation durations in the Chinese stock market
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2014: Structural Models under Additional Information
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2014: Coherent Chaos Interest Rate Models
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2014: Merton problem with one additional indivisible asset
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2014: Quadratic BSDEs with jumps: related non-linear expectations
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2014: A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution
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2014: Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models
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2014: Partial Mutual Information Analysis of Financial Networks
Paweł Fiedor
2014: Introduction to Risk Parity and Budgeting
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2014: High-Order Splitting Methods for Forward PDEs and PIDEs
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2014: Do Google Trend data contain more predictability than price returns?
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2014: Inside Money, Procyclical Leverage, and Banking Catastrophes
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2014: To bail-out or to bail-in? Answers from an agent-based model
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2014: Modelling the Bid and Ask Prices of Illiquid CDSs
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2014: International Transmission of Shocks and Fragility of a Bank Network
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2014: On the Frequency of Drawdowns for Brownian Motion Processes
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2014: On the Hawkes Process with Different Exciting Functions
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2014: Asset Prices and Risk Aversion
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2014: Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics
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2014: Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
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2014: Multi-period Trading Prediction Markets with Connections to Machine Learning
Jinli Hu and Amos Storkey
2014: Exchange Rate Predictability in a Changing World
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2014: Parameter estimation for subcritical Heston models based on discrete time observations
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2014: Investing and Stopping
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2014: Leverage effect in energy futures
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2014: Prospect Theory for Online Financial Trading
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2014: Mapping systemic risk: critical degree and failures distribution in financial networks
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2014: Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
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2014: Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms
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2014: Global inequality in energy consumption from 1980 to 2010
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2014: No-arbitrage conditions and absolutely continuous changes of measure
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2014: Predicting trend reversals using market instantaneous state
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2014: Power identities for L\'evy risk models under taxation and capital injections
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2014: Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains
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2014: Efficient hedging in general Black-Scholes model
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2014: Do the rich get richer? An empirical analysis of the BitCoin transaction network
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2014: Measuring risk with multiple eligible assets
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2014: Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix
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2014: Gold, Oil, and Stocks
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2014: Predicting financial markets with Google Trends and not so random keywords
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2014: Strict Local Martingales with Jumps
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2014: Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots
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2014: Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk
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2014: Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
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2014: Permanent market impact can be nonlinear
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2014: A convolution method for numerical solution of backward stochastic differential equations
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2014: Coherence and elicitability
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2014: A Modern Approach to the Efficient-Market Hypothesis
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2014: On the optimal dividend problem for a spectrally positive Levy process
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2014: The effect of debt on corporate profitability: Evidence from French service sector
Mazen KEBEWAR
2014: Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model
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2014: Quadratic BSDEs with jumps: a fixed-point approach
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2014: Exploiting the flexibility of a family of models for taxation and redistribution
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2014: On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk-process in the presence of a penalty function
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2014: Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders
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2014: Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target
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2014: Finding informed traders in futures and their inderlying assets in intraday trading
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2014: Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift
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2014: The role of information in a two-traders market
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2014: Time-dependent Heston model
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2014: Estimation Error of Expected Shortfall
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2014: Technology Parks Potential for Small and Medium Enterprises
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2014: Rebalancing with Linear and Quadratic Costs
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2014: Trading with Small Price Impact
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2014: Densely Entangled Financial Systems
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2014: Accelerating Implicit Finite Difference Schemes Using a Hardware Optimised Implementation of the Thomas Algorithm for FPGAs
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2014: Large deviation asymptotics for the left tail of the sum of dependent positive random variables
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2014: A debt behaviour model
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2014: On Simulation of Various Effects in Consolidated Order Book
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2014: Information-theoretic approach to lead-lag effect on financial markets
Paweł Fiedor
2014: On the shortfall risk control -- a refinement of the quantile hedging method
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Annika Birch and Tomaso Aste
2014: News Cohesiveness: an Indicator of Systemic Risk in Financial Markets
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2014: Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time
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2014: Reference Vectors in Economic Choice
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2014: Model-independent Superhedging under Portfolio Constraints
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2014: Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression
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2014: Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate
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2014: Multi-scale Representation of High Frequency Market Liquidity
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2014: Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading
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2014: Pricing Currency Derivatives with Markov-modulated Levy Dynamics
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2014: Using Twitter to Model the EUR/USD Exchange Rate
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2014: Option Pricing for Symmetric L\'evy Returns with Applications
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2014: Correlation and Network Topologies in Global and Local Stock Indices
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2014: Are European equity markets efficient? New evidence from fractal analysis
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2014: Partial correlation analysis: Applications for financial markets
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2014: Market impact as anticipation of the order flow imbalance
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2014: Crossing Stocks and the Positive Grassmannian I: The Geometry behind Stock Market
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2014: Option Pricing, Historical Volatility and Tail Risks
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2014: The $500.00 AAPL close: Manipulation or hedging? A quantitative analysis
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2014: Faster Comparison of Stopping Times by Nested Conditional Monte Carlo
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2014: Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium
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2014: The Political Economy of FDI flows into Developing Countries: Does the depth of International Trade Agreements Matter?
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2014: Arbitrage of the first kind and filtration enlargements in semimartingale financial models
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2014: On the Measurement of Economic Tail Risk
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2014: Capital adequacy tests and limited liability of financial institutions
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2014: Mean field approximation for biased diffusion on Japanese inter-firm trading network
Hayafumi Watanabe
2014: The False Premises and Promises of Bitcoin
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2014: Nucleation, condensation and lambda-transition on a real-life stock market
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2014: Non-Arbitrage up to Random Horizon for Semimartingale Models
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2014: Control of the socio-economic systems using herding interactions
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2014: On hedging American options under model uncertainty
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2014: Investment under uncertainty, competition and regulation
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2014: Detrended Cross-Correlation Analysis Consistently Extended to Multifractality
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2014: Arbitrage and Duality in Nondominated Discrete-Time Models
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2014: Optimal dividend problem for a generalized compound Poisson risk model
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2014: Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach
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2014: Ergodicity and scaling limit of a constrained multivariate Hawkes process
Ban Zheng , Roueff, Fran\c{c}ois and Abergel, Fr\'ed\'eric
2014: Superreplication under Model Uncertainty in Discrete Time
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2014: Strategy switches and co-action equilibria in a minority game
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2014: Valuation of asset and volatility derivatives using decoupled time-changed L\'{e}vy processes
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2014: Strong random correlations in networks of heterogeneous agents
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2014: Beyond cash-additive risk measures: when changing the num\'{e}raire fails
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2014: Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes
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
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2014: Hedging Expected Losses on Derivatives in Electricity Futures Markets
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2014: The Integrated Size and Price Optimization Problem
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2014: Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations
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2014: Testing for rational speculative bubbles in the Brazilian residential real-estate market
Marcelo M. de Oliveira and Alexandre C. L. Almeida
2014: Microeconomic Structure determines Macroeconomic Dynamics. Aoki defeats the Representative Agent
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2014: Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks
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2014: Release of the Kraken: A Novel Money Multiplier Equation's Debut in 21st Century Banking
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2014: Self-affinity in financial asset returns
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2014: Modeling Credit Spreads Using Nonlinear Regression
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2014: Option Pricing of Twin Assets
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2014: Multidimensional Breeden-Litzenberger representation for state price densities and static hedging
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2014: Estimate nothing
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
G. Papaioannou , P. Papaioannou and N. Parliaris
2014: On multicurve models for the term structure
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2014: Why free markets die: An evolutionary perspective
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2014: On Convergence in the Spatial AK Growth Models
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2014: A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
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2014: A Creepy World
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2014: Law-invariant risk measures: extension properties and qualitative robustness
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2014: Complex temporal structure of activity in on-line electronic auctions
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2014: Mutual Information Rate-Based Networks in Financial Markets
Paweł Fiedor
2014: Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions
Weiyin Fei
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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
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2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models
Li-Xin Wang
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models
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2014: Pricing of basket options I
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Thomas Bury
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Yipeng Yang and Allanus Tsoi
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Peter Carr and Sergey Nadtochiy
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2014: The Skin In The Game Heuristic for Protection Against Tail Events
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2014: Note on multidimensional Breeden-Litzenberger representation for state price densities
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2014: Model-free CPPI
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2014: Maximum Lebesgue Extension of Monotone Convex Functions
Keita Owari
2014: An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals
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2014: Rationalizing Investors Choice
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2014: Second-order BSDEs with general reflection and game options under uncertainty
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2014: Market structure explained by pairwise interactions
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2014: Statistical pairwise interaction model of stock market
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2014: Transaction Costs, Shadow Prices, and Duality in Discrete Time
Christoph Czichowsky , Johannes Muhle-Karbe and Walter Schachermayer
2014: Comparative and qualitative robustness for law-invariant risk measures
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2014: Capital requirements with defaultable securities
Walter Farkas , Pablo Koch-Medina and Cosimo Munari
2014: Killed Brownian motion with a prescribed lifetime distribution and models of default
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2014: A model for a large investor trading at market indifference prices. II: continuous-time case
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
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2014: A Coupled Markov Chain Approach to Credit Risk Modeling
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