# Papers
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- 2017: Evidence for criticality in financial data
*G. Ruiz L\'opez* and *A. Fern\'andez de Marcos*
- 2017: Performance of information criteria used for model selection of Hawkes process models of financial data
*J. M. Chen*, *A. G. Hawkes*, *E. Scalas* and *M. Trinh*
- 2017: Relation between regional uncertainty spillovers in the global banking system
*Sachapon Tungsong*, *Fabio Caccioli* and *Tomaso Aste*
- 2017: Network-based Anomaly Detection for Insider Trading
*Adarsh Kulkarni*, *Priya Mani* and *Carlotta Domeniconi*
- 2017: Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria
*Tianran Geng* and *Thaleia Zariphopoulou*
- 2017: The amazing power of dimensional analysis: Quantifying market impact
*Mathias Pohl*, *Alexander Ristig*, *Walter Schachermayer* and *Ludovic Tangpi*
- 2017: Estimation for the Prediction of Point Processes with Many Covariates
*Alessio Sancetta*
- 2017: Uncertain Volatility Models with Stochastic Bounds
*Jean-Pierre Fouque* and *Ning Ning*
- 2017: PyCaMa: Python for cash management
*Francisco Salas-Molina*, *Juan A. Rodr\'iguez-Aguilar* and *Pablo D\'iaz-Garc\'ia*
- 2017: Multi-Dimensional Pass-Through, Incidence, and the Welfare Burden of Taxation in Oligopoly
*Takanori Adachi* and *Michal Fabinger*
- 2017: A hybrid approach for risk assessment of loan guarantee network
*Zhibin Niu*, *Dawei Cheng*, *Junchi Yan*, *Jiawan Zhang*, *Liqing Zhang* and *Hongyuan Zha*
- 2017: Hawkes process model with a time-dependent background rate and its application to high-frequency financial data
*Takahiro Omi*, *Yoshito Hirata* and *Kazuyuki Aihara*
- 2017: Estimating VaR in credit risk: Aggregate vs single loss distribution
*M. Assadsolimani* and *D. Chetalova*
- 2017: Regularities and Irregularities in Order Flow Data
*Martin Theissen*, *Sebastian M. Krause* and *Thomas Guhr*
- 2017: Contagion in financial systems: A Bayesian network approach
*Carsten Chong* and *Claudia Kl\"uppelberg*
- 2017: Pricing Non-cash Collateralized Derivatives and Collateral Optimization with Liquidity Value Adjustment
*Wujiang Lou*
- 2017: Labor Contract Law -An Economic View
*Yaofeng Fu*, *Ruokun Huang* and *Yiran Sheng*
- 2017: Trading Lightly: Cross-Impact and Optimal Portfolio Execution
*Iacopo Mastromatteo*, *Michael Benzaquen*, *Zoltan Eisler* and *Jean-Philippe Bouchaud*
- 2017: Short Maturity Asian Options for the CEV Model
*Dan Pirjol* and *Lingjiong Zhu*
- 2017: A Theory of Market Efficiency
*Anup Rao*
- 2017: Invariance properties in the dynamic gaussian copula model *
*St\'ephane Cr\'epey* and *Shiqi Song*
- 2017: An applied spatial agent-based model of administrative boundaries using SEAL
*Bernardo Alves Furtado* and *Isaque Daniel Eberhardt Rocha*
- 2017: Estimation of Risk Contributions with MCMC
*Takaaki Koike* and *Mihoko Minami*
- 2017: Super Generalized Central Limit Theorem: Limit distributions for sums of non-identical random variables with power-laws
*Masaru Shintani* and *Ken Umeno*
- 2017: Rough volatility: evidence from option prices
*Giulia Livieri*, *Saad Mouti*, *Andrea Pallavicini* and *Mathieu Rosenbaum*
- 2017: Econophysics of Macroeconomics: "Action-at-a-Distance" and Waves
*Victor Olkhov*
- 2017: One-Switch Discount Functions
*Nina Anchugina*
- 2017: Conditional Davis Pricing
*Kasper Larsen*, *Halil Mete Soner* and *Gordan \v{Z}itkovi\'c*
- 2017: The Installation Costs of a Satellite and Space Shuttle Launch Complex as a Public Expenditure Project
*Dogus Ozuyar*, *Sevilay Gumus Ozuyar*, *Oguzhan Karadeniz* and *Ozge Varol*
- 2017: Existence, uniqueness, and stability of optimal portfolios of eligible assets
*Michel Baes*, *Pablo Koch-Medina* and *Cosimo Munari*
- 2017: Type-Compatible Equilibria in Signalling Games
*Drew Fudenberg* and *Kevin He*
- 2017: Business Dynamics in KPI Space. Some thoughts on how business analytics can benefit from using principles of classical physics
*Alex Ushveridze*
- 2017: Existence of a Radner equilibrium in a model with transaction costs
*Kim Weston*
- 2017: Demonetization and Its Impact on Employment in India
*Pawan Kumar*
- 2017: Perfect hedging under endogenous permanent market impacts
*Masaaki Fukasawa* and *Mitja Stadje*
- 2017: Hyperbolic Discounting of the Far-Distant Future
*Nina Anchugina*, *Matthew Ryan* and *Arkadii Slinko*
- 2017: Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical Test of Market Efficiency
*Md. Mahmudul Alam*, *Kazi Ashraful Alam* and *Md. Gazi Salah Uddin*
- 2017: Monetary value measures in a category of probability spaces
*Takanori Adachi* and *Yoshihiro Ryu*
- 2017: Estimation of a noisy subordinated Brownian Motion via two-scales power variations
*Jose E. Figueroa-Lopez* and *K. Lee*
- 2017: Invariance times
*St\'ephane Cr\'epey* and *Shiqi Song*
- 2017: Emergence of Distributed Coordination in the Kolkata Paise Restaurant Problem with Finite Information
*Diptesh Ghosh* and *Anindya S. Chakrabarti*
- 2017: Approaches to Asian Option Pricing with Discrete Dividends
*Jacob Lundgren* and *Yuri Shpolyanskiy*
- 2017: On utility maximization without passing by the dual problem
*Miklos Rasonyi*
- 2017: Record statistics of a strongly correlated time series: random walks and L\'evy flights
*Claude Godreche*, *Satya N. Majumdar* and *Gregory Schehr*
- 2017: A confidence-based model for asset and derivative prices in the BitCoin market
*Alessandra Cretarola* and *Gianna Fig\`a Talamanca*
- 2017: The valuation of European option with transaction costs by mixed fractional Merton model
*Foad Shokrollahi*
- 2017: Zipf's law for share price and company fundamentals
*Taisei Kaizoji* and *Michiko Miyano*
- 2017: A taxonomy of learning dynamics in 2 x 2 games
*Marco Pangallo*, *James Sanders*, *Tobias Galla* and *Doyne Farmer*
- 2017: Predicting Auction Price of Vehicle License Plate with Deep Recurrent Neural Network
*Vinci Chow*
- 2017: Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets
*Antoaneta Serguieva*
- 2017: Calibration of a Four-Factor Hybrid Local-Stochastic Volatility Model with a New Control Variate Particle Method
*Matthieu Mariapragassam*, *Andrei Cozma* and *Christoph Reisinger*
- 2017: On the tail behavior of a class of multivariate conditionally heteroskedastic processes
*Rasmus Pedersen* and *Olivier Wintenberger*
- 2017: Serially Nested CES Production Frontiers
*Satoshi Nakano* and *Kazuhiko Nishimura*
- 2017: Optimal liquidation in a Level-I limit order book for large tick stocks
*Antoine Jacquier* and *Hao Liu*
- 2017: Optimal shrinkage-based portfolio selection in high dimensions
*Taras Bodnar*, *Yarema Okhrin* and *Nestor Parolya*
- 2017: Volatility Smile as Relativistic Effect
*Zura Kakushadze*
- 2017: Multivariate GARCH with dynamic beta
*Matthias Raddant* and *Friedrich Wagner*
- 2017: Trader lead-lag networks and order flow prediction
*Damien Challet*, *R\'emy Chicheportiche*, *Mehdi Lallouache* and *Serge Kassibrakis*
- 2017: Elicitability and backtesting: Perspectives for banking regulation
*Natalia Nolde* and *Johanna F. Ziegel*
- 2017: Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
*Antonis Papapantoleon* and *Robert Wardenga*
- 2017: On American VIX options under the generalized 3/2 and 1/2 models
*Yerkin Kitapbayev* and *Jerome Detemple*
- 2017: On the properties of the Lambda value at risk: robustness, elicitability and consistency
*Matteo Burzoni*, *Ilaria Peri* and *Chiara Maria Ruffo*
- 2017: Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes
*Milan Kumar Das*, *Anindya Goswami* and *Nimit Rana*
- 2017: Affine multiple yield curve models
*Christa Cuchiero*, *Claudio Fontana* and *Alessandro Gnoatto*
- 2017: Backtesting Lambda Value at Risk
*Jacopo Corbetta* and *Ilaria Peri*
- 2017: Limit-order book resiliency after effective market orders: Spread, depth and intensity
*Hai-Chuan Xu*, *Wei Chen*, *Xiong Xiong*, *Wei Zhang*, *Wei-Xing Zhou* and *H Eugene Stanley*
- 2017: Equilibrium pricing under relative performance concerns
*Jana Bielagk*, *Arnaud Lionnet* and *Goncalo Dos Reis*
- 2017: Why Indexing Works
*J. B. Heaton*, *N. G. Polson* and *J. H. Witte*
- 2017: Central Clearing Valuation Adjustment
*Yannick Armenti* and *St\'ephane Cr\'epey*
- 2017: Incomplete stochastic equilibria for dynamic monetary utility
*Constantinos Kardaras*, *Hao Xing* and *Gordan \v{Z}itkovi\'c*
- 2017: Sharper asset ranking from total drawdown durations
*Damien Challet*
- 2017: Introduction to Stochastic Differential Equations (SDEs) for Finance
*A. Papanicolaou*
- 2017: Sensitivity analysis for expected utility maximization in incomplete Brownian market models
*Julio Backhoff Veraguas* and *Francisco Silva*
- 2017: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models
*Archil Gulisashvili*, *Frederi Viens* and *Xin Zhang*
- 2017: Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2017: Fractional delta hedging strategy for pricing currency options with transaction costs
*Foad Shokrollahi*
- 2017: An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model
*Takashi Kato*
- 2017: On a class of path-dependent singular stochastic control problems
*Romuald Elie*, *Ludovic Moreau* and *Dylan Possama\"i*
- 2017: Understanding food inflation in India: A Machine Learning approach
*Akash Malhotra* and *Mayank Maloo*
- 2017: Asset liquidation under drift uncertainty and regime-switching volatility
*Juozas Vaicenavicius*
- 2017: Decision structure of risky choice
*Lamb Wubin* and *Naixin Ren*
- 2017: Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach
*Rafael Company*, *Vera Egorova*, *Lucas J\'odar* and *Fazlollah Soleymani*
- 2017: Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models
*Tomasz R. Bielecki*, *Igor Cialenco* and *Marek Rutkowski*
- 2017: Computing the aggregate loss distribution based on numerical inversion of the compound empirical characteristic function of frequency and severity
*Viktor Witkovsky*, *Gejza Wimmer* and *Tomas Duby*
- 2017: A stability result on optimal Skorokhod embedding
*Gaoyue Guo*
- 2017: Supply based on demand dynamical model
*Asaf Levi*, *Juan Sabuco* and *Miguel A. F. Sanjuan*
- 2017: Premium valuation for a multiple state model containing manifold premium-paid states
*Joanna D\k{e}bicka* and *Beata Zmy\'slona*
- 2017: Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes
*Swarn Chatterjee*
- 2017: Time Series Copulas for Heteroskedastic Data
*Rub\'en Loaiza-Maya*, *Michael S. Smith* and *Worapree Maneesoonthorn*
- 2017: Monotone Martingale Transport Plans and Skorohod Embedding
*Mathias Beiglboeck*, *Pierre Henry-Labordere* and *Nizar Touzi*
- 2017: Econophysics Macroeconomic Model
*Victor Olkhov*
- 2017: Economic Growth Model with Constant Pace and Dynamic Memory
*Valentina V. Tarasova* and *Vasily E. Tarasov*
- 2017: A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation
*Andrzej Ruszczynski* and *Jianing Yao*
- 2017: Topology data analysis of critical transitions in financial networks
*Marian Gidea*
- 2017: Asymptotic efficiency of the proportional compensation scheme for a large number of producers
*Dmitry B. Rokhlin* and *Anatoly Usov*
- 2017: Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
*Niushan Gao*, *Denny H. Leung*, *Cosimo Munari* and *Foivos Xanthos*
- 2017: Bank monitoring incentives under moral hazard and adverse selection
*Nicol\'as Hern\'andez Santib\'a\~nez*, *Dylan Possama\"i* and *Chao Zhou*
- 2017: The Value of Timing Risk
*Jiro Akahori*, *Flavia Barsotti* and *Yuri Imamura*
- 2017: The Internet as Quantitative Social Science Platform: Insights from a Trillion Observations
*Klaus Ackermann*, *Simon D Angus* and *Paul Raschky*
- 2017: An Optimal Combination of Proportional and Stop-Loss Reinsurance Contracts From Insurer's and Reinsurer's Viewpoints
*Amir T. Payandeh-Najafabadi* and *Ali Panahi-Bazaz*
- 2017: An Optimal Multi-layer Reinsurance Policy under Conditional Tail Expectation
*Amir T. Payandeh Najafabadi* and *Ali Panahi Bazaz*
- 2017: Dynamic Prize Linked Savings: Maximizing Savings and Managing Risk
*Oisin Connolly*
- 2017: Some correspondences between Index Number Theory in economy and the General Theory of Relativity in physics
*Ali Hosseiny*
- 2017: Mean-Reverting Portfolio Design with Budget Constraint
*Ziping Zhao* and *Daniel P. Palomar*
- 2017: Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version
*Ruediger Frey*, *Lars Roesler* and *Dan Lu*
- 2017: An application of time reversal to credit risk management
*Masahiko Egami* and *Rusudan Kevkhishvili*
- 2017: A geometric approach to the transfer problem for a finite number of traders
*Tomohiro Uchiyama*
- 2017: Interpolating between matching and hedonic pricing models
*Brendan Pass*
- 2017: On VIX Futures in the rough Bergomi model
*Antoine Jacquier*, *Claude Martini* and *Aitor Muguruza*
- 2017: Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
*Anulekha Dhara*, *Bikramjit Das* and *Karthik Natarajan*
- 2017: A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities
*Seyed Amir Hejazi*, *Kenneth R. Jackson* and *Guojun Gan*
- 2017: Optimal Trading with a Trailing Stop
*Tim Leung* and *Hongzhong Zhang*
- 2017: A Black--Scholes inequality: applications and generalisation
*Michael R. Tehranchi*
- 2017: The structural constraints of income inequality in Latin America
*Dominik Hartmann*, *Cristian Jara-Figueroa*, *Miguel Guevara*, *Alex Simoes* and *C\'esar A. Hidalgo*
- 2017: Parallelizing Computation of Expected Values in Recombinant Binomial Trees
*Sai K. Popuri*, *Andrew M. Raim*, *Nagaraj K. Neerchal* and *Matthias K. Gobbert*
- 2017: Trading strategies for stock pairs regarding to the cross-impact cost
*Shanshan Wang*
- 2017: Robust Portfolio Optimisation with Specified Competitors
*Gon\c{c}alo Sim\~oes*, *Mark McDonald*, *Stacy Williams*, *Daniel Fenn* and *Raphael Hauser*
- 2017: Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
*Andrey Itkin*
- 2017: Phase-type Approximation of the Gerber-Shiu Function
*Kazutoshi Yamazaki*
- 2017: Recursive Marginal Quantization of Higher-Order Schemes
*Thomas McWalter*, *R. Rudd*, *J. Kienitz* and *E. Platen*
- 2017: Property Safety Stock Policy for Correlated Commodities Based on Probability Inequality
*Takashi Shinzato*
- 2017: Political elections and uncertainty -Are BRICS markets equally exposed to Trump's agenda?
*Jamal Bouoiyour* and *Refk Selmi*
- 2017: Stability for gains from large investors' strategies in M1/J1 topologies
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2017: Asset correlation estimation for inhomogeneous exposure pools
*Christoph Wunderer*
- 2017: Functional Analytic (Ir-)Regularity Properties of SABR-type Processes
*Leif D\"oring*, *Blanka Horvath* and *Josef Teichmann*
- 2017: Pricing insurance drawdown-type contracts with underlying L\'evy assets
*Zbigniew Palmowski* and *Joanna Tumilewicz*
- 2017: The Shapley Value of Digraph Games
*Krishna Khatri*
- 2017: Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
*Wenting Chen*, *Kai Du* and *Xinzi Qiu*
- 2017: Chebyshev Reduced Basis Function applied to Option Valuation
*Javier de Frutos* and *Victor Gaton*
- 2017: Predicting Economic Recessions Using Machine Learning Algorithms
*Rickard Nyman* and *Paul Ormerod*
- 2017: Rational Decision-Making Under Uncertainty: Observed Betting Patterns on a Biased Coin
*Victor Haghani* and *Richard Dewey*
- 2017: Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets
*V. Gontis* and *A. Kononovicius*
- 2017: Efficient asymptotic variance reduction when estimating volatility in high frequency data
*Simon Clinet* and *Yoann Potiron*
- 2017: Brownian trading excursions and avalanches
*Friedrich Hubalek*, *Paul Kr\"uhner* and *Thorsten Rheinl\"ander*
- 2017: Pricing European Options by Stable Fourier-Cosine Series Expansions
*Chunfa Wang*
- 2017: Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
*Tim Leung* and *Yerkin Kitapbayev*
- 2017: Net Stable Funding Ratio: Impact on Funding Value Adjustment
*Medya Siadat* and *Ola Hammarlid*
- 2017: Multinomial method for option pricing under Variance Gamma
*Nicola Cantarutti* and *Jo\~ao Guerra*
- 2017: Measuring the temperature and diversity of the U.S. regulatory ecosystem
*Michael J Bommarito* and *Daniel Martin Katz*
- 2017: Fractional Dynamics of Natural Growth and Memory Effect in Economics
*Valentina V. Tarasova* and *Vasily E. Tarasov*
- 2017: Analytic solution to variance optimization with no short-selling
*Imre Kondor*, *G\'abor Papp* and *Fabio Caccioli*
- 2017: Information, Impact, Ignorance, Illegality, Investing, and Inequality
*Bruce Knuteson*
- 2017: Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping
*Kiran Sharma*, *Balagopal Gopalakrishnan*, *Anindya S. Chakrabarti* and *Anirban Chakraborti*
- 2017: Price Dynamics Via Expectations, and the Role of Money Therein
*Gesine A. Steudle*, *Saini Yang* and *Carlo C. Jaeger*
- 2017: The Fatou Closedness under Model Uncertainty
*Marco Maggis*, *Thilo Meyer-Brandis* and *Gregor Svindland*
- 2017: Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions
*J. D. Opdyke*
- 2017: Mixture Diffusion for Asset Pricing
*Xin Liu*
- 2017: The dividend problem with a finite horizon
*Tiziano De Angelis* and *Erik Ekstr\"om*
- 2017: Role of Intensive and Extensive Variables in a Soup of Firms in Economy to Address Long Run Prices and Aggregate Data
*Ali Hosseiny* and *Mauro Gallegati*
- 2017: A functional convergence theorem for interpolated Markov chains to an infinite dimensional diffusion with application to limit order books
*Ulrich Horst* and *D\"orte Kreher*
- 2017: Intergenerational Equity in a Finite Horizon
*Satoshi Nakano* and *Kazuhiko Nishimura*
- 2017: Multifactor CES General Equilibrium: Models and Applications
*Jiyoung Kim*, *Satoshi Nakano* and *Kazuhiko Nishimura*
- 2017: Statistical Industry Classification
*Zura Kakushadze* and *Willie Yu*
- 2017: MPDATA Meets Black-Scholes: Derivative Pricing as a Transport Problem
*Sylwester Arabas* and *Ahmad Farhat*
- 2017: Existence of a calibrated regime switching local volatility model and new fake Brownian motions
*Benjamin Jourdain* and *Alexandre Zhou*
- 2017: Mean field games of timing and models for bank runs
*Rene Carmona*, *Francois Delarue* and *Daniel Lacker*
- 2017: A constraint-based framework to study rationality, competition and cooperation in fisheries
*Christian Mullon* and *Charles Mullon*
- 2017: Exponentially concave functions and a new information geometry
*Soumik Pal* and *Ting-Kam Leonard Wong*
- 2017: Optimal market making
*Olivier Gu\'eant*
- 2017: Factor Models for Cancer Signatures
*Zura Kakushadze* and *Willie Yu*
- 2017: Concurrent Credit Portfolio Losses
*Joachim Sicking*, *Thomas Guhr* and *Rudi Sch\"afer*
- 2017: A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
*Tomasz R. Bielecki*, *Igor Cialenco* and *Marcin Pitera*
- 2017: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
*Tomas Krehlik* and *Jozef Baruník*
- 2017: David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs
*Ravi Kashyap*
- 2017: Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance
*Thibaut Lux* and *Antonis Papapantoleon*
- 2017: Statistical Risk Models
*Zura Kakushadze* and *Willie Yu*
- 2017: Optimal investment and consumption with liquid and illiquid assets
*Jin Hyuk Choi*
- 2017: Comonotonic risk measures in a world without risk-free assets
*Pablo Koch-Medina*, *Cosimo Munari* and *Gregor Svindland*
- 2017: Option Pricing in Markets with Unknown Stochastic Dynamics
*Hanno Gottschalk*, *Elpida Nizami* and *Marius Schubert*
- 2017: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate
*Pavel V. Shevchenko* and *Xiaolin Luo*
- 2017: Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
*Imke Redeker* and *Ralf Wunderlich*
- 2017: Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model
*Aur\'elien Hazan*
- 2017: Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data
*Richard Y. Chen* and *Per A. Mykland*
- 2017: Optimal Control of Conditional Value-at-Risk in Continuous Time
*Christopher W. Miller* and *Insoon Yang*
- 2017: Dynamic programming approach to principal-agent problems
*Jak\v{s}a Cvitani\'c*, *Dylan Possama\"i* and *Nizar Touzi*
- 2017: High-frequency limit of Nash equilibria in a market impact game with transient price impact
*Alexander Schied*, *Elias Strehle* and *Tao Zhang*
- 2017: Correlated Poisson processes and self-decomposable laws
*Nicola Cufaro Petroni* and *Piergiacomo Sabino*
- 2017: Linking Economic Complexity, Institutions and Income Inequality
*Dominik Hartmann*, *M. R. Guevara*, *C. Jara-Figueroa*, *M. Aristaran* and *Cesar Hidalgo*
- 2017: An equilibrium model for spot and forward prices of commodities
*Michail Anthropelos*, *Michael Kupper* and *Antonis Papapantoleon*
- 2017: VWAP Execution as an Optimal Strategy
*Takashi Kato*
- 2017: On the optimal exercise boundaries of swing put options
*Tiziano De Angelis* and *Yerkin Kitapbayev*
- 2017: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
*Tiziano De Angelis*, *Salvatore Federico* and *Giorgio Ferrari*
- 2017: A heuristic pricing and hedging framework for multi-currency fixed income desks
*Eduard Gim\'enez*, *Alberto Elices* and *Giovanna Villani*
- 2017: Sensitivity analysis in a market with memory
*David R. Banos*, *Giulia Di Nunno* and *Frank Proske*
- 2017: On the Market Viability under Proportional Transaction Costs
*Erhan Bayraktar* and *Xiang Yu*
- 2017: Stationary Markov Perfect Equilibria in Discounted Stochastic Games
*Wei He* and *Yeneng Sun*
- 2017: Stock price direction prediction by directly using prices data: an empirical study on the KOSPI and HSI
*Yanshan Wang*
- 2017: Smooth solutions to portfolio liquidation problems under price-sensitive market impact
*Paulwin Graewe*, *Ulrich Horst* and *Eric S\'er\'e*
- 2017: Deriving Derivatives
*Andrei N. Soklakov*
- 2017: General Smooth Solutions to the HJB PDE: Applications to Finance
*Moawia Alghalith*
- 2017: Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces
*Zbigniew Palmowski* and *Sebastian Baran*
- 2017: Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
*Takashi Kato*
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