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2017: Intergenerational mobility measures in a bivariate normal model Downloads
Yonatan Berman
2017: A Possibilistic and Probabilistic Approach to Precautionary Saving Downloads
Irina Georgescu, Adolfo Crist\'obal Campoamor and Ana Maria Lucia Casademunt
2017: General Compound Hawkes Processes in Limit Order Books Downloads
Anatoliy Swishchuk
2017: Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models Downloads
Andrei Cozma and Christoph Reisinger
2017: Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets Downloads
Pavel Ciaian, Miroslava Rajcaniova and d'Artis Kancs
2017: Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market Downloads
Roberto Baviera and Tommaso Santagostino Baldi
2017: Market Efficiency and Growth Optimal Portfolio Downloads
Eckhard Platen and Renata Rendek
2017: Singular Fourier-Pad\'e Series Expansion of European Option Prices Downloads
Tat Lung and Chan
2017: Complex Correlation Approach for High Frequency Financial Data Downloads
Mateusz Wilinski, Yuichi Ikeda and Hideaki Aoyama
2017: Deep Learning in (and of) Agent-Based Models: A Prospectus Downloads
Sander van der Hoog
2017: A class of dynamical contagion credit risk models and their applications Downloads
Dianfa Chen, Jun Deng and Jianfen Feng
2017: Symbolic dynamics techniques for complex systems: Application to share price dynamics Downloads
Dan Xu and Christian Beck
2017: Speed and biases of Fourier-based pricing choices: A numerical analysis Downloads
Ricardo Cris\'ostomo
2017: Food Productivity Trends from Hybrid Corn: Statistical Analysis of Patents and Field-test data Downloads
Mariam Barry, Giorgio Triulzi and Christopher L. Magee
2017: Heterogeneous Preferences, Constraints, and the Cyclicality of Leverage Downloads
Tyler Abbot
2017: News-sentiment networks as a risk indicator Downloads
Thomas Forss and Peter Sarlin
2017: Quantifying the Benefits of Infrastructure Sharing Downloads
Matthew Andrews, Milan Bradonjic and Iraj Saniee
2017: Modeling credit default swap premiums with stochastic recovery rate Downloads
Zahra Sokoot, Navideh Modarresi and Farzaneh Niknejad
2017: Transfer entropy between communities in complex networks Downloads
Jan Korbel, Xiongfei Jiang and Bo Zheng
2017: Pathwise large deviations for the Rough Bergomi model Downloads
Antoine Jacquier, Mikko S. Pakkanen and Henry Stone
2017: On the minimizers of energy forms with completely monotone kernel Downloads
Alexander Schied and Elias Strehle
2017: Realized volatility and parametric estimation of Heston SDEs Downloads
Robert Azencott, Peng Ren and Ilya Timofeyev
2017: Effect of Intellectual Property Policy on the Speed of Technological Advancement Downloads
Ivan D. Breslavsky
2017: Picking Winners: A Framework For Venture Capital Investment Downloads
David Scott Hunter and Tauhid Zaman
2017: Open Source Fundamental Industry Classification Downloads
Zura Kakushadze and Willie Yu
2017: Universal scaling and nonlinearity of aggregate price impact in financial markets Downloads
Felix Patzelt and Jean-Philippe Bouchaud
2017: Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative L\'evy Models Downloads
Neofytos Rodosthenous and Hongzhong Zhang
2017: Portfolio optimization for a large investor controlling market sentiment under partial information Downloads
S\"uhan Altay, Katia Colaneri and Zehra Eksi
2017: Economics of limiting cumulative CO2 emissions Downloads
Ashwin K Seshadri
2017: Analysis of order book flows using a nonparametric estimation of the branching ratio matrix Downloads
Massil Achab, Emmanuel Bacry, Jean-Fran\c{c}ois Muzy and Marcello Rambaldi
2017: Aftershocks in a complex system with catastrophes: Crash of currency exchange rate Downloads
Vasilya Usmanova, Yury V. Lysogorsky and Sumiyoshi Abe
2017: Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment Downloads
Jean-Pierre Fouque and Ruimeng Hu
2017: Common agency dilemma with information asymmetry in continuous time Downloads
Thibaut Mastrolia and Zhenjie Ren
2017: A Deep Causal Inference Approach to Measuring the Effects of Forming Group Loans in Online Non-profit Microfinance Platform Downloads
Thai T. Pham and Yuanyuan Shen
2017: Most-likely-path in Asian option pricing under local volatility models Downloads
Louis-Pierre Arguin, Nien-Lin Liu and Tai-Ho Wang
2017: Adaptive Robust Control Under Model Uncertainty Downloads
Tomasz R. Bielecki, Tao Chen, Igor Cialenco, Areski Cousin and Monique Jeanblanc
2017: Testing Ambiguity and Machina Preferences Within a Quantum-theoretic Framework for Decision-making Downloads
Diederik Aerts, Suzette Geriente, Catarina Moreira and Sandro Sozzo
2017: Informing Additive Manufacturing technology adoption: total cost and the impact of capacity utilisation Downloads
Martin Baumers, Luca Beltrametti, Angelo Gasparre and Richard Hague
2017: An adverse selection approach to power pricing Downloads
Cl\'emence Alasseur, Ivar Ekeland, Romuald Elie, Nicol\'as Hern\'andez Santib\'a\~nez and Dylan Possama\"i
2017: Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling Downloads
Yaxiong Zeng and Diego Klabjan
2017: Dividends with random profitability rate Downloads
Max Reppen, Jean-Charles Rochet and H. Mete Soner
2017: A predictive pan-European economic and production dispatch model for the energy transition in the electricity sector Downloads
Laurent Pagnier and Philippe Jacquod
2017: Pricing Asian options for NIG and VG Levy markets Downloads
Belkacem Berdjane
2017: Exploring the determinants of Bitcoin's price: an application of Bayesian Structural Time Series Downloads
Obryan Poyser
2017: Moral hazard in welfare economics: on the advantage of Planner's advices to manage employees' actions Downloads
Thibaut Mastrolia
2017: Financial Series Prediction: Comparison Between Precision of Time Series Models and Machine Learning Methods Downloads
Xin-Yao Qian and Shan Gao
2017: Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options Downloads
Jean-Pierre Fouque and Yuri F. Saporito
2017: A Game of Nontransitive Dice Downloads
Artem Hulko and Mark Whitmeyer
2017: Fluctuation analysis of electric power loads in Europe: Correlation multifractality vs. Distribution function multifractality Downloads
Hynek Lavicka and Jiri Kracik
2017: How fast can one overcome the paradox of the energy transition? A predictive physico-economic model for the European power grid Downloads
Laurent Pagnier and Philippe Jacquod
2017: Clearing algorithms and network centrality Downloads
Christoph Siebenbrunner
2017: Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion Downloads
Laurent Devineau, Pierre-Edouard Arrouy, Paul Bonnefoy and Alexandre Boumezoued
2017: Characterization of the community structure in a large-scale production network in Japan Downloads
Abhijit Chakraborty, Hazem Krichene, Hiroyasu Inoue and Yoshi Fujiwara
2017: The Action Principle in Market Mechanics Downloads
J. T. Manhire
2017: Herding boosts too-connected-to-fail risk in stock market of China Downloads
Shan Lu, Jichang Zhao, Huiwen Wang and Ruoen Ren
2017: Optimal R\'enyi Entropy Portfolios Downloads
Nathan Lassance and Fr\'ed\'eric Vrins
2017: The q-dependent detrended cross-correlation analysis of stock market Downloads
Longfeng Zhao, Wei Li, Andrea Fenu, Boris Podobnik, Yougui Wang and H. Eugene Stanley
2017: Implied Stopping Rules for American Basket Options from Markovian Projection Downloads
Christian Bayer, Juho H\"app\"ol\"a and Ra\'ul Tempone
2017: Mini-symposium on automatic differentiation and its applications in the financial industry Downloads
S\'ebastien Geeraert, Charles-Albert Lehalle, Barak Pearlmutter, Olivier Pironneau and Adil Reghai
2017: *K-means and Cluster Models for Cancer Signatures Downloads
Zura Kakushadze and Willie Yu
2017: Incremental computation of block triangular matrix exponentials with application to option pricing Downloads
Daniel Kressner, Robert Luce and Francesco Statti
2017: Hawkes process model with a time-dependent background rate and its application to high-frequency financial data Downloads
Takahiro Omi, Yoshito Hirata and Kazuyuki Aihara
2017: On utility maximization without passing by the dual problem Downloads
Miklos Rasonyi
2017: Structural Propagation in a Production Network with State-Replicating Elasticities Downloads
Satoshi Nakano and Kazuhiko Nishimura
2017: The Shapley Value of Digraph Games Downloads
Krishna Khatri
2017: Chebyshev Reduced Basis Function applied to Option Valuation Downloads
Javier de Frutos and Victor Gaton
2017: Model-free bounds on Value-at-Risk using partial dependence information Downloads
Thibaut Lux and Antonis Papapantoleon
2017: Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures Downloads
Niushan Gao, Denny H. Leung and Foivos Xanthos
2017: Exponential utility maximization under model uncertainty for unbounded endowments Downloads
Daniel Bartl
2017: Bounds for VIX Futures given S&P 500 Smiles Downloads
Julien Guyon, Romain Menegaux and Marcel Nutz
2017: Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential L\'evy models With Local Volatility Downloads
Jos\'e E. Figueroa-L\'opez, Ruoting Gong and Matthew Lorig
2017: The effect of heterogeneity on flocking behavior and systemic risk Downloads
Fei Fang, Yiwei Sun and Konstantinos Spiliopoulos
2017: Incentivizing Resilience in Financial Networks Downloads
Matt V. Leduc and Stefan Thurner
2017: Endogenous Formation of Limit Order Books: Dynamics Between Trades Downloads
Roman Gayduk and Sergey Nadtochiy
2017: Big is Fragile: An Attempt at Theorizing Scale Downloads
Atif Ansar, Bent Flyvbjerg, Alexander Budzier and Daniel Lunn
2017: Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance Downloads
Thibaut Lux and Antonis Papapantoleon
2017: Backtesting Lambda Value at Risk Downloads
Jacopo Corbetta and Ilaria Peri
2017: Funding, repo and credit inclusive valuation as modified option pricing Downloads
Damiano Brigo, Cristin Buescu and Marek Rutkowski
2017: Fighting Uncertainty with Uncertainty Downloads
Ravi Kashyap
2017: The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew Downloads
Damiano Brigo, Camilla Pisani and Francesco Rapisarda
2017: Nash equilibria for non zero-sum ergodic stochastic differential games Downloads
Samuel N. Cohen and Victor Fedyashov
2017: A martingale representation and risk's decomposition with applications: Mortality/longevity risk and securitization Downloads
Tahir Choulli, Catherine Daveloose and Mich\`ele Vanmaele
2017: Optimal investment with intermediate consumption under no unbounded profit with bounded risk Downloads
Huy N. Chau, Andrea Cosso, Claudio Fontana and Oleksii Mostovyi
2017: Why Quantitative Structuring? Downloads
Andrei N. Soklakov
2017: Analysis of cyclical behavior in time series of stock market returns Downloads
Djordje Stratimirovic, Darko Sarvan, Vladimir Miljkovic and Suzana Blesic
2017: Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods Downloads
Johan Dahlin, Mattias Villani and Thomas B. Sch\"on
2017: Randomized versions of Mazur lemma and Krein-Smulian theorem Downloads
Jose Miguel Zapata
2017: Smooth solutions to portfolio liquidation problems under price-sensitive market impact Downloads
Paulwin Graewe, Ulrich Horst and Eric S\'er\'e
2017: Non-Local Macroeconomic Transactions and Credits-Loans Surface-Like Waves Downloads
Victor Olkhov
2017: Identification of Credit Risk Based on Cluster Analysis of Account Behaviours Downloads
Maha Bakoben, Tony Bellotti and Niall Adams
2017: Stock Trading Using PE ratio: A Dynamic Bayesian Network Modeling on Behavioral Finance and Fundamental Investment Downloads
Haizhen Wang, Ratthachat Chatpatanasiri and Pairote Sattayatham
2017: Econophysics of Macro-Finance: Local Multi-fluid Models and Surface-like Waves of Financial Variables Downloads
Victor Olkhov
2017: Hedging in fractional Black-Scholes model with transaction costs Downloads
Foad Shokrollahi and Tommi Sotinnen
2017: Trends in Banking 2017 and onwards Downloads
Peter Mitic
2017: Dynamic Index Tracking and Risk Exposure Control Using Derivatives Downloads
Tim Leung and Brian Ward
2017: The Impact of Digital Financial Services on Firm's Performance: a Literature Review Downloads
Tariq Abbasi and Hans Weigand
2017: Standardised Reputation Measurement Downloads
Peter Mitic
2017: Mini-Flash Crashes, Model Risk, and Optimal Execution Downloads
Erhan Bayraktar and Alexander Munk
2017: Growth-Optimal Portfolio Selection under CVaR Constraints Downloads
Guy Uziel and Ran El-Yaniv
2017: The geometry of multi-marginal Skorokhod Embedding Downloads
Mathias Beiglboeck, Alexander Cox and Martin Huesmann
2017: Nonparametric Regressions with Thresholds: Identification and Estimations Downloads
Yan-Yu Chiou, Mei-Yuan Chen and Jau-er Chen
2017: Financial Time Series Forecasting: Semantic Analysis Of Economic News Downloads
Kateryna Kononova and Anton Dek
2017: Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate Downloads
Zailei Cheng
2017: Data and uncertainty in extreme risks; a nonlinear expectations approach Downloads
Samuel N. Cohen
2017: Sensitivity analysis of the utility maximization problem with respect to model perturbations Downloads
Oleksii Mostovyi and Mihai S\^irbu
2017: Can Everyone Benefit from Social Integration? Downloads
Josue Ortega
2017: Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies Downloads
Yash Sharma
2017: On the Black's equation for the risk tolerance function Downloads
Sigrid K\"allblad and Thaleia Zariphopoulou
2017: A Dynkin game on assets with incomplete information on the return Downloads
Tiziano De Angelis, Fabien Gensbittel and St\'ephane Villeneuve
2017: Compressing Over-the-Counter Markets Downloads
Marco D'Errico and Tarik Roukny
2017: Wealth dynamics in a sentiment-driven market Downloads
Mikhail Goykhman
2017: Quadratic hedging with multiple assets under illiquidity with applications in energy markets Downloads
Panagiotis Christodoulou, Nils Detering and Thilo Meyer-Brandis
2017: CDS Rate Construction Methods by Machine Learning Techniques Downloads
Raymond Brummelhuis and Zhongmin Luo
2017: Conduct Risk - distribution models with very thin Tails Downloads
Peter Mitic
2017: Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility Downloads
David Bauder, Taras Bodnar, Nestor Parolya and Wolfgang Schmid
2017: Hierarchical organization of H. Eugene Stanley scientific collaboration community in weighted network representation Downloads
Stanislaw Drozdz, Andrzej Kulig, Jaroslaw Kwapien, Artur Niewiarowski and Marek Stanuszek
2017: Continuous time mean-variance portfolio selection with nonlinear wealth equations and random coefficients Downloads
Shaolin Ji, Hanqing Jin and Xiaomin Shi
2017: Banks as Tanks: A Continuous-Time Model of Financial Clearing Downloads
Isaac M. Sonin and Konstantin Sonin
2017: Analytic techniques for option pricing under a hyperexponential L\'{e}vy model Downloads
Daniel Hackmann
2017: Supply and Shorting in Speculative Markets Downloads
Marcel Nutz and Jose Scheinkman
2017: A Novel Approach to Quantification of Model Risk for Practitioners Downloads
Zuzana Krajcovicova, Pedro Pablo Perez-Velasco and Carlos Vazquez
2017: Calibration and Filtering of Exponential L\'evy Option Pricing Models Downloads
Stavros J. Sioutis
2017: Murphy Diagrams: Forecast Evaluation of Expected Shortfall Downloads
Johanna F. Ziegel, Fabian Kr\"uger, Alexander Jordan and Fernando Fasciati
2017: Investing for the Long Run Downloads
Dietmar Leisen and Eckhard Platen
2017: A note on the impact of management fees on the pricing of variable annuity guarantees Downloads
Jin Sun, Pavel V. Shevchenko and Man Chung Fung
2017: Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs Downloads
Miryana Grigorova and Marie-Claire Quenez
2017: Hybrid PDE solver for data-driven problems and modern branching Downloads
Francisco Bernal, Gon\c{c}alo dos Reis and Greig Smith
2017: Polynomial processes in stochastic portfolio theory Downloads
Christa Cuchiero
2017: Maximum Entropy Principle underlying the dynamics of automobile sales Downloads
A. Hernando, D. Villuendas, M. Sulc, R. Hernando, R. Seoane and A. Plastino
2017: Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves Downloads
Rupert Way, François Lafond, J. Doyne Farmer, Fabrizio Lillo and Valentyn Panchenko
2017: Machine Learning Techniques for Mortality Modeling Downloads
Philippe Deprez, Pavel V. Shevchenko and Mario V. W\"uthrich
2017: Benchmark Dataset for Mid-Price Prediction of Limit Order Book data Downloads
Adamantios Ntakaris, Martin Magris, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis
2017: Duality for pathwise superhedging in continuous time Downloads
Daniel Bartl, Michael Kupper, David J. Pr\"omel and Ludovic Tangpi
2017: Unspanned Stochastic Volatility in the Multi-factor CIR Model Downloads
Damir Filipovi\'c, Martin Larsson and Francesco Statti
2017: An equation for a time-dependent profit rate Downloads
Rafael D. Sorkin
2017: Computation of second order price sensitivities in depressed markets Downloads
Youssef El-Khatib and Abdulnasser Hatemi-J
2017: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers Downloads
Masaaki Fujii and Akihiko Takahashi
2017: Noisy independent component analysis of auto-correlated components Downloads
Jakob Knollm\"uller and Torsten A. En{\ss}lin
2017: Optimal consumption of multiple goods in incomplete markets Downloads
Oleksii Mostovyi
2017: The Indirect Effects of FDI on Trade: A Network Perspective Downloads
Paolo Sgrignoli, Rodolfo Metulini, Zhen Zhu and Massimo Riccaboni
2017: Leontief Meets Shannon - Measuring the Complexity of the Economic System Downloads
Dave Zachariah and Paul Cockshott
2017: A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting Downloads
Christa Cuchiero, Irene Klein and Josef Teichmann
2017: The Payoff Region of a Strategic Game and Its Extreme Points Downloads
Yu-Sung Tu and Wei-Torng Juang
2017: Algorithmic trading in a microstructural limit order book model Downloads
Fr\'ed\'eric Abergel, C\^ome Hur\'e and Huy\^en Pham
2017: An Alternative Estimation of Market Volatility based on Fuzzy Transform Downloads
Luigi Troiano, Elena Mejuto Villa and Pravesh Kriplani
2017: The coordination of centralised and distributed generation Downloads
Ren\'e A\"id, Matteo Basei and Huy\^en Pham
2017: Pricing Variance Swaps on Time-Changed Markov Processes Downloads
Peter Carr, Roger Lee and Matthew Lorig
2017: A Novel Approach to Forecasting Financial Volatility with Gaussian Process Envelopes Downloads
Syed Ali Asad Rizvi, Stephen J. Roberts, Michael A. Osborne and Favour Nyikosa
2017: Towards the Exact Simulation Using Hyperbolic Brownian Motion Downloads
Yuuki Ida and Yuri Imamura
2017: Particle systems with singular interaction through hitting times: application in systemic risk modeling Downloads
Sergey Nadtochiy and Mykhaylo Shkolnikov
2017: Portfolio Choice with Small Temporary and Transient Price Impact Downloads
Ibrahim Ekren and Johannes Muhle-Karbe
2017: Are target date funds dinosaurs? Failure to adapt can lead to extinction Downloads
Peter A. Forsyth, Yuying Li and Kenneth R. Vetzal
2017: A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect? Downloads
Stavros Stavroyiannis
2017: Lean derivation of the CRR pricing formula Downloads
Jarno Talponen and Minna Turunen
2017: Learning Agents in Black-Scholes Financial Markets: Consensus Dynamics and Volatility Smiles Downloads
Tushar Vaidya, Carlos Murguia and Georgios Piliouras
2017: A Joint Quantile and Expected Shortfall Regression Framework Downloads
Timo Dimitriadis and Sebastian Bayer
2017: Social dynamics of financial networks Downloads
Teruyoshi Kobayashi and Taro Takaguchi
2017: Uncovering Offshore Financial Centers: Conduits and Sinks in the Global Corporate Ownership Network Downloads
Javier Garcia-Bernardo, Jan Fichtner, Eelke M. Heemskerk and Frank W. Takes
2017: Network Structure and Naive Sequential Learning Downloads
Krishna Dasaratha and Kevin He
2017: Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula Downloads
Stefano De Marco and Claude Martini
2017: A generalized public goods game with coupling of individual ability and project benefit Downloads
Li-Xin Zhong, Wen-Juan Xu, Yun-Xin He, Chen-Yang Zhong, Rong-Da Chen, Tian Qiu, Yong-Dong Shi and Fei Ren
2017: Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version Downloads
Ruediger Frey, Lars Roesler and Dan Lu
2017: An application of time reversal to credit risk management Downloads
Masahiko Egami and Rusudan Kevkhishvili
2017: A Primer on Portfolio Choice with Small Transaction Costs Downloads
Johannes Muhle-Karbe, Max Reppen and H. Mete Soner
2017: Optimal stopping with f -expectations: the irregular case Downloads
Miryana Grigorova, Peter Imkeller, Youssef Ouknine and Marie-Claire Quenez
2017: Optimal shrinkage-based portfolio selection in high dimensions Downloads
Taras Bodnar, Yarema Okhrin and Nestor Parolya
2017: Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations Downloads
Jaroslaw Kwapien, Pawel Oswiecimka, Marcin Forczek and Stanislaw Drozdz
2017: The complex dynamics of products and its asymptotic properties Downloads
Orazio Angelini, Matthieu Cristelli, Andrea Zaccaria and Luciano Pietronero
2017: A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes Downloads
Camilo Hernandez, Mauricio Junca and Harold Moreno-Franco
2017: Some Aspects of Optimal Execution Problem with Multiple Venues and Multi-scale Stochastic Volatility Downloads
Qing-Qing Yang, Wai-Ki Ching, Jia-Wen Gu and Tak-Kuen Siu
2017: Inferring monopartite projections of bipartite networks: an entropy-based approach Downloads
Fabio Saracco, Mika J. Straka, Riccardo Di Clemente, Andrea Gabrielli, Guido Caldarelli and Tiziano Squartini
2017: On the American swaption in the linear-rational framework Downloads
Damir Filipovic and Yerkin Kitapbayev
2017: Utility Indifference Pricing of Insurance Catastrophe Derivatives Downloads
Andreas Eichler, Gunther Leobacher and Michaela Sz\"olgyenyi
2017: Shall I Sell or Shall I Wait? Optimal Liquidation under Partial Information with Price Impact Downloads
Katia Colaneri, Zehra Eksi, R\"udiger Frey and Michaela Sz\"olgyenyi
2017: A note on optimal expected utility of dividend payments with proportional reinsurance Downloads
Xiaoqing Liang and Zbigniew Palmowski
2017: Exponentially concave functions and a new information geometry Downloads
Soumik Pal and Ting-Kam Leonard Wong
2017: Optimal market making Downloads
Olivier Gu\'eant
2017: Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications Downloads
Ren\'e A\"id, Matteo Basei, Giorgia Callegaro, Luciano Campi and Tiziano Vargiolu
2017: Distribution-Constrained Optimal Stopping Downloads
Erhan Bayraktar and Christopher W. Miller
2017: Option pricing under fast-varying long-memory stochastic volatility Downloads
Josselin Garnier and Knut Solna
2017: Financial equilibrium with asymmetric information and random horizon Downloads
Umut \c{C}etin
2017: On a hybrid method using trees and finite-differences for pricing options in complex models Downloads
Maya Briani, Lucia Caramellino, Giulia Terenzi and Antonino Zanette
2017: Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets Downloads
Dieter Hendricks
2017: Unbiased estimation of risk Downloads
Marcin Pitera and Thorsten Schmidt
2017: A Mathematical Model of Foreign Capital Inflow Downloads
Gopal K. Basak, Pranab Das and Allena Rohit
2017: Financial Services, Economic Growth and Well-Being: A Four-Pronged Study Downloads
Ravi Kashyap
2017: Duality formulas for robust pricing and hedging in discrete time Downloads
Patrick Cheridito, Michael Kupper and Ludovic Tangpi
2017: On minimising a portfolio's shortfall probability Downloads
Anatolii A. Puhalskii and Michael Jay Stutzer
2017: Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations Downloads
Yusong Li and Harry Zheng
2017: Optimal Rebalancing Frequencies for Multidimensional Portfolios Downloads
Ibrahim Ekren, Ren Liu and Johannes Muhle-Karbe
2017: High-frequency limit of Nash equilibria in a market impact game with transient price impact Downloads
Alexander Schied, Elias Strehle and Tao Zhang
2017: Liquidity Effects of Trading Frequency Downloads
Roman Gayduk and Sergey Nadtochiy
2017: Law on the Market? Abnormal Stock Returns and Supreme Court Decision-Making Downloads
Daniel Martin Katz, Michael J Bommarito, Tyler Soellinger and James Ming Chen
2017: Valuation of capital protection options Downloads
Xiaolin Luo and Pavel V. Shevchenko
2017: Robust replication of barrier-style claims on price and volatility Downloads
Peter Carr, Roger Lee and Matthew Lorig
2017: One trade at a time -- unraveling the Equity Premium Puzzle Downloads
Andrei N. Soklakov
2017: Hybrid scheme for Brownian semistationary processes Downloads
Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen
2017: Reflected BSDEs when the obstacle is not right-continuous and optimal stopping Downloads
Miryana Grigorova, Peter Imkeller, Elias Offen, Youssef Ouknine and Marie-Claire Quenez
2017: Nonparametric Stochastic Discount Factor Decomposition Downloads
Timothy Christensen
2017: Quantile Hedging in a Semi-Static Market with Model Uncertainty Downloads
Erhan Bayraktar and Gu Wang
2017: Multilevel Monte Carlo For Exponential L\'{e}vy Models Downloads
Mike Giles and Yuan Xia
2017: Shapes of implied volatility with positive mass at zero Downloads
Stefano De Marco, Caroline Hillairet and Antoine Jacquier
2017: A market impact game under transient price impact Downloads
Alexander Schied and Tao Zhang
2017: Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces Downloads
Zbigniew Palmowski and Sebastian Baran
2017: Theoretical Sensitivity Analysis for Quantitative Operational Risk Management Downloads
Takashi Kato
2017: The effect of the behavior of an average consumer on the public debt dynamics Downloads
Roberto De Luca, Marco Di Mauro, Angelo Falzarano and Adele Naddeo
2017: An\'alisis de cointegraci\'on con una aplicaci\'on al mercado de deuda en Estados Unidos, Canad\'a y M\'exico Downloads
Emiliano Diaz
2017: Classifications of Innovations Survey and Future Directions Downloads
Mario Coccia
2017: A Quantum-like Model of Selection Behavior Downloads
Masanari Asano, Irina Basieva, Andrei Khrennikov, Masanori Ohya and Yoshiharu Tanaka
2017: Application of Differential Equations in Projecting Growth Trajectories Downloads
Ron W. Nielsen
2017: Propensity to spending of an average consumer over a brief period Downloads
Roberto De Luca, Marco Di Mauro, Angelo Falzarano and Adele Naddeo
2017: Bayesian Portfolio Selection Downloads
Sourish Das and Rituparna Sen
2017: Stochastic modelling of non-stationary financial assets Downloads
Joana Estevens, Paulo Rocha, Joao Boto and Pedro Lind
2017: A Time Series Analysis-Based Forecasting Framework for the Indian Healthcare Sector Downloads
Jaydip Sen and Tamal Datta Chaudhuri
2017: Duality in Regret Measures and Risk Measures Downloads
Qiang Yao, Xinmin Yang and Jie Sun
2017: Stratonovich representation of semimartingale rank processes Downloads
Robert Fernholz
2017: Periodic strategies in optimal execution with multiplicative price impact Downloads
Daniel Hern\'andez-Hern\'andez, Jos\'e Luis P\'erez and Harold A. Moreno-Franco
2017: Multi-Period Trading via Convex Optimization Downloads
Stephen Boyd, Enzo Busseti, Steven Diamond, Ronald N. Kahn, Kwangmoo Koh, Peter Nystrup and Jan Speth
2017: Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix Downloads
Tetsuya Takaishi
2017: Economic Neutral Position: How to best replicate not fully replicable liabilities Downloads
Andreas Kunz and Markus Popp
2017: Optimal client recommendation for market makers in illiquid financial products Downloads
Dieter Hendricks and Stephen J. Roberts
2017: Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model Downloads
Nian Yao and Zhiming Yang
2017: High-Frequency Jump Analysis of the Bitcoin Market Downloads
Olivier Scaillet, Adrien Treccani and Christopher Trevisan
2017: Stability of zero-growth economics analysed with a Minskyan model Downloads
Adam B. Barrett
2017: Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process Downloads
Andrei Cozma and Christoph Reisinger
2017: Value-at-Risk Diversification of $\alpha$-stable Risks: The Tail-Dependence Puzzle Downloads
Umberto Cherubini and Paolo Neri
2017: Asymptotic multivariate expectiles Downloads
V\'eronique Maume-Deschamps, Didier Rulli\`ere and Khalil Said
2017: The effect of heterogeneity on financial contagion due to overlapping portfolios Downloads
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2017: Pairs Trading under Drift Uncertainty and Risk Penalization Downloads
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2017: A level-1 Limit Order book with time dependent arrival rates Downloads
Jonathan A. Ch\'avez-Casillas, Robert J. Elliott, Bruno R\'emillard and Anatoliy V. Swishchuk
2017: On mean-variance hedging under partial observations and terminal wealth constraints Downloads
Vitalii Makogin, Alexander Melnikov and Yuliya Mishura
2017: Scaling evidence of the homothetic nature of cities Downloads
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2017: Simple wealth distribution model causing inequality-induced crisis without external shocks Downloads
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2017: Fast Quantization of Stochastic Volatility Models Downloads
Ralph Rudd, Thomas A. McWalter, Joerg Kienitz and Eckhard Platen
2017: Structural price model for electricity coupled markets Downloads
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2017: Anomalous Scaling of Stochastic Processes and the Moses Effect Downloads
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2017: A generalized Bayesian framework for the analysis of subscription based businesses Downloads
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2017: Quantifying instabilities in Financial Markets Downloads
Bruna Amin Gon\c{c}alves, Laura Carpi, Osvaldo A. Rosso, Martin G. Ravetti and A. P. F Atman
2017: The case of 'Less is more': Modelling risk-preference with Expected Downside Risk Downloads
Mihály Ormos and Dusan Timotity
2017: High-order compact finite difference scheme for option pricing in stochastic volatility jump models Downloads
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2017: Best reply structure and equilibrium convergence in generic games Downloads
Marco Pangallo, Torsten Heinrich and J Doyne Farmer
2017: Measurement of Economic Growth, Development and Under Development: New Model and Application Downloads
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2017: Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging Downloads
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2017: Simplifying credit scoring rules using LVQ+PSO Downloads
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2017: Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers Downloads
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2017: An empirical behavioural order-driven model with price limit rules Downloads
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2017: Exploring the relationship between technological improvement and innovation diffusion: An empirical test Downloads
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2017: Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time Downloads
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2017: On Feature Reduction using Deep Learning for Trend Prediction in Finance Downloads
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2017: Bartlett's delta in the SABR model Downloads
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2017: A fractional reaction-diffusion description of supply and demand Downloads
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2017: Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility Downloads
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2017: Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysics Downloads
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2017: On absence of steady state in the Bouchaud-M\'ezard network model Downloads
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2017: A systemic shock model for too big to fail financial institutions Downloads
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2017: On a pricing problem for a multi-asset option with general transaction costs Downloads
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2017: The micro-foundations of an open economy money demand: An application to the Central and Eastern European countries Downloads
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2017: Parameter uncertainty for integrated risk capital calculations based on normally distributed subrisks Downloads
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2017: Multivariate Geometric Expectiles Downloads
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2017: Replica Analysis for Portfolio Optimization with Single-Factor Model Downloads
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2017: ICT and Employment in India: A Sectoral Level Analysis Downloads
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2017: The Wandering of Corn Downloads
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2017: Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios Downloads
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2017: Interconnectedness in the Global Financial Market Downloads
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2017: Market Efficiency and Price Stabilization Policy in Interwar Osaka-Dojima Rice Exchange Downloads
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2017: Incorporating Signals into Optimal Trading Downloads
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2017: Sharp Target Range Strategies with Application to Dynamic Portfolio Selection Downloads
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2017: How Wave - Wavelet Trading Wins and "Beats" the Market Downloads
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2017: Non-Analytic Solution to the Fokker-Planck Equation of Fractional Brownian Motion via Laplace Transforms Downloads
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2017: Agent-Based Model Calibration using Machine Learning Surrogates Downloads
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2017: Biased Risk Parity with Fractal Model of Risk Downloads
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2017: Topological Data Analysis of Financial Time Series: Landscapes of Crashes Downloads
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2017: Performance of information criteria used for model selection of Hawkes process models of financial data Downloads
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2017: Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets Downloads
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2017: Parameter uncertainty and reserve risk under Solvency II Downloads
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2017: Can Agent-Based Models Probe Market Microstructure? Downloads
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2017: Portfolio choice, portofolio liquidation, and portfolio transition under drift uncertainty Downloads
Olivier Gu\'eant and Jiang Pu
2017: Managing Default Contagion in Inhomogeneous Financial Networks Downloads
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou and Daniel Ritter
2017: Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options Downloads
Kevin Guo and Tim Leung
2017: Approximate pricing of European and Barrier claims in a local-stochastic volatility setting Downloads
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2017: Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions Downloads
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2017: Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations Downloads
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2017: Covariance of random stock prices in the Stochastic Dividend Discount Model Downloads
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2017: Stochastic Tail Exponent For Asymmetric Power Laws Downloads
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2017: Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets Downloads
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2017: The randomised Heston model Downloads
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2017: Bayesian Posteriors For Arbitrarily Rare Events Downloads
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2017: Hedging under generalized good-deal bounds and model uncertainty Downloads
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2017: Existence and uniqueness results for BSDEs with jumps: the whole nine yards Downloads
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2017: On the Optimal Management of Public Debt: a Singular Stochastic Control Problem Downloads
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2017: An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior Downloads
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2017: Swaption Prices in HJM model. Nonparametric fit Downloads
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2017: Enhanced capital-asset pricing model for bipartite financial networks reconstruction Downloads
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2017: Skorohod's representation theorem and optimal strategies for markets with frictions Downloads
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2017: On American VIX options under the generalized 3/2 and 1/2 models Downloads
Yerkin Kitapbayev and Jerome Detemple
2017: Robust pricing--hedging duality for American options in discrete time financial markets Downloads
Anna Aksamit, Shuoqing Deng, Jan Ob\l\'oj and Xiaolu Tan
2017: Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty Downloads
Brian Bulthuis, Julio Concha, Tim Leung and Brian Ward
2017: Risk contagion under regular variation and asymptotic tail independence Downloads
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2017: Optimal Liquidation under Stochastic Liquidity Downloads
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2017: Tukey's Transformational Ladder for Portfolio Management Downloads
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2017: General dynamic term structures under default risk Downloads
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2017: Do co-jumps impact correlations in currency markets? Downloads
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2017: Statistical mechanics of complex economies Downloads
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2017: Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables Downloads
Jamie Fairbrother, Amanda Turner and Stein Wallace
2017: Analysis of Markovian Competitive Situations using Nonatomic Games Downloads
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2017: Game-theoretic Modeling of Players' Ambiguities on External Factors Downloads
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2017: Risk management under Omega measure Downloads
Michael R. Metel, Traian A. Pirvu and Julian Wong
2017: Pricing and Referrals in Diffusion on Networks Downloads
Matt V. Leduc, Matthew Jackson and Ramesh Johari
2017: An Insurance-Led Response to Climate Change Downloads
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2017: Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective Downloads
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2017: Measuring the frequency dynamics of financial connectedness and systemic risk Downloads
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2017: Actuarial Applications and Estimation of Extended~CreditRisk$^+$ Downloads
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2017: Optimal Asset Liquidation with Multiplicative Transient Price Impact Downloads
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2017: Rebalancing with Linear and Quadratic Costs Downloads
Ren Liu, Johannes Muhle-Karbe and Marko H. Weber
2017: The Convexity of the Free Boundary for the American put option Downloads
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2017: On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation Downloads
Dilip Madan, Martijn Pistorius and Mitja Stadje
2017: An Economic analogy to Electrodynamics Downloads
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2017: Machine Learning for Better Models for Predicting Bond Prices Downloads
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2017: Urban Data Streams and Machine Learning: A Case of Swiss Real Estate Market Downloads
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2017: On coherency and other properties of MAXVAR Downloads
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2017: Random Multi-Unit Assignment with Endogenous Quotas Downloads
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2017: Quadratic approximation of slow factor of volatility in a Multi-factor Stochastic volatility Model Downloads
Gifty Malhotra, R. Srivastava and H. C. Taneja
2017: Probabilistic Mid- and Long-Term Electricity Price Forecasting Downloads
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2017: Multiperiod Martingale Transport Downloads
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2017: Harry Potter and the Goblin Bank of Gringotts Downloads
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2017: Rational Choice and Artificial Intelligence Downloads
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2017: FIEMS: Fast Italian Energy Market Simulator Downloads
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2017: Smallest order closed sublattices and option spanning Downloads
Niushan Gao and Denny H. Leung
2017: Non-parametric and semi-parametric asset pricing Downloads
Peter Erdos, Mihály Ormos and David Zibriczky
2017: Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange Downloads
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2017: A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet Downloads
Amirhossein Sobhani and Mariyan Milev
2017: Microstructure under the Microscope: Tools to Survive and Thrive in The Age of (Too Much) Information Downloads
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2017: Ex-post core, fine core and rational expectations equilibrium allocations Downloads
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2017: Emergence of world-stock-market network Downloads
M. Saeedian, T. Jamali, M. Z. Kamali, H. Bayani, T. Yasseri and G. R. Jafari
2017: Game-Theoretic Protection Against Networked SIS Epidemics by Human Decision-Makers Downloads
Ashish R. Hota and Shreyas Sundaram
2017: Towards a probability-free theory of continuous martingales Downloads
Vladimir Vovk and Glenn Shafer
2017: A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping Downloads
Sigrid K\"allblad
2017: Cohort effects in mortality modelling: a Bayesian state-space approach Downloads
Man Chung Fung, Gareth W. Peters and Pavel V. Shevchenko
2017: Mean field and n-agent games for optimal investment under relative performance criteria Downloads
Daniel Lacker and Thaleia Zariphopoulou
2017: An Agent-based Model of Contagion in Financial Networks Downloads
Leonardo dos Santos Pinheiro and Flavio Codeco COelho
2017: Stochastic control on the half-line and applications to the optimal dividend/consumption problem Downloads
Dariusz Zawisza
2017: Optimal Portfolio under Fractional Stochastic Environment Downloads
Jean-Pierre Fouque and Ruimeng Hu
2017: New approaches in agent-based modeling of complex financial systems Downloads
T. T. Chen, B. Zheng, Y. Li and X. F. Jiang
2017: Direct observation of high-frequency traders' strategies and theoretical foundation for financial Brownian motion Downloads
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2017: A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors Downloads
Sujay Mukhoti and Pritam Ranjan
2017: How to Forecast an Election Downloads
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2017: Pricing VIX Derivatives With Free Stochastic Volatility Model Downloads
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2017: How well do experience curves predict technological progress? A method for making distributional forecasts Downloads
François Lafond, Aimee Gotway Bailey, Jan David Bakker, Dylan Rebois, Rubina Zadourian, Patrick McSharry and J. Doyne Farmer
2017: Acceptability Pricing of Contingent Claims Under Model Ambiguity Using Stochastic Optimization Downloads
Martin Glanzer and Georg Ch. Pflug
2017: Humans of Simulated New York (HOSNY): an exploratory comprehensive model of city life Downloads
Francis Tseng, Fei Liu and Bernardo Furtado
2017: Short-time near-the-money skew in rough fractional volatility models Downloads
Christian Bayer, Peter K. Friz, Archil Gulisashvili, Blanka Horvath and Benjamin Stemper
2017: Perfect hedging in rough Heston models Downloads
Omar El Euch and Mathieu Rosenbaum
2017: Data driven partition-of-unity copulas with applications to risk management Downloads
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2017: Systemic Risk, Maximum Entropy and Interbank Contagion Downloads
M. Andrecut
2017: Extremal Behavior of Long-Term Investors with Power Utility Downloads
Nicole B\"auerle and Stefanie Grether
2017: On representing and hedging claims for coherent risk measures Downloads
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2017: Diffusive and arrested-like dynamics in currency exchange markets Downloads
Joaquim Clara-Rahola, Antonio M. Puertas, Miguel Angel Sanchez-Granero, Juan E. Trinidad-Segovia and F. Javier de las Nieves
2017: Networks as Proxies: a relational approach towards economic complexity in the Roman period Downloads
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2017: Pythagorean theorem of Sharpe ratio Downloads
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2017: Media Network and Return Predictability Downloads
Li Guo and Yubo Tao
2017: Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization under Probability and Discounting Uncertainty Downloads
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2017: Wisdom of the institutional crowd Downloads
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2017: Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion Downloads
Danping Li, Dongchen Li and Virginia R. Young
2017: Optimal investment problem with M-CEV model: closed form solution and applications to the pair trading Downloads
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2017: Blockchains and Distributed Ledgers in Retrospective and Perspective Downloads
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2017: Collective Learning in China's Regional Economic Development Downloads
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2017: Disentangling Price, Risk and Model Risk Downloads
Marco Frittelli and Marco Maggis
2017: Quantifying China's Regional Economic Complexity Downloads
Jian Gao and Tao Zhou
2017: Swarm behavior of traders with different subjective predictions in the Market Downloads
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2017: Model Spaces for Risk Measures Downloads
Felix-Benedikt Liebrich and Gregor Svindland
2017: Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies Downloads
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2017: A note on conditional covariance matrices for elliptical distributions Downloads
Piotr Jaworski and Marcin Pitera
2017: A review of two decades of correlations, hierarchies, networks and clustering in financial markets Downloads
Gautier Marti, Frank Nielsen, Miko{\l}aj Bi\'nkowski and Philippe Donnat
2017: Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative Downloads
Andreas Hermes and Stanislaus Maier-Paape
2017: Are Trump and Bitcoin Good Partners? Downloads
Jamal Bouoiyour and Refk Selmi
2017: Recovering Linear Equations of XVA in Bilateral Contracts Downloads
Junbeom Lee and Chao Zhou
2017: Reverse stress testing interbank networks Downloads
Daniel Grigat and Fabio Caccioli
2017: Multi-Dimensional Pass-Through, Incidence, and the Welfare Burden of Taxation in Oligopoly Downloads
Takanori Adachi and Michal Fabinger
2017: Trading Lightly: Cross-Impact and Optimal Portfolio Execution Downloads
Iacopo Mastromatteo, Michael Benzaquen, Zoltan Eisler and Jean-Philippe Bouchaud
2017: An applied spatial agent-based model of administrative boundaries using SEAL Downloads
Bernardo Furtado and Isaque Daniel Eberhardt Rocha
2017: Super Generalized Central Limit Theorem: Limit distributions for sums of non-identical random variables with power-laws Downloads
Masaru Shintani and Ken Umeno
2017: Decision structure of risky choice Downloads
Lamb Wubin and Naixin Ren
2017: Multinomial method for option pricing under Variance Gamma Downloads
Nicola Cantarutti and Jo\~ao Guerra
2017: The Price of Political Uncertainty: Evidence from the 2016 U.S. Presidential Election and the U.S. Stock Markets Downloads
Jamal Bouoiyour and Refk Selmi
2017: BSDEs with default jump Downloads
Roxana Dumitrescu, Marie-Claire Quenez and Agn\`es Sulem
2017: Stratified regression-based variance reduction approach for weak approximation schemes Downloads
Denis Belomestny, Stefan H\"afner and Mikhail Urusov
2017: "Chaos" in energy and commodity markets: a controversial matter Downloads
Loretta Mastroeni and Pierluigi Vellucci
2017: Systemic Risk and Interbank Lending Downloads
Li-Hsien Sun
2017: Predictable Forward Performance Processes: The Binomial Case Downloads
Bahman Angoshtari, Thaleia Zariphopoulou and Xun Yu Zhou
2017: Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix * Downloads
Amine Ismail and Huy\^en Pham
2017: Option pricing with Legendre polynomials Downloads
Julien Hok and Tat Lung Chan
2017: Mixture Diffusion for Asset Pricing Downloads
Xin Liu
2017: Serendipity and strategy in rapid innovation Downloads
T. M. A. Fink, M. Reeves, R. Palma and R. S. Farr
2017: On optimal investment with processes of long or negative memory Downloads
Huy N. Chau and Miklos Rasonyi
2017: Information uncertainty related to marked random times and optimal investment Downloads
Ying Jiao and Idris Kharroubi
2017: The Problem of Calibrating an Agent-Based Model of High-Frequency Trading Downloads
Donovan Platt and Tim Gebbie
2017: High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering Downloads
Erhan Bayraktar and Alexander Munk
2017: Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications * Downloads
Huy\^en Pham
2017: Evidence of Self-Organization in Time Series of Capital Markets Downloads
Leopoldo S\'anchez-Cant\'u, Carlos Arturo Soto-Campos and Andriy Kryvko
2017: Getting rich quick with the Axiom of Choice Downloads
Vladimir Vovk
2017: Market Integration in the Prewar Japanese Rice Markets Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2017: Parisian ruin for a refracted L\'evy process Downloads
Mohamed Amine Lkabous, Irmina Czarna and Jean-Fran\c{c}ois Renaud
2017: Solving Society's Big Ills, A Small Step Downloads
Ravi Kashyap
2017: Local Parametric Estimation in High Frequency Data Downloads
Yoann Potiron and Per Mykland
2017: Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability Downloads
Masaaki Fujii and Akihiko Takahashi
2017: The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms Downloads
Jean-David Fermanian, Olivier Gu\'eant and Jiang Pu
2017: Sticky processes, local and true martingales Downloads
Mikl\'os R\'asonyi and Hasanjan Sayit
2017: Correction to Black-Scholes formula due to fractional stochastic volatility Downloads
Josselin Garnier and Knut Solna
2017: Maximizing expected utility in the Arbitrage Pricing Model Downloads
Miklos Rasonyi
2017: Multivariate Shortfall Risk Allocation and Systemic Risk Downloads
Yannick Armenti, Stephane Crepey, Samuel Drapeau and Antonis Papapantoleon
2017: An Empirical Approach to Financial Crisis Indicators Based on Random Matrices Downloads
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2017: Enhanced Gravity Model of trade: reconciling macroeconomic and network models Downloads
Assaf Almog, Rhys Bird and Diego Garlaschelli
2017: Singular recursive utility Downloads
Kristina R. Dahl and Bernt {\O}ksendal
2017: Introduction to Stochastic Differential Equations (SDEs) for Finance Downloads
Andrew Papanicolaou
2017: A Markov model of a limit order book: thresholds, recurrence, and trading strategies Downloads
Frank Kelly and Elena Yudovina
2017: Pareto Efficient Nash Implementation Via Approval Voting Downloads
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2017: Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$ Downloads
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2017: On Trading American Put Options with Interactive Volatility Downloads
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2017: On Zero-sum Optimal Stopping Games Downloads
Erhan Bayraktar and Zhou Zhou
2017: Functional Ito Calculus, Path-dependence and the Computation of Greeks Downloads
Samy Jazaerli and Yuri F. Saporito
2017: Implicit transaction costs and the fundamental theorems of asset pricing Downloads
Erindi Allaj
2017: The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations Downloads
Xiaoshan Chen, Yu-Jui Huang, Qingshuo Song and Chao Zhu
2017: Implied Filtering Densities on Volatility's Hidden State Downloads
Carlos Fuertes and Andrew Papanicolaou
2017: Long-run dynamics of the U.S. patent classification system Downloads
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2017: Optimal Investment and Pricing in the Presence of Defaults Downloads
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2017: Solvency II, or How to Swipe the Downside Risk Under the Carpet Downloads
Stefan Weber
2017: Robust and Consistent Estimation of Generators in Credit Risk Downloads
Greig Smith and Goncalo dos Reis
2017: Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stability Downloads
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2017: Economic inequality and mobility for stochastic models with multiplicative noise Downloads
Maria Letizia Bertotti, Amit K Chattopadhyay and Giovanni Modanese
2017: Probability density of lognormal fractional SABR model Downloads
Jiro Akahori, Xiaoming Song and Tai-Ho Wang
2017: The short-term price impact of trades is universal Downloads
Bence Toth, Zoltan Eisler and Jean-Philippe Bouchaud
2017: Obligations with Physical Delivery in a Multi-Layered Financial Network Downloads
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2017: A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes Downloads
David Landriault, Bin Li and Hongzhong Zhang
2017: A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus Downloads
Takuji Arai and Yuto Imai
2017: Time series momentum and contrarian effects in the Chinese stock market Downloads
Huai-Long Shi and Wei-Xing Zhou
2017: Robust Hedging of Options on a Leveraged Exchange Traded Fund Downloads
Alexander M. G. Cox and Sam M. Kinsley
2017: Structural Change in (Economic) Time Series Downloads
Christian Kleiber
2017: Evidence for criticality in financial data Downloads
G. Ruiz L\'opez and A. Fern\'andez de Marcos
2017: Relation between regional uncertainty spillovers in the global banking system Downloads
Sachapon Tungsong, Fabio Caccioli and Tomaso Aste
2017: Network-based Anomaly Detection for Insider Trading Downloads
Adarsh Kulkarni, Priya Mani and Carlotta Domeniconi
2017: Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria Downloads
Tianran Geng and Thaleia Zariphopoulou
2017: The amazing power of dimensional analysis: Quantifying market impact Downloads
Mathias Pohl, Alexander Ristig, Walter Schachermayer and Ludovic Tangpi
2017: Estimation for the Prediction of Point Processes with Many Covariates Downloads
Alessio Sancetta
2017: Uncertain Volatility Models with Stochastic Bounds Downloads
Jean-Pierre Fouque and Ning Ning
2017: PyCaMa: Python for cash management Downloads
Francisco Salas-Molina, Juan A. Rodr\'iguez-Aguilar and Pablo D\'iaz-Garc\'ia
2017: A hybrid approach for risk assessment of loan guarantee network Downloads
Zhibin Niu, Dawei Cheng, Junchi Yan, Jiawan Zhang, Liqing Zhang and Hongyuan Zha
2017: Estimating VaR in credit risk: Aggregate vs single loss distribution Downloads
M. Assadsolimani and D. Chetalova
2017: Regularities and Irregularities in Order Flow Data Downloads
Martin Theissen, Sebastian M. Krause and Thomas Guhr
2017: Contagion in financial systems: A Bayesian network approach Downloads
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2017: Pricing Non-cash Collateralized Derivatives and Collateral Optimization with Liquidity Value Adjustment Downloads
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2017: Labor Contract Law -An Economic View Downloads
Yaofeng Fu, Ruokun Huang and Yiran Sheng
2017: Short Maturity Asian Options for the CEV Model Downloads
Dan Pirjol and Lingjiong Zhu
2017: A Theory of Market Efficiency Downloads
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2017: Invariance properties in the dynamic gaussian copula model * Downloads
St\'ephane Cr\'epey and Shiqi Song
2017: Estimation of Risk Contributions with MCMC Downloads
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2017: Rough volatility: evidence from option prices Downloads
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2017: Econophysics of Macroeconomics: "Action-at-a-Distance" and Waves Downloads
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2017: One-Switch Discount Functions Downloads
Nina Anchugina
2017: Conditional Davis Pricing Downloads
Kasper Larsen, Halil Mete Soner and Gordan \v{Z}itkovi\'c
2017: The Installation Costs of a Satellite and Space Shuttle Launch Complex as a Public Expenditure Project Downloads
Dogus Ozuyar, Sevilay Gumus Ozuyar, Oguzhan Karadeniz and Ozge Varol
2017: Existence, uniqueness, and stability of optimal portfolios of eligible assets Downloads
Michel Baes, Pablo Koch-Medina and Cosimo Munari
2017: Type-Compatible Equilibria in Signalling Games Downloads
Drew Fudenberg and Kevin He
2017: Business Dynamics in KPI Space. Some thoughts on how business analytics can benefit from using principles of classical physics Downloads
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2017: Existence of a Radner equilibrium in a model with transaction costs Downloads
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2017: Hyperbolic Discounting of the Far-Distant Future Downloads
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2017: Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical Test of Market Efficiency Downloads
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Jose E. Figueroa-Lopez and K. Lee
2017: Invariance times Downloads
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2017: Emergence of Distributed Coordination in the Kolkata Paise Restaurant Problem with Finite Information Downloads
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2017: Record statistics of a strongly correlated time series: random walks and L\'evy flights Downloads
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2017: A confidence-based model for asset and derivative prices in the BitCoin market Downloads
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2017: Calibration of a Four-Factor Hybrid Local-Stochastic Volatility Model with a New Control Variate Particle Method Downloads
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2017: Multivariate GARCH with dynamic beta Downloads
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2017: Fractal approach towards power-law coherency to measure cross-correlations between time series Downloads
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2017: Elicitability and backtesting: Perspectives for banking regulation Downloads
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2017: Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA Downloads
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2017: On the properties of the Lambda value at risk: robustness, elicitability and consistency Downloads
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2017: On the existence of shadow prices for optimal investment with random endowment Downloads
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2017: Limit-order book resiliency after effective market orders: Spread, depth and intensity Downloads
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2017: Why Indexing Works Downloads
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2017: Central Clearing Valuation Adjustment Downloads
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2017: Incomplete stochastic equilibria for dynamic monetary utility Downloads
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2017: Sharper asset ranking from total drawdown durations Downloads
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2017: Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective Downloads
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2017: Sensitivity analysis for expected utility maximization in incomplete Brownian market models Downloads
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2017: Measuring Systemic Risk: Robust Ranking Techniques Approach Downloads
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2017: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models Downloads
Archil Gulisashvili, Frederi Viens and Xin Zhang
2017: Optimal Digital Product Maintenance with a Continuous Revenue Stream Downloads
James Fan and Christopher Griffin
2017: Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets Downloads
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2017: Modeling non-stationarities in high-frequency financial time series Downloads
Linda Ponta, Mailan Trinh, Marco Raberto, Enrico Scalas and Silvano Cincotti
2017: Fractional delta hedging strategy for pricing currency options with transaction costs Downloads
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2017: An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model Downloads
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2017: On a class of path-dependent singular stochastic control problems Downloads
Romuald Elie, Ludovic Moreau and Dylan Possama\"i
2017: Understanding food inflation in India: A Machine Learning approach Downloads
Akash Malhotra and Mayank Maloo
2017: Asset liquidation under drift uncertainty and regime-switching volatility Downloads
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2017: Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach Downloads
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2017: Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models Downloads
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2017: Computing the aggregate loss distribution based on numerical inversion of the compound empirical characteristic function of frequency and severity Downloads
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2017: A stability result on optimal Skorokhod embedding Downloads
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2017: Supply based on demand dynamical model Downloads
Asaf Levi, Juan Sabuco and Miguel A. F. Sanjuan
2017: Premium valuation for a multiple state model containing manifold premium-paid states Downloads
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2017: Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes Downloads
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2017: Time Series Copulas for Heteroskedastic Data Downloads
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2017: Monotone Martingale Transport Plans and Skorohod Embedding Downloads
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2017: Econophysics Macroeconomic Model Downloads
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2017: Economic Growth Model with Constant Pace and Dynamic Memory Downloads
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2017: A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation Downloads
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2017: Topology data analysis of critical transitions in financial networks Downloads
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2017: Asymptotic efficiency of the proportional compensation scheme for a large number of producers Downloads
Dmitry B. Rokhlin and Anatoly Usov
2017: Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces Downloads
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2017: Bank monitoring incentives under moral hazard and adverse selection Downloads
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2017: The Value of Timing Risk Downloads
Jiro Akahori, Flavia Barsotti and Yuri Imamura
2017: The Internet as Quantitative Social Science Platform: Insights from a Trillion Observations Downloads
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2017: An Optimal Combination of Proportional and Stop-Loss Reinsurance Contracts From Insurer's and Reinsurer's Viewpoints Downloads
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2017: An Optimal Multi-layer Reinsurance Policy under Conditional Tail Expectation Downloads
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2017: Dynamic Prize Linked Savings: Maximizing Savings and Managing Risk Downloads
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2017: Some correspondences between Index Number Theory in economy and the General Theory of Relativity in physics Downloads
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2017: Mean-Reverting Portfolio Design with Budget Constraint Downloads
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2017: A geometric approach to the transfer problem for a finite number of traders Downloads
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2017: Interpolating between matching and hedonic pricing models Downloads
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2017: On VIX Futures in the rough Bergomi model Downloads
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2017: Worst-Case Expected Shortfall with Univariate and Bivariate Marginals Downloads
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2017: A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities Downloads
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2017: Optimal Trading with a Trailing Stop Downloads
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2017: A Black--Scholes inequality: applications and generalisation Downloads
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2017: The structural constraints of income inequality in Latin America Downloads
Dominik Hartmann, Cristian Jara-Figueroa, Miguel Guevara, Alex Simoes and C\'esar A. Hidalgo
2017: Parallelizing Computation of Expected Values in Recombinant Binomial Trees Downloads
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2017: Trading strategies for stock pairs regarding to the cross-impact cost Downloads
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2017: Robust Portfolio Optimisation with Specified Competitors Downloads
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2017: Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps Downloads
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2017: Phase-type Approximation of the Gerber-Shiu Function Downloads
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2017: Recursive Marginal Quantization of Higher-Order Schemes Downloads
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2017: Property Safety Stock Policy for Correlated Commodities Based on Probability Inequality Downloads
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2017: Political elections and uncertainty -Are BRICS markets equally exposed to Trump's agenda? Downloads
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2017: Stability for gains from large investors' strategies in M1/J1 topologies Downloads
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2017: Asset correlation estimation for inhomogeneous exposure pools Downloads
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2017: Functional Analytic (Ir-)Regularity Properties of SABR-type Processes Downloads
Leif D\"oring, Blanka Horvath and Josef Teichmann
2017: Pricing insurance drawdown-type contracts with underlying L\'evy assets Downloads
Zbigniew Palmowski and Joanna Tumilewicz
2017: Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives Downloads
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2017: Predicting Economic Recessions Using Machine Learning Algorithms Downloads
Rickard Nyman and Paul Ormerod
2017: Rational Decision-Making Under Uncertainty: Observed Betting Patterns on a Biased Coin Downloads
Victor Haghani and Richard Dewey
2017: Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets Downloads
V. Gontis and A. Kononovicius
2017: Efficient asymptotic variance reduction when estimating volatility in high frequency data Downloads
Simon Clinet and Yoann Potiron
2017: Brownian trading excursions and avalanches Downloads
Friedrich Hubalek, Paul Kr\"uhner and Thorsten Rheinl\"ander
2017: Pricing European Options by Stable Fourier-Cosine Series Expansions Downloads
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2017: Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach Downloads
Tim Leung and Yerkin Kitapbayev
2017: Net Stable Funding Ratio: Impact on Funding Value Adjustment Downloads
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2017: Measuring the temperature and diversity of the U.S. regulatory ecosystem Downloads
Michael J Bommarito and Daniel Martin Katz
2017: Fractional Dynamics of Natural Growth and Memory Effect in Economics Downloads
Valentina V. Tarasova and Vasily E. Tarasov
2017: Analytic solution to variance optimization with no short-selling Downloads
Imre Kondor, G\'abor Papp and Fabio Caccioli
2017: Information, Impact, Ignorance, Illegality, Investing, and Inequality Downloads
Bruce Knuteson
2017: Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping Downloads
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2017: Price Dynamics Via Expectations, and the Role of Money Therein Downloads
Gesine A. Steudle, Saini Yang and Carlo C. Jaeger
2017: The Fatou Closedness under Model Uncertainty Downloads
Marco Maggis, Thilo Meyer-Brandis and Gregor Svindland
2017: The dividend problem with a finite horizon Downloads
Tiziano De Angelis and Erik Ekstr\"om
2017: Role of Intensive and Extensive Variables in a Soup of Firms in Economy to Address Long Run Prices and Aggregate Data Downloads
Ali Hosseiny and Mauro Gallegati
2017: A functional convergence theorem for interpolated Markov chains to an infinite dimensional diffusion with application to limit order books Downloads
Ulrich Horst and D\"orte Kreher
2017: Intergenerational Equity in a Finite Horizon Downloads
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2017: Multifactor CES General Equilibrium: Models and Applications Downloads
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2017: Statistical Industry Classification Downloads
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2017: MPDATA Meets Black-Scholes: Derivative Pricing as a Transport Problem Downloads
Sylwester Arabas and Ahmad Farhat
2017: Existence of a calibrated regime switching local volatility model and new fake Brownian motions Downloads
Benjamin Jourdain and Alexandre Zhou
2017: Mean field games of timing and models for bank runs Downloads
Rene Carmona, Francois Delarue and Daniel Lacker
2017: A constraint-based framework to study rationality, competition and cooperation in fisheries Downloads
Christian Mullon and Charles Mullon
2017: Factor Models for Cancer Signatures Downloads
Zura Kakushadze and Willie Yu
2017: Concurrent Credit Portfolio Losses Downloads
Joachim Sicking, Thomas Guhr and Rudi Sch\"afer
2017: A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective Downloads
Tomasz R. Bielecki, Igor Cialenco and Marcin Pitera
2017: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets Downloads
Tomas Krehlik and Jozef Baruník
2017: David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs Downloads
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2017: Statistical Risk Models Downloads
Zura Kakushadze and Willie Yu
2017: Optimal investment and consumption with liquid and illiquid assets Downloads
Jin Hyuk Choi
2017: Comonotonic risk measures in a world without risk-free assets Downloads
Pablo Koch-Medina, Cosimo Munari and Gregor Svindland
2017: Option Pricing in Markets with Unknown Stochastic Dynamics Downloads
Hanno Gottschalk, Elpida Nizami and Marius Schubert
2017: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate Downloads
Pavel V. Shevchenko and Xiaolin Luo
2017: Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading Downloads
Imke Redeker and Ralf Wunderlich
2017: Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model Downloads
Aur\'elien Hazan
2017: Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data Downloads
Richard Y. Chen and Per A. Mykland
2017: Optimal Control of Conditional Value-at-Risk in Continuous Time Downloads
Christopher W. Miller and Insoon Yang
2017: Dynamic programming approach to principal-agent problems Downloads
Jak\v{s}a Cvitani\'c, Dylan Possama\"i and Nizar Touzi
2017: Correlated Poisson processes and self-decomposable laws Downloads
Nicola Cufaro Petroni and Piergiacomo Sabino
2017: Linking Economic Complexity, Institutions and Income Inequality Downloads
Dominik Hartmann, M. R. Guevara, C. Jara-Figueroa, M. Aristaran and Cesar Hidalgo
2017: An equilibrium model for spot and forward prices of commodities Downloads
Michail Anthropelos, Michael Kupper and Antonis Papapantoleon
2017: VWAP Execution as an Optimal Strategy Downloads
Takashi Kato
2017: On the optimal exercise boundaries of swing put options Downloads
Tiziano De Angelis and Yerkin Kitapbayev
2017: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs Downloads
Tiziano De Angelis, Salvatore Federico and Giorgio Ferrari
2017: A heuristic pricing and hedging framework for multi-currency fixed income desks Downloads
Eduard Gim\'enez, Alberto Elices and Giovanna Villani
2017: Sensitivity analysis in a market with memory Downloads
David R. Banos, Giulia Di Nunno and Frank Proske
2017: On the Market Viability under Proportional Transaction Costs Downloads
Erhan Bayraktar and Xiang Yu
2017: Stationary Markov Perfect Equilibria in Discounted Stochastic Games Downloads
Wei He and Yeneng Sun
2017: Stock price direction prediction by directly using prices data: an empirical study on the KOSPI and HSI Downloads
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2017: Deriving Derivatives Downloads
Andrei N. Soklakov
2017: General Smooth Solutions to the HJB PDE: Applications to Finance Downloads
Moawia Alghalith
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