# Papers
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- 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
*Fran\c{c}ois 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: DebtRank: A microscopic foundation for shock propagation
*Marco Bardoscia*, *Stefano Battiston*, *Fabio Caccioli* and *Guido Caldarelli*
- 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: The Uniqueness of Equilibrium for Time-Inconsistent Stochastic Linear--Quadratic Control
*Ying Hu*, *Hanqing Jin* and *Xun Yu Zhou*
- 2015: Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
*T. Kruse* and *A. Popier*
- 2015: Diversity-Weighted Portfolios with Negative Parameter
*Alexander Vervuurt* and *Ioannis Karatzas*
- 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 Unbounded Random Endowments and Transaction Costs: Duality Theory and Connections to the Shadow Price Process
*Erhan Bayraktar* and *Xiang Yu*
- 2015: The Martin Integral Representation of Markovian Pricing Kernels
*Hyungbin Park*
- 2015: Interactions between financial and environmental networks in OECD countries
*Franco Ruzzenenti*, *Andreas Joseph*, *Elisa Ticci*, *Pietro Vozzella* and *Giampaolo Gabbi*
- 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: Process-Based Risk Measures for Observable and Partially Observable Discrete-Time Controlled Systems
*Jingnan Fan* and *Andrzej Ruszczynski*
- 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: 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: 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: 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: 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: IMEX schemes for a Parabolic-ODE system of European Options with Liquidity Shocks
*W. Mudzimbabwe* and *Lubin G. Vulkov*
- 2015: Dependence structure of market states
*Desislava Chetalova* and *Rudi Sch\"afer*
- 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: Higher order elicitability and Osband's principle
*Tobias Fissler* and *Johanna F. Ziegel*
- 2015: About the decomposition of pricing formulas under stochastic volatility models
*Raul Merino* and *Josep Vives*
- 2015: Black-Scholes in a CEV random environment: a new approach to smile modelling
*Antoine Jacquier* and *Patrick Roome*
- 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: A Unified Approach to Systemic Risk Measures via Acceptance Sets
*Francesca Biagini*, *Jean-Pierre Fouque*, *Marco Frittelli* and *Thilo Meyer-Brandis*
- 2015: Measuring Systemic Risk: Robust Ranking Techniques Approach
*Amirhossein Sadoghi*
- 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: 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: Randomizing bipartite networks: the case of the World Trade Web
*Fabio Saracco*, *Riccardo Di Clemente*, *Andrea Gabrielli* and *Tiziano Squartini*
- 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: Bounds for randomly shared risk of heavy-tailed loss factors
*Oliver Kley* and *Claudia Kluppelberg*
- 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: On robust pricing--hedging duality in continuous time
*Zhaoxu Hou* and *Jan Obloj*
- 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: 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: 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: Diversity waves in collapse-driven population dynamics
*Sergei Maslov* and *Kim Sneppen*
- 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: A Lattice Framework for Pricing Display Ad Options with the Stochastic Volatility Underlying Model
*Bowei Chen* and *Jun Wang*
- 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: Measures of Systemic Risk
*Zachary Feinstein*, *Birgit Rudloff* and *Stefan Weber*
- 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: Comparing systemic risk in European government bonds and national indices
*Jan Jurczyk*, *Alexander Eckrot* and *Ingo Morgenstern*
- 2015: Estimation of Several Political Action Effects of Energy Prices
*Andrew B. Whitford*
- 2015: Model risk on credit risk
*J. Molins* and *E. Vives*
- 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: Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
*Erhan Bayraktar* and *Zhou Zhou*
- 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: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models
*Archil Gulisashvili*, *Frederi Viens* and *Xin Zhang*
- 2015: Detecting weaks signals with record statistics
*Damien Challet*
- 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: Hawkes processes in finance
*Emmanuel Bacry*, *Iacopo Mastromatteo* and *Jean-Fran\c{c}ois Muzy*
- 2015: A dynamic optimal execution strategy under stochastic price recovery
*Masashi Ieda*
- 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: Non Parametric Estimates of Option Prices Using Superhedging
*Gianluca Cassese*
- 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: Stationary distribution of the volume at the best quote in a Poisson order book model
*Ioane Muni Toke*
- 2015: Market Dynamics and Indirect Network Effects in Electric Vehicle Diffusion
*Zhe Yu*, *Shanjun Li* and *Lang Tong*
- 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: Diversification, protection of liability holders and regulatory arbitrage
*Pablo Koch-Medina*, *Cosimo Munari* and *Mario Sikic*
- 2015: Semi-Discrete method and stochastic volatility
*Nikolaos Halidias* and *Ioannis Stamatiou*
- 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: Portfolio Optimization under Shortfall Risk Constraint
*Oliver Janke* and *Qinghua Li*
- 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: Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
*Tim Leung* and *Xin Li*
- 2015: Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization and Ross Recovery
*Likuan Qin* and *Vadim Linetsky*
- 2015: Optimizing Credit Portfolio Using a Quadratic Nonlinear Projection Method
*Boguk Kim*
- 2015: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
*Rodrigo Targino*, *Gareth W. Peters* and *Pavel V. Shevchenko*
- 2015: Herding interactions as an opportunity to prevent extreme events in financial markets
*Aleksejus Kononovicius* and *Vygintas Gontis*
- 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: Spectral Model of Turnover Reduction
*Zura Kakushadze*
- 2015: Martingale optimal transport in the Skorokhod space
*Y. Dolinsky* and *H. M. Soner*
- 2015: Reward-risk momentum strategies using classical tempered stable distribution
*Jaehyung Choi*, *Young Shin Kim* and *Ivan Mitov*
- 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: A state-constrained differential game arising in optimal portfolio liquidation
*Alexander Schied* and *Tao Zhang*
- 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: Continuous-Time Public Good Contribution under Uncertainty
*Giorgio Ferrari*, *Frank Riedel* and *Jan-Henrik Steg*
- 2015: Fluctuation Analysis for the Loss From Default
*Konstantinos Spiliopoulos*, *Justin A. Sirignano* and *Kay Giesecke*
- 2015: An Optimal Execution with Uncertain Market Impact
*Kensuke Ishitani* and *Takashi Kato*
- 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: 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 W. Piotrowski*, *Jan S{\l}adkowski* and *Jacek Syska*
- 2015: An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series
*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: Information in stock prices and some consequences
*Yannis G. Yatracos*
- 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: Cascades in multiplex financial networks with debts of different seniority
*Charles D. Brummitt* and *Teruyoshi Kobayashi*
- 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: Non-concave utility maximisation on the positive real axis in discrete time
*Laurence Carassus*, *Mikl\'os R\'asonyi* and *Andrea M. Rodrigues*
- 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: On financial applications of the two-parameter Poisson-Dirichlet distribution
*Sergey Sosnovskiy*
- 2015: Multiplicative Limit Order Markets with Transient Impact and Zero Spread
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2015: The Two Dimensions of Drawdown: Magnitude and Duration
*Ola Mahmoud*
- 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: On a class of generalized Takagi functions with linear pathwise quadratic variation
*Alexander Schied*
- 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: A note on the spot-forward no-arbitrage relations in an investment-production model for commodities
*Ren\'e A\"id*, *Luciano Campi* and *Delphine Lautier*
- 2015: Comprehensive Time-Series Regression Models Using GRETL - U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013
*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: An $\alpha$-Stable Limit Theorem Under Sublinear Expectation
*Erhan Bayraktar* and *Alexander Munk*
- 2015: Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks
*Benjamin Vandermarliere*, *Alexei Karas*, *Jan Ryckebusch* and *Koen Schoors*
- 2015: Custom v. Standardized Risk Models
*Zura Kakushadze* and *Jim Kyung-Soo Liew*
- 2015: Game theory analysis for carbon auction market through electricity market coupling
*Mireille Bossy*, *Nadia Maizi* and *Odile Pourtallier*
- 2015: On the optimal exercise boundaries of swing put options
*Tiziano De Angelis* and *Yerkin Kitapbayev*
- 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: Optimal Execution in Lit and Dark Pools
*M. Alessandra Crisafi* and *Andrea Macrina*
- 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*
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