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2013: Mathematical Analysis of Money in the Scope of Austerity
Peter Stallinga
2013: Risk Measure Estimation On Fiegarch Processes
Taiane S. Prass and Lopes, S\'ilvia R. C.
2013: Pricing bonds with optional sinking feature using Markov Decision Processes
Jan-Frederik Mai and Marc Wittlinger
2013: Reducing the debt: is it optimal to outsource an investment?
Gilles Edouard Espinosa , Caroline Hillairet , Benjamin Jourdain and Monique Pontier
2013: A note on high-order short-time expansions for ATM option prices under the CGMY model
Figueroa-L\'opez, Jos\'e E. , Ruoting Gong and Houdr\'e, Christian
2013: Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes
Helin Zhu , Fan Ye and Enlu Zhou
2013: A Model for Stock Returns and Volatility
Tao Ma and R. A. Serota
2013: Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE
Jacek Jakubowski and owski, Mariusz Niew\k{e}g\l
2013: Economics 2.0: The Natural Step towards A Self-Regulating, Participatory Market Society
Dirk Helbing
2013: A hot-potato game under transient price impact and some effects of a transaction tax
Alexander Schied and Tao Zhang
2013: A First-Order BSPDE for Swing Option Pricing
Christian Bender and Nikolai Dokuchaev
2013: Monte Carlo approximation to optimal investment
L C G Rogers and Pawel Zaczkowski
2013: Scaling symmetry, renormalization, and time series modeling
Marco Zamparo , Fulvio Baldovin , Michele Caraglio and Attilio L. Stella
2013: Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm
Tetsuya Takaishi
2013: The Statistical and Econometric Analysis of Asylum Application Trends and their relationship to GDP in the EEA
Gerard Keogh
2013: Ergodic transition in a simple model of the continuous double auction
Radivojevi\'c, Tijana , Jonatha Anselmi and Enrico Scalas
2013: Markov switching quadratic term structure models
Goutte, St\'ephane
2013: An Exactly Solvable Discrete Stochastic Process with Correlated Properties
Jongwook Kim and Junghyo Jo
2013: On the Lebesgue Property of Monotone Convex Functions
Keita Owari
2013: Direct Evidence for Synchronization in Japanese Business Cycle
Yuichi Ikeda , Hideaki Aoyama , Hiroshi Iyetomi and Hiroshi Yoshikawa
2013: A comparison of techniques for dynamic risk measures with transaction costs
Zachary Feinstein and Birgit Rudloff
2013: Statistical Mechanics of Competitive Resource Allocation
Anirban Chakraborti , Damien Challet , Arnab Chatterjee , Matteo Marsili , Yi-Cheng Zhang and Bikas K. Chakrabarti
2013: A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation
Jiang-Lun Wu and Wei Yang
2013: Optimal dividend problem for a generalized compound Poisson risk model
Chuancun Yin
2013: Are Financial Markets an aspect of Quantum World?
Ovidiu Racorean
2013: The Effect of Growth On Equality in Models of the Economy
Kang Liu , N. Lubbers , W. Klein , J. Tobochnik , B. Boghosian and Harvey Gould
2013: Kinetic exchange models: From molecular physics to social science
Marco Patriarca and Anirban Chakraborti
2013: Exact record and order statistics of random walks via first-passage ideas
Gregory Schehr and Satya N. Majumdar
2013: A robust tree method for pricing American options with CIR stochastic interest rate
Elisa Appolloni , Lucia Caramellino and Antonino Zanette
2013: Multivariate high-frequency financial data via semi-Markov processes
D'Amico, Guglielmo and Filippo Petroni
2013: Permanent market impact can be nonlinear
Gu\'eant, Olivier
2013: Uncovering the network structure of the world currency market: Cross-correlations in the fluctuations of daily exchange rates
Sitabhra Sinha and Uday Kovur
2013: Relative Robust Portfolio Optimization
Raphael Hauser , Vijay Krishnamurthy and T\"ut\"unc\"u, Reha
2013: Semi Markov model for market microstructure
Pietro Fodra and Pham, Huy\^en
2013: Bubbles are rational
Pierre Lescanne
2013: Elasticity theory of structuring
Andrei N. Soklakov
2013: Deriving Derivatives
Andrei N. Soklakov
2013: Non-Stationarity in Financial Time Series and Generic Features
Thilo A. Schmitt , Desislava Chetalova , Sch\"afer, Rudi and Thomas Guhr
2013: Existence and uniqueness of Arrow-Debreu equilibria with consumptions in $\mathbf{L}^0_+$
Dmitry Kramkov
2013: An Information-Theoretic Test for Dependence with an Application to the Temporal Structure of Stock Returns
Galen Sher and Pedro Vitoria
2013: Barrier Options under L\'evy Processes: a Simple Short-Cut
José Fajardo
2013: Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility
Jozef Baruník and Jiri Kukacka
2013: Bimodality in the firm size distributions: a kinetic exchange model approach
Anindya S. Chakrabarti
2013: The Pricing of Multiple-Expiry Exotics
Hyong-Chol O and Mun-Chol KiM
2013: Bridging stylized facts in finance and data non-stationarities
Sabrina Camargo , Silvio M. Duarte Queiros and Celia Anteneodo
2013: Robust Optimal Stopping under Volatility Uncertainty
Erhan Bayraktar and Song Yao
2013: A unified approach to pricing and risk management of equity and credit risk
Claudio Fontana and Juan Miguel A. Montes
2013: Non stationary multifractality in stock returns
Raffaello Morales , T. Di Matteo and Tomaso Aste
2013: Online Portfolio Selection: A Survey
Bin Li and Steven C. H. Hoi
2013: Optimal order placement in limit order markets
Rama Cont and Arseniy Kukanov
2013: Performance Analysis of Hybrid Forecasting Model In Stock Market Forecasting
Mahesh S. Khadka , K. M. George , N. Park and J. B. Kim
2013: A control problem with fuel constraint and Dawson-Watanabe superprocesses
Alexander Schied
2013: Do arbitrage-free prices come from utility maximization?
Pietro Siorpaes
2013: Stochastic Target Games with Controlled Loss
Bruno Bouchard , Ludovic Moreau and Marcel Nutz
2013: An algorithm for the orthogonal decomposition of financial return data
Vic Norton
2013: Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
Jiri Kukacka and Jozef Baruník
2013: From Minority Game to Black & Scholes pricing
Matteo Ortisi and Valerio Zuccolo
2013: Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework
Alexander Schied
2013: Capital Requirements with Defaultable Securities
Walter Farkas , Pablo Koch-Medina and Cosimo-Andrea Munari
2013: An Asymptotic Expansion for Solutions of Cauchy-Dirichlet Problem for Second Order Parabolic PDEs and its Application to Pricing Barrier Options
Takashi Kato , Akihiko Takahashi and Toshihiro Yamada
2013: Heavy-tail driven by memory
Jongwook Kim and Gabjin Oh
2013: The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options
Sam Howison , Christoph Reisinger and Jan Hendrik Witte
2013: Linear stochastic volatility models
Jacek Jakubowski and Maciej Wisniewolski
2013: Delusions of Success: Comment on Dan Lovallo and Daniel Kahneman
Bent Flyvbjerg
2013: A note on replicating a CDS through a repo and an asset swap
Lorenzo Giada and Claudio Nordio
2013: Maximum Lebesgue Extension of Monotone Convex Functions
Keita Owari
2013: Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion
Qian Zhao , Jiaqin Wei and Rongming Wang
2013: On the Dividend Strategies with Non-Exponential Discounting
Qian Zhao , Jiaqin Wei and Rongming Wang
2013: Pricing TARN Using a Finite Difference Method
Xiaolin Luo and Pavel Shevchenko
2013: Balancing small fixed and proportional transaction cost in trading strategies
Jose V. Alcala and Arash Fahim
2013: Government Solvency, Austerity and Fiscal Consolidation in the OECD: A Keynesian Appraisal of Transversality and No Ponzi Game Conditions
Karim Azizi , Nicolas Canry , Jean-Bernard Chatelain and Bruno Tinel
2013: Time-independent pricing of options in range bound markets
Ovidiu Racorean
2013: A Fokker-Planck description for the queue dynamics of large tick stocks
A. Gareche , G. Disdier , J. Kockelkoren and J. -P. Bouchaud
2013: Hedging in bond markets by the Clark-Ocone formula
Nicolas Privault and Timothy Robin Teng
2013: Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market
Tetsuya Takaishi , Ting Ting Chen and Zeyu Zheng
2013: The pricing formula for cancellable European options
Hsuan-Ku Liu
2013: Bayesian estimation of customer equity from survey data
Juha Karvanen , Ari Rantanen and Lasse Luoma
2013: The Convexity of the Free Boundary for a Parabolic Free Boundary Problem
Hsuan-Ku liu
2013: Option pricing, Bayes risks and Applications
Yannis G. Yatracos
2013: Central Clearing of OTC Derivatives: bilateral vs multilateral netting
Rama Cont and Thomas Kokholm
2013: A stochastic control approach to robust duality in utility maximization
\Oksendal, Bernt and Sulem, Agn\`es
2013: Schr\"odinger group and quantum finance
Juan M. Romero , Ulises Lavana and Mart\'inez, Elio
2013: Modeling stock price returns and pricing a European option with Le Cam's statistical experiments, without stochastic calculus
Yannis G. Yatracos
2013: Risk measures for processes and BSDEs
Irina Penner and Anthony Reveillac
2013: Firm's Information Environment and Stock Liquidity: Evidence from Tunisian Context
Nadia Loukil and Ouidad Yousfi
2013: On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems
Dimitri O. Ledenyov and Viktor Olegovich Ledenyov
2013: On option pricing in illiquid markets with jumps
Youssef El-Khatib and Abdulnasser Hatemi-J
2013: On the pricing and hedging of options for highly volatile periods
Youssef El-Khatib and Abdulnasser Hatemi-J
2013: Cubature on Wiener space: pathwise convergence
Christian Bayer and Peter K. Friz
2013: Double Whammy - How ICT Projects are Fooled by Randomness and Screwed by Political Intent
Alexander Budzier and Bent Flyvbjerg
2013: A variation of the Canadisation algorithm for the pricing of American options driven by L\'evy processes
Florian Kleinert and Kees van Schaik
2013: Overspend? Late? Failure? What the Data Say About IT Project Risk in the Public-Sector
Alexander Budzier and Bent Flyvbjerg
2013: What Causes Cost Overrun in Transport Infrastructure Projects?"
Bent Flyvbjerg , Mette K. Skamris Holm and Buhl, S{\o}ren L.
2013: A Model for Scaling in Firms' Size and Growth Rate Distribution
Cornelia Metzig and Mirta B. Gordon
2013: Predictability on Complete Financial Markets
Gabriel Frahm
2013: Measuring the default risk of sovereign debt from the perspective of network
Hongwei Chuang and Hwai-Chung Ho
2013: Hierarchy of Frustrations as Supplementary Indices in Complex System Dynamics, Applied to the U.S. Intermarket
Krzysztof Sokalski
2013: An age structured demographic model of technology
Jean-Francois Mercure
2013: Hedging of Game Options under Model Uncertainty in Discrete Time
Yan Dolinsky
2013: Existence of an endogenously complete equilibrium driven by a diffusion
Dmitry Kramkov
2013: Return on net sales from three companies in the manufacturing of fabricated metal products (except machinery and equipment)
Marta Tomczak , Anna Ziolkowska and Martyna Rosik
2013: Jan Tinbergen's legacy for economic networks: from the gravity model to quantum statistics
Tiziano Squartini and Diego Garlaschelli
2013: Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials
Andrey Itkin
2013: Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions
Damiano Brigo and Giuseppe Di Graziano
2013: Robust price bounds for the forward starting straddle
David Hobson and Martin Klimmek
2013: Robustification of Elliott's on-line EM algorithm for HMMs
Christina Erlwein and Peter Ruckdeschel
2013: Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims
Lingjiong Zhu
2013: A family of density expansions for L\'{e}vy-type processes with default
Matthew Lorig , Stefano Pagliarani and Andrea Pascucci
2013: Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
H. Huang , M. A. Milevsky and T. S. Salisbury
2013: A convolution method for numerical solution of backward stochastic differential equations
Cody Blaine Hyndman and Polynice Oyono Ngou
2013: Why Mass Media Matter to Planning Research: The Case of Megaprojects
Bent Flyvbjerg
2013: Fluctuation Analysis for the Loss From Default
Konstantinos Spiliopoulos , Justin A. Sirignano and Kay Giesecke
2013: Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs
Andrea Pallavicini and Damiano Brigo
2013: Five Misunderstandings About Case-Study Research
Bent Flyvbjerg
2013: Information, no-arbitrage and completeness for asset price models with a change point
Claudio Fontana , Zorana Grbac , Monique Jeanblanc and Qinghua Li
2013: A Peer-based Model of Fat-tailed Outcomes
Ben Klemens
2013: Premiums And Reserves, Adjusted By Distortions
Alois Pichler
2013: An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals
Ob{\l}\'oj, Jan and Peter Spoida
2013: Why Your IT Project Might Be Riskier Than You Think
Bent Flyvbjerg and Alexander Budzier
2013: High-frequency market-making for multi-dimensional Markov processes
Pietro Fodra and Mauricio Labadie
2013: Pivotal estimation in high-dimensional regression via linear programming
Eric Gautier and Alexandre Tsybakov
2013: Quantitative easing is an incomplete strategy that must be accompanied by the nullification of debt
Karl Svozil
2013: Nanotechnology and Innovation, Recent status and the strategic implication for the formation of high tech clusters in Greece, in between a global economic crisis
Evangelos . Gkanas , Vasso MagkouKriticou , Sofoklis S. Makridis , Athanasios K. Stubos and Ioannis Bakouros
2013: Two unconditionally implied parameters and volatility smiles and skews
Nikolai Dokuchaev
2013: The Small-Maturity Heston Forward Smile
Antoine Jacquier and Patrick Roome
2013: Agent-based and macroscopic modeling of the complex socio-economic systems
Aleksejus Kononovicius and Valentas Daniunas
2013: Analytical Pricing of Defaultable Bond with Stochastic Default Intensity
Hyong-Chol O and Ning Wan
2013: An Explicit Martingale Version of Brenier's Theorem
Pierre Henry-Labordere and Nizar Touzi
2013: Pricing Corporate Defaultable Bond using Declared Firm Value
Hyong-Chol O
2013: A Modern Approach to the Efficient-Market Hypothesis
Gabriel Frahm
2013: Robust Hedging with Proportional Transaction Costs
Yan Dolinsky and H. Mete Soner
2013: Suitability of Capital Allocations for Performance Measurement
Eduard Kromer and Ludger Overbeck
2013: Estimating the efficient price from the order flow: a Brownian Cox process approach
Sylvain Delattre , Christian Y. Robert and Mathieu Rosenbaum
2013: The art of PD curve calibration
Dirk Tasche
2013: The Calculus of Expected Loss: Backtesting Expected Loss with Actual Impact of Risk in a Basel II Framework
Wolfgang Reitgruber
2013: Execution and block trade pricing with optimal constant rate of participation
Gu\'eant, Olivier
2013: Econoinformatics meets Data-Centric Social Sciences
Aki-Hiro Sato
2013: The Reactive Volatility Model
Sebastien Valeyre , Denis Grebenkov , Sofiane Aboura and Qian Liu
2013: How big is too big? Critical Shocks for Systemic Failure Cascades
Claudio J. Tessone , Antonios Garas , Beniamino Guerra and Frank Schweitzer
2013: Superreplication under Volatility Uncertainty for Measurable Claims
Ariel Neufeld and Marcel Nutz
2013: Modeling and Forecasting Persistent Financial Durations
Filip Zikes , Jozef Baruník and Nikhil Shenai
2013: Economic decision making: application of the theory of complex systems
Robert Kitt
2013: The Smile of certain L\'evy-type Models
Antoine Jacquier and Matthew Lorig
2013: On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory
Taras Bodnar , Nestor Parolya and Wolfgang Schmid
2013: Stochastic Volatility with Heterogeneous Time Scales
Danilo Delpini and Giacomo Bormetti
2013: Constructing Sublinear Expectations on Path Space
Marcel Nutz and Ramon van Handel
2013: General Intensity Shapes in Optimal Liquidation
Gu\'eant, Olivier and Charles-Albert LEHALLE
2013: Maximum Maximum of Martingales given Marginals
Pierre Henry-Labordere , Jan Obloj , Peter Spoida and Nizar Touzi
2013: Optimal Portfolio Choice for a Behavioural Investor in Continuous-Time Markets
Miklos Rasonyi and Andrea M. Rodrigues
2013: On Multivariate Extensions of Value-at-Risk
Areski Cousin and Elena Di Bernadino
2013: Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Vladimir Cherny and Jan Obloj
2013: Loss-Based Risk Measures
Rama Cont , Romain Deguest and Xuedong He
2013: Limit Order Books
Martin D. Gould , Mason A. Porter , Stacy Williams , Mark McDonald , Daniel J. Fenn and Sam D. Howison
2013: MCMC estimation of default and recovery dependent via the latent systematic factor
Xiaolin Luo and Pavel V. Shevchenko
2013: Discrete tenor models for credit risky portfolios driven by time-inhomogeneous L\'evy processes
Ernst Eberlein , Zorana Grbac and Thorsten Schmidt
2013: Stochastic Utilities With a Given Optimal Portfolio: Approach by Stochastic Flows
N. El Karoui and M'Rad, Mohamed
2013: Fitting the Log Periodic Power Law to financial crashes: a critical analysis
David S. Bree and Nathan Lael Joseph
2013: Do wealth distributions follow power laws? Evidence from "rich lists"
Michał Brzeziński
2013: Agent-based modeling of a price information trading business
Saad Ahmad Khan and Ladislau Boloni
2013: How Planners Deal with Uncomfortable Knowledge: The Dubious Ethics of the American Planning Association
Bent Flyvbjerg
2013: Megaprojects and Risk: An Anatomy of Ambition
Bent Flyvbjerg , Nils Bruzelius and Werner Rothengatter
2013: Delusion and Deception in Large Infrastructure Projects: Two Models for Explaining and Preventing Executive Disaster
Bent Flyvbjerg , Massimo Garbuio and Dan Lovallo
2013: Cost Overruns and Demand Shortfalls in Urban Rail and Other Infrastructure
Bent Flyvbjerg
2013: Measuring Inaccuracy in Travel Demand Forecasting: Methodological Considerations Regarding Ramp Up and Sampling
Bent Flyvbjerg
2013: Policy and Planning for Large Infrastructure Projects: Problems, Causes, Cures
Bent Flyvbjerg
2013: How (In)accurate Are Demand Forecasts in Public Works Projects? The Case of Transportation
Bent Flyvbjerg , Mette Skamris Holm and Buhl, S{\o}ren L.
2013: Underestimating Costs in Public Works Projects: Error or Lie?
Bent Flyvbjerg , Mette K. Skamris Holm and Buhl, S{\o}ren L.
2013: Survival of the Unfittest: Why the Worst Infrastructure Gets Built, And What We Can Do about It
Bent Flyvbjerg
2013: Comparison of Capital Costs per Route-Kilometre in Urban Rail
Bent Flyvbjerg , Nils Bruzelius and Bert van Wee
2013: Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance: Comparing Alternative Exchange Rate Regimes in Eastern Europe
Muhammad Khan , Mazen KEBEWAR and Nikolay Nenov Nenovsky
2013: Volatility Swap Under the SABR Model
Simon Bossoney
2013: Feedback models and stability analysis of three economic paradigms
Harris V. Georgiou
2013: Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
Yingying Li , Zhiyuan Zhang and Xinghua Zheng
2013: ARCO1: An Application of Belief Networks to the Oil Market
Bruce Abramson
2013: Quantifying the Impact of Leveraging and Diversification on Systemic Risk
Paolo Tasca , Pavlin Mavrodiev and Frank Schweitzer
2013: The Identification of Thresholds and Time Delay in Self-Exciting Threshold a Model by Wavelet
Song-Yon Kim and Mun-Chol Kim
2013: A Solution to Kolmogorov-Feller Equation and Pricing of Options
Ju-Gyong Kim and Il-Su Choe
2013: Exact Statistics of the Gap and Time Interval Between the First Two Maxima of Random Walks
Satya N. Majumdar , Philippe Mounaix and Gregory Schehr
2013: Is There A Real Estate Bubble in Switzerland?
Diego Ardila , Peter Cauwels , Dorsa Sanadgol and Didier Sornette
2013: Are random trading strategies more successful than technical ones?
A. E. Biondo , A. Pluchino , A. Rapisarda and D. Helbing
2013: Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades
Matthew Ames , Guillaume Bagnarosa and Gareth W. Peters
2013: A note on pricing of contingent claims under G-expectation
Mingshang Hu and Shaolin Ji
2013: Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims
Delong, {\L}ukasz and Antoon Pelsser
2013: A liability tracking approach to long term management of pension funds
Masashi Ieda , Takashi Yamashita and Yumiharu Nakano
2013: US Corporate Bond Yield Spread: A default risk debate
Syed Muhammad Noaman Ahmed Shah and Mazen KEBEWAR
2013: The General Structure of Optimal Investment and Consumption with Small Transaction Costs
Jan Kallsen and Johannes Muhle-Karbe
2013: Dynamical Trading Mechanism in Limit Order Markets
Shilei Wang
2013: Power Utility Maximization in Hidden Regime-Switching Markets with Default Risk
Agostino Capponi and Jose Enrique Figueroa Lopez
2013: Understanding Operational Risk Capital Approximations: First and Second Orders
Gareth W. Peters , Rodrigo S. Targino and Pavel V. Shevchenko
2013: Dynamics and Spatial Distribution of Global Nighttime Lights
Nicola Pestalozzi , Peter Cauwels and Didier Sornette
2013: Dynamic Programming Equations for Portfolio Optimization under Partial Information with Expert Opinions
Frey, R\"udiger and Ralf Wunderlich
2013: Econophysics of adaptive power markets: When a market does not dampen fluctuations but amplifies them
Sebastian M. Krause , Stefan Boerries and Stefan Bornholdt
2013: Bubbles, Jumps, and Scaling from Properly Anticipated Prices
Felix Patzelt and Klaus Pawelzik
2013: Coherence and elicitability
Johanna F. Ziegel
2013: A new approach for an unitary risk theory
Nicolae Popoviciu and Floarea Baicu
2013: Impact Analysis for Risks in Informatics Systems
Floarea Baicu and Maria Alexandra Baches
2013: Pricing American options via multi-level approximation methods
Denis Belomestny , Fabian Dickmann and Tigran Nagapetyan
2013: The Pricing of A Moving Barrier Option
Hyong-chol O
2013: Investment and Consumption with Regime-Switching Discount Rates
Traian Pirvu and Huayue Zhang
2013: Utility maximisation and utility indifference price for exponential semi-martingale models with random factor
Anastasia Ellanskaya and Lioudmila Vostrikova
2013: Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection
Xiangyu Cui , Xun Li and Duan Li
2013: Inverse Signal Classification for Financial Instruments
Uri Kartoun
2013: Price Dependence in Optimal Investment
Pietro Siorpaes
2013: A Method for Comparing Hedge Funds
Uri Kartoun
2013: An analytic multi-currency model with stochastic volatility and stochastic interest rates
Alessandro Gnoatto and Martino Grasselli
2013: On the theory of firm in nonlinear dynamic financial and economic systems
Dimitri O. Ledenyov and Viktor Olegovich Ledenyov
2013: Realtime market microstructure analysis: online Transaction Cost Analysis
Robert Azencott , Arjun Beri , Yutheeka Gadhyan , Nicolas Joseph , Charles-Albert LEHALLE and Matthew Rowley
2013: Modelling systemic price cojumps with Hawkes factor models
Giacomo Bormetti , Lucio Maria Calcagnile , Michele Treccani , Fulvio Corsi , Stefano Marmi and Fabrizio Lillo
2013: A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
Beatrice Acciaio , Beiglb\"ock, Mathias , Friedrich Penkner and Walter Schachermayer
2013: USLV: Unspanned Stochastic Local Volatility Model
Igor Halperin and Andrey Itkin
2013: L\'evy Information and the Aggregation of Risk Aversion
Dorje C. Brody and Lane P. Hughston
2013: Modeling non-stationarities in high-frequency financial time series
Linda Ponta , Enrico Scalas , Marco Raberto and Silvano Cincotti
2013: High quality topic extraction from business news explains abnormal financial market volatility
Ryohei Hisano , Didier Sornette , Takayuki Mizuno , Takaaki Ohnishi and Tsutomu Watanabe
2013: Optimal Investment with Stocks and Derivatives
Pietro Siorpaes
2013: On parameter estimation for critical affine processes
Matyas Barczy , Leif Doering , Zenghu Li and Gyula Pap
2013: On random convex analysis--the analytic foundation of the module approach to conditional risk measures
Tiexin Guo , Shien Zhao and Xiaolin Zeng
2013: Ergodicity breaking in geometric Brownian motion
Ole Peters and William Klein
2013: Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering
Masaaki Fujii
2013: On arbitrages arising from honest times
Claudio Fontana , Monique Jeanblanc and Shiqi Song
2013: Beyond cash-additive capital requirements: when changing the numeraire fails
Walter Farkas , Pablo Koch-Medina and Cosimo-Andrea Munari
2013: Agents' Strategic Behavior in Optimal Risk Sharing
Michail Anthropelos
2013: Involving copula functions in Conditional Tail Expectation
Brahim Brahimi
2013: A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices
Aki-Hiro Sato
2013: Drift dependence of optimal trade execution strategies under transient price impact
Christopher Lorenz and Alexander Schied
2013: Arbitrage-free SVI volatility surfaces
Jim Gatheral and Antoine Jacquier
2013: Why are quadratic normal volatility models analytically tractable?
Peter Carr , Travis Fisher and Johannes Ruf
2013: Parametric estimation of hidden stochastic model by contrast minimization and deconvolution: application to the Stochastic Volatility Model
Salima El Kolei
2013: The Evolution of Market Efficiency and Its Periodicity: A Non-Bayesian Time-Varying Model Approach
Mikio Ito , Akihiko Noda and Tatsuma Wada
2013: Building portfolios of stocks in the S\~ao Paulo Stock Exchange using Random Matrix Theory
Leonidas Sandoval Junior , Adriana Bruscato and Maria Kelly Venezuela
2013: A Schauder approach to degenerate-parabolic partial differential equations with unbounded coefficients
Paul M. N. Feehan and Camelia Pop
2013: The Existence of Dominating Local Martingale Measures
Peter Imkeller and Nicolas Perkowski
2013: Recovering Model Structures from Large Low Rank and Sparse Covariance Matrix Estimation
Xi Luo
2013: On the Computational Complexity of Measuring Global Stability of Banking Networks
Piotr Berman , Bhaskar DasGupta , Lakshmi Kaligounder and Marek Karpinski
2013: Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing
Tim Siu-Tang Leung , Qingshuo Song and Jie Yang
2013: Forward Exponential Performances: Pricing and Optimal Risk Sharing
Michail Anthropelos
2013: The effect of round-off error on long memory processes
Gabriele La Spada and Fabrizio Lillo
2013: A Map of the Brazilian Stock Market
Leonidas Sandoval Junior
2013: Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
Didier Sornette , Ryan Woodard , Wanfeng Yan and Wei-Xing Zhou
2013: Root's barrier: Construction, optimality and applications to variance options
Alexander M. G. Cox and Jiajie Wang
2013: How efficiency shapes market impact
J. Doyne Farmer , Austin Gerig , Fabrizio Lillo and Henri Waelbroeck
2013: Parisian ruin probability for spectrally negative L\'{e}vy processes
Ronnie Loeffen , Irmina Czarna and Zbigniew Palmowski
2013: A Mathematical Approach to Order Book Modeling
Frederic Abergel and Aymen Jedidi
2013: Exact and high order discretization schemes for Wishart processes and their affine extensions
Abdelkoddousse Ahdida and Alfonsi, Aur\'elien
2013: Formulation of an Optimal Execution Problem with Market Impact: Derivation from Discrete-Time Models to Continuous-Time Models
Takashi Kato
2013: Maximizing Matching in Double-sided Auctions
Jinzhong Niu and Simon Parsons
2013: On Bubbling of Linearly Ordered Sets. Part I
Maria Viktorovna Droganova and Valentin Vankov Iliev
2013: Weak and strong no-arbitrage conditions for continuous financial markets
Claudio Fontana
2013: The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles
Damiano Brigo , Francesco Rapisarda and Abir Sridi
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