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