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2013: Mathematical Analysis of Money in the Scope of Austerity

Peter Stallinga

2013: Risk Measure Estimation On Fiegarch Processes

Taiane S. Prass and Lopes, S\'ilvia R. C.

2013: Pricing bonds with optional sinking feature using Markov Decision Processes

Jan-Frederik Mai and Marc Wittlinger

2013: Reducing the debt: is it optimal to outsource an investment?

Gilles Edouard Espinosa, Caroline Hillairet, Benjamin Jourdain and Monique Pontier

2013: A note on high-order short-time expansions for ATM option prices under the CGMY model

Figueroa-L\'opez, Jos\'e E., Ruoting Gong and Houdr\'e, Christian

2013: Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes

Helin Zhu, Fan Ye and Enlu Zhou

2013: A Model for Stock Returns and Volatility

Tao Ma and R. A. Serota

2013: Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE

Jacek Jakubowski and owski, Mariusz Niew\k{e}g\l

2013: Economics 2.0: The Natural Step towards A Self-Regulating, Participatory Market Society

Dirk Helbing

2013: A hot-potato game under transient price impact and some effects of a transaction tax

Alexander Schied and Tao Zhang

2013: A First-Order BSPDE for Swing Option Pricing

Christian Bender and Nikolai Dokuchaev

2013: Monte Carlo approximation to optimal investment

L C G Rogers and Pawel Zaczkowski

2013: Scaling symmetry, renormalization, and time series modeling

Marco Zamparo, Fulvio Baldovin, Michele Caraglio and Attilio L. Stella

2013: Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm

Tetsuya Takaishi

2013: The Statistical and Econometric Analysis of Asylum Application Trends and their relationship to GDP in the EEA

Gerard Keogh

2013: Ergodic transition in a simple model of the continuous double auction

Radivojevi\'c, Tijana, Jonatha Anselmi and Enrico Scalas

2013: Markov switching quadratic term structure models

Goutte, St\'ephane

2013: An Exactly Solvable Discrete Stochastic Process with Correlated Properties

Jongwook Kim and Junghyo Jo

2013: On the Lebesgue Property of Monotone Convex Functions

Keita Owari

2013: Direct Evidence for Synchronization in Japanese Business Cycle

Yuichi Ikeda, Hideaki Aoyama, Hiroshi Iyetomi and Hiroshi Yoshikawa

2013: A comparison of techniques for dynamic risk measures with transaction costs

Zachary Feinstein and Birgit Rudloff

2013: Statistical Mechanics of Competitive Resource Allocation

Anirban Chakraborti, Damien Challet, Arnab Chatterjee, Matteo Marsili, Yi-Cheng Zhang and Bikas K. Chakrabarti

2013: A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation

Jiang-Lun Wu and Wei Yang

2013: Optimal dividend problem for a generalized compound Poisson risk model

Chuancun Yin

2013: Are Financial Markets an aspect of Quantum World?

Ovidiu Racorean

2013: The Effect of Growth On Equality in Models of the Economy

Kang Liu, N. Lubbers, W. Klein, J. Tobochnik, B. Boghosian and Harvey Gould

2013: Kinetic exchange models: From molecular physics to social science

Marco Patriarca and Anirban Chakraborti

2013: Exact record and order statistics of random walks via first-passage ideas

Gregory Schehr and Satya N. Majumdar

2013: A robust tree method for pricing American options with CIR stochastic interest rate

Elisa Appolloni, Lucia Caramellino and Antonino Zanette

2013: Multivariate high-frequency financial data via semi-Markov processes

D'Amico, Guglielmo and Filippo Petroni

2013: Permanent market impact can be nonlinear

Gu\'eant, Olivier

2013: Uncovering the network structure of the world currency market: Cross-correlations in the fluctuations of daily exchange rates

Sitabhra Sinha and Uday Kovur

2013: Relative Robust Portfolio Optimization

Raphael Hauser, Vijay Krishnamurthy and T\"ut\"unc\"u, Reha

2013: Semi Markov model for market microstructure

Pietro Fodra and Pham, Huy\^en

2013: Bubbles are rational

Pierre Lescanne

2013: Elasticity theory of structuring

Andrei N. Soklakov

2013: Deriving Derivatives

Andrei N. Soklakov

2013: Non-Stationarity in Financial Time Series and Generic Features

Thilo A. Schmitt, Desislava Chetalova, Sch\"afer, Rudi and Thomas Guhr

2013: Existence and uniqueness of Arrow-Debreu equilibria with consumptions in $\mathbf{L}^0_+$

Dmitry Kramkov

2013: An Information-Theoretic Test for Dependence with an Application to the Temporal Structure of Stock Returns

Galen Sher and Pedro Vitoria

2013: Barrier Options under L\'evy Processes: a Simple Short-Cut

José Fajardo

2013: Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility

Jozef Baruník and Jiri Kukacka

2013: Bimodality in the firm size distributions: a kinetic exchange model approach

Anindya S. Chakrabarti

2013: The Pricing of Multiple-Expiry Exotics

Hyong-Chol O and Mun-Chol KiM

2013: Bridging stylized facts in finance and data non-stationarities

Sabrina Camargo, Silvio M. Duarte Queiros and Celia Anteneodo

2013: Robust Optimal Stopping under Volatility Uncertainty

Erhan Bayraktar and Song Yao

2013: A unified approach to pricing and risk management of equity and credit risk

Claudio Fontana and Juan Miguel A. Montes

2013: Non stationary multifractality in stock returns

Raffaello Morales, T. Di Matteo and Tomaso Aste

2013: Online Portfolio Selection: A Survey

Bin Li and Steven C. H. Hoi

2013: Optimal order placement in limit order markets

Rama Cont and Arseniy Kukanov

2013: Performance Analysis of Hybrid Forecasting Model In Stock Market Forecasting

Mahesh S. Khadka, K. M. George, N. Park and J. B. Kim

2013: A control problem with fuel constraint and Dawson-Watanabe superprocesses

Alexander Schied

2013: Do arbitrage-free prices come from utility maximization?

Pietro Siorpaes

2013: Stochastic Target Games with Controlled Loss

Bruno Bouchard, Ludovic Moreau and Marcel Nutz

2013: An algorithm for the orthogonal decomposition of financial return data

Vic Norton

2013: Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment

Jiri Kukacka and Jozef Baruník

2013: From Minority Game to Black & Scholes pricing

Matteo Ortisi and Valerio Zuccolo

2013: Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework

Alexander Schied

2013: Capital Requirements with Defaultable Securities

Walter Farkas, Pablo Koch-Medina and Cosimo-Andrea Munari

2013: An Asymptotic Expansion for Solutions of Cauchy-Dirichlet Problem for Second Order Parabolic PDEs and its Application to Pricing Barrier Options

Takashi Kato, Akihiko Takahashi and Toshihiro Yamada

2013: Heavy-tail driven by memory

Jongwook Kim and Gabjin Oh

2013: The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options

Sam Howison, Christoph Reisinger and Jan Hendrik Witte

2013: Linear stochastic volatility models

Jacek Jakubowski and Maciej Wisniewolski

2013: Delusions of Success: Comment on Dan Lovallo and Daniel Kahneman

Bent Flyvbjerg

2013: A note on replicating a CDS through a repo and an asset swap

Lorenzo Giada and Claudio Nordio

2013: Maximum Lebesgue Extension of Monotone Convex Functions

Keita Owari

2013: Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion

Qian Zhao, Jiaqin Wei and Rongming Wang

2013: On the Dividend Strategies with Non-Exponential Discounting

Qian Zhao, Jiaqin Wei and Rongming Wang

2013: Pricing TARN Using a Finite Difference Method

Xiaolin Luo and Pavel Shevchenko

2013: Balancing small fixed and proportional transaction cost in trading strategies

Jose V. Alcala and Arash Fahim

2013: Government Solvency, Austerity and Fiscal Consolidation in the OECD: A Keynesian Appraisal of Transversality and No Ponzi Game Conditions

Karim Azizi, Nicolas Canry, Jean-Bernard Chatelain and Bruno Tinel

2013: Time-independent pricing of options in range bound markets

Ovidiu Racorean

2013: A Fokker-Planck description for the queue dynamics of large tick stocks

A. Gareche, G. Disdier, J. Kockelkoren and J. -P. Bouchaud

2013: Hedging in bond markets by the Clark-Ocone formula

Nicolas Privault and Timothy Robin Teng

2013: Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market

Tetsuya Takaishi, Ting Ting Chen and Zeyu Zheng

2013: The pricing formula for cancellable European options

Hsuan-Ku Liu

2013: Bayesian estimation of customer equity from survey data

Juha Karvanen, Ari Rantanen and Lasse Luoma

2013: The Convexity of the Free Boundary for a Parabolic Free Boundary Problem

Hsuan-Ku liu

2013: Option pricing, Bayes risks and Applications

Yannis G. Yatracos

2013: Central Clearing of OTC Derivatives: bilateral vs multilateral netting

Rama Cont and Thomas Kokholm

2013: A stochastic control approach to robust duality in utility maximization

\Oksendal, Bernt and Sulem, Agn\`es

2013: Schr\"odinger group and quantum finance

Juan M. Romero, Ulises Lavana and Mart\'inez, Elio

2013: Modeling stock price returns and pricing a European option with Le Cam's statistical experiments, without stochastic calculus

Yannis G. Yatracos

2013: Risk measures for processes and BSDEs

Irina Penner and Anthony Reveillac

2013: Firm's Information Environment and Stock Liquidity: Evidence from Tunisian Context

Nadia Loukil and Ouidad Yousfi

2013: On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems

Dimitri O. Ledenyov and Viktor Olegovich Ledenyov

2013: On option pricing in illiquid markets with jumps

Youssef El-Khatib and Abdulnasser Hatemi-J

2013: On the pricing and hedging of options for highly volatile periods

Youssef El-Khatib and Abdulnasser Hatemi-J

2013: Cubature on Wiener space: pathwise convergence

Christian Bayer and Peter K. Friz

2013: Double Whammy - How ICT Projects are Fooled by Randomness and Screwed by Political Intent

Alexander Budzier and Bent Flyvbjerg

2013: A variation of the Canadisation algorithm for the pricing of American options driven by L\'evy processes

Florian Kleinert and Kees van Schaik

2013: Overspend? Late? Failure? What the Data Say About IT Project Risk in the Public-Sector

Alexander Budzier and Bent Flyvbjerg

2013: What Causes Cost Overrun in Transport Infrastructure Projects?"

Bent Flyvbjerg, Mette K. Skamris Holm and Buhl, S{\o}ren L.

2013: A Model for Scaling in Firms' Size and Growth Rate Distribution

Cornelia Metzig and Mirta B. Gordon

2013: Predictability on Complete Financial Markets

Gabriel Frahm

2013: Measuring the default risk of sovereign debt from the perspective of network

Hongwei Chuang and Hwai-Chung Ho

2013: Hierarchy of Frustrations as Supplementary Indices in Complex System Dynamics, Applied to the U.S. Intermarket

Krzysztof Sokalski

2013: An age structured demographic model of technology

Jean-Francois Mercure

2013: Hedging of Game Options under Model Uncertainty in Discrete Time

Yan Dolinsky

2013: Existence of an endogenously complete equilibrium driven by a diffusion

Dmitry Kramkov

2013: Return on net sales from three companies in the manufacturing of fabricated metal products (except machinery and equipment)

Marta Tomczak, Anna Ziolkowska and Martyna Rosik

2013: Jan Tinbergen's legacy for economic networks: from the gravity model to quantum statistics

Tiziano Squartini and Diego Garlaschelli

2013: Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials

Andrey Itkin

2013: Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions

Damiano Brigo and Giuseppe Di Graziano

2013: Robust price bounds for the forward starting straddle

David Hobson and Martin Klimmek

2013: Robustification of Elliott's on-line EM algorithm for HMMs

Christina Erlwein and Peter Ruckdeschel

2013: Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims

Lingjiong Zhu

2013: A family of density expansions for L\'{e}vy-type processes with default

Matthew Lorig, Stefano Pagliarani and Andrea Pascucci

2013: Optimal initiation of a GLWB in a variable annuity: no arbitrage approach

H. Huang, M. A. Milevsky and T. S. Salisbury

2013: A convolution method for numerical solution of backward stochastic differential equations

Cody Blaine Hyndman and Polynice Oyono Ngou

2013: Why Mass Media Matter to Planning Research: The Case of Megaprojects

Bent Flyvbjerg

2013: Fluctuation Analysis for the Loss From Default

Konstantinos Spiliopoulos, Justin A. Sirignano and Kay Giesecke

2013: Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs

Andrea Pallavicini and Damiano Brigo

2013: Five Misunderstandings About Case-Study Research

Bent Flyvbjerg

2013: Information, no-arbitrage and completeness for asset price models with a change point

Claudio Fontana, Zorana Grbac, Monique Jeanblanc and Qinghua Li

2013: A Peer-based Model of Fat-tailed Outcomes

Ben Klemens

2013: Premiums And Reserves, Adjusted By Distortions

Alois Pichler

2013: An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals

Ob{\l}\'oj, Jan and Peter Spoida

2013: Why Your IT Project Might Be Riskier Than You Think

Bent Flyvbjerg and Alexander Budzier

2013: High-frequency market-making for multi-dimensional Markov processes

Pietro Fodra and Mauricio Labadie

2013: Pivotal estimation in high-dimensional regression via linear programming

Eric Gautier and Alexandre Tsybakov

2013: Quantitative easing is an incomplete strategy that must be accompanied by the nullification of debt

Karl Svozil

2013: Nanotechnology and Innovation, Recent status and the strategic implication for the formation of high tech clusters in Greece, in between a global economic crisis

Evangelos . Gkanas, Vasso MagkouKriticou, Sofoklis S. Makridis, Athanasios K. Stubos and Ioannis Bakouros

2013: Two unconditionally implied parameters and volatility smiles and skews

Nikolai Dokuchaev

2013: The Small-Maturity Heston Forward Smile

Antoine Jacquier and Patrick Roome

2013: Agent-based and macroscopic modeling of the complex socio-economic systems

Aleksejus Kononovicius and Valentas Daniunas

2013: Analytical Pricing of Defaultable Bond with Stochastic Default Intensity

Hyong-Chol O and Ning Wan

2013: An Explicit Martingale Version of Brenier's Theorem

Pierre Henry-Labordere and Nizar Touzi

2013: Pricing Corporate Defaultable Bond using Declared Firm Value

Hyong-Chol O

2013: A Modern Approach to the Efficient-Market Hypothesis

Gabriel Frahm

2013: Robust Hedging with Proportional Transaction Costs

Yan Dolinsky and H. Mete Soner

2013: Suitability of Capital Allocations for Performance Measurement

Eduard Kromer and Ludger Overbeck

2013: Estimating the efficient price from the order flow: a Brownian Cox process approach

Sylvain Delattre, Christian Y. Robert and Mathieu Rosenbaum

2013: The art of PD curve calibration

Dirk Tasche

2013: The Calculus of Expected Loss: Backtesting Expected Loss with Actual Impact of Risk in a Basel II Framework

Wolfgang Reitgruber

2013: Execution and block trade pricing with optimal constant rate of participation

Gu\'eant, Olivier

2013: Econoinformatics meets Data-Centric Social Sciences

Aki-Hiro Sato

2013: The Reactive Volatility Model

Sebastien Valeyre, Denis Grebenkov, Sofiane Aboura and Qian Liu

2013: How big is too big? Critical Shocks for Systemic Failure Cascades

Claudio J. Tessone, Antonios Garas, Beniamino Guerra and Frank Schweitzer

2013: Superreplication under Volatility Uncertainty for Measurable Claims

Ariel Neufeld and Marcel Nutz

2013: Modeling and Forecasting Persistent Financial Durations

Filip Zikes, Jozef Baruník and Nikhil Shenai

2013: Economic decision making: application of the theory of complex systems

Robert Kitt

2013: The Smile of certain L\'evy-type Models

Antoine Jacquier and Matthew Lorig

2013: On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory

Taras Bodnar, Nestor Parolya and Wolfgang Schmid

2013: Stochastic Volatility with Heterogeneous Time Scales

Danilo Delpini and Giacomo Bormetti

2013: Constructing Sublinear Expectations on Path Space

Marcel Nutz and Ramon van Handel

2013: General Intensity Shapes in Optimal Liquidation

Gu\'eant, Olivier and Charles-Albert LEHALLE

2013: Maximum Maximum of Martingales given Marginals

Pierre Henry-Labordere, Jan Obloj, Peter Spoida and Nizar Touzi

2013: Optimal Portfolio Choice for a Behavioural Investor in Continuous-Time Markets

Miklos Rasonyi and Andrea M. Rodrigues

2013: On Multivariate Extensions of Value-at-Risk

Areski Cousin and Elena Di Bernadino

2013: Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model

Vladimir Cherny and Jan Obloj

2013: Loss-Based Risk Measures

Rama Cont, Romain Deguest and Xuedong He

2013: Limit Order Books

Martin D. Gould, Mason A. Porter, Stacy Williams, Mark McDonald, Daniel J. Fenn and Sam D. Howison

2013: MCMC estimation of default and recovery dependent via the latent systematic factor

Xiaolin Luo and Pavel V. Shevchenko

2013: Discrete tenor models for credit risky portfolios driven by time-inhomogeneous L\'evy processes

Ernst Eberlein, Zorana Grbac and Thorsten Schmidt

2013: Stochastic Utilities With a Given Optimal Portfolio: Approach by Stochastic Flows

N. El Karoui and M'Rad, Mohamed

2013: Fitting the Log Periodic Power Law to financial crashes: a critical analysis

David S. Bree and Nathan Lael Joseph

2013: Do wealth distributions follow power laws? Evidence from "rich lists"

Michał Brzeziński

2013: Agent-based modeling of a price information trading business

Saad Ahmad Khan and Ladislau Boloni

2013: How Planners Deal with Uncomfortable Knowledge: The Dubious Ethics of the American Planning Association

Bent Flyvbjerg

2013: Megaprojects and Risk: An Anatomy of Ambition

Bent Flyvbjerg, Nils Bruzelius and Werner Rothengatter

2013: Delusion and Deception in Large Infrastructure Projects: Two Models for Explaining and Preventing Executive Disaster

Bent Flyvbjerg, Massimo Garbuio and Dan Lovallo

2013: Cost Overruns and Demand Shortfalls in Urban Rail and Other Infrastructure

Bent Flyvbjerg

2013: Measuring Inaccuracy in Travel Demand Forecasting: Methodological Considerations Regarding Ramp Up and Sampling

Bent Flyvbjerg

2013: Policy and Planning for Large Infrastructure Projects: Problems, Causes, Cures

Bent Flyvbjerg

2013: How (In)accurate Are Demand Forecasts in Public Works Projects? The Case of Transportation

Bent Flyvbjerg, Mette Skamris Holm and Buhl, S{\o}ren L.

2013: Underestimating Costs in Public Works Projects: Error or Lie?

Bent Flyvbjerg, Mette K. Skamris Holm and Buhl, S{\o}ren L.

2013: Survival of the Unfittest: Why the Worst Infrastructure Gets Built, And What We Can Do about It

Bent Flyvbjerg

2013: Comparison of Capital Costs per Route-Kilometre in Urban Rail

Bent Flyvbjerg, Nils Bruzelius and Bert van Wee

2013: Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance: Comparing Alternative Exchange Rate Regimes in Eastern Europe

Muhammad Khan, Mazen KEBEWAR and Nikolay Nenov Nenovsky

2013: Volatility Swap Under the SABR Model

Simon Bossoney

2013: Feedback models and stability analysis of three economic paradigms

Harris V. Georgiou

2013: Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise

Yingying Li, Zhiyuan Zhang and Xinghua Zheng

2013: ARCO1: An Application of Belief Networks to the Oil Market

Bruce Abramson

2013: Quantifying the Impact of Leveraging and Diversification on Systemic Risk

Paolo Tasca, Pavlin Mavrodiev and Frank Schweitzer

2013: The Identification of Thresholds and Time Delay in Self-Exciting Threshold a Model by Wavelet

Song-Yon Kim and Mun-Chol Kim

2013: A Solution to Kolmogorov-Feller Equation and Pricing of Options

Ju-Gyong Kim and Il-Su Choe

2013: Exact Statistics of the Gap and Time Interval Between the First Two Maxima of Random Walks

Satya N. Majumdar, Philippe Mounaix and Gregory Schehr

2013: Is There A Real Estate Bubble in Switzerland?

Diego Ardila, Peter Cauwels, Dorsa Sanadgol and Didier Sornette

2013: Are random trading strategies more successful than technical ones?

A. E. Biondo, A. Pluchino, A. Rapisarda and D. Helbing

2013: Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades

Matthew Ames, Guillaume Bagnarosa and Gareth W. Peters

2013: A note on pricing of contingent claims under G-expectation

Mingshang Hu and Shaolin Ji

2013: Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims

Delong, {\L}ukasz and Antoon Pelsser

2013: A liability tracking approach to long term management of pension funds

Masashi Ieda, Takashi Yamashita and Yumiharu Nakano

2013: US Corporate Bond Yield Spread: A default risk debate

Syed Muhammad Noaman Ahmed Shah and Mazen KEBEWAR

2013: The General Structure of Optimal Investment and Consumption with Small Transaction Costs

Jan Kallsen and Johannes Muhle-Karbe

2013: Dynamical Trading Mechanism in Limit Order Markets

Shilei Wang

2013: Power Utility Maximization in Hidden Regime-Switching Markets with Default Risk

Agostino Capponi and Jose Enrique Figueroa Lopez

2013: Understanding Operational Risk Capital Approximations: First and Second Orders

Gareth W. Peters, Rodrigo S. Targino and Pavel V. Shevchenko

2013: Dynamics and Spatial Distribution of Global Nighttime Lights

Nicola Pestalozzi, Peter Cauwels and Didier Sornette

2013: Dynamic Programming Equations for Portfolio Optimization under Partial Information with Expert Opinions

Frey, R\"udiger and Ralf Wunderlich

2013: Econophysics of adaptive power markets: When a market does not dampen fluctuations but amplifies them

Sebastian M. Krause, Stefan Boerries and Stefan Bornholdt

2013: Bubbles, Jumps, and Scaling from Properly Anticipated Prices

Felix Patzelt and Klaus Pawelzik

2013: Coherence and elicitability

Johanna F. Ziegel

2013: A new approach for an unitary risk theory

Nicolae Popoviciu and Floarea Baicu

2013: Impact Analysis for Risks in Informatics Systems

Floarea Baicu and Maria Alexandra Baches

2013: Pricing American options via multi-level approximation methods

Denis Belomestny, Fabian Dickmann and Tigran Nagapetyan

2013: The Pricing of A Moving Barrier Option

Hyong-chol O

2013: Investment and Consumption with Regime-Switching Discount Rates

Traian Pirvu and Huayue Zhang

2013: Utility maximisation and utility indifference price for exponential semi-martingale models with random factor

Anastasia Ellanskaya and Lioudmila Vostrikova

2013: Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection

Xiangyu Cui, Xun Li and Duan Li

2013: Inverse Signal Classification for Financial Instruments

Uri Kartoun

2013: Price Dependence in Optimal Investment

Pietro Siorpaes

2013: A Method for Comparing Hedge Funds

Uri Kartoun

2013: An analytic multi-currency model with stochastic volatility and stochastic interest rates

Alessandro Gnoatto and Martino Grasselli

2013: On the theory of firm in nonlinear dynamic financial and economic systems

Dimitri O. Ledenyov and Viktor Olegovich Ledenyov

2013: Realtime market microstructure analysis: online Transaction Cost Analysis

Robert Azencott, Arjun Beri, Yutheeka Gadhyan, Nicolas Joseph, Charles-Albert LEHALLE and Matthew Rowley

2013: Modelling systemic price cojumps with Hawkes factor models

Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani, Fulvio Corsi, Stefano Marmi and Fabrizio Lillo

2013: A model-free version of the fundamental theorem of asset pricing and the super-replication theorem

Beatrice Acciaio, Beiglb\"ock, Mathias, Friedrich Penkner and Walter Schachermayer

2013: USLV: Unspanned Stochastic Local Volatility Model

Igor Halperin and Andrey Itkin

2013: L\'evy Information and the Aggregation of Risk Aversion

Dorje C. Brody and Lane P. Hughston

2013: Modeling non-stationarities in high-frequency financial time series

Linda Ponta, Enrico Scalas, Marco Raberto and Silvano Cincotti

2013: High quality topic extraction from business news explains abnormal financial market volatility

Ryohei Hisano, Didier Sornette, Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe

2013: Optimal Investment with Stocks and Derivatives

Pietro Siorpaes

2013: On parameter estimation for critical affine processes

Matyas Barczy, Leif Doering, Zenghu Li and Gyula Pap

2013: On random convex analysis--the analytic foundation of the module approach to conditional risk measures

Tiexin Guo, Shien Zhao and Xiaolin Zeng

2013: Ergodicity breaking in geometric Brownian motion

Ole Peters and William Klein

2013: Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering

Masaaki Fujii

2013: On arbitrages arising from honest times

Claudio Fontana, Monique Jeanblanc and Shiqi Song

2013: Beyond cash-additive capital requirements: when changing the numeraire fails

Walter Farkas, Pablo Koch-Medina and Cosimo-Andrea Munari

2013: Agents' Strategic Behavior in Optimal Risk Sharing

Michail Anthropelos

2013: Involving copula functions in Conditional Tail Expectation

Brahim Brahimi

2013: A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices

Aki-Hiro Sato

2013: Drift dependence of optimal trade execution strategies under transient price impact

Christopher Lorenz and Alexander Schied

2013: Arbitrage-free SVI volatility surfaces

Jim Gatheral and Antoine Jacquier

2013: Why are quadratic normal volatility models analytically tractable?

Peter Carr, Travis Fisher and Johannes Ruf

2013: Parametric estimation of hidden stochastic model by contrast minimization and deconvolution: application to the Stochastic Volatility Model

Salima El Kolei

2013: The Evolution of Market Efficiency and Its Periodicity: A Non-Bayesian Time-Varying Model Approach

Mikio Ito, Akihiko Noda and Tatsuma Wada

2013: Building portfolios of stocks in the S\~ao Paulo Stock Exchange using Random Matrix Theory

Leonidas Sandoval Junior, Adriana Bruscato and Maria Kelly Venezuela

2013: A Schauder approach to degenerate-parabolic partial differential equations with unbounded coefficients

Paul M. N. Feehan and Camelia Pop

2013: The Existence of Dominating Local Martingale Measures

Peter Imkeller and Nicolas Perkowski

2013: Recovering Model Structures from Large Low Rank and Sparse Covariance Matrix Estimation

Xi Luo

2013: On the Computational Complexity of Measuring Global Stability of Banking Networks

Piotr Berman, Bhaskar DasGupta, Lakshmi Kaligounder and Marek Karpinski

2013: Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing

Tim Siu-Tang Leung, Qingshuo Song and Jie Yang

2013: Forward Exponential Performances: Pricing and Optimal Risk Sharing

Michail Anthropelos

2013: The effect of round-off error on long memory processes

Gabriele La Spada and Fabrizio Lillo

2013: A Map of the Brazilian Stock Market

Leonidas Sandoval Junior

2013: Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model

Didier Sornette, Ryan Woodard, Wanfeng Yan and Wei-Xing Zhou

2013: Root's barrier: Construction, optimality and applications to variance options

Alexander M. G. Cox and Jiajie Wang

2013: How efficiency shapes market impact

J. Doyne Farmer, Austin Gerig, Fabrizio Lillo and Henri Waelbroeck

2013: Parisian ruin probability for spectrally negative L\'{e}vy processes

Ronnie Loeffen, Irmina Czarna and Zbigniew Palmowski

2013: A Mathematical Approach to Order Book Modeling

Frederic Abergel and Aymen Jedidi

2013: Exact and high order discretization schemes for Wishart processes and their affine extensions

Abdelkoddousse Ahdida and Alfonsi, Aur\'elien

2013: Formulation of an Optimal Execution Problem with Market Impact: Derivation from Discrete-Time Models to Continuous-Time Models

Takashi Kato

2013: Maximizing Matching in Double-sided Auctions

Jinzhong Niu and Simon Parsons

2013: On Bubbling of Linearly Ordered Sets. Part I

Maria Viktorovna Droganova and Valentin Vankov Iliev

2013: Weak and strong no-arbitrage conditions for continuous financial markets

Claudio Fontana

2013: The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles

Damiano Brigo, Francesco Rapisarda and Abir Sridi

2013: The first passage time problem for mixed-exponential jump processes with applications in insurance and finance

Chuancun Yin, Yuzhen Wen and Ying Shen

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2013: Superreplication under Model Uncertainty in Discrete Time

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2013: On Bankruptcy Game Theoretic Interval Rules

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2013: Reinterpretation of Sieczka-Ho{\l}yst financial market model

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2013: Structural and topological phase transitions on the German Stock Exchange

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2013: The Community Structure of the Global Corporate Network

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2013: The Foster-Hart Measure of Riskiness for General Gambles

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2013: Hawkes model for price and trades high-frequency dynamics

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2013: Testing the Goodwin growth-cycle macroeconomic dynamics in Brazil

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2013: Gambling in contests with regret

Han Feng and David Hobson

2013: Optimal replication of random claims by ordinary integrals with applications in finance

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2013: Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation

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2013: On Infectious Model for Dependent Defaults

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2013: On Reduced Form Intensity-based Model with Trigger Events

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2013: The effect of debt on corporate profitability: Evidence from French service sector

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2013: Bollinger Bands Thirty Years Later

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2013: Cascading Failures in Bi-partite Graphs: Model for Systemic Risk Propagation

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2013: Characterizing the development of sectoral Gross Domestic Product composition

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2013: The beneficial role of random strategies in social and financial systems

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2013: Coupled effects of market impact and asymmetric sensitivity in financial markets

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2013: Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints

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2013: Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook

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2013: On the Multi-Dimensional Controller and Stopper Games

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2013: Asymptotic Power Utility-Based Pricing and Hedging

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