# Papers
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- 2015: Integration with respect to model-free price paths with jumps
*Rafa{\l} M. {\L}ochowski*
- 2015: The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market
*Paolo Barucca* and *Fabrizio Lillo*
- 2015: An Application of Correlation Clustering to Portfolio Diversification
*Hannah Cheng Juan Zhan*, *William Rea* and *Alethea Rea*
- 2015: Box-Cox transformation of firm size data in statistical analysis
*Ting Ting Chen* and *Tetsuya Takaishi*
- 2015: Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms
*Jean-David Fermanian*, *Olivier Gu\'eant* and *Arnaud Rachez*
- 2015: Sustainability in the Stochastic Ramsey Model
*Rabi Bhattacharya*, *Hyeonju Kim* and *Mukul Majumdar*
- 2015: Optimal Trading with Linear and (small) Non-Linear Costs
*A. Rej*, *R. Benichou*, *J. de Lataillade*, *G. Z\'erah* and *J. -Ph. Bouchaud*
- 2015: Robust hedging of options on local time
*Julien Claisse*, *Gaoyue Guo* and *Pierre Henry-Labordere*
- 2015: Some Dynamic Market Models
*Jan A. Audestad*
- 2015: Risk-return relationship: An empirical study of different statistical methods for estimating the Capital Asset Pricing Models (CAPM) and the Fama-French model for large cap stocks
*Linh Nghiem*
- 2015: Early Warning Signs of the Economic Crisis in Greece: A Warning for Other Countries and Regions
*Ron W Nielsen*
- 2015: Loss-Deviation risk measures
*Marcelo Brutti Righi*
- 2015: Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach
*Federico Musciotto*, *Luca Marotta*, *Salvatore Miccich\`e*, *Jyrki Piilo* and *Rosario N. Mantegna*
- 2015: Backbone of credit relationships in the Japanese credit market
*Luca Marotta*, *Salvatore Miccich\`e*, *Yoshi Fujiwara*, *Hiroshi Iyetomi*, *Hideaki Aoyama*, *Mauro Gallegati* and *Rosario N. Mantegna*
- 2015: A Generalized Probability Framework to Model Economic Agents' Decisions Under Uncertainty
*Emmanuel Haven* and *Sandro Sozzo*
- 2015: A simple framework for the axiomatization of exponential and quasi-hyperbolic discounting
*Nina Anchugina*
- 2015: Intragroup transfers, intragroup diversification and their risk assessment
*Andreas Haier*, *Ilya Molchanov* and *Michael Schmutz*
- 2015: Optimal measure transformation problems
*Cody Blaine Hyndman* and *Renjie Wang*
- 2015: Least squares estimation for the subcritical Heston model based on continuous time observations
*Matyas Barczy*, *Balazs Nyul* and *Gyula Pap*
- 2015: Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations
*Karol Duris*, *Shih-Hau Tan*, *Choi-Hong Lai* and *Daniel Sevcovic*
- 2015: The F\"ollmer-Schweizer decomposition under incomplete information
*Claudia Ceci*, *Katia Colaneri* and *Alessandra Cretarola*
- 2015: Prediction in complex systems: the case of the international trade network
*Alexandre Vidmer*, *An Zeng*, *Mat\'u\v{s} Medo* and *Yi-Cheng Zhang*
- 2015: An invitation to coupling and copulas: with applications to multisensory modeling
*Hans Colonius*
- 2015: Pricing Two-asset Options under Exponential L\'evy Model Using a Finite Element Method
*Xun Li*, *Ping Lin*, *Xue-Cheng Tai* and *Jinghui Zhou*
- 2015: Scenario generation for portfolio selection problems with tail risk measure
*Jamie Fairbrother*, *Amanda Turner* and *Stein Wallace*
- 2015: Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models
*Gechun Liang* and *Thaleia Zariphopoulou*
- 2015: Optimal Investment with Transaction Costs under Cumulative Prospect Theory in Discrete Time
*Bin Zou* and *Rudi Zagst*
- 2015: Shrinkage = Factor Model
*Zura Kakushadze*
- 2015: Financial Models with Defaultable Num\'eraires
*Travis Fisher*, *Sergio Pulido* and *Johannes Ruf*
- 2015: Equilibrium pricing under relative performance concerns
*Jana Bielagk*, *Arnaud Lionnet* and *Goncalo Dos Reis*
- 2015: Strategic liquidity provision in a limit order book
*Julius Bonart* and *Martin Gould*
- 2015: A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions
*Xin Liu*, *Qi Gong* and *Vidyadhar G. Kulkarni*
- 2015: Flexible premium computation principles to manage prior information
*V\'ictor Blanco* and *Jos\'e M. P\'erez--S\'anchez*
- 2015: Preemptive Investment under Uncertainty
*Jan-Henrik Steg*
- 2015: Deleveraging, short sale constraints and market crash
*Liang Wu*, *Lei Zhang* and *Zhiming Fu*
- 2015: Sensitivity Analysis of Long-Term Cash Flows
*Hyungbin Park*
- 2015: Instability and Information
*Felix Patzelt*
- 2015: Foundations for Wash Sales
*Phillip G. Bradford* and *Cheng-Few Lee*
- 2015: On the C-property and $w^*$-representations of risk measures
*Niushan Gao* and *Foivos Xanthos*
- 2015: Capital allocation and risk appetite under Solvency II framework
*Ivan Granito* and *Paolo De Angelis*
- 2015: Nash equilibria for non zero-sum ergodic stochastic differential games
*Samuel N. Cohen* and *Victor Fedyashov*
- 2015: Wage gap between men and women in Tunisia
*Hela Jeddi* and *Dhafer Malouche*
- 2015: Modeling Market Inefficiencies within a Single Instrument
*Kuang-Ting Chen*
- 2015: Sequential Detection of Market shocks using Risk-averse Agent Based Models
*Vikram Krishnamurthy* and *Sujay Bhatt*
- 2015: Positive skewness, anti-leverage, reverse volatility asymmetry, and short sale constraints: Evidence from the Chinese markets
*Liang Wu*, *Jingyi Luo*, *Yingkai Tang* and *Gregory Bardes*
- 2015: On real growth and run-off companies in insurance ruin theory
*Harri Nyrhinen*
- 2015: Getting started with particle Metropolis-Hastings for inference in nonlinear dynamical models
*Johan Dahlin* and *Thomas B. Sch\"on*
- 2015: Pricing Parisian down-and-in options
*Song-Ping Zhu*, *Nhat-Tan Le*, *Wen-Ting Chen* and *Xiaoping Lu*
- 2015: A Dynamic Model of Functioning of a Bank
*Oleg Malafeyev* and *Achal Awasthi*
- 2015: LSV models with stochastic interest rates and correlated jumps
*Andrey Itkin*
- 2015: On Origins of Alpha
*Zura Kakushadze*
- 2015: Trajectory based models. Evaluation of minmax pricing bounds
*Ivan Degano*, *Sebastian Ferrando* and *Alfredo Gonzalez*
- 2015: Magic points in finance: Empirical integration for parametric option pricing
*Maximilian Ga{\ss}*, *Kathrin Glau* and *Maximilian Mair*
- 2015: A backward Monte Carlo approach to exotic option pricing
*Giacomo Bormetti*, *Giorgia Callegaro*, *Giulia Livieri* and *Andrea Pallavicini*
- 2015: Learning Unfair Trading: a Market Manipulation Analysis From the Reinforcement Learning Perspective
*Enrique Mart\'inez-Miranda*, *Peter McBurney* and *Matthew J. Howard*
- 2015: With string model to time series forecasting
*Richard Pin\v{c}\'ak* and *Erik Barto\v{s}*
- 2015: Real Options and Threshold Strategies
*Vadim Arkin* and *Alexander Slastnikov*
- 2015: The Insecure Future of the World Economic Growth
*Ron W Nielsen*
- 2015: An elementary approach to the option pricing problem
*Nikolaos Halidias*
- 2015: Estimating the Impact of Wind Generation in the UK
*Lisa MH Hall*, *Alastair Buckley* and *Jose Mawyin*
- 2015: Mathematical Foundations of Realtime Equity Trading. Liquidity Deficit and Market Dynamics. Automated Trading Machines
*Vladislav Gennadievich Malyshkin* and *Ray Bakhramov*
- 2015: Optimal leverage trajectories in presence of market impact
*Francesco Caravelli*, *Lorenzo Sindoni*, *Fabio Caccioli* and *Cozmin Ududec*
- 2015: Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies
*Rafal Rak*, *Stanislaw Drozdz*, *Jaroslaw Kwapien* and *Pawel Oswiecimka*
- 2015: Consistent Pricing of VIX and Equity Derivatives with the 4/2 Stochastic Volatility Plus Jumps Model
*Wei Lin*, *Shenghong Li*, *Xingguo Luo* and *Shane Chern*
- 2015: Market Making with Model Uncertainty
*Hee Su Roh* and *Yinyu Ye*
- 2015: Agent based simulations visualize Adam Smith's invisible hand by solving Friedrich Hayek's Economic Calculus
*Klaus Jaffe*
- 2015: Optimal investment with intermediate consumption under no unbounded profit with bounded risk
*Huy N. Chau*, *Andrea Cosso*, *Claudio Fontana* and *Oleksii Mostovyi*
- 2015: Volatility Harvesting: Extracting Return from Randomness
*Jan Hendrik Witte*
- 2015: Heterotic Risk Models
*Zura Kakushadze*
- 2015: From innovation to diversification: a simple competitive model
*Fabio Saracco*, *Riccardo Di Clemente*, *Andrea Gabrielli* and *Luciano Pietronero*
- 2015: Return spillovers around the globe: A network approach
*Štefan Lyócsa*, *Tomáš Výrost* and *Eduard Baumohl*
- 2015: Estimation of integrated quadratic covariation between two assets with endogenous sampling times
*Yoann Potiron* and *Per Mykland*
- 2015: Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations
*Jaroslaw Kwapien*, *Pawel Oswiecimka* and *Stanislaw Drozdz*
- 2015: Optimal Static Quadratic Hedging
*Tim Leung* and *Matthew Lorig*
- 2015: New exact Taylor's expansions and simple solutions to PDEs
*Moawia Alghalith*
- 2015: Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds
*Dirk Tasche*
- 2015: Intertemporal Substitutability, Risk Aversion and Asset Prices
*Dominique Pépin*
- 2015: New copulas based on general partitions-of-unity and their applications to risk management
*Dietmar Pfeifer*, *Herv\'e Awoumlac Tsatedem*, *Andreas M\"andle* and *C\^ome Girschig*
- 2015: Feynman-Kac formula for L\'evy processes with discontinuous killing rate
*Kathrin Glau*
- 2015: The existence of optimal bang-bang controls for GMxB contracts
*Parsiad Azimzadeh* and *Peter A. Forsyth*
- 2015: How predictable is technological progress?
*J. Doyne Farmer* and *François Lafond*
- 2015: Consumption investment optimization with Epstein-Zin utility in incomplete markets
*Hao Xing*
- 2015: Smile with the Gaussian term structure model
*Abdelkoddousse Ahdida*, *Aur\'elien Alfonsi* and *Ernesto Palidda*
- 2015: Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line
*Erwan Pierre*, *St\'ephane Villeneuve* and *Xavier Warin*
- 2015: Randomized versions of Mazur lemma and Krein-\v{S}mulian Theorem with application to conditional convex risk measures for portfolio vectors
*Jos\'e Miguel Zapata*
- 2015: Identifying Multidiemsnional Adverse Selection Models
*Gaurab Aryal*
- 2015: Risk in a large claims insurance market with bipartite graph structure
*Oliver Kley*, *Claudia Kluppelberg* and *Gesine Reinert*
- 2015: Verification of internal risk measure estimates
*Mark H. A. Davis*
- 2015: Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments
*Xiang Yu*
- 2015: Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals
*Sebastian E. Ferrando*, *Alfredo L. Gonzalez*, *Ivan L. Degano* and *Massoome Rahsepar*
- 2015: Ergodic BSDEs with jumps and time dependence
*Samuel N. Cohen* and *Victor Fedyashov*
- 2015: Estimation of the Global Minimum Variance Portfolio in High Dimensions
*Taras Bodnar*, *Nestor Parolya* and *Wolfgang Schmid*
- 2015: Quantum Brownian motion model for the stock market
*Xiangyi Meng*, *Jian-Wei Zhang* and *Hong Guo*
- 2015: The least squares method for option pricing revisited
*Maciej Klimek* and *Marcin Pitera*
- 2015: A Spectral Model of Turnover Reduction
*Zura Kakushadze*
- 2015: Stationary Markov Perfect Equilibria in Discounted Stochastic Games
*Wei He* and *Yeneng Sun*
- 2015: Implicit transaction costs and the fundamental theorems of asset pricing
*Erindi Allaj*
- 2015: General Smooth Solutions to the HJB PDE: Applications to Finance
*Moawia Alghalith*
- 2015: Moral hazard under ambiguity
*Thibaut Mastrolia* and *Dylan Possama\"i*
- 2015: Conditional Value-at-Risk: Theory and Applications
*Jakob Kisiala*
- 2015: A New Class of Problems in the Calculus of Variations
*Ivar Ekeland*, *Yiming Long* and *Qinglong Zhou*
- 2015: Pathwise no-arbitrage in a class of Delta hedging strategies
*Alexander Schied* and *Iryna Voloshchenko*
- 2015: Optimal Portfolio Liquidation and Dynamic Mean-variance Criterion
*Jia-Wen Gu* and *Mogens Steffensen*
- 2015: Gold, currencies and market efficiency
*Ladislav Krištoufek* and *Miloslav Vosvrda*
- 2015: Stochastic control for a class of nonlinear kernels and applications
*Dylan Possama\"i*, *Xiaolu Tan* and *Chao Zhou*
- 2015: A Stochastic Electricity Market Clearing Formulation with Consistent Pricing Properties
*Victor M. Zavala*, *Kibaek Kim*, *Mihai Anitescu* and *John Birge*
- 2015: Computer-Suported Risk Identification for the Holistic Management of Risks
*Jochen L. Leidner*
- 2015: "Speculative Influence Network" during financial bubbles: application to Chinese Stock Markets
*Li Lin* and *Didier Sornette*
- 2015: Floating-strike Asian options with regime-switching
*Adriana Ocejo*
- 2015: From Acquaintances to Friends: Homophily and Learning in Networks
*Mihaela van der Schaar* and *Simpson Zhang*
- 2015: Emergence of Cooperative Long-term Market Loyalty in Double Auction Markets
*Aleksandra Aloric*, *Peter Sollich*, *Peter McBurney* and *Tobias Galla*
- 2015: Exchanging Goods Using Valuable Money
*J. V. Howard*
- 2015: Modern Monetary Circuit Theory, Stability of Interconnected Banking Network, and Balance Sheet Optimization for Individual Banks
*Alexander Lipton*
- 2015: An empirical analysis of the relationships between crude oil, gold and stock markets
*Semei Coronado*, *Rebeca Jim\'enez-Rodr\'iguez* and *Omar Rojas*
- 2015: Uncovering the evolution of non-stationary stochastic variables: the example of asset volume-price fluctuations
*Paulo Rocha*, *Frank Raischel*, *Jo\~ao P. Boto* and *Pedro G. Lind*
- 2015: Pricing of high-dimensional options
*Alexander Kushpel*
- 2015: Coherent CVA and FVA with Liability Side Pricing of Derivatives
*Wujiang Lou*
- 2015: Dynamic programming approach to principal-agent problems
*Jak\v{s}a Cvitani\'c*, *Dylan Possama\"i* and *Nizar Touzi*
- 2015: Liquidity, risk measures, and concentration of measure
*Daniel Lacker*
- 2015: Law invariant risk measures and information divergences
*Daniel Lacker*
- 2015: Analysis of Markovian Competitive Situations using Nonatomic Games---the Shock-driven Case and Its Dynamic Pricing Application
*Jian Yang*
- 2015: Modeling Risk and Ambiguity-on-Nature in Normal-form Games
*Jian Yang*
- 2015: A Link between Sequential Semi-anonymous Nonatomic Games and their Large but Finite Counterparts
*Jian Yang*
- 2015: Mathematics of Predicting Growth
*Ron W Nielsen*
- 2015: Mortality Risk Minimisation and Optional Martingale Representation Theorem for Enlarged Filtration
*Tahir Choulli*, *Catherine Daveloose* and *Mich\`ele Vanmaele*
- 2015: Portfolio optimization of Omega measure under a jointly normal distribution
*Michael R. Metel*, *Traian A. Pirvu* and *Julian Wong*
- 2015: Basic industrial funds of cargo motor transport enterprises: problems of effective use
*Oleksandr Vashkiv*
- 2015: A Supermartingale Relation for Multivariate Risk Measures
*Zachary Feinstein* and *Birgit Rudloff*
- 2015: Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
*Matteo Barigozzi* and *Marc Hallin*
- 2015: Multifractal Flexibly Detrended Fluctuation Analysis
*Rafal Rak* and *Pawel Zi\k{e}ba*
- 2015: Optimal Rebalancing Frequencies for Multidimensional Portfolios
*Ibrahim Ekren*, *Ren Liu* and *Johannes Muhle-Karbe*
- 2015: A simple agent-based spatial model of the economy: tools for policy
*Bernardo Furtado* and *Isaque Daniel Rocha Eberhardt*
- 2015: Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
*Fabio Caccioli*, *Imre Kondor* and *G\'abor Papp*
- 2015: Optimal Investment in a Dual Risk Model
*Arash Fahim* and *Lingjiong Zhu*
- 2015: Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions
*Andrey Itkin*
- 2015: How to (Not) Estimate Gini Coefficients for Fat Tailed Variables
*Nassim Nicholas Taleb*
- 2015: On Capturing the Spreading Dynamics over Trading Prices in the Market
*Hokky Situngkir*
- 2015: Application of Stochastic Mesh Method to Efficient Approximation of CVA
*Yusuke Morimoto*
- 2015: Stability and Chaos in a Multi-Market Oligopoly with Economies of Scale
*Marcelo J. Villena* and *Axel A. Araneda*
- 2015: Extending the Black-Scholes Option Pricing Theory to Account for an Option Market Maker's Funding Costs
*Wujiang Lou*
- 2015: Explicit solutions to a vector time series model and its induced model for business cycles
*Xiongzhi Chen*
- 2015: Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach
*Jiatu Cai*, *Mathieu Rosenbaum* and *Peter Tankov*
- 2015: Affine representations of fractional processes with applications in mathematical finance
*Philipp Harms* and *David Stefanovits*
- 2015: Weakly chained matrices and impulse control
*Parsiad Azimzadeh* and *Peter A. Forsyth*
- 2015: On the Efficient Market Hypothesis of Stock Market Indexes: The Role of Non-synchronous Trading and Portfolio Effects
*Roberto Ortiz*, *Mauricio Contreras* and *Marcelo Villena*
- 2015: A State-Dependent Dual Risk Model
*Lingjiong Zhu*
- 2015: Is the Indian Stock Market efficient - A comprehensive study of Bombay Stock Exchange Indices
*Achal Awasthi* and *Oleg Malafeyev*
- 2015: Performance analysis of the optimal strategy under partial information
*Ahmed Bel Hadj Ayed*, *Gr\'egoire Loeper*, *Sofiene El Aoud* and *Fr\'ed\'eric Abergel*
- 2015: Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation
*Ahmed Kebaier* and *J\'er\^ome Lelong*
- 2015: Viscosity properties with singularities in a state-constrained expected utility maximization problem
*Mourad Lazgham*
- 2015: Why Indexing Works
*J. B. Heaton*, *N. G. Polson* and *J. H. Witte*
- 2015: Optimal ETF Selection for Passive Investing
*David Puelz*, *Carlos M. Carvalho* and *P. Richard Hahn*
- 2015: Hedging with Transient Price Impact
*Peter Bank*, *Mete Soner* and *Moritz Vo{\ss}*
- 2015: Asymptotic Expansion for Forward-Backward SDEs with Jumps
*Masaaki Fujii* and *Akihiko Takahashi*
- 2015: Price response in correlated financial markets: empirical results
*Shanshan Wang*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2015: Regularity properties in a state-constrained expected utility maximization problem
*Mourad Lazgham*
- 2015: Coupled uncertainty provided by a multifractal random walker
*Z. Koohi Lai*, *S. Vasheghani Farahani*, *S. M. S. Movahed* and *G. R. Jafari*
- 2015: Universal portfolios in stochastic portfolio theory
*Ting-Kam Leonard Wong*
- 2015: On the Solution of the Multi-asset Black-Scholes model: Correlations, Eigenvalues and Geometry
*Mauricio Contreras*, *Alejandro Llanquihu\'en* and *Marcelo Villena*
- 2015: How universal is the law of income distribution? Cross country comparison
*Ivan Kitov* and *Oleg Kitov*
- 2015: Gender income disparity in the USA: analysis and dynamic modelling
*Ivan Kitov* and *Oleg Kitov*
- 2015: Information equilibrium as an economic principle
*Jason Smith*
- 2015: An example of short-term relative arbitrage
*Robert Fernholz*
- 2015: Algebraic Structure of Vector Fields in Financial Diffusion Models and its Applications
*Yusuke Morimoto* and *Makiko Sasada*
- 2015: Endogenous Current Coupons
*Scott Robertson* and *Zhe Cheng*
- 2015: Semi-static completeness and robust pricing by informed investors
*Beatrice Acciaio* and *Martin Larsson*
- 2015: Pricing the European call option in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Exact formulas
*Sergii Kuchuk-Iatsenko* and *Yuliya Mishura*
- 2015: Deconstructing the Low-Vol Anomaly
*S. Ciliberti*, *Y. Lemp\'eri\`ere*, *A. Beveratos*, *G. Simon*, *L. Laloux*, *M. Potters* and *J. P. Bouchaud*
- 2015: What's in a ball? Constructing and characterizing uncertainty sets
*Thomas Kruse*, *Judith C. Schneider* and *Nikolaus Schweizer*
- 2015: Efficient Randomized Quasi-Monte Carlo Methods For Portfolio Market Risk
*Halis Sak* and *\.Ismail Ba\c{s}o\u{g}lu*
- 2015: Trading Networks with Bilateral Contracts
*Tam\'as Fleiner*, *Zsuzsanna Jank\'o*, *Akihisa Tamura* and *Alexander Teytelboym*
- 2015: Shortfall from Maximum Convexity
*Matthew Ginley*
- 2015: Analysis of the particle transfer between two systems under unification
*I. A. Molotkov* and *A. I. Osin*
- 2015: More Opportunities than Wealth: A Network of Power and Frustration
*Benoit Mahault*, *Avadh Saxena* and *Cristiano Nisoli*
- 2015: Conditional risk measures in a bipartite market structure
*Oliver Kley*, *Claudia Kl\"uppelberg* and *Gesine Reinert*
- 2015: Seasonalities and cycles in time series: A fresh look with computer experiments
*Michel Fliess* and *C\'edric Join*
- 2015: On the no-arbitrage market and continuity in the Hurst parameter
*Nikolai Dokuchaev*
- 2015: Effect of religious rules on time of conception in Romania from 1905 to 2001
*Claudiu Herteliu*, *Bogdan Vasile Ileanu*, *Marcel Ausloos* and *Giulia Rotundo*
- 2015: An Insurance-Led Response to Climate Change
*Anthony J. Webster* and *Richard H. Clarke*
- 2015: A reduced-form model for level-1 limit order books
*Tzu-Wei Yang* and *Lingjiong Zhu*
- 2015: Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
*Anis Al Gerbi*, *Benjamin Jourdain* and *Emmanuelle Cl\'ement*
- 2015: Currency target zone modeling: An interplay between physics and economics
*Sandro Claudio Lera* and *Didier Sornette*
- 2015: The strong predictable representation property in initially enlarged filtrations
*Claudio Fontana*
- 2015: Game Design and Analysis for Price based Demand Response: An Aggregate Game Approach
*Maojiao Ye* and *Guoqiang Hu*
- 2015: Quantitative Structuring vs the Equity Premium Puzzle
*Andrei N. Soklakov*
- 2015: Modelling Financial Markets by Self-Organized Criticality
*A. E. Biondo*, *A. Pluchino* and *A. Rapisarda*
- 2015: Analysis of cyclical behavior in time series of stock market returns
*Djordje Stratimirovic*, *Darko Sarvan*, *Vladimir Miljkovic* and *Suzana Blesic*
- 2015: Measuring the frequency dynamics of financial and macroeconomic connectedness
*Jozef Baruník* and *Tomas Krehlik*
- 2015: Methodological foundations of policy-making in modelling transitions to sustainability at regional to global scale
*Jean-Francois Mercure*, *H. Pollitt*, *A. M. Bassi*, *J. E Vi\~nuales* and *N. R. Edwards*
- 2015: Optimal forest rotation age under efficient climate change mitigation
*Tommi Ekholm*
- 2015: Dynamics of Order Positions and Related Queues in a Limit Order Book
*Xin Guo*, *Zhao Ruan* and *Lingjiong Zhu*
- 2015: Moment-free Sharpe ratio estimation from total drawdown durations
*Damien Challet*
- 2015: The Long Memory of Order Flow in the Foreign Exchange Spot Market
*Martin D. Gould*, *Mason A. Porter* and *Sam D. Howison*
- 2015: Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights
*Jonathan Donier* and *Jean-Philippe Bouchaud*
- 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: Combining Alphas via Bounded Regression
*Zura Kakushadze*
- 2015: Shortfall Deviation Risk: An alternative to risk measurement
*Marcelo Brutti Righi* and *Paulo Sergio Ceretta*
- 2015: The Temporal Dimension of Risk
*Ola Mahmoud*
- 2015: Misspecified Recovery
*Jaroslav Borovi\v{c}ka*, *Lars Hansen* and *Jose Scheinkman*
- 2015: Multi-curve HJM modelling for risk management
*Chiara Sabelli*, *Michele Pioppi*, *Luca Sitzia* and *Giacomo Bormetti*
- 2015: Incorporating Views on Market Dynamics in Options Hedging
*Antoine E. Zambelli*
- 2015: Conditional Preference Orders and their Numerical Representations
*Samuel Drapeau* and *Asgar Jamneshan*
- 2015: Ross Recovery with Recurrent and Transient Processes
*Hyungbin Park*
- 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: Regularizing Portfolio Risk Analysis: A Bayesian Approach
*Sourish Das*, *Aritra Halder* and *Dipak K. Dey*
- 2015: Accelerating Implicit Finite Difference Schemes Using a Hardware Optimized Tridiagonal Solver for FPGAs
*Samuel Palmer*
- 2015: Functional Ito Calculus, Path-dependence and the Computation of Greeks
*Samy Jazaerli* and *Yuri F. Saporito*
- 2015: Weak reflection principle for L\'evy processes
*Erhan Bayraktar* and *Sergey Nadtochiy*
- 2015: Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach
*Giorgio Ferrari*, *Frank Riedel* and *Jan-Henrik Steg*
- 2015: Quantum decision making by social agents
*V. I. Yukalov* and *D. Sornette*
- 2015: The two defaults scenario for stressing credit portfolio loss distributions
*Dirk Tasche*
- 2015: The Corporate Social Responsibility is just a twist in a M\"obius Strip
*Nazaria Solferino* and *Viviana Solferino*
- 2015: Universalized Prisoner's Dilemma With Risk
*Paul Studtmann*
- 2015: Retarded action principle and self-financing portfolio dynamics
*Dmitry Lesnik*
- 2015: Dynamics of multivariate default system in random environment
*Nicole El Karoui*, *Monique Jeanblanc* and *Ying Jiao*
- 2015: Maximum likelihood estimators for a jump-type Heston model
*Matyas Barczy*, *Mohamed Ben Alaya*, *Ahmed Kebaier* and *Gyula Pap*
- 2015: Volume Weighted Average Price Optimal Execution
*Enzo Busseti* and *Stephen Boyd*
- 2015: The spatial component of R&D networks
*Tobias Scholl*, *Antonios Garas* and *Frank Schweitzer*
- 2015: High-frequency limit of Nash equilibria in a market impact game with transient price impact
*Alexander Schied*, *Elias Strehle* and *Tao Zhang*
- 2015: Sticky processes, local and true martingales
*Mikl\'os R\'asonyi* and *Hasanjan Sayit*
- 2015: Representation and approximation of ambit fields in Hilbert space
*Fred Espen Benth* and *Heidar Eyjolfsson*
- 2015: Correctness of Backtest Engines
*Robert L\"ow*, *Stanislaus Maier-Paape* and *Andreas Platen*
- 2015: Performance v. Turnover: A Story by 4,000 Alphas
*Zura Kakushadze* and *Igor Tulchinsky*
- 2015: Asymmetry of cross correlations between intra-day and overnight volatilities
*Rubina Zadourian* and *Peter Grassberger*
- 2015: Optimal trading strategies - a time series approach
*Peter A. Bebbington* and *Reimer Kuehn*
- 2015: Efficient Computation of the Quasi Likelihood function for Discretely Observed Diffusion Processes
*Lars Josef H\"o\"ok* and *Erik Lindstr\"om*
- 2015: Quadratic Hawkes processes for financial prices
*Pierre Blanc*, *Jonathan Donier* and *Jean-Philippe Bouchaud*
- 2015: Mathematical Analysis of the Historical Economic Growth
*Ron W. Nielsen*
- 2015: Option contracts for a privacy-aware market
*Maurizio Naldi* and *Giuseppe D'Acquisto*
- 2015: Les indicateus avanc\'es de l'inflation en RDCongo
*Henry Ngongo*
- 2015: Identifying collusion groups using spectral clustering
*Suneel Sarswat*, *Kandathil Mathew Abraham* and *Subir Kumar Ghosh*
- 2015: Universality of market superstatistics
*Mateusz Denys*, *Maciej Jagielski*, *Tomasz Gubiec*, *Ryszard Kutner* and *H. Eugene Stanley*
- 2015: The pricing of contingent claims and optimal positions in asymptotically complete markets
*Michail Anthropelos*, *Scott Robertson* and *Konstantinos Spiliopoulos*
- 2015: Mean-Reverting Portfolios: Tradeoffs Between Sparsity and Volatility
*Marco Cuturi* and *Alexandre d'Aspremont*
- 2015: Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application
*Wen-Jie Xie*, *Zhi-Qiang Jiang*, *Gao-Feng Gu*, *Xiong Xiong* and *Wei-Xing Zhou*
- 2015: Managing Cellular Billing Plan Switchings
*Valery Vilisov*
- 2015: A network analysis of the global energy market: an insight on the entanglement between crude oil and the world economy
*Franco Ruzzenenti*, *Francesco Picciolo* and *Andreas Papandreou*
- 2015: Stochastic Optimal Growth Model with Risk Sensitive Preferences
*Nicole B\"auerle* and *Anna Ja\'skiewicz*
- 2015: A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series
*Gautier Marti*, *Philippe Very*, *Philippe Donnat* and *Frank Nielsen*
- 2015: Measuring multiscaling in financial time-series
*Riccardo Junior Buonocore*, *Tomaso Aste* and *Tiziana Di Matteo*
- 2015: Modeling Concordances of Company's Investment Directions With Its Market Attraction
*Valery Vilisov*
- 2015: Estimating Tipping Points in Feedback-Driven Financial Networks
*Zvonko Kostanjcar*, *Stjepan Begusic*, *H. E. Stanley* and *Boris Podobnik*
- 2015: Optimal Insurance with Rank-Dependent Utility and Increasing Indemnities
*Xu Zuo Quan*, *Zhou Xun Yu* and *Zhuang Sheng Chao*
- 2015: An Introduction to Business Mathematics
*Henk van Elst*
- 2015: Analytical solution to an investment problem under uncertainties with shocks
*Cl\'audia Nunes* and *Rita Pimentel*
- 2015: Feynman-Kac Formulas for Solutions to Degenerate Elliptic and Parabolic Boundary-Value and Obstacle Problems with Dirichlet Boundary Conditions
*Paul M. N. Feehan*, *Ruoting Gong* and *Jian Song*
- 2015: Production Function of the Mining Sector of Iran
*Seyyed Ali Zeytoon Nejad Moosavian*
- 2015: A Hedged Monte Carlo Approach to Real Option Pricing
*Edgardo Brigatti*, *Felipe Macias*, *Max O. Souza* and *Jorge P. Zubelli*
- 2015: Geometric Arbitrage and Spectral Theory
*Simone Farinelli*
- 2015: Utility Maximisation for Exponential Levy Models with option and information processes
*Lioudmila Vostrikova*
- 2015: Inequality measures in kinetic exchange models of wealth distributions
*Asim Ghosh*, *Arnab Chatterjee*, *Jun-ichi Inoue* and *Bikas K. Chakrabarti*
- 2015: Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
*Ludovic Goudenege*, *Andrea Molent* and *Antonino Zanette*
- 2015: Kriging Metamodels for Bermudan Option Pricing
*Michael Ludkovski*
- 2015: Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intra-day Structure
*Florian Ziel*
- 2015: Efficiency and credit ratings: a permutation-information-theory analysis
*Aurelio Fernandez Bariviera*, *Luciano Zunino*, *M. Belen Guercio*, *Lisana B. Martinez* and *Osvaldo A. Rosso*
- 2015: IMF Lending and Economic Growth: An Empirical Analysis of Ukraine
*Roman Kononenko*
- 2015: Minimizing Lifetime Poverty with a Penalty for Bankruptcy
*Asaf Cohen* and *Virginia R. Young*
- 2015: The Principle of the Malevolent Hiding Hand; or, the Planning Fallacy Writ Large
*Bent Flyvbjerg* and *Cass R. Sunstein*
- 2015: On the emergence of scale-free production networks
*Stanislao Gualdi* and *Antoine Mandel*
- 2015: Measuring economic complexity of countries and products: which metric to use?
*Manuel Sebastian Mariani*, *Alexandre Vidmer*, *Matus Medo* and *Yi-Cheng Zhang*
- 2015: A mixed Monte Carlo/PDE variance reduction method under the Heston-CIR model
*Andrei Cozma* and *Christoph Reisinger*
- 2015: Wealth distribution across communities of adaptive financial agents
*Pietro DeLellis*, *Franco Garofalo*, *Francesco Lo Iudice* and *Elena Napoletano*
- 2015: Correction to Black-Scholes formula due to fractional stochastic volatility
*Josselin Garnier* and *Knut Solna*
- 2015: Cointegrating Jumps: an Application to Energy Facilities
*Nicola Cufaro Petroni* and *Piergiacomo Sabino*
- 2015: Sequential Design for Ranking Response Surfaces
*Ruimeng Hu* and *Mike Ludkovski*
- 2015: The scaling of income inequality in cities
*Somwrita Sarkar*, *Peter Phibbs*, *Roderick Simpson* and *Sachin Wasnik*
- 2015: Optimal liquidation of an asset under drift uncertainty
*Erik Ekstr\"om* and *Juozas Vaicenavicius*
- 2015: Correlated Poisson processes and self-decomposable laws
*Nicola Cufaro Petroni* and *Piergiacomo Sabino*
- 2015: Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
*Domenico Di Gangi*, *Fabrizio Lillo* and *Davide Pirino*
- 2015: Electricity Price Forecasting using Sale and Purchase Curves: The X-Model
*Florian Ziel* and *Rick Steinert*
- 2015: A permutation Information Theory tour through different interest rate maturities: the Libor case
*Aurelio Fernandez Bariviera*, *M. Belen Guercio*, *Lisana B. Martinez* and *Osvaldo A. Rosso*
- 2015: The effect of stock market indexing on corporate tax avoidance
*Alex Young*
- 2015: A General Framework for the Benchmark pricing in a Fully Collateralized Market
*Masaaki Fujii* and *Akihiko Takahashi*
- 2015: Is Collusion-Proof Procurement Expensive?
*Gaurab Aryal* and *Maria F. Gabrielli*
- 2015: FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae
*Nicola Moreni* and *Andrea Pallavicini*
- 2015: First Passage Time Properties for Time-varying Diffusion Models: A Martingale Approach
*Vaibhav Srivastava*, *Samuel F. Feng*, *Jonathan D. Cohen*, *Naomi Ehrich Leonard* and *Amitai Shenhav*
- 2015: Order Selection of Autoregressive Processes using Bridge Criterion
*Jie Ding*, *Mohammad Noshad* and *Vahid Tarokh*
- 2015: Symmetry restoration by pricing in a duopoly of perishable goods
*Su Do Yi*, *Seung Ki Baek*, *Guillaume Chevereau* and *Eric Bertin*
- 2015: Statistical Emulators for Pricing and Hedging Longevity Risk Products
*James Risk* and *Michael Ludkovski*
- 2015: Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
*Giacomo Bormetti*, *Damiano Brigo*, *Marco Francischello* and *Andrea Pallavicini*
- 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 and Systemic Risk
*Yannick Armenti*, *Stephane Crepey*, *Samuel Drapeau* and *Antonis Papapantoleon*
- 2015: Invariant features of spatial inequality in consumption: the case of India
*Arnab Chatterjee*, *Anindya S. Chakrabarti*, *Asim Ghosh*, *Anirban Chakraborti* and *Tushar Nandi*
- 2015: Hybrid scheme for Brownian semistationary processes
*Mikkel Bennedsen*, *Asger Lunde* and *Mikko S. Pakkanen*
- 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 Game-Theoretic Risk Management (Part One) - Towards a Theory of Games with Payoffs that are Probability-Distributions
*Stefan Rass*
- 2015: Understanding the Impact of Microcredit Expansions: A Bayesian Hierarchical Analysis of 7 Randomised Experiments
*Rachael Meager*
- 2015: The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives
*Vahan Nanumyan*, *Antonios Garas* and *Frank Schweitzer*
- 2015: Social signals and algorithmic trading of Bitcoin
*David Garcia* and *Frank Schweitzer*
- 2015: Semimartingale detection and goodness-of-fit tests
*Adam D. Bull*
- 2015: Graph representation of balance sheets: from exogenous to endogenous money
*Cyril Pitrou*
- 2015: Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
*Mykhaylo Shkolnikov*, *Ronnie Sircar* and *Thaleia Zariphopoulou*
- 2015: U.S. stock market interaction network as learned by the Boltzmann Machine
*Stanislav S. Borysov*, *Yasser Roudi* and *Alexander V. Balatsky*
- 2015: Anomalous volatility scaling in high frequency financial data
*Noemi Nava*, *T. Di Matteo* and *Tomaso Aste*
- 2015: Higher order elicitability and Osband's principle
*Tobias Fissler* and *Johanna F. Ziegel*
- 2015: Optimal Position Management for a Market Maker with Stochastic Price Impacts
*Masaaki Fujii*
- 2015: Optimally Investing to Reach a Bequest Goal
*Erhan Bayraktar* and *Virginia R. Young*
- 2015: Quasi-Newton particle Metropolis-Hastings
*Johan Dahlin*, *Fredrik Lindsten* and *Thomas B. Sch\"on*
- 2015: Information and Trading Targets in a Dynamic Market Equilibrium
*Jin Hyuk Choi*, *Kasper Larsen* and *Duane J. Seppi*
- 2015: A new perspective on the fundamental theorem of asset pricing for large financial markets
*Christa Cuchiero*, *Irene Klein* and *Josef Teichmann*
- 2015: Indifference prices and implied volatilities
*Matthew Lorig*
- 2015: A Million Metaorder Analysis of Market Impact on the Bitcoin
*Jonathan Donier* and *Julius Bonart*
- 2015: Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
*Erhan Bayraktar*, *David Promislow* and *Virginia Young*
- 2015: The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels
*Jihun Han* and *Hyungbin Park*
- 2015: A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
*Ben Hambly*, *Matthieu Mariapragassam* and *Christoph Reisinger*
- 2015: Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing
*Likuan Qin* and *Vadim Linetsky*
- 2015: Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics
*Mauricio Junca* and *Rafael Serrano*
- 2015: Bregman superquantiles. Estimation methods and applications
*Tatiana Labopin-Richard*, *Fabrice Gamboa*, *Aur\'elien Garivier* and *Bertrand Iooss*
- 2015: On a Convex Measure of Drawdown Risk
*Lisa R. Goldberg* and *Ola Mahmoud*
- 2015: Futures Premium and Efficiency of the Rice Futures Markets in Prewar Japan
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2015: Multivariate transient price impact and matrix-valued positive definite functions
*Aur\'elien Alfonsi*, *Alexander Schied* and *Florian Kl\"ock*
- 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: Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk
*M. H. A. Davis* and *M. R. Pistorius*
- 2015: A hot-potato game under transient price impact
*Alexander Schied* and *Tao Zhang*
- 2015: Dynamic robust duality in utility maximization
*Bernt {\O}ksendal* and *Agn\`es Sulem*
- 2015: Pricing and Valuation under the Real-World Measure
*Gabriel Frahm*
- 2015: Signal amplification in an agent-based herding model
*Adri\'an Carro*, *Ra\'ul Toral* and *Maxi San Miguel*
- 2015: On dynamic spectral risk measures and a limit theorem
*Dilip Madan*, *Martijn Pistorius* and *Mitja Stadje*
- 2015: Optimal stopping under adverse nonlinear expectation and related games
*Marcel Nutz* and *Jianfeng Zhang*
- 2015: Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
*Jean-Pierre Fouque*, *Matthew Lorig* and *Ronnie Sircar*
- 2015: Shadow price in the power utility case
*Attila Herczegh* and *Vilmos Prokaj*
- 2015: A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
*Vicky Henderson* and *Gechun Liang*
- 2015: A model for a large investor trading at market indifference prices. II: Continuous-time case
*Peter Bank* and *Dmitry Kramkov*
- 2015: The Product Life Cycle of Durable Goods
*Joachim Kaldasch*
- 2015: Endogenous Formation of Limit Order Books: the Effects of Trading Frequency
*Roman Gayduk* and *Sergey Nadtochiy*
- 2015: Maximizing expected utility in the Arbitrage Pricing Model
*Miklos Rasonyi*
- 2015: Approximating the Sum of Correlated Lognormals: An Implementation
*Christopher J. Rook* and *Mitchell Kerman*
- 2015: A BSDE arising in an exponential utility maximization problem in a pure jump market model
*Carla Mereu* and *Robert Stelzer*
- 2015: Forecasting Exchange Rates Using Time Series Analysis: The sample of the currency of Kazakhstan
*Daniya Tlegenova*
- 2015: Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
*Zhi-Qiang Jiang*, *Askery A. Canabarro*, *Boris Podobnik*, *H. Eugene Stanley* and *Wei-Xing Zhou*
- 2015: Time-dependent scaling patterns in high frequency financial data
*Noemi Nava*, *Tiziana Di Matteo* and *Tomaso Aste*
- 2015: Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility
*A. Paliathanasis*, *K. Krishnakumar*, *K. M. Tamizhmani* and *P. G. L. Leach*
- 2015: Financial Market Modeling with Quantum Neural Networks
*Carlos Pedro Gon\c{c}alves*
- 2015: A white noise approach to insider trading
*Bernt {\O}ksendal* and *Elin R{\o}se*
- 2015: A computational spectral approach to interest rate models
*Luca Di Persio*, *Michele Bonollo* and *Gregorio Pellegrini*
- 2015: Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer
*Gili Rosenberg*, *Poya Haghnegahdar*, *Phil Goddard*, *Peter Carr*, *Kesheng Wu* and *Marcos L\'opez de Prado*
- 2015: Bermudan options by simulation
*Leonard Rogers*
- 2015: Non-zero-sum stopping games in discrete time
*Zhou Zhou*
- 2015: Financial Knudsen number: breakdown of continuous price dynamics and asymmetric buy and sell structures confirmed by high precision order book information
*Yoshihiro Yura*, *Hideki Takayasu*, *Didier Sornette* and *Misako Takayasu*
- 2015: On the reversal symmetry of Minimax social choice correspondence
*Daniela Bubboloni* and *Michele Gori*
- 2015: Portfolio Management and Stochastic Optimization in Discrete Time: An Application to Intraday Electricity Trading and Water Values for Hydroassets
*Simone Farinelli* and *Luisa Tibiletti*
- 2015: Law on the Market? Evaluating the Securities Market Impact of Supreme Court Decisions
*Daniel Martin Katz*, *Michael J Bommarito*, *Tyler Soellinger* and *James Ming Chen*
- 2015: Long run risk sensitive portfolio with general factors
*Marcin Pitera* and *{\L}ukasz Stettner*
- 2015: Super-replication of Game Options in Stochastic Volatility Models
*Yan Dolinsky* and *Ariel Neufeld*
- 2015: Detecting intraday financial market states using temporal clustering
*Dieter Hendricks*, *Tim Gebbie* and *Diane Wilcox*
- 2015: The (in)visible hand in the Libor market: an Information Theory approach
*Aurelio Fernandez Bariviera*, *M. Bel\'en Guercio*, *Lisana B. Martinez* and *Osvaldo A. Rosso*
- 2015: LIBOR troubles: anomalous movements detection based on Maximum Entropy
*Aurelio Fernandez Bariviera*, *M. T. Martin*, *A. Plastino* and *V. Vampa*
- 2015: Dynamic Mode Decomposition for Financial Trading Strategies
*Jordan Mann* and *J. Nathan Kutz*
- 2015: The Similarity of Global Value Chains: A Network-Based Measure
*Zhen Zhu*, *Greg Morrison*, *Michelangelo Puliga*, *Alessandro Chessa* and *Massimo Riccaboni*
- 2015: Implied volatility in strict local martingale models
*Antoine Jacquier* and *Martin Keller-Ressel*
- 2015: Designating market maker behaviour in Limit Order Book markets
*Efstathios Panayi*, *Gareth W. Peters*, *Jon Danielsson* and *Jean-Pierre Zigrand*
- 2015: Forecasting stock market returns over multiple time horizons
*Dimitri Kroujiline*, *Maxim Gusev*, *Dmitry Ushanov*, *Sergey V. Sharov* and *Boris Govorkov*
- 2015: Why is GDP growth linear?
*J\"org D. Becker*
- 2015: Optimal Taxation with Endogenous Default under Incomplete Markets
*Demian Pouzo* and *Ignacio Presno*
- 2015: Transfer pricing manipulation, tax penalty cost and the impact of foreign profit taxation
*Alex Augusto Timm Rathke*
- 2015: New Analytical Solutions of a Modified Black-Scholes Equation with the European Put Option
*Juan Ospina*
- 2015: Commodity Prices Rise Sharply at Turning Points
*Bin Li*, *K. Y. Michael Wong*, *Amos H. M. Chan*, *Tsz Yan So*, *Hermanni Heimonen* and *David Saad*
- 2015: A conjecture about the efficiency of first price mechanisms
*Endre Cs\'oka*
- 2015: Identification of Insurance Models with Multidimensional Screening
*Gaurab Aryal*, *Isabelle Perrigne* and *Quang Vuong*
- 2015: Operational risk models and maximum likelihood estimation error for small sample-sizes
*Paul Larsen*
- 2015: Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
*Georg Mainik*
- 2015: A Model for Tax Evasion with Some Realistic Properties
*Richard Vale*
- 2015: A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
*Zachary Feinstein* and *Birgit Rudloff*
- 2015: The Intrinsic Instability of Financial Markets
*Sabiou Inoua*
- 2015: Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption
*Bahman Angoshtari*, *Erhan Bayraktar* and *Virginia R. Young*
- 2015: GMM Estimation of Affine Term Structure Models
*Jaroslava Hlouskova* and *Leopold S\"ogner*
- 2015: Information Cascades and Online Rating Games
*Oussama Fadil* and *Jake Soloff*
- 2015: Valuation of capital protection options
*Xiaolin Luo* and *Pavel V. Shevchenko*
- 2015: Robust replication of barrier-style claims on price and volatility
*Peter Carr* and *Matthew Lorig*
- 2015: Continuous Euclidean Embeddings of Incomplete Preferences
*Stan Palasek*
- 2015: A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing
*Man Chung Fung*, *Gareth W. Peters* and *Pavel V. Shevchenko*
- 2015: On growth-optimal tax rates and the issue of wealth inequalities
*Jean-Philippe Bouchaud*
- 2015: Modelling the Uruguayan debt through gaussians models
*Andr\'es Sosa* and *Ernesto Mordecki*
- 2015: Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives
*Man Chung Fung*, *Katja Ignatieva* and *Michael Sherris*
- 2015: Minimizing the Probability of Lifetime Drawdown under Constant Consumption
*Bahman Angoshtari*, *Erhan Bayraktar* and *Virginia R. Young*
- 2015: A risk analysis for a system stabilized by a central agent
*Josselin Garnier*, *George Papanicolaou* and *Tzu-Wei Yang*
- 2015: Pricing American and Asian Options
*Pat Muldowney*
- 2015: Calculating optimal limits for transacting credit card customers
*Jonathan K. Budd* and *Peter G. Taylor*
- 2015: Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact
*Kensuke Ishitani* and *Takashi Kato*
- 2015: A Practical Approach to Financial Crisis Indicators Based on Random Matrices
*Antoine Kornprobst* and *Raphael Douady*
- 2015: Linking Economic Complexity, Institutions and Income Inequality
*Dominik Hartmann*, *M. R. Guevara*, *C. Jara-Figueroa*, *M. Aristar\'an* and *C. A. Hidalgo*
- 2015: Jarzynski-type equalities in gambling: role of information in capital growth
*Yuji Hirono* and *Yoshimasa Hidaka*
- 2015: Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk$^+$
*Jonas Hirz*, *Uwe Schmock* and *Pavel V. Shevchenko*
- 2015: Pricing and hedging game options in currency models with proportional transaction costs
*Alet Roux*
- 2015: A Vasicek-type short rate model with memory effect
*Akihiko Inoue*, *Shingo Moriuchi* and *Yusuke Nakamura*
- 2015: Coping with Negative Short-Rates
*Zura Kakushadze*
- 2015: The asymptotic smile of a multiscaling stochastic volatility model
*Francesco Caravenna* and *Jacopo Corbetta*
- 2015: The 20-60-20 Rule
*Piotr Jaworski* and *Marcin Pitera*
- 2015: On a class of generalized Takagi functions with linear pathwise quadratic variation
*Alexander Schied*
- 2015: Equilibrium in risk-sharing games
*Michail Anthropelos* and *Constantinos Kardaras*
- 2015: Methodological thoughts on expected loss estimates for IFRS 9 impairment: hidden reserves, cyclical loss predictions and LGD backtesting
*Wolfgang Reitgruber*
- 2015: Berk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified Models
*Ignacio Esponda* and *Demian Pouzo*
- 2015: Large-Maturity Regimes of the Heston Forward Smile
*Antoine Jacquier* and *Patrick Roome*
- 2015: Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
*Wanyang Dai*
- 2015: A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
*Tomasz R. Bielecki*, *Igor Cialenco* and *Marcin Pitera*
- 2015: Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation
*Xiangyu Cui*, *Xun Li*, *Duan Li* and *Yun Shi*
- 2015: A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics
*Christian Bayer*, *Ulrich Horst* and *Jinniao Qiu*
- 2015: Affine LIBOR models with multiple curves: theory, examples and calibration
*Zorana Grbac*, *Antonis Papapantoleon*, *John Schoenmakers* and *David Skovmand*
- 2015: Default Probability Estimation via Pair Copula Constructions
*Luciana Dalla Valle*, *Maria Elena De Giuli*, *Claudia Tarantola* and *Claudio Manelli*
- 2015: Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2015: High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm
*Dieter Hendricks*, *Diane Wilcox* and *Tim Gebbie*
- 2015: On the Measurement of Economic Tail Risk
*Steven Kou* and *Xianhua Peng*
- 2015: Bartering integer commodities with exogenous prices
*Stefano Nasini*, *Jordi Castro* and *Pau Fonseca i Casas*
- 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: Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield
*Francesca Biagini*, *Alessandro Gnoatto* and *Maximilian H\"artel*
- 2015: Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty
*Erhan Bayraktar* and *Yuchong Zhang*
- 2015: Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
*Aim\'e Lachapelle*, *Jean-Michel Lasry*, *Charles-Albert Lehalle* and *Pierre-Louis Lions*
- 2015: Elasticity theory of structuring
*Andrei N. Soklakov*
- 2015: Deriving Derivatives
*Andrei N. Soklakov*
- 2015: A Test of the Adaptive Market Hypothesis in Japan: A Non-Bayesian Time-Varying Model Approach
*Akihiko Noda*
- 2015: The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach
*Mikio Ito*, *Akihiko Noda* and *Tatsuma Wada*
- 2015: Impact of Artificial Intelligence on Economic Theory
*Tshilidzi Marwala*
- 2015: Stochastic Frontier I & D of fractal dimensions for technological innovation
*Maria Ramos-Escamilla*
- 2015: The nonlinear Bernstein-Schr\"odinger equation in Economics
*Alfred Galichon*, *Scott Kominers* and *Simon Weber*
- 2015: Detecting the bipartite World Trade Web evolution across 2007: a motifs-based analysis
*Fabio Saracco*, *Riccardo Di Clemente*, *Andrea Gabrielli* and *Tiziano Squartini*
- 2015: Mod\'{e}lisation spatiale de la formation des agglom\'{e}rations dans la zone alg\'{e}roise
*Smicha Ait Amokthar*, *Nadjia El Saadi* and *Yacine Belarbi*
- 2015: Efficient and robust calibration of the Heston option pricing model for American options using an improved Cuckoo Search Algorithm
*Stefan Haring* and *Ronald Hochreiter*
- 2015: Keeping up with the e-Joneses: Do online social networks raise social comparisons?
*Fabio Sabatini* and *Francesco Sarracino*
- 2015: Variable Annuity with GMWB: surrender or not, that is the question
*Xiaolin Luo* and *Pavel Shevchenko*
- 2015: Detect & Describe: Deep learning of bank stress in the news
*Samuel R\"onnqvist* and *Peter Sarlin*
- 2015: Why Quantitative Structuring?
*Andrei N. Soklakov*
- 2015: Model Risk Analysis via Investment Structuring
*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: 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: 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: 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: 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: 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: 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 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: 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: 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: 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: 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: 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: 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: On financial applications of the two-parameter Poisson-Dirichlet distribution
*Sergey Sosnovskiy*
- 2015: Russian-Doll Risk Models
*Zura Kakushadze*
- 2015: Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games
*Erhan Bayraktar* and *Song Yao*
- 2015: Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm
*Frank Gehmlich* and *Thorsten Schmidt*
- 2015: General smile asymptotics with bounded maturity
*Francesco Caravenna* and *Jacopo Corbetta*
- 2015: Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
*Dmitry Kramkov* and *Sergio Pulido*
- 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: Option Pricing Accuracy for Estimated Heston Models
*Robert Azencott*, *Yutheeka Gadhyan* and *Roland Glowinski*
- 2015: The geometry of relative arbitrage
*Soumik Pal* and *Ting-Kam Leonard Wong*
- 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: Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
*Kyungsub Lee*
- 2015: The impact of lead time forecasting on the bullwhip effect
*Zbigniew Michna* and *Peter Nielsen*
- 2015: A new financial metric for the art market
*Ventura Charlin* and *Arturo Cifuentes*
- 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: The Poker-Litigation Game
*Enrique Guerra-Pujol*
- 2015: Measuring Financial Sentiment to Predict Financial Instability: A New Approach based on Text Analysis
*Paul Ormerod*, *Rickard Nyman* and *David Tuckett*
- 2015: Autonomics: an autonomous and intelligent economic platform and next generation money tool
*Benjamin Munro* and *Julia McLachlan*
- 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: 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 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: 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: Optimal Dynamic Contracts for a Large-Scale Principal-Agent Hierarchy: A Concavity-Preserving Approach
*Christopher W. Miller* and *Insoon Yang*
- 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: 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: 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: 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: 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: 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: 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: 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: 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 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: Interdisciplinary Business Games on Sustainable Development: Theoretical Foundations and Prospects of Implementation
*Boris Bolshakov*, *Ekaterina Shamaeva* and *Eugene Popov*
- 2015: Tax Bond Creation Using a Structural Model and its Extensions
*Suren Harutyunyan*
- 2015: Dynamic Model of the Price Dispersion of Homogeneous Goods
*Joachim Kaldasch*
- 2015: Assessing Consistency of Consumer Confidence Data using Dynamic Latent Class Analysis
*Sunil Kumar*, *Zakir Husain* and *Diganta Mukherjee*
- 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: 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: 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: 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: 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: 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: 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: 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: 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: 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: 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: 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: Role of non-timber forest products in sustaining forest-based livelihoods and rural households' resilience capacity in and around protected area- a Bangladesh study
*S. A. Mukul*, *A. Z. M. M. Rashid*, *M. B. Uddin* and *N. A. Khan*
- 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: 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: 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: 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: 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: Agent-based model with multi-level herding for complex financial systems
*Jun-Jie Chen*, *Lei Tan* and *Bo Zheng*
- 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: 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: 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: 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: 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: 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: 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: 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: 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: 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: Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates
*Andrei Cozma* and *Christoph Reisinger*
- 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: Portfolio Selection with Multiple Spectral Risk Constraints
*Carlos Abad* and *Garud Iyengar*
- 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: 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: 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: 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: 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: 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: 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: Robust Utility Maximization with L\'evy Processes
*Ariel Neufeld* and *Marcel Nutz*
- 2015: Stock market comovements: nonlinear approach for 48 countries
*Paulo Ferreira*, *Andreia Dion\'isio* and *S. M. S. Movahed*
- 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: 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: 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: 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: 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: 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: Bin Size Independence in Intra-day Seasonalities for Relative Prices
*Esteban Guevara*
- 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: 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: 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: 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*
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