# Papers
from arXiv.org Series data maintained by arXiv administrators (). Access Statistics for this working paper series.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.
- 2015: Why Quantitative Structuring?
*Andrei N. Soklakov*
- 2015: Model Risk Analysis via Investment Structuring
*Andrei N. Soklakov*
- 2015: Quantitative Structuring vs the Equity Premium Puzzle
*Andrei N. Soklakov*
- 2015: Forecasting Leading Death Causes in Australia using Extended CreditRisk$+$
*Pavel V. Shevchenko*, *Jonas Hirz* and *Uwe Schmock*
- 2015: How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program
*Weibing Huang*, *Charles-Albert Lehalle* and *Mathieu Rosenbaum*
- 2015: Continuous-Time Mean-Variance Portfolio Selection with Constraints on Wealth and Portfolio
*Xun Li* and *Zuo Quan Xu*
- 2015: Optimum Liquidation Problem Associated with the Poisson Cluster Process
*A. Sadoghi* and *J. Vecer*
- 2015: Novel and topical business news and their impact on stock market activities
*Takayuki Mizuno*, *Takaaki Ohnishi* and *Tsutomu Watanabe*
- 2015: Network approach to return spillovers around the world: Preliminary results
*Stefan Lyocsa*, *Tomáš Výrost* and *Eduard Baumohl*
- 2015: Multi-scaling of wholesale electricity prices
*Francesco Caravelli*, *James Requeima*, *Cozmin Ududec*, *Ali Ashtari*, *Tiziana Di Matteo* and *Tomaso Aste*
- 2015: Risk Assessment of Input Uncertainty in Stochastic Simulation
*Helin Zhu* and *Enlu Zhou*
- 2015: Muckenhoupt's $(A_p)$ condition and the existence of the optimal martingale measure
*Dmitry Kramkov* and *Kim Weston*
- 2015: A General Framework for Complex Network Applications
*Xiao Fan Liu* and *Chi Kong Tse*
- 2015: Endogenous Derivation and Forecast of Lifetime PDs
*Volodymyr Perederiy*
- 2015: The time scales of the aggregate learning and sorting in market entry games with large number of players
*Misha Perepelitsa*
- 2015: Multivariate Shortfall Risk Allocation
*Yannick Armenti*, *Stephane Crepey*, *Samuel Drapeau* and *Antonis Papapantoleon*
- 2015: Dynamical system theory of periodically collapsing bubbles
*V. I. Yukalov*, *E. P. Yukalova* and *D. Sornette*
- 2015: Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
*Vygintas Gontis*, *Shlomo Havlin*, *Aleksejus Kononovicius*, *Boris Podobnik* and *H. Eugene Stanley*
- 2015: Pricing American Call Options
*Pat Muldowney*
- 2015: Quantile Correlations: Uncovering temporal dependencies in financial time series
*Thilo A. Schmitt*, *Rudi Sch\"afer*, *Holger Dette* and *Thomas Guhr*
- 2015: Darwinian Adverse Selection
*Wolfgang Kuhle*
- 2015: Violation of Invariance of Measurement for GDP Growth Rate and its Consequences
*Ali Hosseiny*
- 2015: Symmetric Equilibria in Stochastic Timing Games
*Jan-Henrik Steg*
- 2015: Semi-parametric time series modelling with autocopulas
*Antony Ware* and *Ilnaz Asadzadeh*
- 2015: Rational insurance with linear utility and perfect information
*Ole Peters* and *Alexander Adamou*
- 2015: Antimonopoly regulation method based on perfect price discrimination
*Vadim Borokhov*
- 2015: One bank problem in the federal funds market
*Traian A. Pirvu* and *Elena Cristina Canepa*
- 2015: Modelling Financial Markets by Self-Organized Criticality
*A. E. Biondo*, *A. Pluchino* and *A. Rapisarda*
- 2015: Invariant features of spatial inequality in consumption: the case of India
*Arnab Chatterjee*, *Anindya S. Chakrabarti*, *Asim Ghosh*, *Anirban Chakraborti* and *Tushar K. Nandi*
- 2015: Axiomatization of the Choquet integral for heterogeneous product sets
*Mikhail Timonin*
- 2015: Taming the Basel Leverage Cycle
*Christoph Aymanns*, *Fabio Caccioli*, *J. Doyne Farmer* and *Vincent W. C. Tan*
- 2015: Reputational Learning and Network Dynamics
*Simpson Zhang* and *Mihaela van der Schaar*
- 2015: Analysis of cyclical behavior in time series of stock market returns
*Djordje Stratimirovic*, *Darko Sarvan*, *Vladimir Miljkovic* and *Suzana Blesic*
- 2015: Contagion effects in the world network of economic activities
*V. Kandiah*, *Hubert Escaith* and *D. L. Shepelyansky*
- 2015: Intransitivity in Theory and in the Real World
*A. Y. Klimenko*
- 2015: Bifurcation patterns of market regime transition
*Sergey Kamenshchikov*
- 2015: Hybrid scheme for Brownian semistationary processes
*Mikkel Bennedsen*, *Asger Lunde* and *Mikko S. Pakkanen*
- 2015: Radner equilibrium in incomplete Levy models
*Kasper Larsen* and *Tanawit Sae Sue*
- 2015: Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model
*Nicolas Langren\'e*, *Geoffrey Lee* and *Zili Zhu*
- 2015: Hawkes Processes
*Patrick J. Laub*, *Thomas Taimre* and *Philip K. Pollett*
- 2015: Model-independent bounds for Asian options: a dynamic programming approach
*Alexander M. G. Cox* and *Sigrid K\"allblad*
- 2015: Quantum Gates and Quantum Circuits of Stock Portfolio
*Ovidiu Racorean*
- 2015: Modified Brownian Motion Approach to Modelling Returns Distribution
*Gurjeet Dhesi*, *Muhammad Bilal Shakeel* and *Ling Xiao*
- 2015: Diversification Preferences in the Theory of Choice
*Enrico G. De Giorgi* and *Ola Mahmoud*
- 2015: Banking Networks and Leverage Dependence: Evidence from Selected Emerging Countries
*Diego Aparicio* and *Daniel Fraiman*
- 2015: The Effects of Leverage Requirements and Fire Sales on Financial Contagion via Asset Liquidation Strategies in Financial Networks
*Zachary Feinstein* and *Fatena El-Masri*
- 2015: Measuring the frequency dynamics of financial and macroeconomic connectedness
*Jozef Baruník* and *Tomas Krehlik*
- 2015: Analysis of Ornstein-Uhlenbeck process stopped at maximum drawdown and application to trading strategies with trailing stops
*Grigory Temnov*
- 2015: Impact of dependence on some multivariate risk indicators
*V\'eronique Maume-Deschamps*, *Didier Rulli\`ere* and *Khalil Said*
- 2015: Tightness and duality of martingale transport on the Skorokhod space
*Gaoyue Guo*, *Xiaolu Tan* and *Nizar Touzi*
- 2015: Estimation of integrated quadratic covariation between two assets with endogenous sampling times
*Yoann Potiron* and *Per Mykland*
- 2015: Inequality and Risk Aversion
*Eleonora Perversi* and *Eugenio Regazzini*
- 2015: Variance Dynamics - An empirical journey
*Florent S\'egonne*
- 2015: Twitter Sentiment Analysis Applied to Finance: A Case Study in the Retail Industry
*Th\'arsis Tuani Pinto Souza*, *Olga Kolchyna*, *Philip C. Treleaven* and *Tomaso Aste*
- 2015: Complete Duality for Martingale Optimal Transport on the Line
*Mathias Beiglb\"ock*, *Marcel Nutz* and *Nizar Touzi*
- 2015: It\^o's formula for finite variation L\'evy processes: The case of non-smooth functions
*Ramin Okhrati* and *Uwe Schmock*
- 2015: Asset Allocation Strategies Based on Penalized Quantile Regression
*Giovanni Bonaccolto*, *Massimiliano Caporin* and *Sandra Paterlini*
- 2015: Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting
*Tobias Fissler*, *Johanna F. Ziegel* and *Tilmann Gneiting*
- 2015: The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates
*Francesca Biagini*, *Alessandro Gnoatto* and *Maximilian H\"artel*
- 2015: On the Robust Dynkin Game
*Erhan Bayraktar* and *Song Yao*
- 2015: Too dynamic to fail. Empirical support for an autocatalytic model of Minsky's financial instability hypothesis
*Natasa Golo*, *David S. Bree*, *Guy Kelman*, *Leanne Usher*, *Marco Lamieri* and *Sorin Solomon*
- 2015: Double-jump stochastic volatility model for VIX: evidence from VVIX
*Xin Zang*, *Jun Ni*, *Jing-Zhi Huang* and *Lan Wu*
- 2015: Braving the Tempest: Methodological foundations of policy-making in sustainability transitions
*J. -F. Mercure*, *H. Pollitt*, *A. M. Bassi*, *J. E Vi\~nuales* and *N. R. Edwards*
- 2015: Time-scale analysis of co-movement in EU sovereign bond markets
*Filip Smolik* and *Lukas Vacha*
- 2015: Business cycle synchronization of the Visegrad Four and the European Union
*Lubos Hanus* and *Lukas Vacha*
- 2015: Linking Economic Complexity, Institutions and Income Inequality
*Dominik Hartmann*, *M. R. Guevara*, *C. Jara-Figueroa*, *M. Aristar\'an* and *C. A. Hidalgo*
- 2015: Optimal Stopping with Random Maturity under Nonlinear Expectations
*Erhan Bayraktar* and *Song Yao*
- 2015: Product-Mix Auctions and Tropical Geometry
*Ngoc Mai Tran* and *Josephine Yu*
- 2015: A general Doob-Meyer-Mertens decomposition for $g$-supermartingale systems
*Bruno Bouchard*, *Dylan Possama\"i* and *Xiaolu Tan*
- 2015: Network Structure and Counterparty Credit Risk
*Alexander von Felbert*
- 2015: Efficient Network Structures with Separable Heterogeneous Connection Costs
*Babak Heydari*, *Mohsen Mosleh* and *Kia Dalili*
- 2015: Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses
*Eyal Neuman* and *Alexander Schied*
- 2015: Diversity-Weighted Portfolios with Negative Parameter
*Alexander Vervuurt* and *Ioannis Karatzas*
- 2015: Dependence structure of market states
*Desislava Chetalova*, *Marcel Wollschl\"ager* and *Rudi Sch\"afer*
- 2015: Black-Scholes in a CEV random environment: a new approach to smile modelling
*Antoine Jacquier* and *Patrick Roome*
- 2015: Bounds for randomly shared risk of heavy-tailed loss factors
*Oliver Kley* and *Claudia Kluppelberg*
- 2015: On robust pricing-hedging duality in continuous time
*Zhaoxu Hou* and *Jan Obloj*
- 2015: Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data
*Frederik Meudt*, *Martin Theissen*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2015: Diversity waves in collapse-driven population dynamics
*Sergei Maslov* and *Kim Sneppen*
- 2015: Cross correlations in European government bonds and EuroStoxx
*Jan Jurczyk* and *Alexander Eckrot*
- 2015: Model risk on credit risk
*J. Molins* and *E. Vives*
- 2015: Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
*Erhan Bayraktar* and *Zhou Zhou*
- 2015: One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics
*Damien Challet*
- 2015: Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing
*Boris Buchmann*, *Benjamin Kaehler*, *Ross Maller* and *Alexander Szimayer*
- 2015: Market Dynamics and Indirect Network Effects in Electric Vehicle Diffusion
*Zhe Yu*, *Shanjun Li* and *Lang Tong*
- 2015: On financial applications of the two-parameter Poisson-Dirichlet distribution
*Sergey Sosnovskiy*
- 2015: The Temporal Dimension of Drawdown
*Ola Mahmoud*
- 2015: On a class of generalized Takagi functions with linear pathwise quadratic variation
*Alexander Schied*
- 2015: Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games
*Erhan Bayraktar* and *Song Yao*
- 2015: Misspecified Recovery
*Jaroslav Borovi\v{c}ka*, *Lars Peter Hansen* and *Jose Scheinkman*
- 2015: Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm
*Frank Gehmlich* and *Thorsten Schmidt*
- 2015: Robust Fundamental Theorem for Continuous Processes
*Sara Biagini*, *Bruno Bouchard*, *Constantinos Kardaras* and *Marcel Nutz*
- 2015: Arbitrage theory without a num\'eraire
*Michael R. Tehranchi*
- 2015: On a Stopping Game in continuous time
*Erhan Bayraktar* and *Zhou Zhou*
- 2015: A Lattice Framework for Pricing Display Advertisement Options with the Stochastic Volatility Underlying Model
*Bowei Chen* and *Jun Wang*
- 2015: Quantile Hedging in a Semi-Static Market with Model Uncertainty
*Erhan Bayraktar* and *Gu Wang*
- 2015: Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems
*Umut \c{C}etin* and *Albina Danilova*
- 2015: Robust Superhedging with Jumps and Diffusion
*Marcel Nutz*
- 2015: Non-linear filtering and optimal investment under partial information for stochastic volatility models
*Dalia Ibrahim* and *Fr\'ed\'eric Abergel*
- 2015: A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition
*Ulrich Horst*, *Jinniao Qiu* and *Qi Zhang*
- 2015: Bank Networks from Text: Interrelations, Centrality and Determinants
*Samuel R\"onnqvist* and *Peter Sarlin*
- 2015: Credit Risk in a Geometric Arbitrage Perspective
*Simone Farinelli*
- 2015: Valuation of Barrier Options using Sequential Monte Carlo
*Pavel V. Shevchenko* and *Pierre Del Moral*
- 2015: Optimal Execution in Lit and Dark Pools
*M. Alessandra Crisafi* and *Andrea Macrina*
- 2015: A Spectral Model of Turnover Reduction
*Zura Kakushadze*
- 2015: Option Pricing Accuracy for Estimated Heston Models
*Robert Azencott*, *Yutheeka Gadhyan* and *Roland Glowinski*
- 2015: A state-constrained differential game arising in optimal portfolio liquidation
*Alexander Schied* and *Tao Zhang*
- 2015: Towards a microeconomic theory of the finance-driven business cycle
*Alejandro Jenkins*
- 2015: Functional Ito Calculus, Path-dependence and the Computation of Greeks
*Samy Jazaerli* and *Yuri F. Saporito*
- 2015: Multivariate transient price impact and matrix-valued positive definite functions
*Aur\'elien Alfonsi*, *Alexander Schied* and *Florian Kl\"ock*
- 2015: A new financial metric for the art market
*Ventura Charlin* and *Arturo Cifuentes*
- 2015: Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach
*Giorgio Ferrari*, *Frank Riedel* and *Jan-Henrik Steg*
- 2015: Quantitative easing is an incomplete strategy that must be accompanied by the nullification of debt
*Karl Svozil*
- 2015: Dynamic Model of Markets of Homogenous Non-Durable
*Joachim Kaldasch*
- 2015: Geometric Arbitrage Theory and Market Dynamics
*Simone Farinelli*
- 2015: Analysis of Professional Trajectories using Disconnected Self-Organizing Maps
*Etienne C\^ome*, *Marie Cottrell* and *Patrice Gaubert*
- 2015: Note on tax enforcement and transfer pricing manipulation
*Alex Augusto Timm Rathke*
- 2015: Extension and calibration of a Hawkes-based optimal execution model
*Aur\'elien Alfonsi* and *Pierre Blanc*
- 2015: Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations
*Jaroslaw Kwapien*, *Pawel Oswiecimka* and *Stanislaw Drozdz*
- 2015: Portfolio optimization using local linear regression ensembles in RapidMiner
*Gabor Nagy*, *Gergo Barta* and *Tamas Henk*
- 2015: Central Clearing Valuation Adjustment
*St\'ephane Cr\'epey* and *Armenti Yannick*
- 2015: On Magnitude, Asymptotics and Duration of Drawdowns for L\'evy Models
*David Landriault*, *Bin Li* and *Hongzhong Zhang*
- 2015: Optimal Equity Glidepaths in Retirement
*Christopher J. Rook*
- 2015: Optimal financing and dividend distribution in a general diffusion model with regime switching
*Jinxia Zhu* and *Hailiang Yang*
- 2015: Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
*David Criens*, *Kathrin Glau* and *Zorana Grbac*
- 2015: Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns
*Marcel Wollschl\"ager* and *Rudi Sch\"afer*
- 2015: A Bayesian Model of the Litigation Game
*Enrique Guerra-Pujol*
- 2015: On Game-Theoretic Risk Management (Part One) - Towards a Theory of Games with Payoffs that are Probability-Distributions
*Stefan Rass*
- 2015: On Elicitation Complexity and Conditional Elicitation
*Rafael Frongillo* and *Ian A. Kash*
- 2015: Market shape formation, statistical equilibrium and neutral evolution theory
*Sergey Sosnovskiy*
- 2015: Nonparametric and arbitrage-free construction of call surfaces using l1-recovery
*Pierre M. Blacque-Florentin* and *Badr Missaoui*
- 2015: Intrinsic Storage Valuation by Variational Analysis
*Dmitry Lesnik*
- 2015: Efficient approximate Bayesian inference for models with intractable likelihoods
*Johan Dahlin*, *Mattias Villani* and *Thomas B. Sch\"{o}n*
- 2015: Understanding the Impact of Microcredit Expansions: A Bayesian Hierarchical Analysis of 7 Randomised Experiments
*Rachael Meager*
- 2015: Systemic risk in multiplex networks with asymmetric coupling and threshold feedback
*Rebekka Burkholz*, *Matt V. Leduc*, *Antonios Garas* and *Frank Schweitzer*
- 2015: The Levy-Ito Decomposition theorem
*J. L. Bretagnolle* and *P. Ouwehand*
- 2015: Model-free Superhedging Duality
*Matteo Burzoni*, *Marco Frittelli* and *Marco Maggis*
- 2015: Nonparametric estimates of pricing functionals
*Carlo Marinelli* and *Stefano d'Addona*
- 2015: Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio
*Matthew Lorig* and *Ronnie Sircar*
- 2015: Symmetric resolute refinements of social choice correspondences
*Daniela Bubboloni* and *Michele Gori*
- 2015: Annuitization and asset allocation
*Moshe A. Milevsky* and *Virginia R. Young*
- 2015: Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets
*Lorenz Schneider* and *Bertrand Tavin*
- 2015: Hedging, arbitrage and optimality with superlinear frictions
*Paolo Guasoni* and *Mikl\'os R\'asonyi*
- 2015: Calculating optimal limits for transacting credit card customers
*Jonathan K. Budd* and *Peter G. Taylor*
- 2015: An Exchange Rate Target Zone Model with a Terminal Condition and Mean-Reverting Fundamentals
*Viktors Ajevskis*
- 2015: Modeling and Computation of Mean Field Equilibria in Producers' Game with Emission Permits Trading
*Shuhua Chang*, *Xinyu Wang* and *Alexander Shananin*
- 2015: Quick or Persistent? Strategic Investment Demanding Versatility
*Jan-Henrik Steg* and *Jacco Thijssen*
- 2015: The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives
*Vahan Nanumyan*, *Antonios Garas* and *Frank Schweitzer*
- 2015: Safety Third: Roy's Criterion and Higher Order Moments
*Steven E. Pav*
- 2015: A risk management approach to capital allocation
*V\'eronique Maume-Deschamps*, *Didier Rulli\`ere* and *Khalil Said*
- 2015: Optimal Skorokhod embedding under finitely-many marginal constraints
*Gaoyue Guo*, *Xiaolu Tan* and *Nizar Touzi*
- 2015: On the Characteristics of the Free Market in a Cooperative Society
*Norbert Agbeko*
- 2015: Numerical analysis on local risk-minimization forexponential L\'evy models
*Takuji Arai*, *Yuto Imai* and *Ryoichi Suzuki*
- 2015: From Walras' auctioneer to continuous time double auctions: A general dynamic theory of supply and demand
*Jonathan Donier* and *Jean-Philippe Bouchaud*
- 2015: Markets, herding and response to external information
*Adri\'an Carro*, *Ra\'ul Toral* and *Maxi San Miguel*
- 2015: Convergence of Estimated Option Price in a Regime switching Market
*Anindya Goswami* and *Sanket Nandan*
- 2015: How log-normal is your country? An analysis of the statistical distribution of the exported volumes of products
*Mario Alberto Annunziata*, *Alberto Petri*, *Giorgio Pontuale* and *Andrea Zaccaria*
- 2015: Copula based hierarchical risk aggregation - Tree dependent sampling and the space of mild tree dependence
*Fabio Derendinger*
- 2015: The evolutionary advantage of cooperation
*Ole Peters* and *Alexander Adamou*
- 2015: Autoregressive approaches to import-export time series I: basic techniques
*Luca Di Persio*
- 2015: The Limits of Leverage
*Paolo Guasoni* and *Eberhard Mayerhofer*
- 2015: Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact
*Kensuke Ishitani* and *Takashi Kato*
- 2015: Semi-Global Solutions to DSGE Models: Perturbation around a Deterministic Path
*Viktors Ajevskis*
- 2015: Nonlocal Solutions to Dynamic Equilibrium Models: The Approximate Stable Manifolds Approach
*Viktors Ajevskis*
- 2015: Liquidity and Impact in Fair Markets
*Thibault Jaisson*
- 2015: Cross Ranking of Cities and Regions: Population vs. Income
*Roy Cerqueti* and *Marcel Ausloos*
- 2015: Optimal Static Quadratic Hedging
*Tim Leung* and *Matthew Lorig*
- 2015: Portfolio Allocation for Sellers in Online Advertising
*Ragavendran Gopalakrishnan*, *Eric Bax*, *Krishna Prasad Chitrapura* and *Sachin Garg*
- 2015: VCG Payments for Portfolio Allocations in Online Advertising
*James Li*, *Eric Bax*, *Nilanjan Roy* and *Andrea Leistra*
- 2015: Autoregressive approaches to import--export time series II: a concrete case study
*Luca Di Persio* and *Chiara Segala*
- 2015: No-Arbitrage Prices of Cash Flows and Forward Contracts as Choquet Representations
*Tom Fischer*
- 2015: Many-to-one contagion of economic growth rate across trade credit network of firms
*Natasa Golo*, *Guy Kelman*, *David S. Bree*, *Leanne Usher*, *Marco Lamieri* and *Sorin Solomon*
- 2015: Transition from lognormal to chi-square superstatistics for financial time series
*Dan Xu* and *Christian Beck*
- 2015: Social signals and algorithmic trading of Bitcoin
*David Garcia* and *Frank Schweitzer*
- 2015: Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium
*Takuji Arai*
- 2015: A system of degenerate non-local parabolic PDE and application
*Anindya Goswami*, *Jeeten Patel* and *Poorva Shevgaonkar*
- 2015: Impossibility Theorems and the Universal Algebraic Toolkit
*Mario Szegedy* and *Yixin Xu*
- 2015: Financial Contagion and Asset Liquidation Strategies
*Zachary Feinstein*
- 2015: A Practical Approach to Financial Crisis Indicators Based on Random Matrices
*Antoine Kornprobst* and *Raphael Douady*
- 2015: Approximations of Bond and Swaption Prices in a Black-Karasi\'{n}ski Model
*Andrzej Daniluk* and *Rafa{\l} Muchorski*
- 2015: Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs
*Damiano Brigo*, *Marco Francischello* and *Andrea Pallavicini*
- 2015: Good deal bounds with convex constraints
*Takuji Arai*
- 2015: Enhanced Gravity Model of trade: reconciling macroeconomic and network models
*Assaf Almog*, *Rhys Bird* and *Diego Garlaschelli*
- 2015: Inference on the Sharpe ratio via the upsilon distribution
*Steven E. Pav*
- 2015: Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective
*Aki-Hiro Sato* and *Paolo Tasca*
- 2015: DebtRank: A microscopic foundation for shock propagation
*Marco Bardoscia*, *Stefano Battiston*, *Fabio Caccioli* and *Guido Caldarelli*
- 2015: Canonical Sectors and Evolution of Firms in the US Stock Markets
*Ricky Chachra*, *Alexander A. Alemi*, *Lorien X. Hayden*, *Paul H. Ginsparg* and *James P. Sethna*
- 2015: Randomizing bipartite networks: the case of the World Trade Web
*Fabio Saracco*, *Riccardo Di Clemente*, *Andrea Gabrielli* and *Tiziano Squartini*
- 2015: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models
*Archil Gulisashvili*, *Frederi Viens* and *Xin Zhang*
- 2015: A weak law of large numbers for a limit order book model with fully state dependent order dynamics
*Ulrich Horst* and *D\"orte Kreher*
- 2015: Diversification, protection of liability holders and regulatory arbitrage
*Pablo Koch-Medina*, *Cosimo Munari* and *Mario Sikic*
- 2015: Portfolio Optimization under Shortfall Risk Constraint
*Oliver Janke* and *Qinghua Li*
- 2015: Information in stock prices and some consequences: A model-free approach
*Yannis G. Yatracos*
- 2015: A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
*Ben Hambly*, *Matthieu Mariapragassam* and *Christoph Reisinger*
- 2015: Optimizing Credit Portfolio Using a Quadratic Nonlinear Projection Method
*Boguk Kim*
- 2015: Super-replication with nonlinear transaction costs and volatility uncertainty
*Peter Bank*, *Yan Dolinsky* and *Selim G\"okay*
- 2015: Pricing of European Basket Call Option under Exponential Ornstein-Uhlenbeck Process
*Jingwei Liu*, *Jiwen Luo* and *Xing Chen*
- 2015: Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem
*Vladimir V'yugin*
- 2015: 4-Factor Model for Overnight Returns
*Zura Kakushadze*
- 2015: Path Integral and Asset Pricing
*Zura Kakushadze*
- 2015: Stability of Utility Maximization in Nonequivalent Markets
*Kim Weston*
- 2015: Apparent impact: the hidden cost of one-shot trades
*Iacopo Mastromatteo*
- 2015: Optimal Dynamic Procurement Policies for a Storable Commodity with L\'evy Prices and Convex Holding Costs
*Maria B. Chiarolla*, *Giorgio Ferrari* and *Gabriele Stabile*
- 2015: Fragility of the Commons under Prospect-Theoretic Risk Attitudes
*Ashish R. Hota*, *Siddharth Garg* and *Shreyas Sundaram*
- 2015: Risk Minimization for Game Options in Markets Imposing Minimal Transaction Costs
*Yan Dolinsky* and *Yuri Kifer*
- 2015: Semiparametric Estimation of First-Price Auction Models
*Gaurab Aryal*, *Maria Florencia Gabrielli* and *Quang Vuong*
- 2015: Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals
*Sebastian. E. Ferrando*, *Alfredo L. Gonzalez*, *Ivan L. Degano* and *Massoome Rahsepar*
- 2015: Robust pricing and hedging under trading restrictions and the emergence of local martingale models
*Alexander M. G. Cox*, *Zhaoxu Hou* and *Jan Obloj*
- 2015: Networks of Military Alliances, Wars, and International Trade
*Matthew Jackson* and *Stephen M. Nei*
- 2015: Simple examples of pure-jump strict local martingales
*Martin Keller-Ressel*
- 2015: Evaluating gambles using dynamics
*Ole Peters* and *Murray Gell-Mann*
- 2015: Dynamic optimal execution in a mixed-market-impact Hawkes price model
*Aur\'elien Alfonsi* and *Pierre Blanc*
- 2015: Reward-risk momentum strategies using classical tempered stable distribution
*Jaehyung Choi*, *Young Shin Kim* and *Ivan Mitov*
- 2015: Model-independent Superhedging under Portfolio Constraints
*Arash Fahim* and *Yu-Jui Huang*
- 2015: The False Premises and Promises of Bitcoin
*Brian P. Hanley*
- 2015: Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations
*Matyas Barczy* and *Gyula Pap*
- 2015: Implicit transaction costs and the fundamental theorems of asset pricing
*Erindi Allaj*
- 2015: Modeling capital gains taxes for trading strategies of infinite variation
*Christoph K\"uhn* and *Bj\"orn Ulbricht*
- 2015: Phase Transition in the S&P Stock Market
*Matthias Raddant* and *Friedrich Wagner*
- 2015: B-spline techniques for volatility modeling
*Sylvain Corlay*
- 2015: Reducing the debt: is it optimal to outsource an investment?
*Gilles Edouard Espinosa*, *Caroline Hillairet*, *Benjamin Jourdain* and *Monique Pontier*
- 2015: Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact
*Kensuke Ishitani* and *Takashi Kato*
- 2015: On dynamic spectral risk measures and a limit theorem
*Dilip Madan*, *Martijn Pistorius* and *Mitja Stadje*
- 2015: A note on transforming PDEs to ODEs
*Moawia Alghalith*
- 2015: On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk process in the presence of a penalty function
*F. Avram*, *Z. Palmowski* and *M. R. Pistorius*
- 2015: Multifractal characterization of gold market: a multifractal detrended fluctuation analysis
*Provash Mali* and *Amitabha Mukhopadhyay*
- 2015: Universal Laws of Human Society's Income Distribution
*Yong Tao*
- 2015: Role of the interfirm buyer-seller network in aggregate fluctuation and the effect of link renewal
*Ryohei Hisano*, *Tsutomu Watanabe*, *Takayuki Mizuno*, *Takaaki Ohnishi* and *Didier Sornette*
- 2015: Market Completion with Derivative Securities
*Daniel C. Schwarz*
- 2015: Optimal Investment to Minimize the Probability of Drawdown
*Bahman Angoshtari*, *Erhan Bayraktar* and *Virginia R. Young*
- 2015: The Theory of a Heliospheric Economy
*Thomas Tarler*
- 2015: Semimartingale detection and goodness-of-fit tests
*Adam D. Bull*
- 2015: Weak Convergence of Path-Dependent SDEs and Functionals in Pricing Basket CDS with Counterparty Risk and Contagion Risk
*Yao Tung Huang*, *Qingshuo Song* and *Harry Zheng*
- 2015: Long-range memory and multifractality in gold markets
*Provash Mali* and *Amitabha Mukhopadhyay*
- 2015: An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
*Tim Leung*, *Kazutoshi Yamazaki* and *Hongzhong Zhang*
- 2015: High-order compact schemes for Black-Scholes basket options
*Bertram D\"uring* and *Christof Heuer*
- 2015: Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds
*Dirk Tasche*
- 2015: Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models
*Tim Leung*, *Kazutoshi Yamazaki* and *Hongzhong Zhang*
- 2015: Incomplete stochastic equilibria with exponential utilities close to Pareto optimality
*Constantinos Kardaras*, *Hao Xing* and *Gordan \v{Z}itkovi\'{c}*
- 2015: Intertemporal Substituability, Risk Aversion and Asset Prices
*Dominique Pépin*
- 2015: Conditional Asian Options
*Runhuan Feng* and *Hans W. Volkmer*
- 2015: Record statistics for random walk bridges
*Claude Godreche*, *Satya N. Majumdar* and *Gregory Schehr*
- 2015: Optimal forest rotation age under efficient climate change mitigation
*Tommi Ekholm*
- 2015: Analysis of the most important variables which determine innovation among rural entrepreneurs
*Elena Lucia Harpa*, *Liviu Marian*, *Sorina Moica* and *Iulia Elena Apavaloaie*
- 2015: Portfolio Optimization
*Aizhan Issagali*, *Damira Alshimbayeva* and *Aidana Zhalgas*
- 2015: Small-time asymptotics for Gaussian self-similar stochastic volatility models
*Archil Gulisashvili*, *Frederi Viens* and *Xin Zhang*
- 2015: Market Fragility, Systemic Risk, and Ricci Curvature
*Romeil Sandhu*, *Tryphon Georgiou* and *Allen Tannenbaum*
- 2015: CEI: a new indicator measuring City Commercial Credit Risk initiated in China
*Ruonan Lin* and *Yi Gu*
- 2015: American Options with Asymmetric Information and Reflected BSDE
*Neda Esmaeeli* and *Peter Imkeller*
- 2015: Ergodicity and diffusivity of Markovian order book models: a general framework
*Weibing Huang* and *Mathieu Rosenbaum*
- 2015: Optimal control of predictive mean-field equations and applications to finance
*Bernt {\O}ksendal* and *Agn\`es Sulem*
- 2015: A pricing formula for delayed claims: Appreciating the past to value the future
*Enrico Biffis*, *Beniamin Goldys* and *Cecilia Prosdocimi*
- 2015: Dynamics of Order Positions and Related Queues in a Limit Order Book
*Xin Guo*, *Zhao Ruan* and *Lingjiong Zhu*
- 2015: Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk$^+$
*Jonas Hirz*, *Uwe Schmock* and *Pavel V. Shevchenko*
- 2015: Chebyshev Interpolation for Parametric Option Pricing
*Maximilian Ga{\ss}*, *Kathrin Glau*, *Mirco Mahlstedt* and *Maximilian Mair*
- 2015: The efficiency of Anderson-Darling test with limited sample size: an application to Backtesting Counterparty Credit Risk internal model
*M. Formenti*, *L. Spadafora*, *M. Terraneo* and *F. Ramponi*
- 2015: On the Failures of Bonus Plans
*David Lagziel* and *Ehud Lehrer*
- 2015: Convergence of binomial tree method and explicit difference scheme for American put options with time dependent coefficients
*Hyong-Chol O*, *Mun-Chol Kim* and *Gyong-Ryol Kim*
- 2015: Remarks on equality of two distributions under some partial orders
*Chuancun Yin*
- 2015: Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
*Jos\'e E. Figueroa-L\'opez* and *Yankeng Luo*
- 2015: The multi-layer network nature of systemic risk and its implications for the costs of financial crises
*Sebastian Poledna*, *Jos\'e Luis Molina-Borboa*, *Seraf\'in Mart\'inez-Jaramillo*, *Marco van der Leij* and *Stefan Thurner*
- 2015: Forecasting Financial Extremes: A Network Degree Measure of Super-exponential Growth
*Wanfeng Yan* and *Edgar van Tuyll van Serooskerken*
- 2015: Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz
*Georg Mainik*, *Georgi Mitov* and *Ludger R\"uschendorf*
- 2015: Optimal Dividend Strategies for Two Collaborating Insurance Companies
*Hansjoerg Albrecher*, *Pablo Azcue* and *Nora Muler*
- 2015: From 0D to 1D spatial models using OCMat
*Dieter Grass*
- 2015: Homogenization and Clustering as a Technique to Compare Maintenance Strategies in Heterogeneous Production Settings
*Johannes Freiesleben* and *Nicolas Gu\'erin*
- 2015: Pricing complexity options
*Malihe Alikhani*, *Bj{\o}rn Kjos-Hanssen*, *Amirarsalan Pakravan* and *Babak Saadat*
- 2015: Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
*Ramin Okhrati*, *Alejandro Balb\'as* and *Jos\'e Garrido*
- 2015: On the Exact Simulation of (Jump) Diffusion Bridges
*Murray Pollock*
- 2015: Applications of the "Unconscious Statistician" Theorem to profit maximization of a company that sells an arbitrary numbers of products
*Dragos-Patru Covei*
- 2015: Approximate hedging with proportional transaction costs in stochastic volatility models with jumps
*Thai Huu Nguyen* and *Serguei Pergamenschchikov*
- 2015: Approximate hedging problem with transaction costs in stochastic volatility markets
*Thai Huu Nguyen* and *Serguei Pergamenshchikov*
- 2015: An explicit solution for optimal investment in Heston model
*Elena Boguslavskaya* and *Dmitry Muravey*
- 2015: Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
*Christoph Czichowsky* and *Walter Schachermayer*
- 2015: The Intrafirm Complexity of Systemically Important Financial Institutions
*Robin L. Lumsdaine*, *Daniel N. Rockmore*, *Nicholas Foti*, *Gregory Leibon* and *J. Doyne Farmer*
- 2015: Wrong-Way Bounds in Counterparty Credit Risk Management
*Amir Memartoluie*, *David Saunders* and *Tony Wirjanto*
- 2015: Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm
*Marius Hofert*, *Amir Memartoluie*, *David Sunders* and *Tony Wirjanto*
- 2015: Structure of global buyer-supplier networks and its implications for conflict minerals regulations
*Takayuki Mizuno*, *Takaaki Ohnishi* and *Tsutomu Watanabe*
- 2015: Structural default model with mutual obligations
*Andrey Itkin* and *Alexander Lipton*
- 2015: Dynamic Multi-Factor Clustering of Financial Networks
*Gordon J. Ross*
- 2015: A robust and efficient estimator of Sharpe ratios based on price records
*Damien Challet*
- 2015: Kinetic models of immediate exchange
*Els Heinsalu* and *Marco Patriarca*
- 2015: Non-Arbitrage Under Additional Information for Thin Semimartingale Models
*Anna Aksamit*, *Tahir Choulli*, *Jun Deng* and *Monique Jeanblanc*
- 2015: An Introduction to Multilevel Monte Carlo for Option Valuation
*Desmond J. Higham*
- 2015: Collective synchronization and high frequency systemic instabilities in financial markets
*Lucio Maria Calcagnile*, *Giacomo Bormetti*, *Michele Treccani*, *Stefano Marmi* and *Fabrizio Lillo*
- 2015: On statistical indistinguishability of complete and incomplete discrete time market models
*Nikolai Dokuchaev*
- 2015: On the Forecast Combination Puzzle
*Wei Qian*, *Craig A. Rolling*, *Gang Cheng* and *Yuhong Yang*
- 2015: Phase Transitions, Renormalization and Yang-Lee Zeros in Stock Markets
*J. L. Subias*
- 2015: Profitability of contrarian strategies in the Chinese stock market
*Huai-Long Shi*, *Zhi-Qiang Jiang* and *Wei-Xing Zhou*
- 2015: New copulas based on general partitions-of-unity and their applications to risk management
*Dietmar Pfeifer* and *Herv\'e Awoumlac Tsatedem*
- 2015: Operational risk modeled analytically II: the consequences of classification invariance
*Vivien Brunel*
- 2015: Time-Inconsistent Stochastic Linear--Quadratic Control: Characterization and Uniqueness of Equilibrium
*Ying Hu*, *Hanqing Jin* and *Xun Yu Zhou*
- 2015: Hawkes processes in finance
*Emmanuel Bacry*, *Iacopo Mastromatteo* and *Jean-Fran\c{c}ois Muzy*
- 2015: Approximating explicitly the mean reverting CEV process
*Nikolaos Halidias* and *Ioannis Stamatiou*
- 2015: Cascades in multiplex financial networks with debts of different seniority
*Charles D. Brummitt* and *Teruyoshi Kobayashi*
- 2015: Russian-Doll Risk Models
*Zura Kakushadze*
- 2015: Systemic risk analysis in reconstructed economic and financial networks
*Giulio Cimini*, *Tiziano Squartini*, *Diego Garlaschelli* and *Andrea Gabrielli*
- 2015: Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
*Tim Leung* and *Xin Li*
- 2015: Long Term Risk: A Martingale Approach
*Likuan Qin* and *Vadim Linetsky*
- 2015: Process-Based Risk Measures for Observable and Partially Observable Discrete-Time Controlled Systems
*Jingnan Fan* and *Andrzej Ruszczynski*
- 2015: Conditional Preference Orders and their Numerical Representations
*Samuel Drapeau* and *Asgar Jamneshan*
- 2015: Optimal dividend payment under time of ruin contraint: Exponential case
*Camilo Hernandez* and *Mauricio Junca*
- 2015: Indifference pricing for Contingent Claims: Large Deviations Effects
*Scott Robertson* and *Konstantinos Spiliopoulos*
- 2015: Herding interactions as an opportunity to prevent extreme events in financial markets
*Aleksejus Kononovicius* and *Vygintas Gontis*
- 2015: An $\alpha$-Stable Limit Theorem Under Sublinear Expectation
*Erhan Bayraktar* and *Alexander Munk*
- 2015: Custom v. Standardized Risk Models
*Zura Kakushadze* and *Jim Kyung-Soo Liew*
- 2015: Shadow prices for continuous processes
*Christoph Czichowsky*, *Walter Schachermayer* and *Junjian Yang*
- 2015: On Zero-sum Optimal Stopping Games
*Erhan Bayraktar* and *Zhou Zhou*
- 2015: A general HJM framework for multiple yield curve modeling
*Christa Cuchiero*, *Claudio Fontana* and *Alessandro Gnoatto*
- 2015: Bregman superquantiles. Estimation methods and applications
*Tatiana Labopin-Richard*, *Fabrice Gamboa*, *Aur\'elien Garivier* and *Bertrand Iooss*
- 2015: Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia
*Carol Alexander* and *Johannes Rauch*
- 2015: Arbitrage of the first kind and filtration enlargements in semimartingale financial models
*Beatrice Acciaio*, *Claudio Fontana* and *Constantinos Kardaras*
- 2015: Pathwise stochastic integrals for model free finance
*Nicolas Perkowski* and *David J. Pr\"omel*
- 2015: Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty
*Erhan Bayraktar* and *Yuchong Zhang*
- 2015: Smooth solutions to portfolio liquidation problems under price-sensitive market impact
*Paulwin Graewe*, *Ulrich Horst* and *Eric S\'er\'e*
- 2015: A Robust Version of Convex Integral Functionals
*Keita Owari*
- 2015: A convolution method for numerical solution of backward stochastic differential equations
*Cody Blaine Hyndman* and *Polynice Oyono Ngou*
- 2015: The General Structure of Optimal Investment and Consumption with Small Transaction Costs
*Jan Kallsen* and *Johannes Muhle-Karbe*
- 2015: Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters
*Belkacem Berdjane* and *Sergey Pergamenshchikov*
- 2015: Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
*Xiang Yu*
- 2015: Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach
*Sam Howison* and *Daniel Schwarz*
- 2015: Continuous-time trading and the emergence of probability
*Vladimir Vovk*
- 2015: Effects of polynomial trends on detrending moving average analysis
*Ying-Hui Shao*, *Gao-Feng Gu*, *Zhi-Qiang Jiang* and *Wei-Xing Zhou*
- 2015: Estimation of connectivity measures in gappy time series
*G. Papadopoulos* and *D. Kugiumtzis*
- 2015: Singular recursive utility
*Kristina R. Dahl* and *Bernt {\O}ksendal*
- 2015: Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
*Wendong Zheng* and *Pingping Zeng*
- 2015: ESO Valuation with Job Termination Risk and Jumps in Stock Price
*Tim Leung* and *Haohua Wan*
- 2015: Pricing and hedging game options in currency models with proportional transaction costs
*Alet Roux*
- 2015: Thermodynamics of firms' growth
*Eduardo Zambrano*, *Alberto Hernando*, *Aurelio Fernandez-Bariviera*, *Ricardo Hernando* and *Angelo Plastino*
- 2015: Generalization of the Aoki-Yoshikawa sectoral productivity model based on extreme physical information principle
*Ilona Bednarek*, *Marcin Makowski*, *Edward Piotrowski*, *Jan S{\l}adkowski* and *Jacek Syska*
- 2015: Communication Strategies for Low-Latency Trading
*Mina Karzand* and *Lav R. Varshney*
- 2015: The Social Cost of Carbon with Economic and Climate Risks
*Yongyang Cai*, *Kenneth L. Judd* and *Thomas S. Lontzek*
- 2015: Google matrix of the world network of economic activities
*V. Kandiah*, *Hubert Escaith* and *D. L. Shepelyansky*
- 2015: Population viewpoint on Hawkes processes
*Alexandre Boumezoued*
- 2015: Testing the performance of technical trading rules in the Chinese market
*Shan Wang*, *Zhi-Qiang Jiang*, *Sai-Ping Li* and *Wei-Xing Zhou*
- 2015: Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process
*Stanislaus Maier-Paape* and *Andreas Platen*
- 2015: Transitions in the Stock Markets of the US, UK, and Germany
*Matthias Raddant* and *Friedrich Wagner*
- 2015: Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
*Miryana Grigorova*, *Peter Imkeller*, *Elias Offen*, *Youssef Ouknine* and *Marie-Claire Quenez*
- 2015: A Study of Correlations in the Stock Market
*Chandradew Sharma* and *Kinjal Banerjee*
- 2015: SMC-ABC methods for the estimation of stochastic simulation models of the limit order book
*Gareth W. Peters*, *Efstathios Panayi* and *Francois Septier*
- 2015: Agent-based mapping of credit risk for sustainable microfinance
*Joung-Hun Lee*, *Marko Jusup*, *Boris Podobnik* and *Yoh Iwasa*
- 2015: Noise Robust Online Inference for Linear Dynamic Systems
*Saikat Saha*
- 2015: Introduction to Stochastic Differential Equations (SDEs) for Finance
*A. Papanicolaou*
- 2015: Forecasting the term structure of crude oil futures prices with neural networks
*Jozef Baruník* and *Barbora Malinska*
- 2015: Time-consistency of risk measures with GARCH volatilities and their estimation
*Claudia Kl\"uppelberg* and *Jianing Zhang*
- 2015: Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs
*Tim Leung*, *Xin Li* and *Zheng Wang*
- 2015: A Posteriori Error Estimator for a Front-Fixing Finite Difference Scheme for American Options
*Riccardo Fazio*
- 2015: Dirac Processes and Default Risk
*Chris Kenyon* and *Andrew Green*
- 2015: Mathematical modeling of physical capital using the spatial Solow model
*Gilberto Gonz\'alez-Parra*, *Benito Chen-Charpentier*, *Abraham J. Arenas* and *Miguel Diaz-Rodriguez*
- 2015: The Long Memory of Order Flow in the Foreign Exchange Spot Market
*Martin D. Gould*, *Mason A. Porter* and *Sam D. Howison*
- 2015: Estimating the Algorithmic Complexity of Stock Markets
*Olivier Brandouy*, *Jean-Paul Delahaye* and *Lin Ma*
- 2015: Profitability of simple technical trading rules of Chinese stock exchange indexes
*Hong Zhu*, *Zhi-Qiang Jiang*, *Sai-Ping Li* and *Wei-Xing Zhou*
- 2015: The Equilibrium Statistical Model of Economic Systems using Concepts and Theorems of Statistical Physics
*Zhiwu Zheng*
- 2015: Forecasting trends with asset prices
*Ahmed Bel Hadj Ayed*, *Gr\'egoire Loeper* and *Fr\'ed\'eric Abergel*
- 2015: Graph representation of balance sheets: from exogenous to endogenous money
*Cyril Pitrou*
- 2015: Fisher information and quantum mechanical models for finance
*Vadim Nastasiuk*
- 2015: Switching-GAS Copula Models for Systemic Risk Assessment
*Mauro Bernardi* and *Leopoldo Catania*
- 2015: Pathwise super-replication via Vovk's outer measure
*Mathias Beiglb\"ock*, *Alexander M. G. Cox*, *Martin Huesmann*, *Nicolas Perkowski* and *David J. Pr\"omel*
- 2015: Random Time Forward Starting Options
*Fabio Antonelli*, *Alessandro Ramponi* and *Sergio Scarlatti*
- 2015: Systemic trade-risk of critical resources
*Peter Klimek*, *Michael Obersteiner* and *Stefan Thurner*
- 2015: Polynomial term structure models
*Si Cheng* and *Michael R. Tehranchi*
- 2015: Forward performance processes in incomplete markets and ill-posed HJB equations
*Mykhaylo Shkolnikov*, *Ronnie Sircar* and *Thaleia Zariphopoulou*
- 2015: Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
*Thibault Jaisson* and *Mathieu Rosenbaum*
- 2015: Explicit solution to dynamic portfolio choice problem: The continuous-time detour
*François Legendre* and *Djibril Togola*
- 2015: Black-Scholes equation
*Natanael Karjanto*, *Binur Yermukanova* and *Laila Zhexembay*
- 2015: Topics in Stochastic Portfolio Theory
*Alexander Vervuurt*
- 2015: Computing trading strategies based on financial sentiment data using evolutionary optimization
*Ronald Hochreiter*
- 2015: Liquidity crises on different time scales
*Francesco Corradi*, *Andrea Zaccaria* and *Luciano Pietronero*
- 2015: Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis
*Marco Bianchetti*, *Sergei Kucherenko* and *Stefano Scoleri*
- 2015: Sensitivity analysis for expected utility maximization in incomplete brownian market models
*Julio Backhoff* and *Francisco Silva*
- 2015: Empirical Relevance of Ambiguity in First Price Auction Models
*Gaurab Aryal* and *Dong-Hyuk Kim*
- 2015: Application of the war of attrition game to the analysis of intellectual property disputes
*Manuel G. Ch\'avez-Angeles* and *Patricia S. S\'anchez-Medina*
- 2015: Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces
*Xi-Yuan Qian*, *Ya-Min Liu*, *Zhi-Qiang Jiang*, *Boris Podobnik*, *Wei-Xing Zhou* and *H. Eugene Stanley*
- 2015: Exploring multi-layer flow network of international trade based on flow distances
*Bin Shen*, *Jiang Zhang* and *Qiuhua Zheng*
- 2015: US stock market interaction network as learned by the Boltzmann Machine
*Stanislav S. Borysov*, *Yasser Roudi* and *Alexander V. Balatsky*
- 2015: Agent-based model with multi-level herding for complex financial systems
*Jun-Jie Chen*, *Lei Tan* and *Bo Zheng*
- 2015: A Vasicek-type short rate model with memory effect
*Akihiko Inoue*, *Shingo Moriuchi* and *Yusuke Nakamura*
- 2015: Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
*T. Kruse* and *A. Popier*
- 2015: Application of Operator Splitting Methods in Finance
*Karel in 't Hout* and *Jari Toivanen*
- 2015: Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123
*Freddy Delbaen*
- 2015: Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations
*Assaf Almog*, *Ferry Besamusca*, *Mel MacMahon* and *Diego Garlaschelli*
- 2015: A Markov model of a limit order book: thresholds, recurrence, and trading strategies
*Frank Kelly* and *Elena Yudovina*
- 2015: A Market Model for VIX Futures
*Alexander Badran* and *Beniamin Goldys*
- 2015: Simulation of Implied Volatility Surfaces via Tangent Levy Models
*Rene Carmona*, *Yi Ma* and *Sergey Nadtochiy*
- 2015: Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices
*Erhan Bayraktar* and *Xiang Yu*
- 2015: The Martin Integral Representation of Markovian Pricing Kernels
*Hyungbin Park*
- 2015: Higher order elicitability and Osband's principle
*Tobias Fissler* and *Johanna F. Ziegel*
- 2015: A Unified Approach to Systemic Risk Measures via Acceptance Sets
*Francesca Biagini*, *Jean-Pierre Fouque*, *Marco Frittelli* and *Thilo Meyer-Brandis*
- 2015: Measures of Systemic Risk
*Zachary Feinstein*, *Birgit Rudloff* and *Stefan Weber*
- 2015: Interactions between financial and environmental networks in OECD countries
*Franco Ruzzenenti*, *Andreas Joseph*, *Elisa Ticci*, *Pietro Vozzella* and *Giampaolo Gabbi*
- 2015: Non-concave utility maximisation on the positive real axis in discrete time
*Laurence Carassus*, *Mikl\'os R\'asonyi* and *Andrea M. Rodrigues*
- 2015: A note on the spot-forward no-arbitrage relations in a trading-production model for commodities
*Ren\'e A\"id*, *Luciano Campi* and *Delphine Lautier*
- 2015: Accounting for Earnings Announcements in the Pricing of Equity Options
*Tim Leung* and *Marco Santoli*
- 2015: Visualizing the Invisible Hand of Markets: Simulating complex dynamic economic interactions
*Klaus Jaffe*
- 2015: Conditional Analysis and a Principal-Agent problem
*Julio Backhoff* and *Ulrich Horst*
- 2015: Identifying A Screening Model with Multidimensional Private Information
*Gaurab Aryal*
- 2015: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization
*Xiaolin Luo* and *Pavel V. Shevchenko*
- 2015: An expansion in the model space in the context of utility maximization
*Kasper Larsen*, *Oleksii Mostovyi* and *Gordan \v{Z}itkovi\'c*
- 2015: Hedging Conditional Value at Risk with Options
*Maciej J. Capi\'nski*
- 2015: On the optimal exercise boundaries of swing put options
*Tiziano De Angelis* and *Yerkin Kitapbayev*
- 2015: Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns
*Vladimir Filimonov* and *Didier Sornette*
- 2015: Inverse Optimal Stopping
*Thomas Kruse* and *Philipp Strack*
- 2015: Local times for typical price paths and pathwise Tanaka formulas
*Nicolas Perkowski* and *David J. Pr\"omel*
- 2015: An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
*Jean-Francois Chassagneux*, *Antoine Jacquier* and *Ivo Mihaylov*
- 2015: Leveraged {ETF} implied volatilities from {ETF} dynamics
*Tim Leung*, *Matthew Lorig* and *Andrea Pascucci*
- 2015: An importance sampling approach for copula models in insurance
*Philipp Arbenz*, *Mathieu Cambou* and *Marius Hofert*
- 2015: General indifference pricing with small transaction costs
*Dylan Possama\"i* and *Guillaume Royer*
- 2015: Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion
*John Armstrong*, *Martin Forde*, *Matthew Lorig* and *Hongzhong Zhang*
- 2015: What is the best risk measure in practice? A comparison of standard measures
*Susanne Emmer*, *Marie Kratz* and *Dirk Tasche*
- 2015: Option pricing and hedging with execution costs and market impact
*Olivier Gu\'eant* and *Jiang Pu*
- 2015: On hedging American options under model uncertainty
*Erhan Bayraktar*, *Yu-Jui Huang* and *Zhou Zhou*
- 2015: On an Optimal Stopping Problem of an Insider
*Erhan Bayraktar* and *Zhou Zhou*
- 2015: Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets
*Kylie-Anne Richards*, *Gareth W. Peters* and *William Dunsmuir*
- 2015: Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
*Jean-Pierre Fouque*, *Matthew Lorig* and *Ronnie Sircar*
- 2015: Large liquidity expansion of super-hedging costs
*Dylan Possama\"i*, *Nizar Touzi* and *H. Mete Soner*
- 2015: A mathematical treatment of bank monitoring incentives
*Henri Pag\`es* and *Dylan Possama\"i*
- 2015: Robust utility maximization in non-dominated models with 2BSDEs
*Anis Matoussi*, *Dylan Possama\"i* and *Chao Zhou*
- 2015: New exact Taylor's series and very simple solutions to PDEs
*Moawia Alghalith*
- 2015: Jarzynski-type equalities in gambling: role of information in capital growth
*Yuji Hirono* and *Yoshimasa Hidaka*
- 2015: IMEX schemes for a Parabolic-ODE system of European Options with Liquidity Shocks
*W. Mudzimbabwe* and *Lubin G. Vulkov*
- 2015: Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints
*Huiwen Yan*, *Gechun Liang* and *Zhou Yang*
- 2015: Dynkin Game of Convertible Bonds and Their Optimal Strategy
*Huiwen Yan*, *Zhou Yang*, *Fahuai Yi* and *Gechun Liang*
- 2015: Dynamic Games with Almost Perfect Information
*Wei He* and *Yeneng Sun*
- 2015: Prices of Options as Opinion Dynamics of the Market Players with Limited Social Influence
*Elad Oster* and *Alexander Feigel*
- 2015: Dynamic indifference pricing via the G-expectation
*Qian Lin*
- 2015: Local risk-minimization for Barndorff-Nielsen and Shephard models
*Takuji Arai* and *Ryoichi Suzuki*
- 2015: New class of distortion risk measures and their tail asymptotics with emphasis on VaR
*Chuancun Yin*
- 2015: Anomalous volatility scaling in high frequency financial data
*Noemi Nava*, *T. Di Matteo* and *Tomaso Aste*
- 2015: East africa in the Malthusian trap? A statistical analysis of financial, economic, and demographic indicators
*Andrey Korotayev* and *Julia Zinkina*
- 2015: About the decomposition of pricing formulas under stochastic volatility models
*Raul Merino* and *Josep Vives*
- 2015: Observability of Market Daily Volatility
*Filippo Petroni* and *Maurizio Serva*
- 2015: A Robust Statistics Approach to Minimum Variance Portfolio Optimization
*Liusha Yang*, *Romain Couillet* and *Matthew R. McKay*
- 2015: Sensitivity and Computational Complexity in Financial Networks
*Brett Hemenway* and *Sanjeev Khanna*
- 2015: Network formation with value heterogeneity: centrality, segregation and adverse effects
*Andreas Bjerre-Nielsen*
- 2015: Optimal Position Management for a Market Maker with Stochastic Price Impacts
*Masaaki Fujii*
- 2015: A study of co-movements between USA and Latin American stock markets: a cross-bicorrelations perspective
*Semei Coronado*, *Omar Rojas*, *Rafael Romero-Meza* and *Francisco Venegas-Martínez*
- 2015: Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights
*Jonathan Donier* and *Jean-Philippe Bouchaud*
- 2015: Measuring Systemic Risk: Robust Ranking Techniques Approach
*Amirhossein Sadoghi*
- 2015: Insights in Economical Complexity in Spain: the hidden boost of migrants in international tradings
*Elena Agliari*, *Adriano Barra*, *Andrea Galluzzi*, *Francisco Requena-Silvente* and *Daniele Tantari*
- 2015: Principal Components Analysis for Semi-Martingales and Stochastic PDE
*Alberto Ohashi* and *Alexandre B Simas*
- 2015: Risk Sensitive Control of the Lifetime Ruin Problem
*Erhan Bayraktar* and *Asaf Cohen*
- 2015: Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion
*Hagen Kleinert* and *Jan Korbel*
- 2015: Club Convergence of House Prices: Evidence from China's Ten Key Cities
*Hao Meng*, *Wen-Jie Xie* and *Wei-Xing Zhou*
- 2015: Almost-sure hedging with permanent price impact
*B. Bouchard*, *G. Loeper* and *Y. Zou*
- 2015: The Principal-Agent Problem With Time Inconsistent Utility Functions
*Boualem Djehiche* and *Peter Helgesson*
- 2015: ON Integrated Chance Constraints in ALM for Pension Funds
*Youssouf A. F. Toukourou* and *Fran\c{c}ois Dufresne*
- 2015: Re-visiting the Distance Coefficient in Gravity Model
*Haonan Wu*
- 2015: Pricing of Warrants with Stock Price Dependent Threshold Conditions
*Ander Olvik* and *Raul Kangro*
- 2015: Tornadoes and related damage costs: statistical modeling with a semi-Markov approach
*Chiara Corini*, *Guglielmo D'Amico*, *Filippo Petroni*, *Flavio Prattico* and *Raimondo Manca*
- 2015: The affine inflation market models
*Stefan Waldenberger*
- 2015: From anti-conformism to extremism
*G\'erard Weisbuch*
- 2015: A dynamic game on Green Supply Chain Management
*Mehrnoosh Khademi*, *Massimiliano Ferrara*, *Bruno Pansera* and *Mehdi Salimi*
- 2015: Optimal risk allocation in a market with non-convex preferences
*Hirbod Assa*
- 2015: Measuring switching processes in financial markets with the Mean-Variance spin glass approach
*Jan Jurczyk*
- 2015: L\'evy Processes For Finance: An Introduction In R
*D. J. Manuge*
- 2015: Numerical approximations for Heston-Hull-White type models
*M. Briani*, *L. Caramellino* and *A. Zanette*
- 2015: Profitable forecast of prices of stock options on real market data via the solution of an ill-posed problem for the Black-Scholes equation
*Michael V. Klibanov* and *Andrey V. Kuzhuget*
- 2015: Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets
*Yu-Lei Wan*, *Wen-Jie Xie*, *Gao-Feng Gu*, *Zhi-Qiang Jiang*, *Wei Chen*, *Xiong Xiong*, *Wei Zhang* and *Wei-Xing Zhou*
- 2015: Symmetry structure and solution of evolution-type equations with time dependent parameters in financial Mathematics
*Michael Okelola* and *Keshlan Govinder*
- 2015: Negative Dependence Concept in Copulas and the Marginal Free Herd Behavior Index
*Jae Youn Ahn*
- 2015: Some new results on Dufffie-type OTC markets
*Alain B\'elanger*, *Gaston Giroux* and *Ndoun\'e Ndoun\'e*
- 2015: Cournot Games with Uncertainty: Coalitions, Competition, and Efficiency
*Baosen Zhang*, *Ramesh Johari* and *Ram Rajagopal*
- 2015: Detecting and interpreting distortions in hierarchical organization of complex time series
*Stanis{\l}aw Dro\.zd\.z* and *Pawe{\l} O\'swi\k{e}cimka*
- 2015: Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case
*Erhan Bayraktar*, *Virginia R. Young* and *David Promislow*
- 2015: Compounding approach for univariate time series with non-stationary variances
*Rudi Sch\"afer*, *Sonja Barkhofen*, *Thomas Guhr*, *Hans-J\"urgen St\"ockmann* and *Ulrich Kuhl*
- 2015: A generic model for spouse's pensions with a view towards the calculation of liabilities
*Alexander Sokol*
- 2015: Game-theoretic approach to risk-sensitive benchmarked asset management
*Amogh Deshpande* and *Saul D. Jacka*
- 2015: A Quantization Approach to the Counterparty Credit Exposure Estimation
*M. Bonollo*, *L. Di Persio*, *I. Oliva* and *A. Semmoloni*
- 2015: Optimally Investing to Reach a Bequest Goal
*Erhan Bayraktar* and *Virginia R. Young*
- 2015: Understanding Financial Market States Using Artificial Double Auction Market
*Kyubin Yim*, *Gabjin Oh* and *Seunghwan Kim*
- 2015: Affine LIBOR models driven by real-valued affine processes
*Stefan Waldenberger* and *Wolfgang M\"uller*
- 2015: Influence network in Chinese stock market
*Ya-Chun Gao*, *Yong Zeng* and *Shi-Min Cai*
- 2015: Leveraging the network: a stress-test framework based on DebtRank
*Stefano Battiston*, *Marco D'Errico*, *Stefano Gurciullo* and *Guido Caldarelli*
- 2015: Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example
*Yuriy Stepanov*, *Philip Rinn*, *Thomas Guhr*, *Joachim Peinke* and *Rudi Sch\"afer*
- 2015: State and group dynamics of world stock market by principal component analysis
*Ashadun Nobi* and *Jae Woo Lee*
- 2015: An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab
*Ricardo Crisostomo*
- 2015: Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps
*Jos\'e E. Figueroa-L\'opez* and *Sveinn \'Olafsson*
- 2015: Information and Trading Targets in a Dynamic Market Equilibrium
*Jin Hyuk Choi*, *Kasper Larsen* and *Duane J. Seppi*
- 2015: Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates
*Andrei Cozma* and *Christoph Reisinger*
- 2015: Shortfall Deviation Risk: An alternative to risk measurement
*Marcelo Brutti Righi* and *Paulo Sergio Ceretta*
- 2015: Adaptive Market Efficiency of Agricultural Commodity Futures Contracts
*Semei Coronado-Ram\'irez*, *Pedro Celso-Arellano* and *Omar Rojas*
- 2015: Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange
*Mitsuaki Murota* and *Jun-ichi Inoue*
- 2015: A fully consistent, minimal model for non-linear market impact
*Jonathan Donier*, *Julius Bonart*, *Iacopo Mastromatteo* and *Jean-Philippe Bouchaud*
- 2015: The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels
*Jihun Han* and *Hyungbin Park*
- 2015: Portfolio Selection with Multiple Spectral Risk Constraints
*Carlos Abad* and *Garud Iyengar*
- 2015: Ross Recovery with Recurrent and Transient Processes
*Hyungbin Park*
- 2015: Sudden Trust Collapse in Networked Societies
*Jo\~ao da Gama Batista*, *Jean-Philippe Bouchaud* and *Damien Challet*
- 2015: Near-optimal estimation of jump activity in semimartingales
*Adam D. Bull*
- 2015: Risk Premia: Asymmetric Tail Risks and Excess Returns
*Y. Lemp\'eri\`ere*, *C. Deremble*, *T. T. Nguyen*, *P. Seager*, *M. Potters* and *J. P. Bouchaud*
- 2015: Contagion in an interacting economy
*Pierre Paga* and *Reimer K\"uhn*
- 2015: Stochastic Perron for Stochastic Target Games
*Erhan Bayraktar* and *Jiaqi Li*
- 2015: On the role of F\"ollmer-Schweizer minimal martingale measure in Risk Sensitive control Asset Management
*Amogh Deshpande*
- 2015: Density of Skew Brownian motion and its functionals with application in finance
*Alexander Gairat* and *Vadim Shcherbakov*
- 2015: Moral Hazard in Dynamic Risk Management
*Jak\v{s}a Cvitani\'c*, *Dylan Possama\"i* and *Nizar Touzi*
- 2015: The limits of statistical significance of Hawkes processes fitted to financial data
*Mehdi Lallouache* and *Damien Challet*
- 2015: Notes on Alpha Stream Optimization
*Zura Kakushadze*
- 2015: Affine LIBOR models with multiple curves: theory, examples and calibration
*Zorana Grbac*, *Antonis Papapantoleon*, *John Schoenmakers* and *David Skovmand*
- 2015: Phynance
*Zura Kakushadze*
- 2015: Maximum drawdown, recovery and momentum
*Jaehyung Choi*
- 2015: On the Hawkes Process with Different Exciting Functions
*Behzad Mehrdad* and *Lingjiong Zhu*
- 2015: Trading with Small Price Impact
*Ludovic Moreau*, *Johannes Muhle-Karbe* and *H. Mete Soner*
- 2015: On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints
*Erhan Bayraktar* and *Zhou Zhou*
- 2015: Optimal allocation of wealth for two consuming agents sharing a portfolio
*Oumar Mbodji*, *Adrien Nguyen Huu* and *Traian A. Pirvu*
- 2015: Asymptotic distribution of the Markowitz portfolio
*Steven E. Pav*
- 2015: Limit theorems for nearly unstable Hawkes processes
*Thibault Jaisson* and *Mathieu Rosenbaum*
- 2015: Learning from the past, predicting the statistics for the future, learning an evolving system
*Daniel Levin*, *Terry Lyons* and *Hao Ni*
- 2015: Social Discounting and the Long Rate of Interest
*Dorje C. Brody* and *Lane P. Hughston*
- 2015: Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions
*Helena Jasiulewicz* and *Wojciech Kordecki*
- 2015: Arbitrage and duality in nondominated discrete-time models
*Bruno Bouchard* and *Marcel Nutz*
- 2015: Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model
*Jos\'{e} E. Figueroa-L\'{o}pez*, *Ruoting Gong* and *Christian Houdr\'{e}*
- 2015: A hot-potato game under transient price impact
*Alexander Schied* and *Tao Zhang*
- 2015: Impact of time illiquidity in a mixed market without full observation
*Salvatore Federico*, *Paul Gassiat* and *Fausto Gozzi*
- 2015: Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model
*Gechun Liang*, *Eva L\"utkebohmert* and *Wei Wei*
- 2015: The Evolution of Stock Market Efficiency in the U.S.: A Non-Bayesian Time-Varying Model Approach
*Mikio Ito*, *Akihiko Noda* and *Tatsuma Wada*
- 2015: Forest Fire Model as a Supercritical Dynamic Model in Financial Systems
*Deokjae Lee*, *Jae-Young Kim*, *Jeho Lee* and *B. Kahng*
- 2015: Metabolic paths in world economy and crude oil price
*Francesco Picciolo*, *Andreas Papandreou* and *Franco Ruzzenenti*
- 2015: Error analysis in Fourier methods for option pricing
*Fabi\'an Crocce*, *Juho H\"app\"ol\"a*, *Jonas Kiessling* and *Ra\'ul Tempone*
- 2015: Developing Knowledge States: Technology and the Enhancement of National Statistical Capacity
*Derrick M. Anderson* and *Andrew B. Whitford*
- 2015: Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity
*Tihomir Gyulov* and *Lyuben Valkov*
- 2015: Feynman-Kac formula for L\'evy processes with discontinuous killing rate
*Kathrin Glau*
- 2015: Dynamics of quasi-stationary systems: Finance as an example
*Philip Rinn*, *Yuriy Stepanov*, *Joachim Peinke*, *Thomas Guhr* and *Rudi Sch\"afer*
- 2015: Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
*Stephane Crepey*, *Andrea Macrina*, *Tuyet Mai Nguyen* and *David Skovmand*
- 2015: Estimation of Several Political Action Effects of Energy Prices
*Andrew B. Whitford*
- 2015: A Framework for Modeling Bounded Rationality: Mis-specified Bayesian-Markov Decision Processes
*Ignacio Esponda* and *Demian Pouzo*
- 2015: International R&D Spillovers and other Unobserved Common Spillovers and Shocks
*Diego-Ivan Ruge-Leiva*
- 2015: Rotational invariant estimator for general noisy matrices
*Jo\"el Bun*, *Romain Allez*, *Jean-Philippe Bouchaud* and *Marc Potters*
- 2015: Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
*Florian Ziel*
- 2015: Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators
*Antonio Dalessandro* and *Gareth W. Peters*
- 2015: Contour map of estimation error for Expected Shortfall
*Imre Kondor*, *Fabio Caccioli*, *G\'abor Papp* and *Matteo Marsili*
- 2015: Threadneedle: An Experimental Tool for the Simulation and Analysis of Fractional Reserve Banking Systems
*Jacky Mallett*
- 2015: Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis
*Maxim Bichuch*, *Agostino Capponi* and *Stephan Sturm*
- 2015: Ho and Lee Model on a String
*Zura Kakushadze*
- 2015: Robust Utility Maximization with L\'evy Processes
*Ariel Neufeld* and *Marcel Nutz*
- 2015: The existence of optimal bang-bang controls for GMxB contracts
*Parsiad Azimzadeh* and *Peter A. Forsyth*
- 2015: Stock market comovements: nonlinear approach for 48 countries
*Paulo Ferreira*, *Andreia Dion\'isio* and *S. M. S. Movahed*
- 2015: How predictable is technological progress?
*J. Doyne Farmer* and *François Lafond*
- 2015: One-Shot Bargaining Mechanisms
*Yakov Babichenko* and *Leonard J. Schulman*
- 2015: Identification of Atlas models
*Robert Fernholz*
- 2015: A dynamic optimal execution strategy under stochastic price recovery
*Masashi Ieda*
- 2015: Non Parametric Estimates of Option Prices Using Superhedging
*Gianluca Cassese*
- 2015: Stationary distribution of the volume at the best quote in a Poisson order book model
*Ioane Muni Toke*
- 2015: Quasi-Newton particle Metropolis-Hastings applied to intractable likelihood models
*Johan Dahlin*, *Fredrik Lindsten* and *Thomas B. Sch\"on*
- 2015: Asymptotic indifference pricing in exponential L\'evy models
*Cl\'ement M\'enass\'e* and *Peter Tankov*
- 2015: Mass at zero and small-strike implied volatility expansion in the SABR model
*Archil Gulisashvili*, *Blanka Horvath* and *Antoine Jacquier*
- 2015: Learning and Portfolio Decisions for HARA Investors
*Michele Longo* and *Alessandra Mainini*
- 2015: Consistent Recalibration of Yield Curve Models
*Philipp Harms*, *David Stefanovits*, *Josef Teichmann* and *Mario W\"uthrich*
- 2015: Dark-Pool Perspective of Optimal Market Making
*M. Alessandra Crisafi* and *Andrea Macrina*
- 2015: The Robust Merton Problem of an Ambiguity Averse Investor
*Sara Biagini* and *Mustafa Pinar*
- 2015: The pricing of lookback options and binomial approximation
*Karl Grosse-Erdmann* and *Fabien Heuwelyckx*
- 2015: Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities
*Dimitri Ledenyov* and *Viktor Ledenyov*
- 2015: Optimal portfolio with unobservable market parameters and certainty equivalence principle
*Nikolai Dokuchaev*
- 2015: Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
*Tatiana Belkina* and *Shangzhen Luo*
- 2015: Systemic Risk with Exchangeable Contagion: Application to the European Banking System
*Umberto Cherubini* and *Sabrina Mulinacci*
- 2015: Archimedean-based Marshall-Olkin Distributions and Related Copula Functions
*Sabrina Mulinacci*
- 2015: Convex duality with transaction costs
*Yan Dolinsky* and *H. Mete Soner*
- 2015: Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
*Michael Ho*, *Zheng Sun* and *Jack Xin*
- 2015: Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model
*Frederik Meudt*, *Thilo A. Schmitt*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2015: A Directional Multivariate Value at Risk
*Ra\'ul Torres*, *Rosa E. Lillo* and *Henry Laniado*
- 2015: A New Methodology for Estimating Internal Credit Risk and Bankruptcy Prediction under Basel II Regime
*M. Naresh Kumar* and *V. Sree Hari Rao*
- 2015: An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions
*Eric Dahlgren* and *Tim Leung*
- 2015: How volatilities nonlocal in time affect the price dynamics in complex financial systems
*Lei Tan*, *Bo Zheng*, *Jun-Jie Chen* and *Xiong-Fei Jiang*
- 2015: On the multiplicative effect of government spending (or any other spending for that matter)
*Jo\~ao P. da Cruz*
- 2015: Quasi-Centralized Limit Order Books
*Martin D. Gould*, *Mason A. Porter* and *Sam D. Howison*
- 2015: An equilibrium model for spot and forward prices of commodities
*Michail Anthropelos*, *Michael Kupper* and *Antonis Papapantoleon*
- 2015: Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties
*Tim Leung* and *Yoshihiro Shirai*
- 2015: Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components
*Ladislav Krištoufek*
- 2015: Direct Foreign Investment in Kurdistan Region of Middle-East: Non-Oil Sector Analysis
*Angus O. Unegbu* and *Augustine Okanlawon*
- 2015: Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
*Maxim Bichuch*, *Agostino Capponi* and *Stephan Sturm*
- 2015: Consumption investment optimization with Epstein-Zin utility in incomplete markets
*Hao Xing*
- 2015: Toward robust early-warning models: A horse race, ensembles and model uncertainty
*Markus Holopainen* and *Peter Sarlin*
- 2015: Optional Decomposition for continuous semimartingales under arbitrary filtrations
*Ioannis Karatzas* and *Constantinos Kardaras*
- 2015: Community detection in temporal multilayer networks, and its application to correlation networks
*Marya Bazzi*, *Mason A. Porter*, *Stacy Williams*, *Mark McDonald*, *Daniel J. Fenn* and *Sam D. Howison*
- 2015: Nonlinear GARCH model and 1/f noise
*Aleksejus Kononovicius* and *Julius Ruseckas*
- 2015: Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA
*Giovanni Mottola*
- 2015: Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization and Ross Recovery
*Likuan Qin* and *Vadim Linetsky*
- 2015: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
*Rodrigo Targino*, *Gareth W. Peters* and *Pavel V. Shevchenko*
- 2015: VWAP Execution as an Optimal Strategy
*Takashi Kato*
- 2015: Diversification and Endogenous Financial Networks
*Jean-Cyprien H\'eam* and *Erwan Koch*
- 2015: Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty
*Matteo Burzoni*, *Marco Frittelli* and *Marco Maggis*
- 2015: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
*Tiziano De Angelis*, *Salvatore Federico* and *Giorgio Ferrari*
- 2015: A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics
*Christian Bayer*, *Ulrich Horst* and *Jinniao Qiu*
- 2015: Paths and indices of maximal tail dependence
*Edward Furman*, *Jianxi Su* and *Ri\v{c}ardas Zitikis*
- 2015: Martingale optimal transport in the Skorokhod space
*Y. Dolinsky* and *H. M. Soner*
- 2015: Systemic Risk and Default Clustering for Large Financial Systems
*Konstantinos Spiliopoulos*
- 2015: Left tail of the sum of dependent positive random variables
*Peter Tankov*
- 2015: From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options
*Lorenz Schneider* and *Bertrand Tavin*
- 2015: Quasi-Hadamard differentiability of general risk functionals and its application
*Volker Kr\"atschmer*, *Alexander Schied* and *Henryk Z\"ahle*
- 2015: Second order statistics characterization of Hawkes processes and non-parametric estimation
*Emmanuel Bacry* and *Jean-Francois Muzy*
- 2015: Liquidation of an indivisible asset with independent investment
*Emilie Fabre*, *Guillaume Royer* and *Nizar Touzi*
- 2015: On strong binomial approximation for stochastic processes and applications for financial modelling
*Nikolai Dokuchaev*
- 2015: Default Clustering in Large Pools: Large Deviations
*Konstantinos Spiliopoulos* and *Richard B. Sowers*
- 2015: Optimal Liquidity Provision
*Christoph K\"uhn* and *Johannes Muhle-Karbe*
- 2015: Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data
*Krenar Avdulaj* and *Jozef Baruník*
- 2015: Fluctuation Analysis for the Loss From Default
*Konstantinos Spiliopoulos*, *Justin A. Sirignano* and *Kay Giesecke*
- 2015: Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
*Salvatore Federico*, *Paul Gassiat* and *Fausto Gozzi*
- 2015: Asymptotics of forward implied volatility
*Antoine Jacquier* and *Patrick Roome*
- 2015: Modeling and forecasting exchange rate volatility in time-frequency domain
*Jozef Baruník*, *Tomas Krehlik* and *Lukas Vacha*
- 2015: Large Portfolio Asymptotics for Loss From Default
*Kay Giesecke*, *Konstantinos Spiliopoulos*, *Richard B. Sowers* and *Justin A. Sirignano*
- 2015: Predictability of price movements in deregulated electricity markets
*Olga Y. Uritskaya* and *Vadim M. Uritsky*
- 2015: Economic inequality and mobility in kinetic models for social sciences
*Maria Letizia Bertotti* and *Giovanni Modanese*
- 2015: The intensity of the random variable intercept in the sector of negative probabilities
*Marcin Makowski*, *Edward Piotrowski*, *Jan S{\l}adkowski* and *Jacek Syska*
- 2015: An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series
*Alexander Schnurr*
- 2015: Worldwide clustering of the corruption perception
*Michal Paulus* and *Ladislav Krištoufek*
- 2015: Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix
*Patrick Steffen Michelberger* and *Jan Hendrik Witte*
- 2015: Adaptive Filter Design for Stock Market Prediction Using a Correlation-based Criterion
*J. E. Wesen*, *V. Vv. Vermehren* and *H. M. de Oliveira*
- 2015: Liquidity costs: a new numerical methodology and an empirical study
*Christophe Michel*, *Victor Reutenauer*, *Denis Talay* and *Etienne Tanr\'e*
- 2015: Valuation Algorithms for Structural Models of Financial Interconnectedness
*Johannes Hain* and *Tom Fischer*
- 2015: Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk
*Gildas Ratovomirija*
- 2015: Optimal strategies of investment in a linear stochastic model of market
*O. S. Rozanova* and *G. S. Kambarbaeva*
- 2015: Short-time at-the-money skew and rough fractional volatility
*Masaaki Fukasawa*
- 2015: Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach
*Jinbeom Kim* and *Tim Leung*
- 2015: Positively-homogeneous Konus-Divisia indices and their applications to demand analysis and forecasting
*Nikolay Klemashev* and *Alexander Shananin*
- 2015: Interbank markets and multiplex networks: centrality measures and statistical null models
*Leonardo Bargigli*, *Giovanni di Iasio*, *Luigi Infante*, *Fabrizio Lillo* and *Federico Pierobon*
- 2015: Combining Alphas via Bounded Regression
*Zura Kakushadze*
- 2015: Bin Size Independence in Intra-day Seasonalities for Relative Prices
*Esteban Guevara*
- 2015: On the Modular Dynamics of Financial Market Networks
*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: An optimal trading problem in intraday electricity markets
*Ren\'e A\"id*, *Pierre Gruet* and *Huy\^en Pham*
- 2015: Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures
*Rohini Kumar*
- 2015: Data manipulation detection via permutation information theory quantifiers
*Aurelio Fernandez Bariviera*, *M. Bel\'en Guercio* and *Lisana B. Martinez*
- 2015: On the martingale-fair index of return for investment funds
*Leslaw Gajek* and *Marek Kaluszka*
- 2015: Optimal Trading with Alpha Predictors
*Filippo Passerini* and *Samuel E. Vazquez*
- 2015: A New Approach to Model Free Option Pricing
*Raphael Hauser* and *Sergey Shahverdyan*
- 2015: The asymptotic smile of a multiscaling stochastic volatility model
*Francesco Caravenna* and *Jacopo Corbetta*
- 2015: Google matrix analysis of the multiproduct world trade network
*Leonardo Ermann* and *Dima L. Shepelyansky*
- 2015: Self-Financing Trading and the Ito-Doeblin Lemma
*Chris Kenyon* and *Andrew Green*
- 2015: The 20-60-20 Rule
*Piotr Jaworski* and *Marcin Pitera*
- 2015: Stochastic simulation framework for the Limit Order Book using liquidity motivated agents
*Efstathios Panayi* and *Gareth Peters*
- 2015: Robust Inference of Risks of Large Portfolios
*Jianqing Fan*, *Fang Han*, *Han Liu* and *Byron Vickers*
- 2015: The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs
*Tim Leung* and *Brian Ward*
- 2015: Multiplicative Limit Order Markets with Transient Impact and Zero Spread
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2015: Optimal investment under behavioural criteria in incomplete diffusion market models
*Mikl\'os R\'asonyi* and *Jos\'e Gregorio Rodr\'{i}guez-Villarreal*
- 2015: Entropy-Based Financial Asset Pricing
*Mihály Ormos* and *David Zibriczky*
- 2015: A Composite Risk Measure Framework for Decision Making under Uncertainty
*Pengyu Qian*, *Zizhuo Wang* and *Zaiwen Wen*
- 2015: A law of large numbers for limit order books
*Ulrich Horst* and *Michael Paulsen*
- 2015: Signs of dependence and heavy tails in non-life insurance data
*Jonas Alm*
- 2015: Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets
*Florian Ziel*, *Rick Steinert* and *Sven Husmann*
- 2015: Monetary Policy and Dark Corners in a stylized Agent-Based Model
*Stanislao Gualdi*, *Marco Tarzia*, *Francesco Zamponi* and *Jean-Philippe Bouchaud*
- 2015: Minimizing the Probability of Ruin in Retirement
*Christopher J. Rook*
- 2015: Comprehensive Time-Series Regression Models Using GRETL - U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013
*Juehui Shi*
- 2015: An Evolutionary Optimization Approach to Risk Parity Portfolio Selection
*Ronald Hochreiter*
- 2015: Methodological thoughts on expected loss estimates for IFRS 9 impairment: hidden reserves, cyclical loss predictions and LGD backtesting
*Wolfgang Reitgruber*
- 2015: On Stochastic Orders and its applications: Policy limits and Deductibles
*Halim Zeghdoudi*, *Meriem Bouhadjar* and *Mohamed Riad Remita*
- 2015: Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
*Ladislav Krištoufek*
- 2015: Continuous time analysis of fleeting discrete price moves
*Neil Shephard* and *Justin J. Yang*
- 2015: Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA
*Giovanni Mottola*
- 2015: Fact Sheet Research on Bayesian Decision Theory
*H. R. N. van Erp*, *R. O. Linger* and *P. H. A. J. M. van Gelder*
- 2015: Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks
*Benjamin Vandermarliere*, *Alexei Karas*, *Jan Ryckebusch* and *Koen Schoors*
- 2015: Game theory analysis for carbon auction market through electricity market coupling
*Mireille Bossy*, *Nadia Maizi* and *Odile Pourtallier*
- 2015: Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences
*Chris Kenyon* and *Andrew Green*
- 2015: Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods
*Nicolo Musmeci*, *Tomaso Aste* and *Tiziana Di Matteo*
- 2015: Combining Alpha Streams with Costs
*Zura Kakushadze*
- 2015: MVA: Initial Margin Valuation Adjustment by Replication and Regression
*Andrew Green* and *Chris Kenyon*
- 2015: Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context
*Qinghua Li*
- 2015: On the properties of nodal price response matrix in electricity markets
*Vadim Borokhov*
- 2015: Is It Possible to OD on Alpha?
*Zura Kakushadze* and *Jim Kyung-Soo Liew*
- 2015: Trajectory Based Models, Arbitrage and Continuity
*Alexander Alvarez* and *Sebastian Ferrando*
- 2015: Asymptotic Glosten Milgrom equilibrium
*Cheng Li* and *Hao Xing*
- 2015: Complexity, economic science and possible economic benefits of climate change mitigation policy
*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
*Pietro Fodra* and *Huy\^en Pham*
- 2015: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
*Paulwin Graewe*, *Ulrich Horst* and *Jinniao Qiu*
- 2015: Different Cost Performance: Different Determinants? The Case of Cost Overruns in Dutch Transportation Infrastructure Projects
*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
*Chantal C. Cantarelli*, *Eric J. E. Molin*, *Bert van Wee* and *Bent Flyvbjerg*
- 2015: A comparison of techniques for dynamic multivariate risk measures
*Zachary Feinstein* and *Birgit Rudloff*
- 2015: On an integral equation for the free-boundary of stochastic, irreversible investment problems
*Giorgio Ferrari*
- 2015: Valuation of asset and volatility derivatives using decoupled time-changed L\'evy processes
*Lorenzo Torricelli*
| |