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2015: Sensitivity and Computational Complexity in Financial Networks Downloads
Brett Hemenway and Sanjeev Khanna
2015: Network formation with value heterogeneity: centrality, segregation and adverse effects Downloads
Andreas Bjerre-Nielsen
2015: Optimal Position Management for a Market Maker with Stochastic Price Impacts Downloads
Masaaki Fujii
2015: A study of co-movements between USA and Latin American stock markets: a cross-bicorrelations perspective Downloads
Semei Coronado, Omar Rojas, Rafael Romero-Meza and Francisco Venegas-Martínez
2015: Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights Downloads
Jonathan Donier and Jean-Philippe Bouchaud
2015: A Unified Approach to Systemic Risk Measures via Acceptance Sets Downloads
Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli and Thilo Meyer-Brandis
2015: Measuring Systemic Risk: Robust Ranking Techniques Approach Downloads
Amirhossein Sadoghi
2015: Canonical Sectors and Evolution of Firms in the US Stock Markets Downloads
Ricky Chachra, Alexander A. Alemi, Lorien X. Hayden, Paul H. Ginsparg and James P. Sethna
2015: Insights in Economical Complexity in Spain: the hidden boost of migrants in international tradings Downloads
Elena Agliari, Adriano Barra, Andrea Galluzzi, Francisco Requena-Silvente and Daniele Tantari
2015: Principal Components Analysis for Semi-Martingales and Stochastic PDE Downloads
Alberto Ohashi and Alexandre B Simas
2015: Risk Sensitive Control of the Lifetime Ruin Problem Downloads
Erhan Bayraktar and Asaf Cohen
2015: Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion Downloads
Hagen Kleinert and Jan Korbel
2015: Club Convergence of House Prices: Evidence from China's Ten Key Cities Downloads
Hao Meng, Wen-Jie Xie and Wei-Xing Zhou
2015: Almost-sure hedging with permanent price impact Downloads
B. Bouchard, G. Loeper and Y. Zou
2015: The Principal-Agent Problem With Time Inconsistent Utility Functions Downloads
Boualem Djehiche and Peter Helgesson
2015: ON Integrated Chance Constraints in ALM for Pension Funds Downloads
Youssouf A. F. Toukourou and Fran\c{c}ois Dufresne
2015: Re-visiting the Distance Coefficient in Gravity Model Downloads
Haonan Wu
2015: Pricing of Warrants with Stock Price Dependent Threshold Conditions Downloads
Ander Olvik and Raul Kangro
2015: Tornadoes and related damage costs: statistical modeling with a semi-Markov approach Downloads
Chiara Corini, Guglielmo D'Amico, Filippo Petroni, Flavio Prattico and Raimondo Manca
2015: Randomizing bipartite networks: the case of the World Trade Web Downloads
Fabio Saracco, Riccardo Di Clemente, Andrea Gabrielli and Tiziano Squartini
2015: The affine inflation market models Downloads
Stefan Waldenberger
2015: From anti-conformism to extremism Downloads
G\'erard Weisbuch
2015: A dynamic game on Green Supply Chain Management Downloads
Mehrnoosh Khademi, Massimiliano Ferrara, Bruno Pansera and Mehdi Salimi
2015: Optimal risk allocation in a market with non-convex preferences Downloads
Hirbod Assa
2015: Measuring switching processes in financial markets with the Mean-Variance spin glass approach Downloads
Jan Jurczyk
2015: L\'evy Processes For Finance: An Introduction In R Downloads
D. J. Manuge
2015: Bounds for randomly shared risk of heavy-tailed loss factors Downloads
Oliver Kley and Claudia Kluppelberg
2015: Numerical approximations for Heston-Hull-White type models Downloads
M. Briani, L. Caramellino and A. Zanette
2015: Profitable forecast of prices of stock options on real market data via the solution of an ill-posed problem for the Black-Scholes equation Downloads
Michael V. Klibanov and Andrey V. Kuzhuget
2015: Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets Downloads
Yu-Lei Wan, Wen-Jie Xie, Gao-Feng Gu, Zhi-Qiang Jiang, Wei Chen, Xiong Xiong, Wei Zhang and Wei-Xing Zhou
2015: Symmetry structure and solution of evolution-type equations with time dependent parameters in financial Mathematics Downloads
Michael Okelola and Keshlan Govinder
2015: Negative Dependence Concept in Copulas and the Marginal Free Herd Behavior Index Downloads
Jae Youn Ahn
2015: Some new results on Dufffie-type OTC markets Downloads
Alain B\'elanger, Gaston Giroux and Ndoun\'e Ndoun\'e
2015: On robust pricing--hedging duality in continuous time Downloads
Zhaoxu Hou and Jan Obloj
2015: Cournot Games with Uncertainty: Coalitions, Competition, and Efficiency Downloads
Baosen Zhang, Ramesh Johari and Ram Rajagopal
2015: Detecting and interpreting distortions in hierarchical organization of complex time series Downloads
Stanis{\l}aw Dro\.zd\.z and Pawe{\l} O\'swi\k{e}cimka
2015: Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case Downloads
Erhan Bayraktar, Virginia R. Young and David Promislow
2015: Compounding approach for univariate time series with non-stationary variances Downloads
Rudi Sch\"afer, Sonja Barkhofen, Thomas Guhr, Hans-J\"urgen St\"ockmann and Ulrich Kuhl
2015: A generic model for spouse's pensions with a view towards the calculation of liabilities Downloads
Alexander Sokol
2015: Game-theoretic approach to risk-sensitive benchmarked asset management Downloads
Amogh Deshpande and Saul D. Jacka
2015: A Quantization Approach to the Counterparty Credit Exposure Estimation Downloads
M. Bonollo, L. Di Persio, I. Oliva and A. Semmoloni
2015: Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data Downloads
Frederik Meudt, Martin Theissen, Rudi Sch\"afer and Thomas Guhr
2015: Optimally Investing to Reach a Bequest Goal Downloads
Erhan Bayraktar and Virginia R. Young
2015: Understanding Financial Market States Using Artificial Double Auction Market Downloads
Kyubin Yim, Gabjin Oh and Seunghwan Kim
2015: Affine LIBOR models driven by real-valued affine processes Downloads
Stefan Waldenberger and Wolfgang M\"uller
2015: Influence network in Chinese stock market Downloads
Ya-Chun Gao, Yong Zeng and Shi-Min Cai
2015: Leveraging the network: a stress-test framework based on DebtRank Downloads
Stefano Battiston, Marco D'Errico, Stefano Gurciullo and Guido Caldarelli
2015: Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example Downloads
Yuriy Stepanov, Philip Rinn, Thomas Guhr, Joachim Peinke and Rudi Sch\"afer
2015: Diversity waves in collapse-driven population dynamics Downloads
Sergei Maslov and Kim Sneppen
2015: State and group dynamics of world stock market by principal component analysis Downloads
Ashadun Nobi and Jae Woo Lee
2015: An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab Downloads
Ricardo Crisostomo
2015: Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates Downloads
Andrei Cozma and Christoph Reisinger
2015: Shortfall Deviation Risk: An alternative to risk measurement Downloads
Marcelo Brutti Righi and Paulo Sergio Ceretta
2015: Adaptive Market Efficiency of Agricultural Commodity Futures Contracts Downloads
Semei Coronado-Ram\'irez, Pedro Celso-Arellano and Omar Rojas
2015: Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange Downloads
Mitsuaki Murota and Jun-ichi Inoue
2015: A fully consistent, minimal model for non-linear market impact Downloads
Jonathan Donier, Julius Bonart, Iacopo Mastromatteo and Jean-Philippe Bouchaud
2015: Identifying A Screening Model with Multidimensional Private Information Downloads
Gaurab Aryal
2015: Portfolio Selection with Multiple Spectral Risk Constraints Downloads
Carlos Abad and Garud Iyengar
2015: Ross Recovery with Recurrent and Transient Processes Downloads
Hyungbin Park
2015: Sudden Trust Collapse in Networked Societies Downloads
Jo\~ao da Gama Batista, Jean-Philippe Bouchaud and Damien Challet
2015: Near-optimal estimation of jump activity in semimartingales Downloads
Adam D. Bull
2015: Risk Premia: Asymmetric Tail Risks and Excess Returns Downloads
Y. Lemp\'eri\`ere, C. Deremble, T. T. Nguyen, P. Seager, M. Potters and J. P. Bouchaud
2015: A Lattice Framework for Pricing Display Ad Options with the Stochastic Volatility Underlying Model Downloads
Bowei Chen and Jun Wang
2015: On the role of F\"ollmer-Schweizer minimal martingale measure in Risk Sensitive control Asset Management Downloads
Amogh Deshpande
2015: Density of Skew Brownian motion and its functionals with application in finance Downloads
Alexander Gairat and Vadim Shcherbakov
2015: Moral Hazard in Dynamic Risk Management Downloads
Jak\v{s}a Cvitani\'c, Dylan Possama\"i and Nizar Touzi
2015: The limits of statistical significance of Hawkes processes fitted to financial data Downloads
Mehdi Lallouache and Damien Challet
2015: Notes on Alpha Stream Optimization Downloads
Zura Kakushadze
2015: Affine LIBOR models with multiple curves: theory, examples and calibration Downloads
Zorana Grbac, Antonis Papapantoleon, John Schoenmakers and David Skovmand
2015: Phynance Downloads
Zura Kakushadze
2015: On the Hawkes Process with Different Exciting Functions Downloads
Behzad Mehrdad and Lingjiong Zhu
2015: Optimal allocation of wealth for two consuming agents sharing a portfolio Downloads
Oumar Mbodji, Adrien Nguyen Huu and Traian A. Pirvu
2015: Asymptotic distribution of the Markowitz portfolio Downloads
Steven E. Pav
2015: Limit theorems for nearly unstable Hawkes processes Downloads
Thibault Jaisson and Mathieu Rosenbaum
2015: Learning from the past, predicting the statistics for the future, learning an evolving system Downloads
Daniel Levin, Terry Lyons and Hao Ni
2015: Social Discounting and the Long Rate of Interest Downloads
Dorje C. Brody and Lane P. Hughston
2015: Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions Downloads
Helena Jasiulewicz and Wojciech Kordecki
2015: Arbitrage and duality in nondominated discrete-time models Downloads
Bruno Bouchard and Marcel Nutz
2015: Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model Downloads
Jos\'{e} E. Figueroa-L\'{o}pez, Ruoting Gong and Christian Houdr\'{e}
2015: A hot-potato game under transient price impact Downloads
Alexander Schied and Tao Zhang
2015: Impact of time illiquidity in a mixed market without full observation Downloads
Salvatore Federico, Paul Gassiat and Fausto Gozzi
2015: The Evolution of Stock Market Efficiency in the U.S.: A Non-Bayesian Time-Varying Model Approach Downloads
Mikio Ito, Akihiko Noda and Tatsuma Wada
2015: Forest Fire Model as a Supercritical Dynamic Model in Financial Systems Downloads
Deokjae Lee, Jae-Young Kim, Jeho Lee and B. Kahng
2015: Metabolic paths in world economy and crude oil price Downloads
Francesco Picciolo, Andreas Papandreou and Franco Ruzzenenti
2015: Error analysis in Fourier methods for option pricing Downloads
Fabi\'an Crocce, Juho H\"app\"ol\"a, Jonas Kiessling and Ra\'ul Tempone
2015: Measures of Systemic Risk Downloads
Zachary Feinstein, Birgit Rudloff and Stefan Weber
2015: Developing Knowledge States: Technology and the Enhancement of National Statistical Capacity Downloads
Derrick M. Anderson and Andrew B. Whitford
2015: Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity Downloads
Tihomir Gyulov and Lyuben Valkov
2015: Feynman-Kac formula for L\'evy processes with discontinuous killing rate Downloads
Kathrin Glau
2015: Dynamics of quasi-stationary systems: Finance as an example Downloads
Philip Rinn, Yuriy Stepanov, Joachim Peinke, Thomas Guhr and Rudi Sch\"afer
2015: Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments Downloads
Stephane Crepey, Andrea Macrina, Tuyet Mai Nguyen and David Skovmand
2015: Comparing systemic risk in European government bonds and national indices Downloads
Jan Jurczyk, Alexander Eckrot and Ingo Morgenstern
2015: Estimation of Several Political Action Effects of Energy Prices Downloads
Andrew B. Whitford
2015: Model risk on credit risk Downloads
J. Molins and E. Vives
2015: A Framework for Modeling Bounded Rationality: Mis-specified Bayesian-Markov Decision Processes Downloads
Ignacio Esponda and Demian Pouzo
2015: International R&D Spillovers and other Unobserved Common Spillovers and Shocks Downloads
Diego-Ivan Ruge-Leiva
2015: Rotational invariant estimator for general noisy matrices Downloads
Jo\"el Bun, Romain Allez, Jean-Philippe Bouchaud and Marc Potters
2015: Arbitrage, hedging and utility maximization using semi-static trading strategies with American options Downloads
Erhan Bayraktar and Zhou Zhou
2015: Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes Downloads
Florian Ziel
2015: Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators Downloads
Antonio Dalessandro and Gareth W. Peters
2015: Contour map of estimation error for Expected Shortfall Downloads
Imre Kondor, Fabio Caccioli, G\'abor Papp and Matteo Marsili
2015: Threadneedle: An Experimental Tool for the Simulation and Analysis of Fractional Reserve Banking Systems Downloads
Jacky Mallett
2015: Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis Downloads
Maxim Bichuch, Agostino Capponi and Stephan Sturm
2015: Ho and Lee Model on a String Downloads
Zura Kakushadze
2015: Robust Utility Maximization with L\'evy Processes Downloads
Ariel Neufeld and Marcel Nutz
2015: The existence of optimal bang-bang controls for GMxB contracts Downloads
Parsiad Azimzadeh and Peter A. Forsyth
2015: Stock market comovements: nonlinear approach for 48 countries Downloads
Paulo Ferreira, Andreia Dion\'isio and S. M. S. Movahed
2015: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models Downloads
Archil Gulisashvili, Frederi Viens and Xin Zhang
2015: Detecting weaks signals with record statistics Downloads
Damien Challet
2015: How predictable is technological progress? Downloads
J. Doyne Farmer and François Lafond
2015: One-Shot Bargaining Mechanisms Downloads
Yakov Babichenko and Leonard J. Schulman
2015: Identification of Atlas models Downloads
Robert Fernholz
2015: Hawkes processes in finance Downloads
Emmanuel Bacry, Iacopo Mastromatteo and Jean-Fran\c{c}ois Muzy
2015: A dynamic optimal execution strategy under stochastic price recovery Downloads
Masashi Ieda
2015: A weak law of large numbers for a limit order book model with fully state dependent order dynamics Downloads
Ulrich Horst and D\"orte Kreher
2015: Non Parametric Estimates of Option Prices Using Superhedging Downloads
Gianluca Cassese
2015: Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing Downloads
Boris Buchmann, Benjamin Kaehler, Ross Maller and Alexander Szimayer
2015: Stationary distribution of the volume at the best quote in a Poisson order book model Downloads
Ioane Muni Toke
2015: Market Dynamics and Indirect Network Effects in Electric Vehicle Diffusion Downloads
Zhe Yu, Shanjun Li and Lang Tong
2015: Quasi-Newton particle Metropolis-Hastings applied to intractable likelihood models Downloads
Johan Dahlin, Fredrik Lindsten and Thomas B. Sch\"on
2015: Asymptotic indifference pricing in exponential L\'evy models Downloads
Cl\'ement M\'enass\'e and Peter Tankov
2015: Mass at zero and small-strike implied volatility expansion in the SABR model Downloads
Archil Gulisashvili, Blanka Horvath and Antoine Jacquier
2015: Diversification, protection of liability holders and regulatory arbitrage Downloads
Pablo Koch-Medina, Cosimo Munari and Mario Sikic
2015: Semi-Discrete method and stochastic volatility Downloads
Nikolaos Halidias and Ioannis Stamatiou
2015: Learning and Portfolio Decisions for HARA Investors Downloads
Michele Longo and Alessandra Mainini
2015: Consistent Recalibration of Yield Curve Models Downloads
Philipp Harms, David Stefanovits, Josef Teichmann and Mario W\"uthrich
2015: Dark-Pool Perspective of Optimal Market Making Downloads
M. Alessandra Crisafi and Andrea Macrina
2015: The Robust Merton Problem of an Ambiguity Averse Investor Downloads
Sara Biagini and Mustafa Pinar
2015: The pricing of lookback options and binomial approximation Downloads
Karl Grosse-Erdmann and Fabien Heuwelyckx
2015: Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps Downloads
Jos\'e E. Figueroa-L\'opez and Sveinn \'Olafsson
2015: Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities Downloads
Dimitri O. Ledenyov and Viktor O. Ledenyov
2015: Optimal portfolio with unobservable market parameters and certainty equivalence principle Downloads
Nikolai Dokuchaev
2015: Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process Downloads
Tatiana Belkina and Shangzhen Luo
2015: Information and Trading Targets in a Dynamic Market Equilibrium Downloads
Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi
2015: Systemic Risk with Exchangeable Contagion: Application to the European Banking System Downloads
Umberto Cherubini and Sabrina Mulinacci
2015: Archimedean-based Marshall-Olkin Distributions and Related Copula Functions Downloads
Sabrina Mulinacci
2015: Convex duality with transaction costs Downloads
Yan Dolinsky and H. Mete Soner
2015: Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation Downloads
Michael Ho, Zheng Sun and Jack Xin
2015: Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model Downloads
Frederik Meudt, Thilo A. Schmitt, Rudi Sch\"afer and Thomas Guhr
2015: A Directional Multivariate Value at Risk Downloads
Ra\'ul Torres, Rosa E. Lillo and Henry Laniado
2015: A New Methodology for Estimating Internal Credit Risk and Bankruptcy Prediction under Basel II Regime Downloads
M. Naresh Kumar and V. Sree Hari Rao
2015: An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions Downloads
Eric Dahlgren and Tim Leung
2015: How volatilities nonlocal in time affect the price dynamics in complex financial systems Downloads
Lei Tan, Bo Zheng, Jun-Jie Chen and Xiong-Fei Jiang
2015: On the multiplicative effect of government spending (or any other spending for that matter) Downloads
Jo\~ao P. da Cruz
2015: Quasi-Centralized Limit Order Books Downloads
Martin D. Gould, Mason A. Porter and Sam D. Howison
2015: An equilibrium model for spot and forward prices of commodities Downloads
Michail Anthropelos, Michael Kupper and Antonis Papapantoleon
2015: Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties Downloads
Tim Leung and Yoshihiro Shirai
2015: Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components Downloads
Ladislav Krištoufek
2015: Direct Foreign Investment in Kurdistan Region of Middle-East: Non-Oil Sector Analysis Downloads
Angus O. Unegbu and Augustine Okanlawon
2015: Portfolio Optimization under Shortfall Risk Constraint Downloads
Oliver Janke and Qinghua Li
2015: Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples Downloads
Maxim Bichuch, Agostino Capponi and Stephan Sturm
2015: Consumption investment optimization with Epstein-Zin utility in incomplete markets Downloads
Hao Xing
2015: Toward robust early-warning models: A horse race, ensembles and model uncertainty Downloads
Markus Holopainen and Peter Sarlin
2015: Optional Decomposition for continuous semimartingales under arbitrary filtrations Downloads
Ioannis Karatzas and Constantinos Kardaras
2015: Community detection in temporal multilayer networks, and its application to correlation networks Downloads
Marya Bazzi, Mason A. Porter, Stacy Williams, Mark McDonald, Daniel J. Fenn and Sam D. Howison
2015: Nonlinear GARCH model and 1/f noise Downloads
Aleksejus Kononovicius and Julius Ruseckas
2015: Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA Downloads
Giovanni Mottola
2015: Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit Downloads
Tim Leung and Xin Li
2015: Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization and Ross Recovery Downloads
Likuan Qin and Vadim Linetsky
2015: Optimizing Credit Portfolio Using a Quadratic Nonlinear Projection Method Downloads
Boguk Kim
2015: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models Downloads
Rodrigo Targino, Gareth W. Peters and Pavel V. Shevchenko
2015: Herding interactions as an opportunity to prevent extreme events in financial markets Downloads
Aleksejus Kononovicius and Vygintas Gontis
2015: VWAP Execution as an Optimal Strategy Downloads
Takashi Kato
2015: Diversification and Endogenous Financial Networks Downloads
Jean-Cyprien H\'eam and Erwan Koch
2015: Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty Downloads
Matteo Burzoni, Marco Frittelli and Marco Maggis
2015: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs Downloads
Tiziano De Angelis, Salvatore Federico and Giorgio Ferrari
2015: A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics Downloads
Christian Bayer, Ulrich Horst and Jinniao Qiu
2015: Paths and indices of maximal tail dependence Downloads
Edward Furman, Jianxi Su and Ri\v{c}ardas Zitikis
2015: Spectral Model of Turnover Reduction Downloads
Zura Kakushadze
2015: Martingale optimal transport in the Skorokhod space Downloads
Y. Dolinsky and H. M. Soner
2015: Reward-risk momentum strategies using classical tempered stable distribution Downloads
Jaehyung Choi, Young Shin Kim and Ivan Mitov
2015: Systemic Risk and Default Clustering for Large Financial Systems Downloads
Konstantinos Spiliopoulos
2015: Trading with Small Price Impact Downloads
Ludovic Moreau, Johannes Muhle-Karbe and H. Mete Soner
2015: Left tail of the sum of dependent positive random variables Downloads
Peter Tankov
2015: From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options Downloads
Lorenz Schneider and Bertrand Tavin
2015: Quasi-Hadamard differentiability of general risk functionals and its application Downloads
Volker Kr\"atschmer, Alexander Schied and Henryk Z\"ahle
2015: Second order statistics characterization of Hawkes processes and non-parametric estimation Downloads
Emmanuel Bacry and Jean-Francois Muzy
2015: A state-constrained differential game arising in optimal portfolio liquidation Downloads
Alexander Schied and Tao Zhang
2015: Liquidation of an indivisible asset with independent investment Downloads
Emilie Fabre, Guillaume Royer and Nizar Touzi
2015: Option pricing and hedging with execution costs and market impact Downloads
Olivier Gu\'eant and Jiang Pu
2015: On strong binomial approximation for stochastic processes and applications for financial modelling Downloads
Nikolai Dokuchaev
2015: Default Clustering in Large Pools: Large Deviations Downloads
Konstantinos Spiliopoulos and Richard B. Sowers
2015: Optimal Liquidity Provision Downloads
Christoph K\"uhn and Johannes Muhle-Karbe
2015: Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data Downloads
Krenar Avdulaj and Jozef Baruník
2015: Continuous-Time Public Good Contribution under Uncertainty Downloads
Giorgio Ferrari, Frank Riedel and Jan-Henrik Steg
2015: Fluctuation Analysis for the Loss From Default Downloads
Konstantinos Spiliopoulos, Justin A. Sirignano and Kay Giesecke
2015: An Optimal Execution with Uncertain Market Impact Downloads
Kensuke Ishitani and Takashi Kato
2015: Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation Downloads
Salvatore Federico, Paul Gassiat and Fausto Gozzi
2015: Asymptotics of forward implied volatility Downloads
Antoine Jacquier and Patrick Roome
2015: Modeling and forecasting exchange rate volatility in time-frequency domain Downloads
Jozef Baruník, Tomas Krehlik and Lukas Vacha
2015: Large Portfolio Asymptotics for Loss From Default Downloads
Kay Giesecke, Konstantinos Spiliopoulos, Richard B. Sowers and Justin A. Sirignano
2015: The intensity of the random variable intercept in the sector of negative probabilities Downloads
Marcin Makowski, Edward W. Piotrowski, Jan S{\l}adkowski and Jacek Syska
2015: An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series Downloads
Alexander Schnurr
2015: Worldwide clustering of the corruption perception Downloads
Michal Paulus and Ladislav Krištoufek
2015: Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix Downloads
Patrick Steffen Michelberger and Jan Hendrik Witte
2015: Adaptive Filter Design for Stock Market Prediction Using a Correlation-based Criterion Downloads
J. E. Wesen, V. Vv. Vermehren and H. M. de Oliveira
2015: Information in stock prices and some consequences Downloads
Yannis G. Yatracos
2015: Liquidity costs: a new numerical methodology and an empirical study Downloads
Christophe Michel, Victor Reutenauer, Denis Talay and Etienne Tanr\'e
2015: Valuation Algorithms for Structural Models of Financial Interconnectedness Downloads
Johannes Hain and Tom Fischer
2015: Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk Downloads
Gildas Ratovomirija
2015: Optimal strategies of investment in a linear stochastic model of market Downloads
O. S. Rozanova and G. S. Kambarbaeva
2015: Short-time at-the-money skew and rough fractional volatility Downloads
Masaaki Fukasawa
2015: Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach Downloads
Jinbeom Kim and Tim Leung
2015: Positively-homogeneous Konus-Divisia indices and their applications to demand analysis and forecasting Downloads
Nikolay Klemashev and Alexander Shananin
2015: Interbank markets and multiplex networks: centrality measures and statistical null models Downloads
Leonardo Bargigli, Giovanni di Iasio, Luigi Infante, Fabrizio Lillo and Federico Pierobon
2015: Cascades in multiplex financial networks with debts of different seniority Downloads
Charles D. Brummitt and Teruyoshi Kobayashi
2015: Combining Alphas via Bounded Regression Downloads
Zura Kakushadze
2015: Bin Size Independence in Intra-day Seasonalities for Relative Prices Downloads
Esteban Guevara
2015: On the Modular Dynamics of Financial Market Networks Downloads
Filipi N. Silva, Cesar H. Comin, Thomas K. DM. Peron, Francisco A. Rodrigues, Cheng Ye, Richard C. Wilson, Edwin Hancock and Luciano da F. Costa
2015: Interactions between financial and environmental networks in OECD countries Downloads
Franco Ruzzenenti, Andreas Joseph, Elisa Ticci, Pietro Vozzella and Giampaolo Gabbi
2015: An optimal trading problem in intraday electricity markets Downloads
Ren\'e A\"id, Pierre Gruet and Huy\^en Pham
2015: Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures Downloads
Rohini Kumar
2015: Data manipulation detection via permutation information theory quantifiers Downloads
Aurelio Fernandez Bariviera, M. Bel\'en Guercio and Lisana B. Martinez
2015: On the martingale-fair index of return for investment funds Downloads
Leslaw Gajek and Marek Kaluszka
2015: Optimal Trading with Alpha Predictors Downloads
Filippo Passerini and Samuel E. Vazquez
2015: A New Approach to Model Free Option Pricing Downloads
Raphael Hauser and Sergey Shahverdyan
2015: The asymptotic smile of a multiscaling stochastic volatility model Downloads
Francesco Caravenna and Jacopo Corbetta
2015: Google matrix analysis of the multiproduct world trade network Downloads
Leonardo Ermann and Dima L. Shepelyansky
2015: Non-concave utility maximisation on the positive real axis in discrete time Downloads
Laurence Carassus, Mikl\'os R\'asonyi and Andrea M. Rodrigues
2015: Self-Financing Trading and the Ito-Doeblin Lemma Downloads
Chris Kenyon and Andrew Green
2015: The 20-60-20 Rule Downloads
Piotr Jaworski and Marcin Pitera
2015: Stochastic simulation framework for the Limit Order Book using liquidity motivated agents Downloads
Efstathios Panayi and Gareth Peters
2015: Robust Inference of Risks of Large Portfolios Downloads
Jianqing Fan, Fang Han, Han Liu and Byron Vickers
2015: The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs Downloads
Tim Leung and Brian Ward
2015: On financial applications of the two-parameter Poisson-Dirichlet distribution Downloads
Sergey Sosnovskiy
2015: Multiplicative Limit Order Markets with Transient Impact and Zero Spread Downloads
Dirk Becherer, Todor Bilarev and Peter Frentrup
2015: The Two Dimensions of Drawdown: Magnitude and Duration Downloads
Ola Mahmoud
2015: Optimal investment under behavioural criteria in incomplete diffusion market models Downloads
Mikl\'os R\'asonyi and Jos\'e Gregorio Rodr\'{i}guez-Villarreal
2015: Entropy-Based Financial Asset Pricing Downloads
Mihály Ormos and David Zibriczky
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Neil Shephard and Justin J. Yang
2015: Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA Downloads
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2015: On the optimal exercise boundaries of swing put options Downloads
Tiziano De Angelis and Yerkin Kitapbayev
2015: Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences Downloads
Chris Kenyon and Andrew Green
2015: Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods Downloads
Nicolo Musmeci, Tomaso Aste and Tiziana Di Matteo
2015: Combining Alpha Streams with Costs Downloads
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2015: Optimal Execution in Lit and Dark Pools Downloads
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2015: Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context Downloads
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2015: On the properties of nodal price response matrix in electricity markets Downloads
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2015: Is It Possible to OD on Alpha? Downloads
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2015: Trajectory Based Models, Arbitrage and Continuity Downloads
Alexander Alvarez and Sebastian Ferrando
2015: Asymptotic Glosten Milgrom equilibrium Downloads
Cheng Li and Hao Xing
2015: Complexity, economic science and possible economic benefits of climate change mitigation policy Downloads
Jean-Francois Mercure, H. Pollitt, U. Chewpreecha, P. Salas, A. Foley, P. B. Holden and N. R. Edwards
2015: High frequency trading and asymptotics for small risk aversion in a Markov renewal model Downloads
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2015: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions Downloads
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2015: Different Cost Performance: Different Determinants? The Case of Cost Overruns in Dutch Transportation Infrastructure Projects Downloads
Chantal C. Cantarelli, Bert van Wee, Eric J. E. Molin and Bent Flyvbjerg
2015: Characteristics of Cost Overruns for Dutch Transport Infrastructure Projects and the Importance of the Decision to Build and Project Phases Downloads
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2015: A comparison of techniques for dynamic multivariate risk measures Downloads
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2015: On an integral equation for the free-boundary of stochastic, irreversible investment problems Downloads
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2015: Valuation of asset and volatility derivatives using decoupled time-changed L\'evy processes Downloads
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