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2015: Why Quantitative Structuring? Downloads
Andrei N. Soklakov
2015: Model Risk Analysis via Investment Structuring Downloads
Andrei N. Soklakov
2015: Quantitative Structuring vs the Equity Premium Puzzle Downloads
Andrei N. Soklakov
2015: Forecasting Leading Death Causes in Australia using Extended CreditRisk$+$ Downloads
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 Downloads
Weibing Huang, Charles-Albert Lehalle and Mathieu Rosenbaum
2015: Continuous-Time Mean-Variance Portfolio Selection with Constraints on Wealth and Portfolio Downloads
Xun Li and Zuo Quan Xu
2015: Optimum Liquidation Problem Associated with the Poisson Cluster Process Downloads
A. Sadoghi and J. Vecer
2015: Novel and topical business news and their impact on stock market activities Downloads
Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe
2015: Network approach to return spillovers around the world: Preliminary results Downloads
Stefan Lyocsa, Tomáš Výrost and Eduard Baumohl
2015: Multi-scaling of wholesale electricity prices Downloads
Francesco Caravelli, James Requeima, Cozmin Ududec, Ali Ashtari, Tiziana Di Matteo and Tomaso Aste
2015: Risk Assessment of Input Uncertainty in Stochastic Simulation Downloads
Helin Zhu and Enlu Zhou
2015: Muckenhoupt's $(A_p)$ condition and the existence of the optimal martingale measure Downloads
Dmitry Kramkov and Kim Weston
2015: A General Framework for Complex Network Applications Downloads
Xiao Fan Liu and Chi Kong Tse
2015: Endogenous Derivation and Forecast of Lifetime PDs Downloads
Volodymyr Perederiy
2015: The time scales of the aggregate learning and sorting in market entry games with large number of players Downloads
Misha Perepelitsa
2015: Multivariate Shortfall Risk Allocation Downloads
Yannick Armenti, Stephane Crepey, Samuel Drapeau and Antonis Papapantoleon
2015: Dynamical system theory of periodically collapsing bubbles Downloads
V. I. Yukalov, E. P. Yukalova and D. Sornette
2015: Stochastic model of financial markets reproducing scaling and memory in volatility return intervals Downloads
Vygintas Gontis, Shlomo Havlin, Aleksejus Kononovicius, Boris Podobnik and H. Eugene Stanley
2015: Pricing American Call Options Downloads
Pat Muldowney
2015: Quantile Correlations: Uncovering temporal dependencies in financial time series Downloads
Thilo A. Schmitt, Rudi Sch\"afer, Holger Dette and Thomas Guhr
2015: Darwinian Adverse Selection Downloads
Wolfgang Kuhle
2015: Violation of Invariance of Measurement for GDP Growth Rate and its Consequences Downloads
Ali Hosseiny
2015: Symmetric Equilibria in Stochastic Timing Games Downloads
Jan-Henrik Steg
2015: Semi-parametric time series modelling with autocopulas Downloads
Antony Ware and Ilnaz Asadzadeh
2015: Rational insurance with linear utility and perfect information Downloads
Ole Peters and Alexander Adamou
2015: Antimonopoly regulation method based on perfect price discrimination Downloads
Vadim Borokhov
2015: One bank problem in the federal funds market Downloads
Traian A. Pirvu and Elena Cristina Canepa
2015: Modelling Financial Markets by Self-Organized Criticality Downloads
A. E. Biondo, A. Pluchino and A. Rapisarda
2015: Invariant features of spatial inequality in consumption: the case of India Downloads
Arnab Chatterjee, Anindya S. Chakrabarti, Asim Ghosh, Anirban Chakraborti and Tushar K. Nandi
2015: Axiomatization of the Choquet integral for heterogeneous product sets Downloads
Mikhail Timonin
2015: Taming the Basel Leverage Cycle Downloads
Christoph Aymanns, Fabio Caccioli, J. Doyne Farmer and Vincent W. C. Tan
2015: Reputational Learning and Network Dynamics Downloads
Simpson Zhang and Mihaela van der Schaar
2015: Analysis of cyclical behavior in time series of stock market returns Downloads
Djordje Stratimirovic, Darko Sarvan, Vladimir Miljkovic and Suzana Blesic
2015: Contagion effects in the world network of economic activities Downloads
V. Kandiah, Hubert Escaith and D. L. Shepelyansky
2015: Intransitivity in Theory and in the Real World Downloads
A. Y. Klimenko
2015: Bifurcation patterns of market regime transition Downloads
Sergey Kamenshchikov
2015: Hybrid scheme for Brownian semistationary processes Downloads
Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen
2015: Radner equilibrium in incomplete Levy models Downloads
Kasper Larsen and Tanawit Sae Sue
2015: Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model Downloads
Nicolas Langren\'e, Geoffrey Lee and Zili Zhu
2015: Hawkes Processes Downloads
Patrick J. Laub, Thomas Taimre and Philip K. Pollett
2015: Model-independent bounds for Asian options: a dynamic programming approach Downloads
Alexander M. G. Cox and Sigrid K\"allblad
2015: Quantum Gates and Quantum Circuits of Stock Portfolio Downloads
Ovidiu Racorean
2015: Modified Brownian Motion Approach to Modelling Returns Distribution Downloads
Gurjeet Dhesi, Muhammad Bilal Shakeel and Ling Xiao
2015: Diversification Preferences in the Theory of Choice Downloads
Enrico G. De Giorgi and Ola Mahmoud
2015: Banking Networks and Leverage Dependence: Evidence from Selected Emerging Countries Downloads
Diego Aparicio and Daniel Fraiman
2015: The Effects of Leverage Requirements and Fire Sales on Financial Contagion via Asset Liquidation Strategies in Financial Networks Downloads
Zachary Feinstein and Fatena El-Masri
2015: Measuring the frequency dynamics of financial and macroeconomic connectedness Downloads
Jozef Baruník and Tomas Krehlik
2015: Analysis of Ornstein-Uhlenbeck process stopped at maximum drawdown and application to trading strategies with trailing stops Downloads
Grigory Temnov
2015: Impact of dependence on some multivariate risk indicators Downloads
V\'eronique Maume-Deschamps, Didier Rulli\`ere and Khalil Said
2015: Tightness and duality of martingale transport on the Skorokhod space Downloads
Gaoyue Guo, Xiaolu Tan and Nizar Touzi
2015: Estimation of integrated quadratic covariation between two assets with endogenous sampling times Downloads
Yoann Potiron and Per Mykland
2015: Inequality and Risk Aversion Downloads
Eleonora Perversi and Eugenio Regazzini
2015: Variance Dynamics - An empirical journey Downloads
Florent S\'egonne
2015: Twitter Sentiment Analysis Applied to Finance: A Case Study in the Retail Industry Downloads
Th\'arsis Tuani Pinto Souza, Olga Kolchyna, Philip C. Treleaven and Tomaso Aste
2015: Complete Duality for Martingale Optimal Transport on the Line Downloads
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 Downloads
Ramin Okhrati and Uwe Schmock
2015: Asset Allocation Strategies Based on Penalized Quantile Regression Downloads
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
2015: Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting Downloads
Tobias Fissler, Johanna F. Ziegel and Tilmann Gneiting
2015: The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates Downloads
Francesca Biagini, Alessandro Gnoatto and Maximilian H\"artel
2015: On the Robust Dynkin Game Downloads
Erhan Bayraktar and Song Yao
2015: Too dynamic to fail. Empirical support for an autocatalytic model of Minsky's financial instability hypothesis Downloads
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 Downloads
Xin Zang, Jun Ni, Jing-Zhi Huang and Lan Wu
2015: Braving the Tempest: Methodological foundations of policy-making in sustainability transitions Downloads
J. -F. Mercure, H. Pollitt, A. M. Bassi, J. E Vi\~nuales and N. R. Edwards
2015: Time-scale analysis of co-movement in EU sovereign bond markets Downloads
Filip Smolik and Lukas Vacha
2015: Business cycle synchronization of the Visegrad Four and the European Union Downloads
Lubos Hanus and Lukas Vacha
2015: Linking Economic Complexity, Institutions and Income Inequality Downloads
Dominik Hartmann, M. R. Guevara, C. Jara-Figueroa, M. Aristar\'an and C. A. Hidalgo
2015: Optimal Stopping with Random Maturity under Nonlinear Expectations Downloads
Erhan Bayraktar and Song Yao
2015: Product-Mix Auctions and Tropical Geometry Downloads
Ngoc Mai Tran and Josephine Yu
2015: A general Doob-Meyer-Mertens decomposition for $g$-supermartingale systems Downloads
Bruno Bouchard, Dylan Possama\"i and Xiaolu Tan
2015: Network Structure and Counterparty Credit Risk Downloads
Alexander von Felbert
2015: Efficient Network Structures with Separable Heterogeneous Connection Costs Downloads
Babak Heydari, Mohsen Mosleh and Kia Dalili
2015: Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses Downloads
Eyal Neuman and Alexander Schied
2015: Diversity-Weighted Portfolios with Negative Parameter Downloads
Alexander Vervuurt and Ioannis Karatzas
2015: Dependence structure of market states Downloads
Desislava Chetalova, Marcel Wollschl\"ager and Rudi Sch\"afer
2015: Black-Scholes in a CEV random environment: a new approach to smile modelling Downloads
Antoine Jacquier and Patrick Roome
2015: Bounds for randomly shared risk of heavy-tailed loss factors Downloads
Oliver Kley and Claudia Kluppelberg
2015: On robust pricing-hedging duality in continuous time Downloads
Zhaoxu Hou and Jan Obloj
2015: Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data Downloads
Frederik Meudt, Martin Theissen, Rudi Sch\"afer and Thomas Guhr
2015: Diversity waves in collapse-driven population dynamics Downloads
Sergei Maslov and Kim Sneppen
2015: Cross correlations in European government bonds and EuroStoxx Downloads
Jan Jurczyk and Alexander Eckrot
2015: Model risk on credit risk Downloads
J. Molins and E. Vives
2015: Arbitrage, hedging and utility maximization using semi-static trading strategies with American options Downloads
Erhan Bayraktar and Zhou Zhou
2015: One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics Downloads
Damien Challet
2015: Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing Downloads
Boris Buchmann, Benjamin Kaehler, Ross Maller and Alexander Szimayer
2015: Market Dynamics and Indirect Network Effects in Electric Vehicle Diffusion Downloads
Zhe Yu, Shanjun Li and Lang Tong
2015: On financial applications of the two-parameter Poisson-Dirichlet distribution Downloads
Sergey Sosnovskiy
2015: The Temporal Dimension of Drawdown Downloads
Ola Mahmoud
2015: On a class of generalized Takagi functions with linear pathwise quadratic variation Downloads
Alexander Schied
2015: Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games Downloads
Erhan Bayraktar and Song Yao
2015: Misspecified Recovery Downloads
Jaroslav Borovi\v{c}ka, Lars Peter Hansen and Jose Scheinkman
2015: Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm Downloads
Frank Gehmlich and Thorsten Schmidt
2015: Robust Fundamental Theorem for Continuous Processes Downloads
Sara Biagini, Bruno Bouchard, Constantinos Kardaras and Marcel Nutz
2015: Arbitrage theory without a num\'eraire Downloads
Michael R. Tehranchi
2015: On a Stopping Game in continuous time Downloads
Erhan Bayraktar and Zhou Zhou
2015: A Lattice Framework for Pricing Display Advertisement Options with the Stochastic Volatility Underlying Model Downloads
Bowei Chen and Jun Wang
2015: Quantile Hedging in a Semi-Static Market with Model Uncertainty Downloads
Erhan Bayraktar and Gu Wang
2015: Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems Downloads
Umut \c{C}etin and Albina Danilova
2015: Robust Superhedging with Jumps and Diffusion Downloads
Marcel Nutz
2015: Non-linear filtering and optimal investment under partial information for stochastic volatility models Downloads
Dalia Ibrahim and Fr\'ed\'eric Abergel
2015: A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition Downloads
Ulrich Horst, Jinniao Qiu and Qi Zhang
2015: Bank Networks from Text: Interrelations, Centrality and Determinants Downloads
Samuel R\"onnqvist and Peter Sarlin
2015: Credit Risk in a Geometric Arbitrage Perspective Downloads
Simone Farinelli
2015: Valuation of Barrier Options using Sequential Monte Carlo Downloads
Pavel V. Shevchenko and Pierre Del Moral
2015: Optimal Execution in Lit and Dark Pools Downloads
M. Alessandra Crisafi and Andrea Macrina
2015: A Spectral Model of Turnover Reduction Downloads
Zura Kakushadze
2015: Option Pricing Accuracy for Estimated Heston Models Downloads
Robert Azencott, Yutheeka Gadhyan and Roland Glowinski
2015: A state-constrained differential game arising in optimal portfolio liquidation Downloads
Alexander Schied and Tao Zhang
2015: Towards a microeconomic theory of the finance-driven business cycle Downloads
Alejandro Jenkins
2015: Functional Ito Calculus, Path-dependence and the Computation of Greeks Downloads
Samy Jazaerli and Yuri F. Saporito
2015: Multivariate transient price impact and matrix-valued positive definite functions Downloads
Aur\'elien Alfonsi, Alexander Schied and Florian Kl\"ock
2015: A new financial metric for the art market Downloads
Ventura Charlin and Arturo Cifuentes
2015: Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach Downloads
Giorgio Ferrari, Frank Riedel and Jan-Henrik Steg
2015: Quantitative easing is an incomplete strategy that must be accompanied by the nullification of debt Downloads
Karl Svozil
2015: Dynamic Model of Markets of Homogenous Non-Durable Downloads
Joachim Kaldasch
2015: Geometric Arbitrage Theory and Market Dynamics Downloads
Simone Farinelli
2015: Analysis of Professional Trajectories using Disconnected Self-Organizing Maps Downloads
Etienne C\^ome, Marie Cottrell and Patrice Gaubert
2015: Note on tax enforcement and transfer pricing manipulation Downloads
Alex Augusto Timm Rathke
2015: Extension and calibration of a Hawkes-based optimal execution model Downloads
Aur\'elien Alfonsi and Pierre Blanc
2015: Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations Downloads
Jaroslaw Kwapien, Pawel Oswiecimka and Stanislaw Drozdz
2015: Portfolio optimization using local linear regression ensembles in RapidMiner Downloads
Gabor Nagy, Gergo Barta and Tamas Henk
2015: Central Clearing Valuation Adjustment Downloads
St\'ephane Cr\'epey and Armenti Yannick
2015: On Magnitude, Asymptotics and Duration of Drawdowns for L\'evy Models Downloads
David Landriault, Bin Li and Hongzhong Zhang
2015: Optimal Equity Glidepaths in Retirement Downloads
Christopher J. Rook
2015: Optimal financing and dividend distribution in a general diffusion model with regime switching Downloads
Jinxia Zhu and Hailiang Yang
2015: Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models Downloads
David Criens, Kathrin Glau and Zorana Grbac
2015: Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns Downloads
Marcel Wollschl\"ager and Rudi Sch\"afer
2015: A Bayesian Model of the Litigation Game Downloads
Enrique Guerra-Pujol
2015: On Game-Theoretic Risk Management (Part One) - Towards a Theory of Games with Payoffs that are Probability-Distributions Downloads
Stefan Rass
2015: On Elicitation Complexity and Conditional Elicitation Downloads
Rafael Frongillo and Ian A. Kash
2015: Market shape formation, statistical equilibrium and neutral evolution theory Downloads
Sergey Sosnovskiy
2015: Nonparametric and arbitrage-free construction of call surfaces using l1-recovery Downloads
Pierre M. Blacque-Florentin and Badr Missaoui
2015: Intrinsic Storage Valuation by Variational Analysis Downloads
Dmitry Lesnik
2015: Efficient approximate Bayesian inference for models with intractable likelihoods Downloads
Johan Dahlin, Mattias Villani and Thomas B. Sch\"{o}n
2015: Understanding the Impact of Microcredit Expansions: A Bayesian Hierarchical Analysis of 7 Randomised Experiments Downloads
Rachael Meager
2015: Systemic risk in multiplex networks with asymmetric coupling and threshold feedback Downloads
Rebekka Burkholz, Matt V. Leduc, Antonios Garas and Frank Schweitzer
2015: The Levy-Ito Decomposition theorem Downloads
J. L. Bretagnolle and P. Ouwehand
2015: Model-free Superhedging Duality Downloads
Matteo Burzoni, Marco Frittelli and Marco Maggis
2015: Nonparametric estimates of pricing functionals Downloads
Carlo Marinelli and Stefano d'Addona
2015: Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio Downloads
Matthew Lorig and Ronnie Sircar
2015: Symmetric resolute refinements of social choice correspondences Downloads
Daniela Bubboloni and Michele Gori
2015: Annuitization and asset allocation Downloads
Moshe A. Milevsky and Virginia R. Young
2015: Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets Downloads
Lorenz Schneider and Bertrand Tavin
2015: Hedging, arbitrage and optimality with superlinear frictions Downloads
Paolo Guasoni and Mikl\'os R\'asonyi
2015: Calculating optimal limits for transacting credit card customers Downloads
Jonathan K. Budd and Peter G. Taylor
2015: An Exchange Rate Target Zone Model with a Terminal Condition and Mean-Reverting Fundamentals Downloads
Viktors Ajevskis
2015: Modeling and Computation of Mean Field Equilibria in Producers' Game with Emission Permits Trading Downloads
Shuhua Chang, Xinyu Wang and Alexander Shananin
2015: Quick or Persistent? Strategic Investment Demanding Versatility Downloads
Jan-Henrik Steg and Jacco Thijssen
2015: The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives Downloads
Vahan Nanumyan, Antonios Garas and Frank Schweitzer
2015: Safety Third: Roy's Criterion and Higher Order Moments Downloads
Steven E. Pav
2015: A risk management approach to capital allocation Downloads
V\'eronique Maume-Deschamps, Didier Rulli\`ere and Khalil Said
2015: Optimal Skorokhod embedding under finitely-many marginal constraints Downloads
Gaoyue Guo, Xiaolu Tan and Nizar Touzi
2015: On the Characteristics of the Free Market in a Cooperative Society Downloads
Norbert Agbeko
2015: Numerical analysis on local risk-minimization forexponential L\'evy models Downloads
Takuji Arai, Yuto Imai and Ryoichi Suzuki
2015: From Walras' auctioneer to continuous time double auctions: A general dynamic theory of supply and demand Downloads
Jonathan Donier and Jean-Philippe Bouchaud
2015: Markets, herding and response to external information Downloads
Adri\'an Carro, Ra\'ul Toral and Maxi San Miguel
2015: Convergence of Estimated Option Price in a Regime switching Market Downloads
Anindya Goswami and Sanket Nandan
2015: How log-normal is your country? An analysis of the statistical distribution of the exported volumes of products Downloads
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 Downloads
Fabio Derendinger
2015: The evolutionary advantage of cooperation Downloads
Ole Peters and Alexander Adamou
2015: Autoregressive approaches to import-export time series I: basic techniques Downloads
Luca Di Persio
2015: The Limits of Leverage Downloads
Paolo Guasoni and Eberhard Mayerhofer
2015: Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact Downloads
Kensuke Ishitani and Takashi Kato
2015: Semi-Global Solutions to DSGE Models: Perturbation around a Deterministic Path Downloads
Viktors Ajevskis
2015: Nonlocal Solutions to Dynamic Equilibrium Models: The Approximate Stable Manifolds Approach Downloads
Viktors Ajevskis
2015: Liquidity and Impact in Fair Markets Downloads
Thibault Jaisson
2015: Cross Ranking of Cities and Regions: Population vs. Income Downloads
Roy Cerqueti and Marcel Ausloos
2015: Optimal Static Quadratic Hedging Downloads
Tim Leung and Matthew Lorig
2015: Portfolio Allocation for Sellers in Online Advertising Downloads
Ragavendran Gopalakrishnan, Eric Bax, Krishna Prasad Chitrapura and Sachin Garg
2015: VCG Payments for Portfolio Allocations in Online Advertising Downloads
James Li, Eric Bax, Nilanjan Roy and Andrea Leistra
2015: Autoregressive approaches to import--export time series II: a concrete case study Downloads
Luca Di Persio and Chiara Segala
2015: No-Arbitrage Prices of Cash Flows and Forward Contracts as Choquet Representations Downloads
Tom Fischer
2015: Many-to-one contagion of economic growth rate across trade credit network of firms Downloads
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 Downloads
Dan Xu and Christian Beck
2015: Social signals and algorithmic trading of Bitcoin Downloads
David Garcia and Frank Schweitzer
2015: Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium Downloads
Takuji Arai
2015: A system of degenerate non-local parabolic PDE and application Downloads
Anindya Goswami, Jeeten Patel and Poorva Shevgaonkar
2015: Impossibility Theorems and the Universal Algebraic Toolkit Downloads
Mario Szegedy and Yixin Xu
2015: Financial Contagion and Asset Liquidation Strategies Downloads
Zachary Feinstein
2015: A Practical Approach to Financial Crisis Indicators Based on Random Matrices Downloads
Antoine Kornprobst and Raphael Douady
2015: Approximations of Bond and Swaption Prices in a Black-Karasi\'{n}ski Model Downloads
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 Downloads
Damiano Brigo, Marco Francischello and Andrea Pallavicini
2015: Good deal bounds with convex constraints Downloads
Takuji Arai
2015: Enhanced Gravity Model of trade: reconciling macroeconomic and network models Downloads
Assaf Almog, Rhys Bird and Diego Garlaschelli
2015: Inference on the Sharpe ratio via the upsilon distribution Downloads
Steven E. Pav
2015: Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective Downloads
Aki-Hiro Sato and Paolo Tasca
2015: DebtRank: A microscopic foundation for shock propagation Downloads
Marco Bardoscia, Stefano Battiston, Fabio Caccioli and Guido Caldarelli
2015: Canonical Sectors and Evolution of Firms in the US Stock Markets Downloads
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 Downloads
Fabio Saracco, Riccardo Di Clemente, Andrea Gabrielli and Tiziano Squartini
2015: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models Downloads
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 Downloads
Ulrich Horst and D\"orte Kreher
2015: Diversification, protection of liability holders and regulatory arbitrage Downloads
Pablo Koch-Medina, Cosimo Munari and Mario Sikic
2015: Portfolio Optimization under Shortfall Risk Constraint Downloads
Oliver Janke and Qinghua Li
2015: Information in stock prices and some consequences: A model-free approach Downloads
Yannis G. Yatracos
2015: A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection Downloads
Ben Hambly, Matthieu Mariapragassam and Christoph Reisinger
2015: Optimizing Credit Portfolio Using a Quadratic Nonlinear Projection Method Downloads
Boguk Kim
2015: Super-replication with nonlinear transaction costs and volatility uncertainty Downloads
Peter Bank, Yan Dolinsky and Selim G\"okay
2015: Pricing of European Basket Call Option under Exponential Ornstein-Uhlenbeck Process Downloads
Jingwei Liu, Jiwen Luo and Xing Chen
2015: Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem Downloads
Vladimir V'yugin
2015: 4-Factor Model for Overnight Returns Downloads
Zura Kakushadze
2015: Path Integral and Asset Pricing Downloads
Zura Kakushadze
2015: Stability of Utility Maximization in Nonequivalent Markets Downloads
Kim Weston
2015: Apparent impact: the hidden cost of one-shot trades Downloads
Iacopo Mastromatteo
2015: Optimal Dynamic Procurement Policies for a Storable Commodity with L\'evy Prices and Convex Holding Costs Downloads
Maria B. Chiarolla, Giorgio Ferrari and Gabriele Stabile
2015: Fragility of the Commons under Prospect-Theoretic Risk Attitudes Downloads
Ashish R. Hota, Siddharth Garg and Shreyas Sundaram
2015: Risk Minimization for Game Options in Markets Imposing Minimal Transaction Costs Downloads
Yan Dolinsky and Yuri Kifer
2015: Semiparametric Estimation of First-Price Auction Models Downloads
Gaurab Aryal, Maria Florencia Gabrielli and Quang Vuong
2015: Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals Downloads
Sebastian. E. Ferrando, Alfredo L. Gonzalez, Ivan L. Degano and Massoome Rahsepar
2015: Robust pricing and hedging under trading restrictions and the emergence of local martingale models Downloads
Alexander M. G. Cox, Zhaoxu Hou and Jan Obloj
2015: Networks of Military Alliances, Wars, and International Trade Downloads
Matthew Jackson and Stephen M. Nei
2015: Simple examples of pure-jump strict local martingales Downloads
Martin Keller-Ressel
2015: Evaluating gambles using dynamics Downloads
Ole Peters and Murray Gell-Mann
2015: Dynamic optimal execution in a mixed-market-impact Hawkes price model Downloads
Aur\'elien Alfonsi and Pierre Blanc
2015: Reward-risk momentum strategies using classical tempered stable distribution Downloads
Jaehyung Choi, Young Shin Kim and Ivan Mitov
2015: Model-independent Superhedging under Portfolio Constraints Downloads
Arash Fahim and Yu-Jui Huang
2015: The False Premises and Promises of Bitcoin Downloads
Brian P. Hanley
2015: Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations Downloads
Matyas Barczy and Gyula Pap
2015: Implicit transaction costs and the fundamental theorems of asset pricing Downloads
Erindi Allaj
2015: Modeling capital gains taxes for trading strategies of infinite variation Downloads
Christoph K\"uhn and Bj\"orn Ulbricht
2015: Phase Transition in the S&P Stock Market Downloads
Matthias Raddant and Friedrich Wagner
2015: B-spline techniques for volatility modeling Downloads
Sylvain Corlay
2015: Reducing the debt: is it optimal to outsource an investment? Downloads
Gilles Edouard Espinosa, Caroline Hillairet, Benjamin Jourdain and Monique Pontier
2015: Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact Downloads
Kensuke Ishitani and Takashi Kato
2015: On dynamic spectral risk measures and a limit theorem Downloads
Dilip Madan, Martijn Pistorius and Mitja Stadje
2015: A note on transforming PDEs to ODEs Downloads
Moawia Alghalith
2015: On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk process in the presence of a penalty function Downloads
F. Avram, Z. Palmowski and M. R. Pistorius
2015: Multifractal characterization of gold market: a multifractal detrended fluctuation analysis Downloads
Provash Mali and Amitabha Mukhopadhyay
2015: Universal Laws of Human Society's Income Distribution Downloads
Yong Tao
2015: Role of the interfirm buyer-seller network in aggregate fluctuation and the effect of link renewal Downloads
Ryohei Hisano, Tsutomu Watanabe, Takayuki Mizuno, Takaaki Ohnishi and Didier Sornette
2015: Market Completion with Derivative Securities Downloads
Daniel C. Schwarz
2015: Optimal Investment to Minimize the Probability of Drawdown Downloads
Bahman Angoshtari, Erhan Bayraktar and Virginia R. Young
2015: The Theory of a Heliospheric Economy Downloads
Thomas Tarler
2015: Semimartingale detection and goodness-of-fit tests Downloads
Adam D. Bull
2015: Weak Convergence of Path-Dependent SDEs and Functionals in Pricing Basket CDS with Counterparty Risk and Contagion Risk Downloads
Yao Tung Huang, Qingshuo Song and Harry Zheng
2015: Long-range memory and multifractality in gold markets Downloads
Provash Mali and Amitabha Mukhopadhyay
2015: An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting Downloads
Tim Leung, Kazutoshi Yamazaki and Hongzhong Zhang
2015: High-order compact schemes for Black-Scholes basket options Downloads
Bertram D\"uring and Christof Heuer
2015: Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds Downloads
Dirk Tasche
2015: Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models Downloads
Tim Leung, Kazutoshi Yamazaki and Hongzhong Zhang
2015: Incomplete stochastic equilibria with exponential utilities close to Pareto optimality Downloads
Constantinos Kardaras, Hao Xing and Gordan \v{Z}itkovi\'{c}
2015: Intertemporal Substituability, Risk Aversion and Asset Prices Downloads
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2015: Conditional Asian Options Downloads
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2015: Market Fragility, Systemic Risk, and Ricci Curvature Downloads
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2015: American Options with Asymmetric Information and Reflected BSDE Downloads
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2015: Ergodicity and diffusivity of Markovian order book models: a general framework Downloads
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2015: Optimal control of predictive mean-field equations and applications to finance Downloads
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2015: A pricing formula for delayed claims: Appreciating the past to value the future Downloads
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2015: Dynamics of Order Positions and Related Queues in a Limit Order Book Downloads
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2015: Chebyshev Interpolation for Parametric Option Pricing Downloads
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2015: The efficiency of Anderson-Darling test with limited sample size: an application to Backtesting Counterparty Credit Risk internal model Downloads
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2015: Convergence of binomial tree method and explicit difference scheme for American put options with time dependent coefficients Downloads
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2015: Remarks on equality of two distributions under some partial orders Downloads
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2015: The multi-layer network nature of systemic risk and its implications for the costs of financial crises Downloads
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2015: Forecasting Financial Extremes: A Network Degree Measure of Super-exponential Growth Downloads
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2015: Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz Downloads
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2015: Hedging of defaultable claims in a structural model using a locally risk-minimizing approach Downloads
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2015: On the Exact Simulation of (Jump) Diffusion Bridges Downloads
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2015: Smooth solutions to portfolio liquidation problems under price-sensitive market impact Downloads
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2015: Testing the performance of technical trading rules in the Chinese market Downloads
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2015: Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process Downloads
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2015: Reflected BSDEs when the obstacle is not right-continuous and optimal stopping Downloads
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2015: A Study of Correlations in the Stock Market Downloads
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2015: Introduction to Stochastic Differential Equations (SDEs) for Finance Downloads
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2015: Forecasting the term structure of crude oil futures prices with neural networks Downloads
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2015: Time-consistency of risk measures with GARCH volatilities and their estimation Downloads
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2015: A Posteriori Error Estimator for a Front-Fixing Finite Difference Scheme for American Options Downloads
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2015: Profitability of simple technical trading rules of Chinese stock exchange indexes Downloads
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2015: The Equilibrium Statistical Model of Economic Systems using Concepts and Theorems of Statistical Physics Downloads
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2015: Random Time Forward Starting Options Downloads
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2015: Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces Downloads
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2015: Exploring multi-layer flow network of international trade based on flow distances Downloads
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2015: A Vasicek-type short rate model with memory effect Downloads
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2015: Application of Operator Splitting Methods in Finance Downloads
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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 Downloads
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2015: Simulation of Implied Volatility Surfaces via Tangent Levy Models Downloads
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2015: Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices Downloads
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2015: Higher order elicitability and Osband's principle Downloads
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2015: A Unified Approach to Systemic Risk Measures via Acceptance Sets Downloads
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2015: Measures of Systemic Risk Downloads
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2015: Interactions between financial and environmental networks in OECD countries Downloads
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2015: Non-concave utility maximisation on the positive real axis in discrete time Downloads
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2015: A note on the spot-forward no-arbitrage relations in a trading-production model for commodities Downloads
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2015: Accounting for Earnings Announcements in the Pricing of Equity Options Downloads
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2015: Visualizing the Invisible Hand of Markets: Simulating complex dynamic economic interactions Downloads
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2015: Conditional Analysis and a Principal-Agent problem Downloads
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2015: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization Downloads
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2015: An expansion in the model space in the context of utility maximization Downloads
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2015: Hedging Conditional Value at Risk with Options Downloads
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2015: On the optimal exercise boundaries of swing put options Downloads
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2015: Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns Downloads
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2015: Inverse Optimal Stopping Downloads
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2015: Local times for typical price paths and pathwise Tanaka formulas Downloads
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2015: An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients Downloads
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2015: Leveraged {ETF} implied volatilities from {ETF} dynamics Downloads
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2015: An importance sampling approach for copula models in insurance Downloads
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2015: General indifference pricing with small transaction costs Downloads
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2015: Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion Downloads
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2015: What is the best risk measure in practice? A comparison of standard measures Downloads
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2015: On hedging American options under model uncertainty Downloads
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2015: On an Optimal Stopping Problem of an Insider Downloads
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2015: Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets Downloads
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2015: Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration Downloads
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2015: Large liquidity expansion of super-hedging costs Downloads
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2015: A mathematical treatment of bank monitoring incentives Downloads
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2015: Robust utility maximization in non-dominated models with 2BSDEs Downloads
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2015: New exact Taylor's series and very simple solutions to PDEs Downloads
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2015: Jarzynski-type equalities in gambling: role of information in capital growth Downloads
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2015: IMEX schemes for a Parabolic-ODE system of European Options with Liquidity Shocks Downloads
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2015: Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints Downloads
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2015: Dynkin Game of Convertible Bonds and Their Optimal Strategy Downloads
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2015: Dynamic Games with Almost Perfect Information Downloads
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2015: Prices of Options as Opinion Dynamics of the Market Players with Limited Social Influence Downloads
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2015: Dynamic indifference pricing via the G-expectation Downloads
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2015: Local risk-minimization for Barndorff-Nielsen and Shephard models Downloads
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2015: New class of distortion risk measures and their tail asymptotics with emphasis on VaR Downloads
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2015: Anomalous volatility scaling in high frequency financial data Downloads
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2015: East africa in the Malthusian trap? A statistical analysis of financial, economic, and demographic indicators Downloads
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2015: About the decomposition of pricing formulas under stochastic volatility models Downloads
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2015: Observability of Market Daily Volatility Downloads
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2015: Sensitivity and Computational Complexity in Financial Networks Downloads
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2015: Network formation with value heterogeneity: centrality, segregation and adverse effects Downloads
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2015: Optimal Position Management for a Market Maker with Stochastic Price Impacts Downloads
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2015: A study of co-movements between USA and Latin American stock markets: a cross-bicorrelations perspective Downloads
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2015: Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights Downloads
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2015: Measuring Systemic Risk: Robust Ranking Techniques Approach Downloads
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2015: Insights in Economical Complexity in Spain: the hidden boost of migrants in international tradings Downloads
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2015: Principal Components Analysis for Semi-Martingales and Stochastic PDE Downloads
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2015: Risk Sensitive Control of the Lifetime Ruin Problem Downloads
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2015: Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion Downloads
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2015: Club Convergence of House Prices: Evidence from China's Ten Key Cities Downloads
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2015: Almost-sure hedging with permanent price impact Downloads
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2015: The Principal-Agent Problem With Time Inconsistent Utility Functions Downloads
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2015: ON Integrated Chance Constraints in ALM for Pension Funds Downloads
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2015: Re-visiting the Distance Coefficient in Gravity Model Downloads
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2015: Pricing of Warrants with Stock Price Dependent Threshold Conditions Downloads
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2015: Tornadoes and related damage costs: statistical modeling with a semi-Markov approach Downloads
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2015: The affine inflation market models Downloads
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2015: From anti-conformism to extremism Downloads
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2015: A dynamic game on Green Supply Chain Management Downloads
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2015: Optimal risk allocation in a market with non-convex preferences Downloads
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2015: Measuring switching processes in financial markets with the Mean-Variance spin glass approach Downloads
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2015: L\'evy Processes For Finance: An Introduction In R Downloads
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2015: Numerical approximations for Heston-Hull-White type models Downloads
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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 Downloads
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2015: Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets Downloads
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2015: Symmetry structure and solution of evolution-type equations with time dependent parameters in financial Mathematics Downloads
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2015: Negative Dependence Concept in Copulas and the Marginal Free Herd Behavior Index Downloads
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2015: Cournot Games with Uncertainty: Coalitions, Competition, and Efficiency Downloads
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2015: Detecting and interpreting distortions in hierarchical organization of complex time series Downloads
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2015: Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case Downloads
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2015: Compounding approach for univariate time series with non-stationary variances Downloads
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2015: A generic model for spouse's pensions with a view towards the calculation of liabilities Downloads
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2015: Game-theoretic approach to risk-sensitive benchmarked asset management Downloads
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2015: A Quantization Approach to the Counterparty Credit Exposure Estimation Downloads
M. Bonollo, L. Di Persio, I. Oliva and A. Semmoloni
2015: Optimally Investing to Reach a Bequest Goal Downloads
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2015: Understanding Financial Market States Using Artificial Double Auction Market Downloads
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2015: Affine LIBOR models driven by real-valued affine processes Downloads
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2015: Leveraging the network: a stress-test framework based on DebtRank Downloads
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2015: Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example Downloads
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2015: State and group dynamics of world stock market by principal component analysis Downloads
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2015: An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab Downloads
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2015: Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps Downloads
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2015: Near-optimal estimation of jump activity in semimartingales Downloads
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2015: Stochastic Perron for Stochastic Target Games Downloads
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2015: On the role of F\"ollmer-Schweizer minimal martingale measure in Risk Sensitive control Asset Management Downloads
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2015: Density of Skew Brownian motion and its functionals with application in finance Downloads
Alexander Gairat and Vadim Shcherbakov
2015: Moral Hazard in Dynamic Risk Management Downloads
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2015: Notes on Alpha Stream Optimization Downloads
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2015: Affine LIBOR models with multiple curves: theory, examples and calibration Downloads
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2015: Maximum drawdown, recovery and momentum Downloads
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2015: On the Hawkes Process with Different Exciting Functions Downloads
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2015: On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints Downloads
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2015: Arbitrage and duality in nondominated discrete-time models Downloads
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2015: Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model Downloads
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2015: A hot-potato game under transient price impact Downloads
Alexander Schied and Tao Zhang
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2015: Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model Downloads
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2015: The Evolution of Stock Market Efficiency in the U.S.: A Non-Bayesian Time-Varying Model Approach Downloads
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2015: Forest Fire Model as a Supercritical Dynamic Model in Financial Systems Downloads
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2015: Metabolic paths in world economy and crude oil price Downloads
Francesco Picciolo, Andreas Papandreou and Franco Ruzzenenti
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2015: Developing Knowledge States: Technology and the Enhancement of National Statistical Capacity Downloads
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2015: Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity Downloads
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2015: Feynman-Kac formula for L\'evy processes with discontinuous killing rate Downloads
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2015: Dynamics of quasi-stationary systems: Finance as an example Downloads
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2015: Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments Downloads
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2015: Estimation of Several Political Action Effects of Energy Prices Downloads
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2015: Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes Downloads
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Jacky Mallett
2015: Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis Downloads
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2015: Ho and Lee Model on a String Downloads
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2015: Robust Utility Maximization with L\'evy Processes Downloads
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2015: Identification of Atlas models Downloads
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2015: Quasi-Newton particle Metropolis-Hastings applied to intractable likelihood models Downloads
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2015: Asymptotic indifference pricing in exponential L\'evy models Downloads
Cl\'ement M\'enass\'e and Peter Tankov
2015: Mass at zero and small-strike implied volatility expansion in the SABR model Downloads
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2015: Learning and Portfolio Decisions for HARA Investors Downloads
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2015: Consistent Recalibration of Yield Curve Models Downloads
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2015: Dark-Pool Perspective of Optimal Market Making Downloads
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Sara Biagini and Mustafa Pinar
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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 Downloads
Dimitri Ledenyov and Viktor Ledenyov
2015: Optimal portfolio with unobservable market parameters and certainty equivalence principle Downloads
Nikolai Dokuchaev
2015: Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process Downloads
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2015: Systemic Risk with Exchangeable Contagion: Application to the European Banking System Downloads
Umberto Cherubini and Sabrina Mulinacci
2015: Archimedean-based Marshall-Olkin Distributions and Related Copula Functions Downloads
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2015: Convex duality with transaction costs Downloads
Yan Dolinsky and H. Mete Soner
2015: Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation Downloads
Michael Ho, Zheng Sun and Jack Xin
2015: Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model Downloads
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2015: A Directional Multivariate Value at Risk Downloads
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 Downloads
M. Naresh Kumar and V. Sree Hari Rao
2015: An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions Downloads
Eric Dahlgren and Tim Leung
2015: How volatilities nonlocal in time affect the price dynamics in complex financial systems Downloads
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) Downloads
Jo\~ao P. da Cruz
2015: Quasi-Centralized Limit Order Books Downloads
Martin D. Gould, Mason A. Porter and Sam D. Howison
2015: An equilibrium model for spot and forward prices of commodities Downloads
Michail Anthropelos, Michael Kupper and Antonis Papapantoleon
2015: Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties Downloads
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 Downloads
Ladislav Krištoufek
2015: Direct Foreign Investment in Kurdistan Region of Middle-East: Non-Oil Sector Analysis Downloads
Angus O. Unegbu and Augustine Okanlawon
2015: Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples Downloads
Maxim Bichuch, Agostino Capponi and Stephan Sturm
2015: Consumption investment optimization with Epstein-Zin utility in incomplete markets Downloads
Hao Xing
2015: Toward robust early-warning models: A horse race, ensembles and model uncertainty Downloads
Markus Holopainen and Peter Sarlin
2015: Optional Decomposition for continuous semimartingales under arbitrary filtrations Downloads
Ioannis Karatzas and Constantinos Kardaras
2015: Community detection in temporal multilayer networks, and its application to correlation networks Downloads
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2015: Nonlinear GARCH model and 1/f noise Downloads
Aleksejus Kononovicius and Julius Ruseckas
2015: Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA Downloads
Giovanni Mottola
2015: Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization and Ross Recovery Downloads
Likuan Qin and Vadim Linetsky
2015: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models Downloads
Rodrigo Targino, Gareth W. Peters and Pavel V. Shevchenko
2015: VWAP Execution as an Optimal Strategy Downloads
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2015: Diversification and Endogenous Financial Networks Downloads
Jean-Cyprien H\'eam and Erwan Koch
2015: Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty Downloads
Matteo Burzoni, Marco Frittelli and Marco Maggis
2015: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs Downloads
Tiziano De Angelis, Salvatore Federico and Giorgio Ferrari
2015: A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics Downloads
Christian Bayer, Ulrich Horst and Jinniao Qiu
2015: Paths and indices of maximal tail dependence Downloads
Edward Furman, Jianxi Su and Ri\v{c}ardas Zitikis
2015: Martingale optimal transport in the Skorokhod space Downloads
Y. Dolinsky and H. M. Soner
2015: Systemic Risk and Default Clustering for Large Financial Systems Downloads
Konstantinos Spiliopoulos
2015: Left tail of the sum of dependent positive random variables Downloads
Peter Tankov
2015: From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options Downloads
Lorenz Schneider and Bertrand Tavin
2015: Quasi-Hadamard differentiability of general risk functionals and its application Downloads
Volker Kr\"atschmer, Alexander Schied and Henryk Z\"ahle
2015: Second order statistics characterization of Hawkes processes and non-parametric estimation Downloads
Emmanuel Bacry and Jean-Francois Muzy
2015: Liquidation of an indivisible asset with independent investment Downloads
Emilie Fabre, Guillaume Royer and Nizar Touzi
2015: On strong binomial approximation for stochastic processes and applications for financial modelling Downloads
Nikolai Dokuchaev
2015: Default Clustering in Large Pools: Large Deviations Downloads
Konstantinos Spiliopoulos and Richard B. Sowers
2015: Optimal Liquidity Provision Downloads
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 Downloads
Krenar Avdulaj and Jozef Baruník
2015: Fluctuation Analysis for the Loss From Default Downloads
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2015: Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation Downloads
Salvatore Federico, Paul Gassiat and Fausto Gozzi
2015: Asymptotics of forward implied volatility Downloads
Antoine Jacquier and Patrick Roome
2015: Modeling and forecasting exchange rate volatility in time-frequency domain Downloads
Jozef Baruník, Tomas Krehlik and Lukas Vacha
2015: Large Portfolio Asymptotics for Loss From Default Downloads
Kay Giesecke, Konstantinos Spiliopoulos, Richard B. Sowers and Justin A. Sirignano
2015: Predictability of price movements in deregulated electricity markets Downloads
Olga Y. Uritskaya and Vadim M. Uritsky
2015: Economic inequality and mobility in kinetic models for social sciences Downloads
Maria Letizia Bertotti and Giovanni Modanese
2015: The intensity of the random variable intercept in the sector of negative probabilities Downloads
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 Downloads
Alexander Schnurr
2015: Worldwide clustering of the corruption perception Downloads
Michal Paulus and Ladislav Krištoufek
2015: Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix Downloads
Patrick Steffen Michelberger and Jan Hendrik Witte
2015: Adaptive Filter Design for Stock Market Prediction Using a Correlation-based Criterion Downloads
J. E. Wesen, V. Vv. Vermehren and H. M. de Oliveira
2015: Liquidity costs: a new numerical methodology and an empirical study Downloads
Christophe Michel, Victor Reutenauer, Denis Talay and Etienne Tanr\'e
2015: Valuation Algorithms for Structural Models of Financial Interconnectedness Downloads
Johannes Hain and Tom Fischer
2015: Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk Downloads
Gildas Ratovomirija
2015: Optimal strategies of investment in a linear stochastic model of market Downloads
O. S. Rozanova and G. S. Kambarbaeva
2015: Short-time at-the-money skew and rough fractional volatility Downloads
Masaaki Fukasawa
2015: Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach Downloads
Jinbeom Kim and Tim Leung
2015: Positively-homogeneous Konus-Divisia indices and their applications to demand analysis and forecasting Downloads
Nikolay Klemashev and Alexander Shananin
2015: Interbank markets and multiplex networks: centrality measures and statistical null models Downloads
Leonardo Bargigli, Giovanni di Iasio, Luigi Infante, Fabrizio Lillo and Federico Pierobon
2015: Combining Alphas via Bounded Regression Downloads
Zura Kakushadze
2015: Bin Size Independence in Intra-day Seasonalities for Relative Prices Downloads
Esteban Guevara
2015: On the Modular Dynamics of Financial Market Networks Downloads
Filipi N. Silva, Cesar H. Comin, Thomas K. DM. Peron, Francisco A. Rodrigues, Cheng Ye, Richard C. Wilson, Edwin Hancock and Luciano da F. Costa
2015: An optimal trading problem in intraday electricity markets Downloads
Ren\'e A\"id, Pierre Gruet and Huy\^en Pham
2015: Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures Downloads
Rohini Kumar
2015: Data manipulation detection via permutation information theory quantifiers Downloads
Aurelio Fernandez Bariviera, M. Bel\'en Guercio and Lisana B. Martinez
2015: On the martingale-fair index of return for investment funds Downloads
Leslaw Gajek and Marek Kaluszka
2015: Optimal Trading with Alpha Predictors Downloads
Filippo Passerini and Samuel E. Vazquez
2015: A New Approach to Model Free Option Pricing Downloads
Raphael Hauser and Sergey Shahverdyan
2015: The asymptotic smile of a multiscaling stochastic volatility model Downloads
Francesco Caravenna and Jacopo Corbetta
2015: Google matrix analysis of the multiproduct world trade network Downloads
Leonardo Ermann and Dima L. Shepelyansky
2015: Self-Financing Trading and the Ito-Doeblin Lemma Downloads
Chris Kenyon and Andrew Green
2015: The 20-60-20 Rule Downloads
Piotr Jaworski and Marcin Pitera
2015: Stochastic simulation framework for the Limit Order Book using liquidity motivated agents Downloads
Efstathios Panayi and Gareth Peters
2015: Robust Inference of Risks of Large Portfolios Downloads
Jianqing Fan, Fang Han, Han Liu and Byron Vickers
2015: The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs Downloads
Tim Leung and Brian Ward
2015: Multiplicative Limit Order Markets with Transient Impact and Zero Spread Downloads
Dirk Becherer, Todor Bilarev and Peter Frentrup
2015: Optimal investment under behavioural criteria in incomplete diffusion market models Downloads
Mikl\'os R\'asonyi and Jos\'e Gregorio Rodr\'{i}guez-Villarreal
2015: Entropy-Based Financial Asset Pricing Downloads
Mihály Ormos and David Zibriczky
2015: A Composite Risk Measure Framework for Decision Making under Uncertainty Downloads
Pengyu Qian, Zizhuo Wang and Zaiwen Wen
2015: A law of large numbers for limit order books Downloads
Ulrich Horst and Michael Paulsen
2015: Signs of dependence and heavy tails in non-life insurance data Downloads
Jonas Alm
2015: Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets Downloads
Florian Ziel, Rick Steinert and Sven Husmann
2015: Monetary Policy and Dark Corners in a stylized Agent-Based Model Downloads
Stanislao Gualdi, Marco Tarzia, Francesco Zamponi and Jean-Philippe Bouchaud
2015: Minimizing the Probability of Ruin in Retirement Downloads
Christopher J. Rook
2015: Comprehensive Time-Series Regression Models Using GRETL - U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013 Downloads
Juehui Shi
2015: An Evolutionary Optimization Approach to Risk Parity Portfolio Selection Downloads
Ronald Hochreiter
2015: Methodological thoughts on expected loss estimates for IFRS 9 impairment: hidden reserves, cyclical loss predictions and LGD backtesting Downloads
Wolfgang Reitgruber
2015: On Stochastic Orders and its applications: Policy limits and Deductibles Downloads
Halim Zeghdoudi, Meriem Bouhadjar and Mohamed Riad Remita
2015: Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales Downloads
Ladislav Krištoufek
2015: Continuous time analysis of fleeting discrete price moves Downloads
Neil Shephard and Justin J. Yang
2015: Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA Downloads
Giovanni Mottola
2015: Fact Sheet Research on Bayesian Decision Theory Downloads
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 Downloads
Benjamin Vandermarliere, Alexei Karas, Jan Ryckebusch and Koen Schoors
2015: Game theory analysis for carbon auction market through electricity market coupling Downloads
Mireille Bossy, Nadia Maizi and Odile Pourtallier
2015: Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences Downloads
Chris Kenyon and Andrew Green
2015: Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods Downloads
Nicolo Musmeci, Tomaso Aste and Tiziana Di Matteo
2015: Combining Alpha Streams with Costs Downloads
Zura Kakushadze
2015: MVA: Initial Margin Valuation Adjustment by Replication and Regression Downloads
Andrew Green and Chris Kenyon
2015: Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context Downloads
Qinghua Li
2015: On the properties of nodal price response matrix in electricity markets Downloads
Vadim Borokhov
2015: Is It Possible to OD on Alpha? Downloads
Zura Kakushadze and Jim Kyung-Soo Liew
2015: Trajectory Based Models, Arbitrage and Continuity Downloads
Alexander Alvarez and Sebastian Ferrando
2015: Asymptotic Glosten Milgrom equilibrium Downloads
Cheng Li and Hao Xing
2015: Complexity, economic science and possible economic benefits of climate change mitigation policy Downloads
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 Downloads
Pietro Fodra and Huy\^en Pham
2015: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions Downloads
Paulwin Graewe, Ulrich Horst and Jinniao Qiu
2015: Different Cost Performance: Different Determinants? The Case of Cost Overruns in Dutch Transportation Infrastructure Projects Downloads
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 Downloads
Chantal C. Cantarelli, Eric J. E. Molin, Bert van Wee and Bent Flyvbjerg
2015: A comparison of techniques for dynamic multivariate risk measures Downloads
Zachary Feinstein and Birgit Rudloff
2015: On an integral equation for the free-boundary of stochastic, irreversible investment problems Downloads
Giorgio Ferrari
2015: Valuation of asset and volatility derivatives using decoupled time-changed L\'evy processes Downloads
Lorenzo Torricelli
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