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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: Portfolio Optimization under Shortfall Risk Constraint Downloads
Oliver Janke and Qinghua Li
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: Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates Downloads
Andrei Cozma and Christoph Reisinger
2015: Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples Downloads
Maxim Bichuch, Agostino Capponi and Stephan Sturm
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: 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: 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: Optional Decomposition for continuous semimartingales under arbitrary filtrations Downloads
Ioannis Karatzas and Constantinos Kardaras
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: Shortfall Deviation Risk Downloads
Marcelo Brutti Righi and Paulo Sergio Ceretta
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
Mihaly Ormos and David Zibriczky
2015: A Composite Risk Measure Framework for Decision Making under Uncertainty Downloads
Pengyu Qian, Zizhuo Wang and Zaiwen Wen
2015: A law of large numbers for limit order books Downloads
Ulrich Horst and Michael Paulsen
2015: On a class of generalized Takagi functions with linear pathwise quadratic variation Downloads
Alexander Schied
2015: Signs of dependence and heavy tails in non-life insurance data Downloads
Jonas Alm
2015: Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets Downloads
Florian Ziel, Rick Steinert and Sven Husmann
2015: Monetary Policy and Dark Corners in a stylized Agent-Based Model Downloads
Stanislao Gualdi, Marco Tarzia, Francesco Zamponi and Jean-Philippe Bouchaud
2015: Minimizing the Probability of Ruin in Retirement Downloads
Christopher J. Rook
2015: A note on the spot-forward no-arbitrage relations in an investment-production model for commodities Downloads
Ren\'e A\"id, Luciano Campi and Delphine Lautier
2015: Comprehensive Time-Series Regression Models Using GRETL - U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013 Downloads
Juehui Shi
2015: An Evolutionary Optimization Approach to Risk Parity Portfolio Selection Downloads
Ronald Hochreiter
2015: Identifying A Screening Model with Multidimensional Private Information Downloads
Gaurab Aryal
2015: Methodological thoughts on expected loss estimates for IFRS 9 impairment: hidden reserves, cyclical loss predictions and LGD backtesting Downloads
Wolfgang Reitgruber
2015: Optimizing Credit Portfolio Using a Quadratic Nonlinear Projection Method Downloads
Boguk Kim
2015: On Stochastic Orders and its applications: Policy limits and Deductibles Downloads
Halim Zeghdoudi, Meriem Bouhadjar and Mohamed Riad Remita
2015: Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales Downloads
Ladislav Krištoufek
2015: Continuous time analysis of fleeting discrete price moves Downloads
Neil Shephard and Justin J. Yang
2015: Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA Downloads
Giovanni Mottola
2015: Sudden Trust Collapse in Networked Societies Downloads
Jo\~ao da Gama Batista, Jean-Philippe Bouchaud and Damien Challet
2015: Fact Sheet Research on Bayesian Decision Theory Downloads
H. R. N. van Erp, R. O. Linger and P. H. A. J. M. van Gelder
2015: Herding interactions as an opportunity to prevent extreme events in financial markets Downloads
Aleksejus Kononovicius and Vygintas Gontis
2015: Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks Downloads
Benjamin Vandermarliere, Alexei Karas, Jan Ryckebusch and Koen Schoors
2015: Custom v. Standardized Risk Models Downloads
Zura Kakushadze and Jim Kyung-Soo Liew
2015: Game theory analysis for carbon auction market through electricity market coupling Downloads
Mireille Bossy, Nadia Maizi and Odile Pourtallier
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
Zura Kakushadze
2015: Optimal Execution in Lit and Dark Pools Downloads
M. Alessandra Crisafi and Andrea Macrina
2015: MVA: Initial Margin Valuation Adjustment by Replication and Regression Downloads
Andrew Green and Chris Kenyon
2015: Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context Downloads
Qinghua Li
2015: On the properties of nodal price response matrix in electricity markets Downloads
Vadim Borokhov
2015: Is It Possible to OD on Alpha? Downloads
Zura Kakushadze and Jim Kyung-Soo Liew
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
Pietro Fodra and Huy\^en Pham
2015: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions Downloads
Paulwin Graewe, Ulrich Horst and Jinniao Qiu
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
Chantal C. Cantarelli, Eric J. E. Molin, Bert van Wee and Bent Flyvbjerg
2015: A comparison of techniques for dynamic multivariate risk measures Downloads
Zachary Feinstein and Birgit Rudloff
2015: On an integral equation for the free-boundary of stochastic, irreversible investment problems Downloads
Giorgio Ferrari
2014: Observing Each Other's Observations in the Electronic Mail Game Downloads
Dominik Grafenhofer and Wolgang Kuhle
2014: 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
2014: Optimal Selling Time of a Stock under Capital Gains Taxes Downloads
Christoph K\"uhn, Budhi Arta Surya and Bj\"orn Ulbricht
2014: Towards a formalization of a two traders market with information exchange Downloads
F. Bagarello and E. Haven
2014: Optimal Control Model of Software Quality for Digital Vendors Downloads
James Fan and Christopher Griffin
2014: Accounting for Earnings Announcements in the Pricing of Equity Options Downloads
Tim Leung and Marco Santoli
2014: Adaptive Market Efficiency of Agricultural Commodity Futures Contracts Downloads
Semei Coronado-Ram\'irez, Pedro Celso-Arellano and Omar Rojas
2014: Derivatives pricing in energy markets: an infinite dimensional approach Downloads
Fred Espen Benth and Paul Kr\"uhner
2014: Optimal switching for pairs trading rule: a viscosity solutions approach Downloads
Minh Man Ngo and Huyen Pham
2014: Tail Risk Constraints and Maximum Entropy Downloads
Donald Geman, H\'elyette Geman and Nassim Nicholas Taleb
2014: A new perspective on the fundamental theorem of asset pricing for large financial markets Downloads
Christa Cuchiero, Irene Klein and Josef Teichmann
2014: Inflation and speculation in a dynamic macroeconomic model Downloads
Matheus Grasselli and Adrien Nguyen Huu
2014: Smile with the Gaussian term structure model Downloads
Abdelkoddousse Ahdida, Aur\'elien Alfonsi and Ernesto Palidda
2014: 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
2014: An $H$ theorem for Boltzmann's equation for the Yard-Sale Model of asset exchange Downloads
Bruce M. Boghosian, Merek Johnson and Jeremy Marcq
2014: Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling Downloads
Emmanuel Bacry, Thibault Jaisson and Jean-Francois Muzy
2014: Fundamental theorem of asset pricing: a strengthened version and $p$-summable markets Downloads
Andrei Lebedev and Petr Zabreiko
2014: Visualizing the Invisible Hand of Markets: Simulating complex dynamic economic interactions Downloads
Klaus Jaffe
2014: Risk measuring under liquidity risk Downloads
Erindi Allaj
2014: Dynamic Conic Finance via Backward Stochastic Difference Equations Downloads
Tomasz R. Bielecki, Igor Cialenco and Tao Chen
2014: Nonlinear GARCH model and 1/f noise Downloads
Aleksejus Kononovicius and Julius Ruseckas
2014: Backtest of Trading Systems on Candle Charts Downloads
Stanislaus Maier-Paape and Andreas Platen
2014: Indifference prices, implied volatilities and implied Sharpe ratios Downloads
Matthew Lorig
2014: Aggregation operators for the measurement of systemic risk Downloads
Jozsef Mezei and Peter Sarlin
2014: A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models Downloads
Galina Andreeva, Raffaella Calabrese and Silvia Angela Osmetti
2014: Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning Downloads
Chris Kenyon and Andrew Green
2014: Convenient liquidity measure for Financial markets Downloads
Oleh Danyliv, Bruce Bland and Daniel Nicholass
2014: Optimal execution with nonlinear transient market impact Downloads
Gianbiagio Curato, Jim Gatheral and Fabrizio Lillo
2014: Conditional Analysis and a Principal-Agent problem Downloads
Julio Backhoff and Ulrich Horst
2014: On Pareto theory of circulation of elites Downloads
Ricardo P\'erez-Marco
2014: A Million Metaorder Analysis of Market Impact on the Bitcoin Downloads
Jonathan Donier and Julius Bonart
2014: Nonparametric Stochastic Discount Factor Decomposition Downloads
Timothy Christensen
2014: Russian-Doll Risk Models Downloads
Zura Kakushadze
2014: Equilibrium in risk-sharing games Downloads
Michail Anthropelos and Constantinos Kardaras
2014: Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$ Downloads
Denis Belomestny and Tigran Nagapetyan
2014: Coupling news sentiment with web browsing data predicts intra-day stock prices Downloads
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 Downloads
Q. Feng and C. W. Oosterlee
2014: Max-factor individual risk models with application to credit portfolios Downloads
Michel Denuit, Anna Kiriliouk and Johan Segers
2014: Multilevel approximation of backward stochastic differential equations Downloads
Dirk Becherer and Plamen Turkedjiev
2014: Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets Downloads
Omar Rojas and Carlos Trejo-Pech
2014: Taxation as an instrument of stimulation of innovation-active business entities Downloads
Andrey Nechaev
2014: A BSDE approach to fair bilateral pricing under endogenous collateralization Downloads
Tianyang Nie and Marek Rutkowski
2014: Modellierungskonzepte der Synergetik und der Theorie der Selbstorganisation Downloads
Werner Ebeling and Andrea Scharnhorst
2014: Purchasing Term Life Insurance to Reach a Bequest while Consuming Downloads
Erhan Bayraktar, David Promislow and Virginia Young
2014: Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate Downloads
Elia Zarinelli, Michele Treccani, J. Doyne Farmer and Fabrizio Lillo
2014: Competition of Commodities for the Status of Money in an Agent-based Model Downloads
Robert G\k{e}barowski, Stanis{\l}aw Dro\.zd\.z, Andrzej Z. G\'orski and Pawe{\l} O\'swi\k{e}cimka
2014: Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games Downloads
Erhan Bayraktar and Song Yao
2014: Reserve-Dependent Surrender Downloads
Kamille Sofie T{\aa}gholt Gad, Jeppe Juhl and Mogens Steffensen
2014: Stess-testing the system: Financial shock contagion in the realm of uncertainty Downloads
Stefano Gurciullo
2014: Spanning trees of the World Trade Web: real-world data and the gravity model of trade Downloads
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 Downloads
Giovanni Mottola
2014: Model-Independent Pricing of Asian Options via Optimal Martingale Transport Downloads
Florian Stebegg
2014: Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA Downloads
Giovanni Mottola
2014: Gas Storage valuation with regime switching Downloads
Nicole B\"auerle and Viola Riess
2014: Skewness and kurtosis analysis for non-Gaussian distributions Downloads
Ahmet Celikoglu and Ugur Tirnakli
2014: Regulatory Capital Modelling for Credit Risk Downloads
Marek Rutkowski and Silvio Tarca
2014: Firm size distribution in Italy and employment protection Downloads
Luca Amendola
2014: Market impacts and the life cycle of investors orders Downloads
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 Downloads
Miha Troha and Raphael Hauser
2014: A fully consistent, minimal model for non-linear market impact Downloads
Jonathan Donier, Julius Bonart, Iacopo Mastromatteo and Jean-Philippe Bouchaud
2014: Risk minimization and portfolio diversification Downloads
Farzad Pourbabaee, Minsuk Kwak and Traian A. Pirvu
2014: Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm Downloads
Frank Gehmlich and Thorsten Schmidt
2014: The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels Downloads
Jihun Han and Hyungbin Park
2014: On the Coherent Risk Measure Representations in the Discrete Probability Spaces Downloads
Kerem Ugurlu
2014: Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics Downloads
Rafael Serrano
2014: Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations Downloads
Nicole B\"auerle, Igor Gilitschenski and Uwe D. Hanebeck
2014: Global Value Trees Downloads
Zhen Zhu, Michelangelo Puliga, Federica Cerina, Alessandro Chessa and Massimo Riccaboni
2014: Optimal Monitoring and Mitigation of Systemic Risk in Financial Networks Downloads
Zhang Li, Xiaojun Lin, Borja Peleato-Inarrea and Ilya Pollak
2014: Ross Recovery with Recurrent and Transient Processes Downloads
Hyungbin Park
2014: Explicit solutions of quadratic FBSDEs arising from quadratic term structure models Downloads
Cody Hyndman and Xinghua Zhou
2014: Fair bilateral prices in Bergman's model Downloads
Tianyang Nie and Marek Rutkowski
2014: Fair and profitable bilateral prices under funding costs and collateralization Downloads
Tianyang Nie and Marek Rutkowski
2014: On the convergence of the Fitness-Complexity Algorithm Downloads
Emanuele Pugliese, Andrea Zaccaria and Luciano Pietronero
2014: Classical mechanics of economic networks Downloads
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 Downloads
Ladislav Krištoufek
2014: Optimal double stopping of a Brownian bridge Downloads
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 Downloads
Xiaolin Luo and Pavel V. Shevchenko
2014: VWAP Execution as an Optimal Strategy Downloads
Takashi Kato
2014: Fragility of the Commons under Prospect-Theoretic Risk Attitudes Downloads
Ashish R. Hota, Siddharth Garg and Shreyas Sundaram
2014: Comparing the $G$-Normal Distribution to its Classical Counterpart Downloads
Erhan Bayraktar and Alexander Munk
2014: A convex duality method for optimal liquidation with participation constraints Downloads
Olivier Gu\'eant, Jean-Michel Lasry and Jiang Pu
2014: To sigmoid-based functional description of the volatility smile Downloads
Andrey Itkin
2014: Modeling FX market activity around macroeconomic news: a Hawkes process approach Downloads
Marcello Rambaldi, Paris Pennesi and Fabrizio Lillo
2014: Valuation and Hedging of Contracts with Funding Costs and Collateralization Downloads
Tomasz R. Bielecki and Marek Rutkowski
2014: Optimal stopping under model uncertainty: randomized stopping times approach Downloads
Denis Belomestny and Volker Kraetschmer
2014: A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing Downloads
Masaaki Fujii
2014: An importance sampling approach for copula models in insurance Downloads
Philipp Arbenz, Mathieu Cambou and Marius Hofert
2014: Model-independent Superhedging under Portfolio Constraints Downloads
Arash Fahim and Yu-Jui Huang
2014: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures Downloads
Worapree Maneesoonthorn, Catherine Forbes and Gael M. Martin
2014: Agent-based models for latent liquidity and concave price impact Downloads
Iacopo Mastromatteo, Bence Toth and Jean-Philippe Bouchaud
2014: Multivariate transient price impact and matrix-valued positive definite functions Downloads
Aur\'elien Alfonsi, Alexander Schied and Florian Kl\"ock
2014: Implicit transaction costs and the fundamental theorems of asset pricing Downloads
Erindi Allaj
2014: Cascades in real interbank markets Downloads
Fariba Karimi and Matthias Raddant
2014: The Convexity of the Free Boundary for the American put option Downloads
Hsuan-Ku Liu
2014: Asset Pricing and Valuation under the Real-World Probability Measure Downloads
Gabriel Frahm
2014: Optimal execution and block trade pricing: a general framework Downloads
Olivier Gu\'eant
2014: An Optimal Execution Problem with Market Impact Downloads
Takashi Kato
2014: Dual Stochastic Transformations of Solvable Diffusions Downloads
Giuseppe Campolieti and Roman N. Makarov
2014: Analyses of Statistical Structures in Economic Indices Downloads
Frank W. K. Firk
2014: Budget Imbalance Criteria for Auctions: A Formalized Theorem Downloads
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 Downloads
Marcel Ausloos
2014: Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia Downloads
Marek Rutkowski and Silvio Tarca
2014: Misspecified Recovery Downloads
Jaroslav Borovi\v{c}ka, Lars Peter Hansen and Jos\'e A. Scheinkman
2014: Existence of Steady States for Over-the-Counter Market Models with Several Assets Downloads
Alain Belanger, Gaston Giroux and Ndoune Ndoune
2014: Evidence of Economic Regularities and Disparities of Italian Regions From Aggregated Tax Income Size Data Downloads
Roy Cerqueti and Marcel Ausloos
2014: Improving predictability of time series using maximum entropy methods Downloads
Gregor Chliamovitch, Alexandre Dupuis, Bastien Chopard and Anton Golub
2014: Capital Investment and Liquidity Management with collateralized debt Downloads
Erwan Pierre, St\'ephane Villeneuve and Xavier Warin
2014: Asymptotic behaviour of the fractional Heston model Downloads
Hamza Guennoun, Antoine Jacquier and Patrick Roome
2014: Indirect Influences in International Trade Downloads
Rafael Diaz and Laura Gomez
2014: Hydrodynamic limit of order book dynamics Downloads
Xuefeng Gao, J. G. Dai, A. B. Dieker and S. J. Deng
2014: Risk-Sensitive Mean-Field Type Control under Partial Observation Downloads
Boualem Djehiche and Hamidou Tembine
2014: On Trading American Put Options with Interactive Volatility Downloads
Sigurd Assing and Yufan Zhao
2014: On robust representation of conditional risk measures on a $L^\infty$-type module Downloads
Jos\'e Miguel Zapata
2014: Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs Downloads
Tim Leung, Xin Li and Zheng Wang
2014: Two maxentropic approaches to determine the probability density of compound risk losses Downloads
Erika Gomes-Gon\c{c}alves, Henryk Gzyl and Silvia Mayoral
2014: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization Downloads
Xiaolin Luo and Pavel V. Shevchenko
2014: Large deviations of the realized (co-)volatility vector Downloads
Hac\`ene Djellout, Arnaud Guillin and Yacouba Samoura
2014: Optimal Mean Reversion Trading with Transaction Cost and Stop-Loss Exit Downloads
Tim Leung and Xin Li
2014: Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines Downloads
David Walsh-Jones, Daniel Jones and Christoph Reisinger
2014: Diversification versus specialization -- lessons from a noise driven linear dynamical system Downloads
Gabriell Mate and Zoltan Neda
2014: Theories of Accounting: Evolution & Developments, Income-Determination and Diversities in Use Downloads
Angus O. Unegbu
2014: Solving finite time horizon Dynkin games by optimal switching Downloads
Randall Martyr
2014: Characterization of Market Models in the Presence of Traded Vanilla and Barrier Options Downloads
Peter Spoida
2014: Multi-curve HJM modelling for risk management Downloads
Chiara Sabelli, Michele Pioppi, Luca Sitzia and Giacomo Bormetti
2014: Holding Period Information in Options Hedging Downloads
Antoine E. Zambelli
2014: A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection Downloads
Ben Hambly, Matthieu Mariapragassam and Christoph Reisinger
2014: Kelly criterion for variable pay-off Downloads
Ricardo P\'erez-Marco
2014: Trend and Fractality Assessment of Mexico's Stock Exchange Downloads
Javier Morales, V\'ictor Tercero, Fernando Camacho, Eduardo Cordero, Luis L\'opez and F-Javier Almaguer
2014: Long Term Risk: A Martingale Approach Downloads
Likuan Qin and Vadim Linetsky
2014: Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization and Ross Recovery Downloads
Likuan Qin and Vadim Linetsky
2014: Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That Downloads
Peter B. Lerner
2014: A continuous auction model with insiders and random time of information release Downloads
Jos\'e Manuel Corcuera, Giulia Di Nunno, Gergely Farkas and Bernt {\O}ksendal
2014: Process-Based Risk Measures for Observable and Partially Observable Discrete-Time Controlled Systems Downloads
Jingnan Fan and Andrzej Ruszczynski
2014: Exact solution of a generalized version of the Black-Scholes equation Downloads
Liviu-Adrian Cotfas, Camelia Delcea and Nicolae Cotfas
2014: Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary Downloads
Giorgio Ferrari and Paavo Salminen
2014: Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction Downloads
Shingo Ichiki and Katsuhiro Nishinari
2014: Innovation, competition, diversification: a tree form dynamics of long-term development Downloads
Shidong Wang and Cheng Wan
2014: Evolving intraday foreign exchange trading strategies utilizing multiple instruments price series Downloads
Simone Cirillo, Stefan Lloyd and Peter Nordin
2014: It's not the economy, stupid! How social capital and GDP relate to happiness over time Downloads
Stefano Bartolini and Francesco Sarracino
2014: A General Equilibrium Theorem for the Economy of Giving Downloads
W. P. Weijland
2014: On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets Downloads
Daniel Wilson-Nunn and Hector Zenil
2014: Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents Downloads
Mateusz Denys, Tomasz Gubiec and Ryszard Kutner
2014: General smile asymptotics with bounded maturity Downloads
Francesco Caravenna and Jacopo Corbetta
2014: Income Distribution in the European Union Versus in the United States Downloads
Maciej Jagielski, Rafa{\l} Duczmal and Ryszard Kutner
2014: Modelling cross-border systemic risk in the European banking sector: a copula approach Downloads
Raffaella Calabrese and Silvia Osmetti
2014: Super-replication with nonlinear transaction costs and volatility uncertaint Downloads
Peter Bank, Yan Dolinsky and Selim G\"okay
2014: An Equilibrium Framework for Players with Misspecified Models Downloads
Ignacio Esponda and Demian Pouzo
2014: Incorporating Views on Marginal Distributions in the Calibration of Risk Models Downloads
Santanu Dey, Sandeep Juneja and Karthyek R. A. Murthy
2014: Risk measures with the CxLS property Downloads
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 Downloads
Dmitry Kramkov and Sergio Pulido
2014: Spectrum-based estimators of the bivariate Hurst exponent Downloads
Ladislav Krištoufek
2014: Efficient solution of structural default models with correlated jumps and mutual obligations Downloads
Andrey Itkin and Alexander Lipton
2014: Optimization of relative arbitrage Downloads
Ting-Kam Leonard Wong
2014: One-level limit order books with sparsity and memory Downloads
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2014: Exact and asymptotic solutions of the call auction problem Downloads
Ioane Muni Toke
2014: Game Theory, Statistical Mechanics and Income Inequality Downloads
Venkat Venkatasubramanian, Yu Luo and Jay Sethuraman
2014: Thermodynamics of inequalities: from precariousness to economic stratification Downloads
Matteo Smerlak
2014: On possible origins of trends in financial market price changes Downloads
Ryo Murakami, Tomomichi Nakamura, Shin Kimura, Masashi Manabe and Toshihiro Tanizawa
2014: Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness Downloads
J. D. Opdyke
2014: Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$ Downloads
Shiqi Song
2014: A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries Downloads
Tiziano De Angelis, Giorgio Ferrari and John Moriarty
2014: On the Super-Additivity and Estimation Biases of Quantile Contributions Downloads
Nassim N Taleb and Raphael Douady
2014: Default Probability Estimation via Pair Copula Constructions Downloads
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 Downloads
Erhan Bayraktar and Yuchong Zhang
2014: The Master Equation in Mean Field Theory Downloads
Alain Bensoussan, Jens Frehse and Phillip Yam
2014: Asymptotics for $d$-dimensional L\'evy-type processes Downloads
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
2014: On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market Downloads
Alexandra Rodkina and Nikolai Dokuchaev
2014: A First-Order BSPDE for Swing Option Pricing: Classical Solutions Downloads
Christian Bender and Nikolai Dokuchaev
2014: Reconstructing the world trade multiplex: the role of intensive and extensive biases Downloads
Rossana Mastrandrea, Tiziano Squartini, Giorgio Fagiolo and Diego Garlaschelli
2014: The geometry of relative arbitrage Downloads
Soumik Pal and Ting-Kam Leonard Wong
2014: Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion Downloads
Erhan Bayraktar and Yuchong Zhang
2014: Mathematical Foundations for the Economy of Giving Downloads
W. P. Weijland
2014: Estimating time-changes in noisy L\'evy models Downloads
Adam D. Bull
2014: Local risk-minimization under restricted information to asset prices Downloads
Claudia Ceci, Katia Colaneri and Alessandra Cretarola
2014: Analytical expansions for parabolic equations Downloads
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
2014: What is the best risk measure in practice? A comparison of standard measures Downloads
Susanne Emmer, Marie Kratz and Dirk Tasche
2014: Pathwise stochastic integrals for model free finance Downloads
Nicolas Perkowski and David J. Pr\"omel
2014: Time--consistent investment under model uncertainty: the robust forward criteria Downloads
Sigrid Kallblad, Jan Obloj and Thaleia Zariphopoulou
2014: Illiquidity and Insolvency: a Double Cascade Model of Financial Crises Downloads
Thomas R. Hurd, Davide Cellai, Sergey Melnik and Quentin Shao
2014: Revisiting the Merit-Order Effect of Renewable Energy Sources Downloads
Marcus Hildmann, Andreas Ulbig and G\"oran Andersson
2014: Explicit implied volatilities for multifactor local-stochastic volatility models Downloads
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 Downloads
Yannis G. Yatracos
2014: An age structured demographic theory of technological change Downloads
Jean-Francois Mercure
2014: Pricing approximations and error estimates for local L\'evy-type models with default Downloads
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
2014: Optimal order placement in limit order markets Downloads
Rama Cont and Arseniy Kukanov
2014: Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations Downloads
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 Downloads
Taras Bodnar, Nestor Parolya and Wolfgang Schmid
2014: Valuation and parities for exchange options Downloads
Constantinos Kardaras
2014: An algorithm for the orthogonal decomposition of financial return data Downloads
Vic Norton
2014: Universal Algorithm for Online Trading Based on the Method of Calibration Downloads
Vladimir V'yugin and Vladimir Trunov
2014: Why is order flow so persistent? Downloads
Bence Toth, Imon Palit, Fabrizio Lillo and J. Farmer
2014: Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model Downloads
Runhuan Feng, Hans Volkmer, Shuaiqi Zhang and Chao Zhu
2014: Optimal strategies in collective Parrondo games Downloads
Luis Dinis and Juan M. R. Parrondo
2014: Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method Downloads
Jamal Amani Rad and Kourosh Parand
2014: Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options Downloads
Jamal Amani Rad, Kourosh Parand and Saeid Abbasbandy
2014: Cooperation under Incomplete Information on the Discount Factors Downloads
Cy Maor and Eilon Solan
2014: Systemic risk in a large claims insurance market with bipartite graph structure Downloads
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 Downloads
Xiaolin Luo and Pavel Shevchenko
2014: Global convergence and stability of a convolution method for numerical solution of BSDEs Downloads
Cody Blaine Hyndman and Polynice Oyono Ngou
2014: The Model Confidence Set package for R Downloads
Mauro Bernardi and Leopoldo Catania
2014: Cycling in stochastic general equilibrium Downloads
Zhijian Wang and Bin Xu
2014: When does the stock market listen to economic news? New evidence from copulas and news wires Downloads
Ivan Medovikov
2014: Optimal Allocation of Trend Following Strategies Downloads
Denis S. Grebenkov and Jeremy Serror
2014: Efficient price dynamics in a limit order market: an utility indifference approach Downloads
Masaaki Fukasawa
2014: Pricing and Hedging Long-Term Options Downloads
Hyungbin Park
2014: Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending Downloads
Vladimir Dombrovskii and Tatyana Obedko
2014: Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis Downloads
Hao-Che Chen
2014: A new multivariate dependence measure based on comonotonicity Downloads
Ying Zhang and Chuancun Yin
2014: Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window Downloads
Luca Onorante and Adrian E. Raftery
2014: Pricing and Hedging GMWB Riders in a Binomial Framework Downloads
Cody B. Hyndman and Menachem Wenger
2014: Randomisation and recursion methods for mixed-exponential Levy models, with financial applications Downloads
Aleksandar Mijatovic, Martijn Pistorius and Johannes Stolte
2014: Large-Maturity Regimes of the Heston Forward Smile Downloads
Antoine Jacquier and Patrick Roome
2014: Are news important to predict large losses? Downloads
Mauro Bernardi, Leopoldo Catania and Lea Petrella
2014: qGaussian model of default Downloads
Yuri A. Katz
2014: Stock fluctuations are correlated and amplified across networks of interlocking directorates Downloads
Serguei Saavedra, Luis J. Gilarranz, Rudolf P. Rohr, Michael Schnabel, Brian Uzzi and Jordi Bascompte
2014: Asset Pricing in an Imperfect World Downloads
Gianluca Cassese
2014: Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates Downloads
Beata Stehlikova
2014: Pricing of European Basket Call Option under Exponential Ornstein-Uhlenbeck Process Downloads
Jingwei Liu, Jiwen Luo and Xing Chen
2014: Is mathematics able to give insight into current questions in finance, economics and politics? Downloads
Larry Shepp and Michael Imerman
2014: The non-linear trade-off between return and risk: a regime-switching multi-factor framework Downloads
John Cotter and Enrique Salvador
2014: Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem Downloads
Vladimir V'yugin
2014: Recombining binomial tree for constant elasticity of variance process Downloads
Hi Jun Choe, Jeong Ho Chu and So Jeong Shin
2014: The Precautionary Principle (with Application to the Genetic Modification of Organisms) Downloads
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 Downloads
Nicol\'o Musmeci, Tomaso Aste and Tiziana Di Matteo
2014: 4-Factor Model for Overnight Returns Downloads
Zura Kakushadze
2014: Conditional Preference Orders and their Numerical Representations Downloads
Samuel Drapeau and Asgar Jamneshan
2014: Portfolio Selection with Multiple Spectral Risk Constraints Downloads
Carlos Abad and Garud Iyengar
2014: RHOMOLO: A Dynamic Spatial General Equilibrium Model for Assessing the Impact of Cohesion Policy Downloads
Andries Brandsma, d'Artis Kancs, Philippe Monfort and Alexandra Rillaers
2014: Robust Fundamental Theorem for Continuous Processes Downloads
Sara Biagini, Bruno Bouchard, Constantinos Kardaras and Marcel Nutz
2014: Assessing the Inequalities of Wealth in Regions: the Italian Case Downloads
Roy Cerqueti and Marcel Ausloos
2014: A polynomial distribution applied to income and wealth distribution Downloads
Elvis Oltean and Fedor Kusmartsev
2014: Arbitrage free markets geometry Downloads
A. V. Lebedev and P. P. Zabreiko
2014: Consistency of internal risk measure estimates Downloads
Mark H. A. Davis
2014: A statistical physics analysis of expenditure in the UK Downloads
Elvis Oltean and Fedor Kusmartsev
2014: An econophysical approach of polynomial distribution applied to income and expenditure Downloads
Elvis Oltean
2014: An Econophysical dynamic approach of expenditure and income distribution in the UK Downloads
Elvis Oltean and Fedor Kusmartsev
2014: Applications of statistical physics distributions to several types of income Downloads
Elvis Oltean and Fedor V. Kusmartsev
2014: Optimal dividend payment under time of ruin contraint: Exponential case Downloads
Camilo Hernandez and Mauricio Junca
2014: Volatility is rough Downloads
Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum
2014: A study of Methods from Statistical Mechanics applied to income distribution Downloads
Elvis Oltean and Fedor Kusmartsev
2014: Arbitrage theory without a num\'eraire Downloads
Michael R. Tehranchi
2014: Benford's law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions Downloads
Tariq Ahmad Mir, Marcel Ausloos and Roy Cerqueti
2014: Communication impacting financial markets Downloads
Jorgen Vitting Andersen, Ioannis Vrontos, Petros Dellaportas and Serge Galam
2014: Propagation of Systemic Risk in Interbank Networks Downloads
Vanessa Hoffmann de Quadros, Juan Carlos Gonz\'alez-Avella and Jos\'e Roberto Iglesias
2014: Reconstructing topological properties of complex networks using the fitness model Downloads
Giulio Cimini, Tiziano Squartini, Nicol\`o Musmeci, Michelangelo Puliga, Andrea Gabrielli, Diego Garlaschelli, Stefano Battiston and Guido Caldarelli
2014: An initial approach to Risk Management of Funding Costs Downloads
Damiano Brigo and Cyril Durand
2014: Tug-of-war, market manipulation and option pricing Downloads
Kaj Nystr\"om and Mikko Parviainen
2014: Path Integral and Asset Pricing Downloads
Zura Kakushadze
2014: Optimal execution of ASR contracts with fixed notional Downloads
Olivier Gu\'eant
2014: On volatility smile and an investment strategy with out-of-the-money calls Downloads
Jarno Talponen
2014: Rationality parameter for exercising American put Downloads
K. Gad and J. L. Pedersen
2014: Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control Downloads
Vladimir Dombrovskii and Tatyana Obyedko
2014: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models Downloads
Rodrigo 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 Downloads
Wanyang Dai
2014: An expansion in the model space in the context of utility maximization Downloads
Kasper Larsen, Oleksii Mostovyi and Gordan \v{Z}itkovi\'c
2014: Stability of Utility Maximization in Nonequivalent Markets Downloads
Kim Weston
2014: A General Duality Relation with Applications in Quantitative Risk Management Downloads
Raphael Hauser, Sergey Shahverdyan and Paul Embrechts
2014: Indifference pricing for Contingent Claims: Large Deviations Effects Downloads
Scott Robertson and Konstantinos Spiliopoulos
2014: Systemic Interbank Network Risks in Russia Downloads
A. V. Leonidov and E. L. Rumyantsev
2014: The Fourier estimation method with positive semi-definite estimators Downloads
Jir\^o Akahori, Nien-Lin Liu, Maria Elvira Mancino and Yukie Yasuda
2014: Socio-economic inequalities: a statistical physics perspective Downloads
Arnab Chatterjee
2014: A simple dynamical model leading to Pareto wealth distribution and stability Downloads
Ricardo P\'erez-Marco
2014: Optimal Execution with Dynamic Order Flow Imbalance Downloads
Kyle Bechler and Mike Ludkovski
2014: Quantile Hedging in a Semi-Static Market with Model Uncertainty Downloads
Erhan Bayraktar and Gu Wang
2014: Mean-Reversion and Optimization Downloads
Zura Kakushadze
2014: A system of quadratic BSDEs arising in a price impact model Downloads
Dmitry Kramkov and Sergio Pulido
2014: New Pricing Framework: Options and Bonds Downloads
Nick Laskin
2014: A Bellman View of Jesse Livermore Downloads
Nick Polson and Jan Hendrik Witte
2014: Localization in covariance matrices of coupled heterogenous Ornstein-Uhlenbeck processes Downloads
Paolo Barucca
2014: A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition Downloads
Ulrich Horst, Jinniao Qiu and Qi Zhang
2014: Optimal investment with time-varying stochastic endowments Downloads
An Chen, Carla Mereu and Robert Stelzer
2014: Factor Models for Alpha Streams Downloads
Zura Kakushadze
2014: Multilevel path simulation for weak approximation schemes Downloads
Denis Belomestny and Tigran Nagapetyan
2014: Can Turnover Go to Zero? Downloads
Zura Kakushadze
2014: Networks of Military Alliances, Wars, and International Trade Downloads
Matthew Jackson and Stephen M. Nei
2014: Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets Downloads
Nassim N. Taleb
2014: KVA: Capital Valuation Adjustment Downloads
Andrew Green and Chris Kenyon
2014: Stochastic Evolution of Stock Market Volume-Price Distributions Downloads
Paulo Rocha, Frank Raischel, Jo\~ao P. da Cruz and Pedro G. Lind
2014: Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility Downloads
Jos\'e E. Figueroa-L\'opez and Sveinn \'Olafsson
2014: Are credit ratings time-homogeneous and Markov? Downloads
Pedro Lencastre, Frank Raischel, Pedro G. Lind and Tim Rogers
2014: Utility maximization in the large markets Downloads
Oleksii Mostovyi
2014: Branching ratio approximation for the self-exciting Hawkes process Downloads
Stephen J. Hardiman and Jean-Philippe Bouchaud
2014: High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm Downloads
Dieter Hendricks, Diane Wilcox and Tim Gebbie
2014: Zipf's law in city size from a resource utilization model Downloads
Asim Ghosh, Arnab Chatterjee, Anindya S. Chakrabarti and Bikas K Chakrabarti
2014: Efficient Modeling and Forecasting of the Electricity Spot Price Downloads
Florian Ziel, Rick Steinert and Sven Husmann
2014: Systemic Risk and Default Clustering for Large Financial Systems Downloads
Konstantinos Spiliopoulos
2014: Martingale Inequalities and Deterministic Counterparts Downloads
Mathias Beiglb\"ock and Marcel Nutz
2014: Optimal Strategies for a Long-Term Static Investor Downloads
Lingjiong Zhu
2014: Community detection for correlation matrices Downloads
Mel MacMahon and Diego Garlaschelli
2014: Modeling capital gains taxes for trading strategies of infinite variation Downloads
Christoph K\"uhn and Bj\"orn Ulbricht
2014: Analytical solution for a class of network dynamics with mechanical and financial applications Downloads
Pavel Krej\v{c}\'i, Harbir Lamba, Sergey Melnik and Dmitrii Rachinskii
2014: Heavy tailed time series with extremal independence Downloads
Rafal Kulik and Philippe Soulier
2014: Existence of an endogenously complete equilibrium driven by a diffusion Downloads
Dmitry Kramkov
2014: Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims Downloads
Lingjiong Zhu
2014: Multiportfolio time consistency for set-valued convex and coherent risk measures Downloads
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2014: Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact Downloads
Baojun Bian, Nan Wu and Harry Zheng
2014: A simple strong solution to non-linear HJB PDEs: an application to the portfolio model Downloads
Moawia Alghalith
2014: Hedge and Mutual Funds' Fees and the Separation of Private Investments Downloads
Paolo Guasoni and Gu Wang
2014: C^{1,1} regularity for degenerate elliptic obstacle problems Downloads
Panagiota Daskalopoulos and Paul M. N. Feehan
2014: Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor Downloads
Xiaolin Luo and Pavel V. Shevchenko
2014: Impact of credit default swaps on financial contagion Downloads
Yoshiharu Maeno, Kenji Nishiguchi, Satoshi Morinaga and Hirokazu Matsushima
2014: Impact of shadow banks on financial contagion Downloads
Yoshiharu Maeno, Kenji Nishiguchi, Satoshi Morinaga and Hirokazu Matsushima
2014: Time Evolution of Non-linear Currency Networks Downloads
Paweł Fiedor and Artur Ho{\l}da
2014: Tax Compliance and Public Goods Provision -- An Agent-based Econophysics Approach Downloads
Sascha Hokamp and G. Seibold
2014: Apparent impact: the hidden cost of one-shot trades Downloads
Iacopo Mastromatteo
2014: Minimax estimation of jump activity in semimartingales Downloads
Adam D. Bull
2014: Scaling analysis of time series of daily prices from stock markets of transitional economies in the Western Balkans Downloads
Darko Sarvan, Djordje Stratimirovic, Suzana Blesic and Vladimir Miljkovic
2014: Multi-asset consumption-investment problems with infinite transaction costs Downloads
David Hobson and Yeqi Zhu
2014: An $\alpha$-Stable Limit Theorem Under Sublinear Expectation Downloads
Erhan Bayraktar and Alexander Munk
2014: Parametric Risk Parity Downloads
Lorenzo Mercuri and Edit Rroji
2014: Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions Downloads
Baojun Bian and Harry Zheng
2014: 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
2014: The evolution of wealth transmission in human populations: a stochastic model Downloads
G. Augustins, L. Etienne, J-B. Ferdy, R. Ferrer, B. Godelle, E. Pitard and F. Rousset
2014: High-Resilience Limits of Block-Shaped Order Books Downloads
Jan Kallsen and Johannes Muhle-Karbe
2014: On time consistency of dynamic risk and performance measures in discrete time Downloads
Tomasz R. Bielecki, Igor Cialenco and Marcin Pitera
2014: Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty Downloads
Patrick Beißner and Frank Riedel
2014: Finite sample properties of power-law cross-correlations estimators Downloads
Ladislav Krištoufek
2014: On a Stopping Game in continuous time Downloads
Erhan Bayraktar and Zhou Zhou
2014: A GDP-driven model for the binary and weighted structure of the International Trade Network Downloads
Assaf Almog, Tiziano Squartini and Diego Garlaschelli
2014: The Immediate Exchange model: an analytical investigation Downloads
Guy Katriel
2014: Calculation of a power price equilibrium Downloads
Miha Troha and Raphael Hauser
2014: Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags Downloads
Paul Gaskell, Frank McGroarty and Thanassis Tiropanis
2014: Optimal models of extreme volume-prices are time-dependent Downloads
Paulo Rocha, Frank Raischel, Jo\~ao Pedro Boto and Pedro G. Lind
2014: Funding Value Adjustment and Incomplete Markets Downloads
Lorenzo Cornalba
2014: Option pricing in constant elasticity of variance model with liquidity costs Downloads
Krzysztof Turek
2014: Distance to the line in the Heston model Downloads
Archil Gulisashvili
2014: International trade network: fractal properties and globalization puzzle Downloads
Mariusz Karpiarz, Piotr Fronczak and Agata Fronczak
2014: Bounds on Portfolio Quality Downloads
Steven E. Pav
2014: Pricing and hedging of energy spread options and volatility modulated Volterra processes Downloads
Fred Espen Benth and Hanna Zdanowicz
2014: Empirical Study of the 1-2-3 Trend Indicator Downloads
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2014: The $\alpha$-Hypergeometric Stochastic Volatility Model Downloads
José Da Fonseca and Claude Martini
2014: Mean of Ratios or Ratio of Means: statistical uncertainty applied to estimate Multiperiod Probability of Defaul Downloads
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2014: The Credibility Theory applied to backtesting Counterparty Credit Risk Downloads
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2014: Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence Downloads
Matteo Formenti
2014: Visualising stock flow consistent models as directed acyclic graphs Downloads
Peter G. Fennell, David O'Sullivan, Antoine Godin and Stephen Kinsella
2014: Indicators of availability of non-market relations in the sphere of labor market in Ukraine Downloads
Valery Tabakov
2014: Rawls' Fairness, Income Distribution and Alarming Level of Gini Coefficient Downloads
Yong Tao, Xiangjun Wu and Changshuai Li
2014: Portfolio Selection with Mandatory Bequest Downloads
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2014: Instability and network effects in innovative markets Downloads
Paolo Sgrignoli, Elena Agliari, Raffaella Burioni and Augusto Schianchi
2014: The World Trade Web: A Multiple-Network Perspective Downloads
Paolo Sgrignoli
2014: Optimal consumption and sale strategies for a risk averse agent Downloads
David Hobson and Yeqi Zhu
2014: Endogenous crisis waves: a stochastic model with synchronized collective behavior Downloads
Stanislao Gualdi, Jean-Philippe Bouchaud, Giulia Cencetti, Marco Tarzia and Francesco Zamponi
2014: Synergy cycles in the Norwegian innovation system: The relation between synergy and cycle values Downloads
Inga Ivanova, Oivind Strand and Loet Leydesdorff
2014: The effect of the number of states on the validity of credit ratings Downloads
P. Lencastre, F. Raischel and P. G. Lind
2014: Contagion in an interacting economy Downloads
Pierre Paga and Reimer K\"uhn
2014: Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis Downloads
Nien-Lin Liu and Hoang-Long Ngo
2014: Optimal investment with bounded above utilities in discrete time markets Downloads
Miklos Rasonyi
2014: A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities Downloads
Roberto Casarin, Fabrizio Leisen, German Molina and Enrique ter Horst
2014: Affine Processes Downloads
Eberhard Mayerhofer
2014: Discrete Time Term Structure Theory and Consistent Recalibration Models Downloads
Anja Richter and Josef Teichmann
2014: Zero-determinant strategies in iterated multi-strategy games Downloads
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2014: A spring-block analogy for the dynamics of stock indexes Downloads
Bulcsu Sandor and Zoltan Neda
2014: Orthogonal Polynomials for Seminonparametric Instrumental Variables Model Downloads
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2014: Opening discussion on banking sector risk exposures and vulnerabilities from virtual currencies: An operational risk perspective Downloads
Gareth W. Peters, Ariane Chapelle and Efstathios Panayi
2014: On the design of sell-side limit and market order tactics Downloads
Vladimir Markov
2014: Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands Downloads
Vladimir Markov, Slava Mazur and David Saltz
2014: On Correlated Defaults and Incomplete Information Downloads
Wai-Ki Ching, Jia-Wen Gu and Harry Zheng
2014: Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models Downloads
Pablo Olivares and Matthew Cane
2014: Default contagion risks in Russian interbank market Downloads
A. V. Leonidov and E. L. Rumyantsev
2014: Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo Downloads
Rosario Mantegna
2014: A Lattice Framework for Pricing Display Ad Options with the Stochastic Volatility Underlying Model Downloads
Bowei Chen and Jun Wang
2014: Optimal Dynamic Procurement Policies for a Storable Commodity with L\'evy Prices and Convex Holding Costs Downloads
Maria B. Chiarolla, Giorgio Ferrari and Gabriele Stabile
2014: Manipulating decision making of typical agents Downloads
V. I. Yukalov and D. Sornette
2014: Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs Downloads
Chuancun Yin and Kam Chuen Yuen
2014: Stochastic Perron for Stochastic Target Games Downloads
Erhan Bayraktar and Jiaqi Li
2014: Hierarchical causality in financial economics Downloads
Diane Wilcox and Tim Gebbie
2014: Determining Optimal Trading Rules without Backtesting Downloads
Peter P. Carr and Marcos Lopez de Prado
2014: Utility indifference pricing and hedging for structured contracts in energy markets Downloads
Giorgia Callegaro, Luciano Campi and Tiziano Vargiolu
2014: Microscopic Models for Welfare Measures Addressing a Reduction of Economic Inequality Downloads
Maria Letizia Bertotti and Giovanni Modanese
2014: Economic Optimal Operation of Community Energy Storage Systems in Competitive Energy Markets Downloads
Reza Arghandeh, Jeremy Woyak, Ahmet Onen, Jaesung Jung and Robert P. Broadwater
2014: Income Inequality in the 21st Century -- A biased summary of Piketty's Capital in the Twenty-First Century Downloads
Dietrich Stauffer
2014: Change of numeraire in the two-marginals martingale transport problem Downloads
Luciano Campi, Ismail Laachir and Claude Martini
2014: A Bond Consistent Derivative Fair Value Downloads
Johan Gunnesson and Alberto Fern\'andez Mu\~noz de Morales
2014: Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series Downloads
Sergey A. Kamenshchikov
2014: Predictable markets? A news-driven model of the stock market Downloads
Maxim Gusev, Dimitri Kroujiline, Boris Govorkov, Sergey V. Sharov, Dmitry Ushanov and Maxim Zhilyaev
2014: From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options Downloads
Lorenz Schneider and Bertrand Tavin
2014: Information theoretic approach for accounting classification Downloads
E. M. S. Ribeiro and G. A. Prataviera
2014: The process of macroprudential oversight in Europe Downloads
Peter Sarlin and Henrik J. Nyman
2014: Accelerated Share Repurchase: pricing and execution strategy Downloads
Olivier Gu\'eant, Jiang Pu and Guillaume Royer
2014: Simulating and analyzing order book data: The queue-reactive model Downloads
Weibing Huang, Charles-Albert Lehalle and Mathieu Rosenbaum
2014: A primal-dual algorithm for BSDEs Downloads
Christian Bender, Nikolaus Schweizer and Jia Zhuo
2014: Taylor approximation of incomplete Radner equilibrium models Downloads
Jin Hyuk Choi and Kasper Larsen
2014: Shapes of implied volatility with positive mass at zero Downloads
Stefano De Marco, Caroline Hillairet and Antoine Jacquier
2014: Hedging under an expected loss constraint with small transaction costs Downloads
Bruno Bouchard, Ludovic Moreau and Mete H. Soner
2014: A note on the Fundamental Theorem of Asset Pricing under model uncertainty Downloads
Erhan Bayraktar, Yuchong Zhang and Zhou Zhou
2014: Weak reflection principle for L\'evy processes Downloads
Erhan Bayraktar and Sergey Nadtochiy
2014: A hybrid tree-finite difference approach for the Heston model Downloads
Maya Briani, Lucia Caramellino and Antonino Zanette
2014: Tick Size Reduction and Price Clustering in a FX Order Book Downloads
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2014: Maximization of recursive utilities under convex portfolio constraints Downloads
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2014: Bank-firm credit network in Japan. An analysis of a bipartite network Downloads
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2014: Risk-sensitive investment in a market with animal spirits Downloads
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2014: Agent-based model with asymmetric trading and herding for complex financial systems Downloads
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2014: Permutation approach, high frequency trading and variety of micro patterns in financial time series Downloads
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2014: Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns Downloads
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2014: Causal Non-Linear Financial Networks Downloads
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2014: Identification of cross and autocorrelations in time series within an approach based on Wigner eigenspectrum of random matrices Downloads
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2014: Forecasting future oil production in Norway and the UK: a general improved methodology Downloads
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2014: Slow decay of impact in equity markets Downloads
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2014: Arbitrage in markets with bid-ask spreads Downloads
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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) Downloads
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2014: Portfolio optimization in the case of an asset with a given liquidation time distribution Downloads
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2014: Impacts of Regional Trade Agreements(RTAs) on Food Security: A Case of ASEAN Free Trade Agreement Downloads
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2014: Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps Downloads
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2014: Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems Downloads
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2014: Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals Downloads
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2014: Robust Arbitrage under Uncertainty in Discrete Time Downloads
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2014: Decision-theoretic approaches to non-knowledge in economics Downloads
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2014: Stochastic model of a pension plan Downloads
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2014: Exact fit of simple finite mixture models Downloads
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2014: On a Convex Measure of Drawdown Risk Downloads
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2014: Consentaneous agent-based and stochastic model of the financial markets Downloads
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2014: Information ratio analysis of momentum strategies Downloads
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2014: On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints Downloads
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2014: Cross-correlation asymmetries and causal relationships between stock and market risk Downloads
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2014: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows Downloads
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2014: Actuarial fairness and solidarity in pooled annuity funds Downloads
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2014: Impact of information cost and switching of trading strategies in an artificial stock market Downloads
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2014: Modeling of Volatility with Non-linear Time Series Model Downloads
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2014: The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations Downloads
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2014: Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations Downloads
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2014: On the martingale property in stochastic volatility models based on time-homogeneous diffusions Downloads
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2014: Sequential Design for Optimal Stopping Problems Downloads
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2014: Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data Downloads
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2014: Optimal Payoffs under State-dependent Preferences Downloads
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2014: Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? Downloads
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2014: Extracting information from the signature of a financial data stream Downloads
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2014: Random Market Models with an H-Theorem Downloads
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2014: Suitability of Capital Allocations for Performance Measurement Downloads
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2014: On the Robust Optimal Stopping Problem Downloads
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2014: Optimal Stopping under Adverse Nonlinear Expectation and Related Games Downloads
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2014: Approximating stochastic volatility by recombinant trees Downloads
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2014: Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias Downloads
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2014: Small-time expansions for local jump-diffusion models with infinite jump activity Downloads
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2014: An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process Downloads
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2014: Record statistics of financial time series and geometric random walks Downloads
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2014: A two-stage model for dealing with temporal degradation of credit scoring Downloads
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2014: Bank Networks from Text: Interrelations, Centrality and Determinants Downloads
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2014: Active extension portfolio optimization with non-convex risk measures using metaheuristics Downloads
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2014: Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy Downloads
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2014: Optimal investment-reinsurance policy under a long-term perspective Downloads
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2014: Predictability of Volatility Homogenised Financial Time Series Downloads
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2014: Stock Market Prediction from WSJ: Text Mining via Sparse Matrix Factorization Downloads
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2014: Hierarchical Structure of the Foreign Trade: The Case of the United State Downloads
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2014: Optimal Portfolio Problem Using Entropic Value at Risk: When the Underlying Distribution is Non-Elliptical Downloads
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2014: On the Depletion Problem for an Insurance Risk Process: New Non-ruin Quantities in Collective Risk Theory Downloads
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2014: Optimal Investment with Stopping in Finite Horizon Downloads
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2014: Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization Downloads
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2014: Coping with area price risk in electricity markets: Forecasting Contracts for Difference in the Nordic power market Downloads
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2014: Credit Risk in a Geometric Arbitrage Perspective Downloads
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2014: Causality Networks Downloads
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2014: Systemic risk through contagion in a core-periphery structured banking network Downloads
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2014: Hierarchical structure of the countries based on electricity consumption and economic growth Downloads
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2014: Hierarchical structure of the European countries based on debts as a percentage of GDP during the 2000-2011 period Downloads
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2014: Using an Artificial Financial Market for studying a Cryptocurrency Market Downloads
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2014: How to hedge extrapolated yield curves Downloads
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2014: Probabilistic flows of inhabitants in urban areas and self-organization in housing markets Downloads
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2014: Semiclassical approximation in stochastic optimal control I. Portfolio construction problem Downloads
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2014: From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments Downloads
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2014: Moral Hazard in Dynamic Risk Management Downloads
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2014: Reduction of systemic risk by means of Pigouvian taxation Downloads
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2014: An Unconventional Attempt to Tame Mandelbrot's Grey Swans Downloads
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2014: Survival Models for the Duration of Bid-Ask Spread Deviations Downloads
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2014: Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data Downloads
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2014: A robust algorithm and convergence analysis for static replications of nonlinear payoffs Downloads
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2014: Zooming into market states Downloads
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2014: Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage in Markovian Models of Financial Markets Downloads
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2014: Strategy-proofness and single-peackedness in bounded distributive lattices Downloads
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2014: A variation of the Dragulescu-Yakovenko income model Downloads
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2014: Instabilities in large economies: aggregate volatility without idiosyncratic shocks Downloads
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2014: Advisors and indicators based on the SSA models and non-linear generalizations Downloads
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2014: Ergodic BSDEs with jumps and time dependence Downloads
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2014: Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence Downloads
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2014: A general HJM framework for multiple yield curve modeling Downloads
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2014: On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment Downloads
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2014: A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information Downloads
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2014: Investment under Duality Risk Measure Downloads
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2014: Climate Events and Insurance Demand - The effect of potentially catastrophic events on insurance demand in Italy Downloads
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2014: Statistically significant fits of Hawkes processes to financial data Downloads
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2014: The G\"{a}rtner-Ellis theorem, homogenization, and affine processes Downloads
Archil Gulisashvili and Josef Teichmann
2014: Decoding Stock Market Behavior with the Topological Quantum Computer Downloads
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2014: Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models Downloads
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2014: Hierarchical representation of socio-economic complex systems according to minimal sapnning trees Downloads
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2014: On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums Downloads
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2014: Analitic approach to solve a degenerate parabolic PDE for the Heston model Downloads
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2014: Historical Backtesting of Local Volatility Model using AUD/USD Vanilla Options Downloads
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2014: A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations Downloads
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2014: Stochastic Analysis Seminar on Filtering Theory Downloads
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2014: A generalized pricing and hedging framework for multi-currency fixed income desks Downloads
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2014: The Naive Extrapolation Hypothesis and the Rosy-Gloomy Forecasts Downloads
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2014: Arbitrage-free exchange rate ensembles over a general trade network Downloads
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2014: Notes on Alpha Stream Optimization Downloads
Zura Kakushadze
2014: Numerical analysis for Spread option pricing model in illiquid underlying asset market: full feedback model Downloads
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2014: Integration of a Predictive, Continuous Time Neural Network into Securities Market Trading Operations Downloads
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2014: Supervised classification-based stock prediction and portfolio optimization Downloads
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2014: Robust pricing and hedging under trading restrictions and the emergence of local martingale models Downloads
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2014: Buyer to Seller Recommendation under Constraints Downloads
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2014: Estimation of the Global Minimum Variance Portfolio in High Dimensions Downloads
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2014: Option Pricing in an Imperfect World Downloads
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2014: Inverse Optimal Stopping Downloads
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2014: Optimal investment under behavioural criteria -- a dual approach Downloads
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2014: An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs Downloads
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2014: Affine LIBOR models with multiple curves: theory, examples and calibration Downloads
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2014: Macroprudential oversight, risk communication and visualization Downloads
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2014: A Bitcoin system with no mining and no history transactions: Build a compact Bitcoin system Downloads
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2014: Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching Downloads
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2014: An efficient algorithm for the calculation of reserves for non-unit linked life policies Downloads
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2014: Measures of Causality in Complex Datasets with application to financial data Downloads
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2014: Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion Downloads
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2014: A New Characterization of Comonotonicity and its Application in Behavioral Finance Downloads
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2014: Order Estimates for the Exact Lugannani-Rice Expansion Downloads
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2014: Short-term Market Reaction after Trading Halts in Chinese Stock Market Downloads
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2014: Semiparametric stochastic volatility modelling using penalized splines Downloads
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2014: Portfolio return distributions: Sample statistics with non-stationary correlations Downloads
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2014: On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix Downloads
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2014: The Financing of Innovative SMEs: a multicriteria credit rating model Downloads
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2014: Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process Downloads
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2014: A Robust Version of Convex Integral Functionals Downloads
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2014: Dynamic Credit Investment in Partially Observed Markets Downloads
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2014: The first passage time problem for mixed-exponential jump processes with applications in insurance and finance Downloads
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2014: Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function Downloads
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2014: How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related Downloads
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2014: From characteristic functions to implied volatility expansions Downloads
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2014: Patience vs. Impatience of Stock Traders Downloads
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2014: On the concentration of large deviations for fat tailed distributions, with application to financial data Downloads
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2014: American and Bermudan options in currency markets under proportional transaction costs Downloads
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2014: Computation of copulas by Fourier methods Downloads
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2014: Field Theory of Macroeconomics Downloads
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2014: Path Diffusion, Part I Downloads
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2014: Structure of local interactions in complex financial dynamics Downloads
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2014: Explicit investment rules with time-to-build and uncertainty Downloads
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2014: Gambling in Contests with Random Initial Law Downloads
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2014: Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics Downloads
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2014: VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution Downloads
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2014: Mixed Tempered Stable distribution Downloads
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2014: Option Pricing in a Dynamic Variance-Gamma Model Downloads
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2014: On the stationarity of Dynamic Conditional Correlation models Downloads
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2014: Bregman superquantiles. Estimation methods and applications Downloads
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2014: Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility Downloads
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2014: Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps Downloads
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2014: R&D Strategy Document Downloads
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2014: Wealth share analysis with "fundamentalist/chartist" heterogeneous agents Downloads
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2014: Stationarity of Bivariate Dynamic Contagion Processes Downloads
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2014: Micro and Macro Benefits of Random Investments in Financial Markets Downloads
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2014: Big Data, Socio-Psychological Theory, Algorithmic Text Analysis and Predicting the Michigan Consumer Sentiment Index Downloads
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2014: Valuation of Barrier Options using Sequential Monte Carlo Downloads
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2014: A Functional Limit Theorem for Limit Order Books Downloads
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2014: Correlation structure and principal components in global crude oil market Downloads
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2014: Set-valued shortfall and divergence risk measures Downloads
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2014: The Economics of BitCoin Price Formation Downloads
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2014: Quantum spatial-periodic harmonic model for daily price-limited stock markets Downloads
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2014: Local times for typical price paths and pathwise Tanaka formulas Downloads
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2014: Mining Urban Performance: Scale-Independent Classification of Cities Based on Individual Economic Transactions Downloads
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2014: Distortion Risk Measures and Elicitability Downloads
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2014: Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information Downloads
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2014: A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities Downloads
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2014: Quantum Brownian motion model for stock markets Downloads
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2014: Can Analysts Predict Rallies Better Than Crashes? Downloads
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2014: The systematic structure and predictability of urban business diversity Downloads
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2014: Arbitrage Pricing of Multi-person Game Contingent Claims Downloads
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2014: Simple examples of pure-jump strict local martingales Downloads
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2014: Interest rate models and Whittaker functions Downloads
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2014: How does bad and good volatility spill over across petroleum markets? Downloads
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2014: A Multi-factor Adaptive Statistical Arbitrage Model Downloads
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2014: Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market Downloads
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2014: Merchant Sharing Towards a Zero Marginal Cost Economy Downloads
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2014: Phynance Downloads
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2014: Paths and indices of maximal tail dependence Downloads
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2014: The super-replication theorem under proportional transaction costs revisited Downloads
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2014: Stylized facts of price gaps in limit order books: Evidence from Chinese stocks Downloads
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2014: Market risk modelling in Solvency II regime and hedging options not using underlying Downloads
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2014: Market Coupling as the Universal Algorithm to Assess Zonal Divisions Downloads
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2014: Spatial interactions in agent-based modeling Downloads
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2014: Hedging of equity-linked with maximal success factor Downloads
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2014: Evaluating gambles using dynamics Downloads
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2014: The least squares method for option pricing revisited Downloads
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2014: Maximum drawdown, recovery, and momentum Downloads
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2014: Reward-risk momentum strategies using classical tempered stable distribution Downloads
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2014: Stationarity, non-stationarity and early warning signals in economic networks Downloads
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2014: A Multiple Network Approach to Corporate Governance Downloads
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2014: A state-constrained differential game arising in optimal portfolio liquidation Downloads
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2014: The Origin of Fat Tails Downloads
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2014: The fine structure of volatility feedback II: overnight and intra-day effects Downloads
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2014: Optimal Liquidity Provision in Limit Order Markets Downloads
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2014: On the Stochastic Solution to a Cauchy Problem Associated with Nonnegative Price Processes Downloads
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2014: Analytical models of operational risk and new results on the correlation problem Downloads
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2014: Admissible Trading Strategies under Transaction Costs Downloads
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2014: Option pricing with non-Gaussian scaling and infinite-state switching volatility Downloads
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2014: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy Downloads
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2014: Collective Philanthropy: Describing and Modeling the Ecology of Giving Downloads
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2014: VWAP execution and guaranteed VWAP Downloads
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2014: B-spline techniques for volatility modeling Downloads
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2014: Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization Downloads
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2014: Survey data and Bayesian analysis: a cost-efficient way to estimate customer equity Downloads
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2014: Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions Downloads
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2014: Weak and strong no-arbitrage conditions for continuous financial markets Downloads
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2014: Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance Downloads
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2014: Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs Downloads
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2014: Price manipulation in a market impact model with dark pool Downloads
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2014: The Wishart short rate model Downloads
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2014: International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach Downloads
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2014: Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without L\'{e}vy area simulation Downloads
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2014: A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk Downloads
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2014: Geometric Arbitrage Theory and Market Dynamics Downloads
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2014: An Optimal Consumption-Investment Model with Constraint on Consumption Downloads
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2014: The role of the information set for forecasting - with applications to risk management Downloads
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2014: Predictive regressions for macroeconomic data Downloads
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2014: A multivariate model for financial indexes and an algorithm for detection of jumps in the volatility Downloads
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2014: The Italian Crisis and Producer Households Debt: a Source of Stability? A Reproducible Research Downloads
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2014: Analysis of a decision model in the context of equilibrium pricing and order book pricing Downloads
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2014: Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes Downloads
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2014: Leveraged {ETF} implied volatilities from {ETF} dynamics Downloads
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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 Downloads
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2014: Polynomial Models for interest rates and stochastic volatility Downloads
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2014: Incorporating a Volatility Smile into the Markov-Functional Model Downloads
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2014: Measurement and Internalization of Systemic Risk in a Global Banking Network Downloads
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2014: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case Downloads
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2014: Futures Premium and Efficiency of the Rice Futures Markets in Prewar Japan Downloads
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2014: Reconstruction of density functions by sk-splines Downloads
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2014: Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model Downloads
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2014: Towards a Monotonicity-Compliant Price Index for the Art Market Downloads
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2014: High-order compact finite difference scheme for option pricing in stochastic volatility models Downloads
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2014: High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids Downloads
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2014: Spectral Model of Turnover Reduction Downloads
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2014: Expected Cash Flow: A Novel Model Of Evaluating Financial Assets Downloads
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2014: Approximate aggregation in the neoclassical growth model with ideosyncratic shocks Downloads
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2014: Modelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models Downloads
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2014: Directed Random Market: the equilibrium distribution Downloads
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2014: $L_p$ regularized portfolio optimization Downloads
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2014: Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing Downloads
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2014: Option Pricing Accuracy for Estimated Heston Models Downloads
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2014: Smile from the Past: A general option pricing framework with multiple volatility and leverage components Downloads
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2014: Stability and Identification with Optimal Macroprudential Policy Rules Downloads
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2014: Two centuries of trend following Downloads
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2014: Regularizing Portfolio Risk Analysis: A Bayesian Approach Downloads
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2014: A Note on the Pricing of Basket Options Using Taylor Approximations Downloads
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2014: Estimating nonlinear regression errors without doing regression Downloads
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2014: A Dynamical Model of the Industrial Economy of the Humber Region Downloads
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2014: Pricing of Basket Options Using Polynomial Approximations Downloads
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2014: Facelifting in Utility Maximization Downloads
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2014: Financial bubbles: mechanisms and diagnostics Downloads
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2014: Bayesian DEJD model and detection of asymmetric jumps Downloads
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2014: Ramsey Rule with Progressive utility and Long Term Affine Yields Curves Downloads
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2014: Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling Downloads
Nicole El Karoui, Caroline Hillairet and Mohamed Mrad
2014: Derivative pricing under the possibility of long memory in the supOU stochastic volatility model Downloads
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2014: Impulse Control of a Diffusion with a Change Point Downloads
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2014: Martingale optimal transport in the Skorokhod space Downloads
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2014: A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control Downloads
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2014: Emergence of communities on a coevolutive model of wealth interchange Downloads
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2014: Discretisation-Invariant Swaps Downloads
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2014: Parallel American Monte Carlo Downloads
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2014: Utility indifference pricing of derivatives written on industrial loss indexes Downloads
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2014: Dynamic optimal execution in a mixed-market-impact Hawkes price model Downloads
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2014: Non-Arbitrage under a Class of Honest Times Downloads
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2014: Principal wind turbines for a conditional portfolio approach to wind farms Downloads
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2014: On the range of admissible term-structures Downloads
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2014: Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models Downloads
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2014: A Note on the Quantile Formulation Downloads
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2014: Systemic risk in dynamical networks with stochastic failure criterion Downloads
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2014: Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging Downloads
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2014: The adaptive nature of liquidity taking in limit order books Downloads
Damian Eduardo Taranto, Giacomo Bormetti and Fabrizio Lillo
2014: Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors Downloads
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2014: Propagation of Economic Shocks in Input-Output Networks: A Cross-Country Analysis Downloads
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2014: IIGHGINT: A generalization to the modified GHG intensity universal indicator toward a production/consumption insensitive border carbon tax Downloads
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2014: A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades Downloads
Teruyoshi Kobayashi
2014: On strong binomial approximation for stochastic processes and applications for financial modelling Downloads
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2014: Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo Downloads
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2014: The Interrupted Power Law and The Size of Shadow Banking Downloads
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2014: Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials Downloads
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2014: Information, no-arbitrage and completeness for asset price models with a change point Downloads
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2014: Asymptotic arbitrage in the Heston model Downloads
Fatma Haba and Antoine Jacquier
2014: An examination of the effect on the Icelandic Banking System of Ver{\dh}trygg{\dh} L\'{a}n (Indexed-Linked Loans) Downloads
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2014: Parameter estimation for a subcritical affine two factor model Downloads
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2014: High-order short-time expansions for ATM option prices of exponential L\'evy models Downloads
Jos\'e E. Figueroa-L\'opez, Ruoting Gong and Christian Houdr\'e
2014: Stochastic target games with controlled loss Downloads
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2014: Involving copula functions in Conditional Tail Expectation Downloads
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2014: Utility Maximization with Addictive Consumption Habit Formation in Incomplete Semimartingale Markets Downloads
Xiang Yu
2014: Asymptotically optimal discretization of hedging strategies with jumps Downloads
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2014: The structure of optimal portfolio strategies for continuous time markets Downloads
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2014: Stable-1/2 Bridges and Insurance Downloads
Edward Hoyle, Lane P. Hughston and Andrea Macrina
2014: An agent-based computational model for China's stock market and stock index futures market Downloads
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2014: Microscopic determinants of the weak-form efficiency of an artificial order-driven stock market Downloads
Jian Zhou, Gao-Feng Gu, Zhi-Qiang Jiang, Xiong Xiong, Wei Zhang and Wei-Xing Zhou
2014: Pseudo Linear Pricing Rule for Utility Indifference Valuation Downloads
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2014: Evolution of wealth in a nonconservative economy driven by local Nash equilibria Downloads
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2014: Omega risk model with tax Downloads
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2014: Anatomy of a Bail-In Downloads
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2014: Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach Downloads
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2014: Contextual and Structural Representations of Market-mediated Economic Value Downloads
Bradly Alicea
2014: Credit acceptance process strategy case studies - the power of Credit Scoring Downloads
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2014: Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies Downloads
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2014: Behavioral and Network Origins of Wealth Inequality: Insights from a Virtual World Downloads
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2014: The role of the "Maximizing Output Growth Inflation Rate" in monetary policy Downloads
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2014: The Implied Volatility Analysis: The South African Experience Downloads
Romuald N. Kenmoe S and Carine D. Tafou
2014: Sophisticated gamblers ruin and survival chances Downloads
Salil Mehta
2014: The acceptance-rejection method for low-discrepancy sequences Downloads
Nguyet Nguyen and Giray \"Okten
2014: Time-changed CIR default intensities with two-sided mean-reverting jumps Downloads
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2014: Multilevel Monte Carlo For Exponential L\'{e}vy Models Downloads
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2014: Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models Downloads
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2014: Portfolio Optimization in Affine Models with Markov Switching Downloads
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2014: A change of measure preserving the affine structure in the BNS model for commodity markets Downloads
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2014: Predicting market instability: New dynamics between volume and volatility Downloads
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2014: Collective behaviours in the stock market -- A maximum entropy approach Downloads
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2014: Which factor dominates the industry evolution? A synergy analysis based on China's ICT industry Downloads
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2014: Least quartic Regression Criterion with Application to Finance Downloads
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2014: Representation of infinite dimensional forward price models in commodity markets Downloads
Fred Espen Benth and Paul Kr\"uhner
2014: Momentum Strategies with L1 Filter Downloads
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2014: A fast Fourier transform method for Mellin-type option pricing Downloads
D. J. Manuge and P. T. Kim
2014: Networked relationships in the e-MID Interbank market: A trading model with memory Downloads
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2014: A re-examination of real interest parity in CEECs using old and new generations of panel unit root tests Downloads
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2014: Testing for Detailed Balance in a Financial Market Downloads
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2014: Anomalous impact in reaction-diffusion models Downloads
Iacopo Mastromatteo, Bence Toth and Jean-Philippe Bouchaud
2014: Empirical properties of inter-cancellation durations in the Chinese stock market Downloads
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2014: Structural Models under Additional Information Downloads
Tahir Choulli and Jun Deng
2014: Coherent Chaos Interest Rate Models Downloads
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2014: Detecting informed activities in European-style option tradings Downloads
Lyudmila A. Glik and Oleg L. Kritski
2014: Merton problem with one additional indivisible asset Downloads
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2014: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic factor case Downloads
Jakub Trybu{\l}a and Dariusz Zawisza
2014: Distribution of the asset price movement and market potential Downloads
Dong Han Kim and Stefano Marmi
2014: Quadratic BSDEs with jumps: related non-linear expectations Downloads
M. Nabil Kazi-Tani, Dylan Possama\"i and Chao Zhou
2014: A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution Downloads
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2014: Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models Downloads
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2014: Partial Mutual Information Analysis of Financial Networks Downloads
Paweł Fiedor
2014: Introduction to Risk Parity and Budgeting Downloads
Thierry Roncalli
2014: High-Order Splitting Methods for Forward PDEs and PIDEs Downloads
Andrey Itkin
2014: Do Google Trend data contain more predictability than price returns? Downloads
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2014: Inside Money, Procyclical Leverage, and Banking Catastrophes Downloads
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2014: To bail-out or to bail-in? Answers from an agent-based model Downloads
Peter Klimek, Sebastian Poledna, J. Doyne Farmer and Stefan Thurner
2014: Modelling the Bid and Ask Prices of Illiquid CDSs Downloads
Michael B. Walker
2014: International Transmission of Shocks and Fragility of a Bank Network Downloads
Xiaobing Feng, Woo Seong Jo and Beom Jun Kim
2014: On the Frequency of Drawdowns for Brownian Motion Processes Downloads
David Landriault, Bin Li and Hongzhong Zhang
2014: On the Hawkes Process with Different Exciting Functions Downloads
Behzad Mehrdad and Lingjiong Zhu
2014: Asset Prices and Risk Aversion Downloads
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2014: Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics Downloads
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2014: Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure Downloads
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2014: Multi-period Trading Prediction Markets with Connections to Machine Learning Downloads
Jinli Hu and Amos Storkey
2014: Exchange Rate Predictability in a Changing World Downloads
Joseph Byrne, Dimitris Korobilis and Pinho Ribeiro
2014: Parameter estimation for subcritical Heston models based on discrete time observations Downloads
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2014: Investing and Stopping Downloads
Moritz Duembgen and Leonard Rogers
2014: Leverage effect in energy futures Downloads
Ladislav Krištoufek
2014: Prospect Theory for Online Financial Trading Downloads
Yang-Yu Liu, Jose C. Nacher, Tomoshiro Ochiai, Mauro Martino and Yaniv Altshuler
2014: Mapping systemic risk: critical degree and failures distribution in financial networks Downloads
Matteo Smerlak, Brady Stoll, Agam Gupta and James S. Magdanz
2014: Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization Downloads
Bin Zou and Abel Cadenillas
2014: Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms Downloads
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2014: Global inequality in energy consumption from 1980 to 2010 Downloads
Scott Lawrence, Qin Liu and Victor M. Yakovenko
2014: No-arbitrage conditions and absolutely continuous changes of measure Downloads
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2014: Predicting trend reversals using market instantaneous state Downloads
Thomas Bury
2014: Power identities for L\'evy risk models under taxation and capital injections Downloads
Hansjoerg Albrecher and Jevgenijs Ivanovs
2014: Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains Downloads
Mikl\'os R\'asonyi and Andrea Meireles Rodrigues
2014: Efficient hedging in general Black-Scholes model Downloads
Kyong-Hui Kim and Myong-Guk Sin
2014: Do the rich get richer? An empirical analysis of the BitCoin transaction network Downloads
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2014: Measuring risk with multiple eligible assets Downloads
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
2014: Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix Downloads
Taras Bodnar, Arjun K. Gupta and Nestor Parolya
2014: Gold, Oil, and Stocks Downloads
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2014: Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures Downloads
Gordan Zitkovic
2014: Predicting financial markets with Google Trends and not so random keywords Downloads
Damien Challet and Ahmed Bel Hadj Ayed
2014: Strict Local Martingales with Jumps Downloads
Philip Protter
2014: Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots Downloads
Albert Ferreiro-Castilla and Kees van Schaik
2014: Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk Downloads
M. H. A Davis and M. R. Pistorius
2014: Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis Downloads
Aim\'e Lachapelle, Jean-Michel Lasry, Charles-Albert Lehalle and Pierre-Louis Lions
2014: Permanent market impact can be nonlinear Downloads
Olivier Gu\'eant
2014: A convolution method for numerical solution of backward stochastic differential equations Downloads
Cody Blaine Hyndman and Polynice Oyono Ngou
2014: Coherence and elicitability Downloads
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2014: A Modern Approach to the Efficient-Market Hypothesis Downloads
Gabriel Frahm
2014: On the optimal dividend problem for a spectrally positive Levy process Downloads
Chuancun Yin, Yuzhen Wen and Yongxia Zhao
2014: The effect of debt on corporate profitability: Evidence from French service sector Downloads
Mazen Kebewar
2014: Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model Downloads
Maria B. Chiarolla and Tiziano De Angelis
2014: Quadratic BSDEs with jumps: a fixed-point approach Downloads
M. Nabil Kazi-Tani, Dylan Possama\"i and Chao Zhou
2014: Exploiting the flexibility of a family of models for taxation and redistribution Downloads
Maria Letizia Bertotti and Giovanni Modanese
2014: On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk-process in the presence of a penalty function Downloads
Florin Avram, Zbigniew Palmowski and Martijn R. Pistorius
2014: Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders Downloads
Taisei Kaizoji, M. Leiss, A. Saichev and D. Sornette
2014: Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target Downloads
Hanqing Jin and Yimin Yang
2014: Finding informed traders in futures and their inderlying assets in intraday trading Downloads
Lyudmila A. Glik and Oleg L. Kritski
2014: Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift Downloads
Abdelali Gabih, Hakam Kondakji, J\"orn Sass and Ralf Wunderlich
2014: The role of information in a two-traders market Downloads
F. Bagarello and E. Haven
2014: Time-dependent Heston model Downloads
G. S. Vasilev
2014: Estimation Error of Expected Shortfall Downloads
Imre Kondor
2014: Technology Parks Potential for Small and Medium Enterprises Downloads
Anna V. Vilisova and Qiang Fu
2014: Rebalancing with Linear and Quadratic Costs Downloads
Ren Liu, Johannes Muhle-Karbe and Marko Weber
2014: Trading with Small Price Impact Downloads
Ludovic Moreau, Johannes Muhle-Karbe and H. Mete Soner
2014: Densely Entangled Financial Systems Downloads
Bhaskar DasGupta and Lakshmi Kaligounder
2014: Accelerating Implicit Finite Difference Schemes Using a Hardware Optimised Implementation of the Thomas Algorithm for FPGAs Downloads
Samuel Palmer and David Thomas
2014: Large deviation asymptotics for the left tail of the sum of dependent positive random variables Downloads
Peter Tankov
2014: A debt behaviour model Downloads
Wenjun Zhang and John Holt
2014: On Simulation of Various Effects in Consolidated Order Book Downloads
A. O. Glekin, A. Lykov and K. L. Vaninsky
2014: Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach Downloads
M. Koz{\l}owska, T. Gubiec, T. R. Werner, M. Denys, A. Sienkiewicz, R. Kutner and Z. Struzik
2014: Information-theoretic approach to lead-lag effect on financial markets Downloads
Paweł Fiedor
2014: On the shortfall risk control -- a refinement of the quantile hedging method Downloads
Micha{\l} Barski
2014: Systemic Losses Due to Counter Party Risk in a Stylized Banking System Downloads
Annika Birch and Tomaso Aste
2014: News Cohesiveness: an Indicator of Systemic Risk in Financial Markets Downloads
Matija Pi\v{s}korec, Nino Antulov-Fantulin, Petra Kralj Novak, Igor Mozeti\v{c}, Miha Gr\v{c}ar, Irena Vodenska and Tomislav \v{S}muc
2014: Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time Downloads
Jianjun Gao, Ke Zhou, Duan Li and Xiren Cao
2014: Reference Vectors in Economic Choice Downloads
Teycir Goucha
2014: Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression Downloads
Alice X. D. Dong, Jennifer Chan and Gareth W. Peters
2014: Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate Downloads
Anatoliy Swishchuk, Maksym Tertychnyi and Winsor Hoang
2014: Multi-scale Representation of High Frequency Market Liquidity Downloads
Anton Golub, Gregor Chliamovitch, Alexandre Dupuis and Bastien Chopard
2014: Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading Downloads
Sandrine Jacob Leal, Mauro Napoletano, Andrea Roventini and Giorgio Fagiolo
2014: Pricing Currency Derivatives with Markov-modulated Levy Dynamics Downloads
Anatoliy Swishchuk, Maksym Tertychnyi and Robert Elliott
2014: Using Twitter to Model the EUR/USD Exchange Rate Downloads
Dietmar Janetzko
2014: Option Pricing for Symmetric L\'evy Returns with Applications Downloads
Kais Hamza, Fima C. Klebaner, Zinoviy Landsman and Ying-Oon Tan
2014: Correlation and Network Topologies in Global and Local Stock Indices Downloads
Ashadun Nobi, Sungmin Lee, Doo Hwan Kim and Jae Woo Lee
2014: Are European equity markets efficient? New evidence from fractal analysis Downloads
Enrico Onali and John Goddard
2014: Partial correlation analysis: Applications for financial markets Downloads
Dror Y. Kenett, Xuqing Huang, Irena Vodenska, Shlomo Havlin and H. Eugene Stanley
2014: Market impact as anticipation of the order flow imbalance Downloads
Thibault Jaisson
2014: Crossing Stocks and the Positive Grassmannian I: The Geometry behind Stock Market Downloads
Ovidiu Racorean
2014: Option Pricing, Historical Volatility and Tail Risks Downloads
Samuel E. Vazquez
2014: Optimal allocation of wealth for two consuming agents sharing a portfolio Downloads
Oumar Mbodji, Adrien Nguyen Huu and Traian A. Pirvu
2014: Spatial and temporal structures of four financial markets in Greater China Downloads
F. Y. Ouyang, B. Zheng and X. F. Jiang
2014: The $500.00 AAPL close: Manipulation or hedging? A quantitative analysis Downloads
Yavni Bar-Yam, Marcus A. M. de Aguiar and Yaneer Bar-Yam
2014: Faster Comparison of Stopping Times by Nested Conditional Monte Carlo Downloads
Fabian Dickmann and Nikolaus Schweizer
2014: Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium Downloads
Sorin Solomon and Natasa Golo
2014: The Political Economy of FDI flows into Developing Countries: Does the depth of International Trade Agreements Matter? Downloads
Arslan Rana and Mazen Kebewar
2014: Elimination of systemic risk in financial networks by means of a systemic risk transaction tax Downloads
Sebastian Poledna and Stefan Thurner
2014: Arbitrage of the first kind and filtration enlargements in semimartingale financial models Downloads
Beatrice Acciaio, Claudio Fontana and Constantinos Kardaras
2014: On the Measurement of Economic Tail Risk Downloads
Steven Kou and Xianhua Peng
2014: Capital adequacy tests and limited liability of financial institutions Downloads
Pablo Koch-Medina, Santiago Moreno-Bromberg and Cosimo Munari
2014: Mean field approximation for biased diffusion on Japanese inter-firm trading network Downloads
Hayafumi Watanabe
2014: The False Premises and Promises of Bitcoin Downloads
Brian P. Hanley
2014: Nucleation, condensation and lambda-transition on a real-life stock market Downloads
M. Wilinski, B. Szewczak, T. Gubiec, R. Kutner and Z. R. Struzik
2014: Non-Arbitrage up to Random Horizon for Semimartingale Models Downloads
Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc
2014: Control of the socio-economic systems using herding interactions Downloads
Aleksejus Kononovicius and Vygintas Gontis
2014: On hedging American options under model uncertainty Downloads
Erhan Bayraktar, Yu-Jui Huang and Zhou Zhou
2014: Investment under uncertainty, competition and regulation Downloads
Adrien Nguyen Huu
2014: Detrended Cross-Correlation Analysis Consistently Extended to Multifractality Downloads
Pawe{\l} O\'swi\c{e}cimka, Stanis{\l}aw Dro\.zd\.z, Marcin Forczek, Stanis{\l}aw Jadach and Jaros{\l}aw Kwapie\'n
2014: Arbitrage and Duality in Nondominated Discrete-Time Models Downloads
Bruno Bouchard and Marcel Nutz
2014: Optimal dividend problem for a generalized compound Poisson risk model Downloads
Chuancun Yin
2014: Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach Downloads
R\"udiger Frey, Abdelali Gabih and Ralf Wunderlich
2014: Ergodicity and scaling limit of a constrained multivariate Hawkes process Downloads
Ban Zheng, Fran\c{c}ois Roueff and Fr\'ed\'eric Abergel
2014: Superreplication under Model Uncertainty in Discrete Time Downloads
Marcel Nutz
2014: Strategy switches and co-action equilibria in a minority game Downloads
V. Sasidevan and Deepak Dhar
2014: Valuation of asset and volatility derivatives using decoupled time-changed L\'{e}vy processes Downloads
Lorenzo Torricelli
2014: Strong random correlations in networks of heterogeneous agents Downloads
Imre Kondor, Istv\'an Csabai, G\'abor Papp, Enys Mones, G\'abor Czimbalmos and M\'at\'e Csaba S\'andor
2014: Beyond cash-additive risk measures: when changing the num\'{e}raire fails Downloads
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
2014: Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes Downloads
Ying Shen, Chuancun Yin and Kam Chuen Yuen
2014: Micro to macro models for income distribution in the absence and in the presence of tax evasion Downloads
Maria Letizia Bertotti and Giovanni Modanese
2014: Hedging Expected Losses on Derivatives in Electricity Futures Markets Downloads
Adrien Nguyen Huu and Nadia Oudjane
2014: The Integrated Size and Price Optimization Problem Downloads
Miriam Kie{\ss}ling, Sascha Kurz and J\"org Rambau
2014: Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations Downloads
Yoshihiro Yura, Hideki Takayasu, Didier Sornette and Misako Takayasu
2014: Testing for rational speculative bubbles in the Brazilian residential real-estate market Downloads
Marcelo M. de Oliveira and Alexandre C. L. Almeida
2014: Microeconomic Structure determines Macroeconomic Dynamics. Aoki defeats the Representative Agent Downloads
Sorin Solomon and Natasa Golo
2014: Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks Downloads
B. Podobnik, A. Majdandzic, C. Curme, Z. Qiao, W. -X. Zhou, H. E. Stanley and B. Li
2014: Release of the Kraken: A Novel Money Multiplier Equation's Debut in 21st Century Banking Downloads
Brian P. Hanley
2014: Self-affinity in financial asset returns Downloads
John Goddard and Enrico Onali
2014: Modeling Credit Spreads Using Nonlinear Regression Downloads
Radoslava Mirkov, Thomas Maul, Ronald Hochreiter and Holger Thomae
2014: Option Pricing of Twin Assets Downloads
Marcelo J. Villena and Axel A. Araneda
2014: Multidimensional Breeden-Litzenberger representation for state price densities and static hedging Downloads
Jarno Talponen and Lauri Viitasaari
2014: Estimate nothing Downloads
M. Duembgen and Leonard Rogers
2014: Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market Downloads
G. Papaioannou, P. Papaioannou and N. Parliaris
2014: On multicurve models for the term structure Downloads
Laura Morino and Wolfgang J. Ruggaldier
2014: Why free markets die: An evolutionary perspective Downloads
Eduardo Viegas, Stuart P. Cockburn, Henrik Jeldtoft Jensen and Geoffrey B. West
2014: On Convergence in the Spatial AK Growth Models Downloads
Gani Aldashev, Serik Aldashev and Timoteo Carletti
2014: Wealth distribution and collective knowledge. A Boltzmann approach Downloads
Lorenzo Pareschi and Giuseppe Toscani
2014: Diversity of scales makes an advantage: The case of the Minority Game Downloads
Miroslav Pi\v{s}t\v{e}k and Frantisek Slanina
2014: CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach Downloads
Damiano Brigo and Andrea Pallavicini
2014: A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options Downloads
Alfred Galichon, P. Henry-Labord\`ere and N. Touzi
2014: A Creepy World Downloads
Didier Sornette and Peter Cauwels
2014: General indifference pricing with small transaction costs Downloads
Dylan Possama\"i and Guillaume Royer
2014: Quasi-Hadamard differentiability of general risk functionals and its application Downloads
Volker Kr\"atschmer, Alexander Schied and Henryk Z\"ahle
2014: Law-invariant risk measures: extension properties and qualitative robustness Downloads
Pablo Koch-Medina and Cosimo Munari
2014: Hierarchicality of Trade Flow Networks Reveals Complexity of Products Downloads
Peiteng Shi, Jiang Zhang, Bo Yang and Jingfei Luo
2014: When Finance Meets Physics: The Impact of the Speed of Light on Financial Markets and their Regulation Downloads
James J. Angel
2014: Efficient tree methods for pricing digital barrier options Downloads
Elisa Appolloni and Andrea Ligori
2014: Bayesian analysis of redistribution policy with a fixed scale Downloads
Guy Cirier
2014: Complex temporal structure of activity in on-line electronic auctions Downloads
Frantisek Slanina
2014: Mutual Information Rate-Based Networks in Financial Markets Downloads
Paweł Fiedor
2014: Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions Downloads
Weiyin Fei
2014: Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile Downloads
Nassim Nicholas Taleb
2014: Refined wing asymptotics for the Merton and Kou jump diffusion models Downloads
Stefan Gerhold, Johannes F. Morgenbesser and Axel Zrunek
2014: Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting Downloads
Tao Xiong, Yukun Bao and Zhongyi Hu
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks Downloads
Li-Xin Wang
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models Downloads
Li-Xin Wang
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models Downloads
Li-Xin Wang
2014: Pricing of basket options I Downloads
Alexander Kushpel
2014: Informational Efficiency under Short Sale Constraints Downloads
Robert Jarrow and Martin Larsson
2014: Optimal consumption and portfolio choice with ambiguity Downloads
Qian Lin and Frank Riedel
2014: Computation of the "Enrichment" of a Value Functions of an Optimization Problem on Cumulated Transaction-Costs through a Generalized Lax-Hopf Formula Downloads
Luxi Chen
2014: An Empirical Method to Measure Stochasticity and Multifractality in Nonlinear Time Series Downloads
Chih-Hao Lin, Chia-Seng Chang and Sai-Ping Li
2014: Second order statistics characterization of Hawkes processes and non-parametric estimation Downloads
Emmanuel Bacry and Jean-Francois Muzy
2014: Emergence of statistically validated financial intraday lead-lag relationships Downloads
Chester Curme, Michele Tumminello, Rosario Mantegna, H. Eugene Stanley and Dror Y. Kenett
2014: A statistical physics perspective on criticality in financial markets Downloads
Thomas Bury
2014: Prospect Agents and the Feedback Effect on Price Fluctuations Downloads
Yipeng Yang and Allanus Tsoi
2014: Local Variance Gamma and Explicit Calibration to Option Prices Downloads
Peter Carr and Sergey Nadtochiy
2014: Optimal investment for all time horizons and Martin boundary of space-time diffusions Downloads
Sergey Nadtochiy and Michael Tehranchi
2014: The Skin In The Game Heuristic for Protection Against Tail Events Downloads
Nassim N. Taleb and Constantine Sandis
2014: Cross-border Portfolio Investment Networks and Indicators for Financial Crises Downloads
Andreas Joseph, Stephan Joseph and Guanrong Chen
2014: Note on multidimensional Breeden-Litzenberger representation for state price densities Downloads
Jarno Talponen and Lauri Viitasaari
2014: Model-free CPPI Downloads
Alexander Schied
2014: Maximum Lebesgue Extension of Monotone Convex Functions Downloads
Keita Owari
2014: An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals Downloads
Jan Ob{\l}\'oj and Peter Spoida
2014: Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades Downloads
Matthew Ames, Guillaume Bagnarosa and Gareth W. Peters
2014: Rationalizing Investors Choice Downloads
Carole Bernard, Jit Seng Chen and Steven Vanduffel
2014: Leverage-induced systemic risk under Basle II and other credit risk policies Downloads
Sebastian Poledna, Stefan Thurner, J. Farmer and John Geanakoplos
2014: A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection Downloads
Audrone Virbickaite, M. Concepci\'on Aus\'in and Pedro Galeano
2014: Generalised central limit theorems for growth rate distribution of complex systems Downloads
Misako Takayasu, Hayafumi Watanabe and Hideki Takayasu
2014: Second-order BSDEs with general reflection and game options under uncertainty Downloads
Anis Matoussi, Lambert Piozin and Dylan Possama\"i
2014: Market structure explained by pairwise interactions Downloads
Thomas Bury
2014: Statistical pairwise interaction model of stock market Downloads
Thomas Bury
2014: Transaction Costs, Shadow Prices, and Duality in Discrete Time Downloads
Christoph Czichowsky, Johannes Muhle-Karbe and Walter Schachermayer
2014: Comparative and qualitative robustness for law-invariant risk measures Downloads
Volker Kr\"atschmer, Alexander Schied and Henryk Z\"ahle
2014: Capital requirements with defaultable securities Downloads
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
2014: Killed Brownian motion with a prescribed lifetime distribution and models of default Downloads
Boris Ettinger, Steven N. Evans and Alexandru Hening
2014: A model for a large investor trading at market indifference prices. II: continuous-time case Downloads
Peter Bank and Dmitry Kramkov
2014: The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions Downloads
Sergio Pulido
2014: A Coupled Markov Chain Approach to Credit Risk Modeling Downloads
David Wozabal and Ronald Hochreiter
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