Papers

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2015: The Tragedy of Your Upstairs Neighbors: Is the Airbnb Negative Externality Internalized?

John Horton

2015: Secular bipolar growth rate of the real US GDP per capita: implications for understanding past and future economic growth

Sandro Lera and Didier Sornette

2015: Escaping the trap of 'blocking': a kinetic model linking economic development and political competition

Marina Dolfin, Dami\'an Knopoff, Leone Leonida and Dario Maimone Ansaldo Patti

2015: Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process

Andrei Cozma and Christoph Reisinger

2015: On the Fractal Geometry of the Balance Sheet and the Fractal Index of Insolvency Risk

A. K. M. Azhar, Vincent B. Y. Gan, W. A. T. Wan Abdullah and H. Zainuddin

2015: On Optimal Pricing Model for Multiple Dealers in a Competitive Market

Wai-Ki Ching, Jia-Wen Gu, Qing-Qing Yang and Tak Kuen Siu

2015: The Role of Time in Making Risky Decisions and the Function of Choice

Valerii Salov

2015: Inferring Volatility in the Heston Model and its Relatives -- an Information Theoretical Approach

Nils Bertschinger and Oliver Pfante

2015: Risk Aversion in the Small and in the Large under Rank-Dependent Utility

Louis Eeckhoudt and Roger Laeven

2015: Liability-side Pricing of Swaps and Coherent CVA and FVA by Regression/Simulation

Wujiang Lou

2015: Hedging of covered options with linear market impact and gamma constraint

B Bouchard, G Loeper and Y Zou

2015: Sovereign Default Risk and Uncertainty Premia

Demian Pouzo and Ignacio Presno

2015: Asymptotic pricing in large financial markets

Micha{\l} Barski

2015: How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange

Libin Yang, William Rea and Alethea Rea

2015: Optimal decision for the market graph identification problem in sign similarity network

V. A. Kalyagin, P. A. Koldanov and P. M. Pardalos

2015: Optimization problem for a portfolio with an illiquid asset: Lie group analysis

Ljudmila A. Bordag and Ivan P. Yamshchikov

2015: Which measure for PFE? The Risk Appetite Measure, A

Chris Kenyon, Andrew Green and Mourad Berrahoui

2015: Using machine learning for medium frequency derivative portfolio trading

Abhijit Sharang and Chetan Rao

2015: Approximation of forward curve models in commodity markets with arbitrage-free finite dimensional models

Fred Espen Benth and Paul Kr\"uhner

2015: Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods

Mauricio Contreras, Rely Pellicer, Daniel Santiagos and Marcelo Villena

2015: European Union gas market development

Tobias Baltensperger, Rudolf M. F\"uchslin, Pius Kr\"utli and John Lygeros

2015: Forward rate models with linear volatilities

Micha{\l} Barski and Jerzy Zabczyk

2015: Edgeworth expansion for the pre-averaging estimator

Mark Podolskij, Bezirgen Veliyev and Nakahiro Yoshida

2015: Heath-Jarrow-Morton-Musiela equation with L\'evy perturbation

Micha{\l} Barski and Jerzy Zabczyk

2015: Graphical Exchange Mechanisms

Pradeep Dubey, Siddhartha Sahi and Martin Shubik

2015: Incompleteness of the bond market with L\'evy noise under the physical measure

Micha{\l} Barski

2015: A generalized intensity based framework for single-name credit risk

Frank Gehmlich and Thorsten Schmidt

2015: Do investors trade too much? A laboratory experiment

Joao da Gama Batista, Domenico Massaro, Jean-Philippe Bouchaud, Damien Challet and Cars Hommes

2015: Option pricing in affine generalized Merton models

Christian Bayer and John Schoenmakers

2015: Time-consistency of cash-subadditive risk measures

Elisa Mastrogiacomo and Emanuela Rosazza Gianin

2015: Macroeconomic Dynamics of Assets, Leverage and Trust

Jeroen Rozendaal, Yannick Malevergne and Didier Sornette

2015: Identifying Highly Correlated Stocks Using the Last Few Principal Components

Libin Yang, William Rea and and Alethea Rea

2015: Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book

Martin D. Gould and Julius Bonart

2015: Time-inhomogeneous affine processes and affine market models

Stefan Waldenberger

2015: Monotonicity of the collateralized debt obligations term structure model

Micha{\l} Barski

2015: The role of money and the financial sector in energy-economy models used for assessing climate policy

Hector Pollitt and Jean-Francois Mercure

2015: The network structure of city-firm relations

Antonios Garas, Celine Rozenblat and Frank Schweitzer

2015: High-order ADI scheme for option pricing in stochastic volatility models

Bertram D\"uring and James Miles

2015: Variations on an example of Karatzas and Ruf

Robert Fernholz

2015: The double role of GDP in shaping the structure of the International Trade Network

Assaf Almog, Tiziano Squartini and Diego Garlaschelli

2015: Money as Minimal Complexity

Pradeep Dubey, Siddhartha Sahi and Martin Shubik

2015: An asymmetric ARCH model and the non-stationarity of Clustering and Leverage effects

Xin Li and Carlos F. Tolmasky

2015: A Comparision of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones

Hannah Cheng Juan Zhan, William Rea and Alethea Rea

2015: Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling

Mihály Ormos and Dusan Timotity

2015: Financial market models in discrete time beyond the concave case

Mario Sikic

2015: Oil price shocks, road transport pollution emissions and residents' health losses in China

Sheng Yang and Ling-Yun He

2015: Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?

Yue-Jun Zhang, Ting Yao and Ling-Yun He

2015: Optimal environmental tax swaps and double dividend hypothesis

Su-Mei Chen and Ling-Yun He

2015: Key drivers of EU budget allocation: Does power matter?

Vera Zaporozhets, Mar\'ia Garc\'ia-Vali\~nas and Sascha Kurz

2015: Unified Growth Theory Contradicted by the GDP/cap Data

Ron W Nielsen

2015: Shrinkage = Factor Model

Zura Kakushadze

2015: Algebraic Structure of Vector Fields in Financial Diffusion Models and its Applications

Yusuke Morimoto and Makiko Sasada

2015: Time-dependent scaling patterns in high frequency financial data

Noemi Nava, Tiziana Di Matteo and Tomaso Aste

2015: On the reversal bias of the Minimax social choice correspondence

Daniela Bubboloni and Michele Gori

2015: Optimum Liquidation Problem Associated with the Poisson Cluster Process

A. Sadoghi and J. Vecer

2015: Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity

Jos\'e E. Figueroa-L\'opez and Yankeng Luo

2015: Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm

Marius Hofert, Amir Memartoluie, David Saunders and Tony Wirjanto

2015: Efficient Network Structures with Separable Heterogeneous Connection Costs

Babak Heydari, Mohsen Mosleh and Kia Dalili

2015: Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting

T Kruse and A Popier

2015: Recursive Partitioning for Heterogeneous Causal Effects

Susan Athey and Guido Imbens

2015: Anomalous volatility scaling in high frequency financial data

Noemi Nava, T. Di Matteo and Tomaso Aste

2015: Model risk on credit risk

J. Molins and E. Vives

2015: Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes

Florian Ziel

2015: Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps

Jos\'e E. Figueroa-L\'opez and Sveinn \'Olafsson

2015: Liquidity costs: a new numerical methodology and an empirical study

Christophe Michel, Victor Reutenauer, Denis Talay and Etienne Tanr\'e

2015: Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets

Florian Ziel, Rick Steinert and Sven Husmann

2015: Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics

Gabriele Ranco, Ilaria Bordino, Giacomo Bormetti, Guido Caldarelli, Fabrizio Lillo and Michele Treccani

2015: A lattice framework for pricing display advertisement options with the stochastic volatility underlying model

Bowei Chen and Jun Wang

2015: On the shortfall risk control -- a refinement of the quantile hedging method

Micha{\l} Barski

2015: Multiscaling edge effects in an agent-based money emergence model

Pawe{\l} O\'swi\k{e}cimka, Stanis{\l}aw Dro\.zd\.z, Robert G\k{e}barowski, Andrzej Z. G\'orski and Jaros{\l}aw Kwapie\'n

2015: Robust Quantitative Comparative Statics for a Multimarket Paradox

Tobias Harks and Philipp von Falkenhausen

2015: Corruption and Wealth: Unveiling a national prosperity syndrome in Europe

Juan C. Correa and Klaus Jaffe

2015: It's a Trap: Emperor Palpatine's Poison Pill

Zachary Feinstein

2015: Realized Volatility Analysis in A Spin Model of Financial Markets

Tetsuya Takaishi

2015: Disentangling bipartite and core-periphery structure in financial networks

Paolo Barucca and Fabrizio Lillo

2015: Singular Problems for Integro-Differential Equations in Dynamic Insurance Models

Tatiana Belkina, Nadezhda Konyukhova and Sergey Kurochkin

2015: Complex economies have a lateral escape from the poverty trap

Emanuele Pugliese, Guido L. Chiarotti, Andrea Zaccaria and Luciano Pietronero

2015: Water Stress on U.S. Power Production at Decadal Time Horizons

Poulomi Ganguli, Devashish Kumar and Auroop R. Ganguly

2015: On the Existence of Martingale Measures in Jump Diffusion Market Models

Jacopo Mancin and Wolfgang J. Runggaldier

2015: An Application of Correlation Clustering to Portfolio Diversification

Hannah Cheng Juan Zhan, William Rea and Alethea Rea

2015: Box-Cox transformation of firm size data in statistical analysis

Ting Ting Chen and Tetsuya Takaishi

2015: Sustainability in the Stochastic Ramsey Model

Rabi Bhattacharya, Hyeonju Kim and Mukul Majumdar

2015: Some Dynamic Market Models

Jan A. Audestad

2015: Risk-return relationship: An empirical study of different statistical methods for estimating the Capital Asset Pricing Models (CAPM) and the Fama-French model for large cap stocks

Linh Nghiem

2015: Early Warning Signs of the Economic Crisis in Greece: A Warning for Other Countries and Regions

Ron W Nielsen

2015: Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach

Federico Musciotto, Luca Marotta, Salvatore Miccich\`e, Jyrki Piilo and Rosario Mantegna

2015: Backbone of credit relationships in the Japanese credit market

Luca Marotta, Salvatore Miccich\`e, Yoshi Fujiwara, Hiroshi Iyetomi, Hideaki Aoyama, Mauro Gallegati and Rosario Mantegna

2015: A Generalized Probability Framework to Model Economic Agents' Decisions Under Uncertainty

Emmanuel Haven and Sandro Sozzo

2015: A simple framework for the axiomatization of exponential and quasi-hyperbolic discounting

Nina Anchugina

2015: Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations

Karol Duris, Shih-Hau Tan, Choi-Hong Lai and Daniel Sevcovic

2015: Prediction in complex systems: the case of the international trade network

Alexandre Vidmer, An Zeng, Mat\'u\v{s} Medo and Yi-Cheng Zhang

2015: An invitation to coupling and copulas: with applications to multisensory modeling

Hans Colonius

2015: Pricing Two-asset Options under Exponential L\'evy Model Using a Finite Element Method

Xun Li, Ping Lin, Xue-Cheng Tai and Jinghui Zhou

2015: Deleveraging, short sale constraints and market crash

Liang Wu, Lei Zhang and Zhiming Fu

2015: Instability and Information

Felix Patzelt

2015: Capital allocation and risk appetite under Solvency II framework

Ivan Granito and Paolo De Angelis

2015: Wage gap between men and women in Tunisia

Hela Jeddi and Dhafer Malouche

2015: Modeling Market Inefficiencies within a Single Instrument

Kuang-Ting Chen

2015: Sequential Detection of Market shocks using Risk-averse Agent Based Models

Vikram Krishnamurthy and Sujay Bhatt

2015: Positive skewness, anti-leverage, reverse volatility asymmetry, and short sale constraints: Evidence from the Chinese markets

Liang Wu, Jingyi Luo, Yingkai Tang and Gregory Bardes

2015: On real growth and run-off companies in insurance ruin theory

Harri Nyrhinen

2015: Pricing Parisian down-and-in options

Song-Ping Zhu, Nhat-Tan Le, Wen-Ting Chen and Xiaoping Lu

2015: A Dynamic Model of Functioning of a Bank

Oleg Malafeyev and Achal Awasthi

2015: On Origins of Alpha

Zura Kakushadze

2015: A backward Monte Carlo approach to exotic option pricing

Giacomo Bormetti, Giorgia Callegaro, Giulia Livieri and Andrea Pallavicini

2015: Learning Unfair Trading: a Market Manipulation Analysis From the Reinforcement Learning Perspective

Enrique Mart\'inez-Miranda, Peter McBurney and Matthew J. Howard

2015: With string model to time series forecasting

Richard Pin\v{c}\'ak and Erik Barto\v{s}

2015: Real Options and Threshold Strategies

Vadim Arkin and Alexander Slastnikov

2015: The Insecure Future of the World Economic Growth

Ron W Nielsen

2015: Estimating the Impact of Wind Generation in the UK

Lisa MH Hall, Alastair Buckley and Jose Mawyin

2015: Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies

Rafal Rak, Stanislaw Drozdz, Jaroslaw Kwapien and Pawel Oswiecimka

2015: Optimal ETF Selection for Passive Investing

David Puelz, Carlos M. Carvalho and P. Richard Hahn

2015: Consistent Pricing of VIX and Equity Derivatives with the 4/2 Stochastic Volatility Plus Jumps Model

Wei Lin, Shenghong Li, Xingguo Luo and Shane Chern

2015: Market Making with Model Uncertainty

Hee Su Roh and Yinyu Ye

2015: Agent based simulations visualize Adam Smith's invisible hand by solving Friedrich Hayek's Economic Calculus

Klaus Jaffe

2015: Volatility Harvesting: Extracting Return from Randomness

Jan Hendrik Witte

2015: From innovation to diversification: a simple competitive model

Fabio Saracco, Riccardo Di Clemente, Andrea Gabrielli and Luciano Pietronero

2015: Return spillovers around the globe: A network approach

Štefan Lyócsa, Tomáš Výrost and Eduard Baumohl

2015: Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations

Jaroslaw Kwapien, Pawel Oswiecimka and Stanislaw Drozdz

2015: Optimal Static Quadratic Hedging

Tim Leung and Matthew Lorig

2015: Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs

Damiano Brigo, Marco Francischello and Andrea Pallavicini

2015: New exact Taylor's expansions and simple solutions to PDEs

Moawia Alghalith

2015: Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds

Dirk Tasche

2015: Intertemporal Substitutability, Risk Aversion and Asset Prices

Dominique Pépin

2015: Error analysis in Fourier methods for option pricing

Fabi\'an Crocce, Juho H\"app\"ol\"a, Jonas Kiessling and Ra\'ul Tempone

2015: Feynman-Kac formula for L\'evy processes with discontinuous killing rate

Kathrin Glau

2015: The existence of optimal bang-bang controls for GMxB contracts

Parsiad Azimzadeh and Peter A. Forsyth

2015: How predictable is technological progress?

J. Farmer and François Lafond

2015: Consumption investment optimization with Epstein-Zin utility in incomplete markets

Hao Xing

2015: Smile with the Gaussian term structure model

Abdelkoddousse Ahdida, Aur\'elien Alfonsi and Ernesto Palidda

2015: Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line

Erwan Pierre, St\'ephane Villeneuve and Xavier Warin

2015: Risk in a large claims insurance market with bipartite graph structure

Oliver Kley, Claudia Kluppelberg and Gesine Reinert

2015: Verification of internal risk measure estimates

Mark H. A. Davis

2015: Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals

Sebastian E. Ferrando, Alfredo L. Gonzalez, Ivan L. Degano and Massoome Rahsepar

2015: Ergodic BSDEs with jumps and time dependence

Samuel N. Cohen and Victor Fedyashov

2015: Estimation of the Global Minimum Variance Portfolio in High Dimensions

Taras Bodnar, Nestor Parolya and Wolfgang Schmid

2015: Quantum Brownian motion model for the stock market

Xiangyi Meng, Jian-Wei Zhang and Hong Guo

2015: The least squares method for option pricing revisited

Maciej Klimek and Marcin Pitera

2015: A Spectral Model of Turnover Reduction

Zura Kakushadze

2015: Conditional Value-at-Risk: Theory and Applications

Jakob Kisiala

2015: A New Class of Problems in the Calculus of Variations

Ivar Ekeland, Yiming Long and Qinglong Zhou

2015: Optimal Portfolio Liquidation and Dynamic Mean-variance Criterion

Jia-Wen Gu and Mogens Steffensen

2015: Gold, currencies and market efficiency

Ladislav Krištoufek and Miloslav Vošvrda

2015: A Stochastic Electricity Market Clearing Formulation with Consistent Pricing Properties

Victor M. Zavala, Kibaek Kim, Mihai Anitescu and John Birge

2015: Computer-Suported Risk Identification for the Holistic Management of Risks

Jochen L. Leidner

2015: "Speculative Influence Network" during financial bubbles: application to Chinese Stock Markets

Li Lin and Didier Sornette

2015: From Acquaintances to Friends: Homophily and Learning in Networks

Mihaela van der Schaar and Simpson Zhang

2015: Modern Monetary Circuit Theory, Stability of Interconnected Banking Network, and Balance Sheet Optimization for Individual Banks

Alexander Lipton

2015: Uncovering the evolution of non-stationary stochastic variables: the example of asset volume-price fluctuations

Paulo Rocha, Frank Raischel, Jo\~ao P. Boto and Pedro G. Lind

2015: Pricing of high-dimensional options

Alexander Kushpel

2015: Coherent CVA and FVA with Liability Side Pricing of Derivatives

Wujiang Lou

2015: Liquidity, risk measures, and concentration of measure

Daniel Lacker

2015: Mathematics of Predicting Growth

Ron W Nielsen

2015: Basic industrial funds of cargo motor transport enterprises: problems of effective use

Oleksandr Vashkiv

2015: Multifractal Flexibly Detrended Fluctuation Analysis

Rafal Rak and Pawel Zi\k{e}ba

2015: Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error

Fabio Caccioli, Imre Kondor and G\'abor Papp

2015: Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions

Andrey Itkin

2015: How to (Not) Estimate Gini Coefficients for Fat Tailed Variables

Nassim Nicholas Taleb

2015: On Capturing the Spreading Dynamics over Trading Prices in the Market

Hokky Situngkir

2015: Application of Stochastic Mesh Method to Efficient Approximation of CVA

Yusuke Morimoto

2015: Extending the Black-Scholes Option Pricing Theory to Account for an Option Market Maker's Funding Costs

Wujiang Lou

2015: Explicit solutions to a vector time series model and its induced model for business cycles

Xiongzhi Chen

2015: Deriving Priorities From Inconsistent PCM using the Network Algorithms

Marcin Anholcer and Janos F\"ul\"op

2015: Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach

Jiatu Cai, Mathieu Rosenbaum and Peter Tankov

2015: On the Efficient Market Hypothesis of Stock Market Indexes: The Role of Non-synchronous Trading and Portfolio Effects

Roberto Ortiz, Mauricio Contreras and Marcelo Villena

2015: Is the Indian Stock Market efficient - A comprehensive study of Bombay Stock Exchange Indices

Achal Awasthi and Oleg Malafeyev

2015: Performance analysis of the optimal strategy under partial information

Ahmed Bel Hadj Ayed, Gr\'egoire Loeper, Sofiene El Aoud and Fr\'ed\'eric Abergel

2015: Viscosity properties with singularities in a state-constrained expected utility maximization problem

Mourad Lazgham

2015: Regularity properties in a state-constrained expected utility maximization problem

Mourad Lazgham

2015: Coupled uncertainty provided by a multifractal random walker

Z. Koohi Lai, S. Vasheghani Farahani, S. M. S. Movahed and G. R. Jafari

2015: On the Solution of the Multi-asset Black-Scholes model: Correlations, Eigenvalues and Geometry

Mauricio Contreras, Alejandro Llanquihu\'en and Marcelo Villena

2015: How universal is the law of income distribution? Cross country comparison

Ivan Kitov and Oleg Kitov

2015: Gender income disparity in the USA: analysis and dynamic modelling

Ivan Kitov and Oleg Kitov

2015: Information equilibrium as an economic principle

Jason Smith

2015: An example of short-term relative arbitrage

Robert Fernholz

2015: Endogenous Current Coupons

Scott Robertson and Zhe Cheng

2015: Pricing the European call option in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Exact formulas

Sergii Kuchuk-Iatsenko and Yuliya Mishura

2015: Deconstructing the Low-Vol Anomaly

S. Ciliberti, Y. Lemp\'eri\`ere, A. Beveratos, G. Simon, L. Laloux, M. Potters and J. P. Bouchaud

2015: What's in a ball? Constructing and characterizing uncertainty sets

Thomas Kruse, Judith C. Schneider and Nikolaus Schweizer

2015: Efficient Randomized Quasi-Monte Carlo Methods For Portfolio Market Risk

Halis Sak and \.Ismail Ba\c{s}o\u{g}lu

2015: Shortfall from Maximum Convexity

Matthew Ginley

2015: Analysis of the particle transfer between two systems under unification

I. A. Molotkov and A. I. Osin

2015: More Opportunities than Wealth: A Network of Power and Frustration

Benoit Mahault, Avadh Saxena and Cristiano Nisoli

2015: Conditional risk measures in a bipartite market structure

Oliver Kley, Claudia Kl\"uppelberg and Gesine Reinert

2015: Seasonalities and cycles in time series: A fresh look with computer experiments

Michel Fliess and C\'edric Join

2015: On the no-arbitrage market and continuity in the Hurst parameter

Nikolai Dokuchaev

2015: Effect of religious rules on time of conception in Romania from 1905 to 2001

Claudiu Herteliu, Bogdan Ileanu, Marcel Ausloos and Giulia Rotundo

2015: Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators

Anis Al Gerbi, Benjamin Jourdain and Emmanuelle Cl\'ement

2015: Currency target zone modeling: An interplay between physics and economics

Sandro Claudio Lera and Didier Sornette

2015: Modelling Financial Markets by Self-Organized Criticality

A. E. Biondo, A. Pluchino and A. Rapisarda

2015: Optimal forest rotation age under efficient climate change mitigation

Tommi Ekholm

2015: Dynamics of Order Positions and Related Queues in a Limit Order Book

Xin Guo, Zhao Ruan and Lingjiong Zhu

2015: The Long Memory of Order Flow in the Foreign Exchange Spot Market

Martin D. Gould, Mason A. Porter and Sam D. Howison

2015: Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights

Jonathan Donier and Jean-Philippe Bouchaud

2015: Convex duality with transaction costs

Yan Dolinsky and H. Mete Soner

2015: Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation

Michael Ho, Zheng Sun and Jack Xin

2015: Combining Alphas via Bounded Regression

Zura Kakushadze

2015: Misspecified Recovery

Jaroslav Borovi\v{c}ka, Lars Hansen and Jose Scheinkman

2015: Multi-curve HJM modelling for risk management

Chiara Sabelli, Michele Pioppi, Luca Sitzia and Giacomo Bormetti

2015: Incorporating Views on Market Dynamics in Options Hedging

Antoine E. Zambelli

2015: Ross Recovery with Recurrent and Transient Processes

Hyungbin Park

2015: Risk Premia: Asymmetric Tail Risks and Excess Returns

Y. Lemp\'eri\`ere, C. Deremble, T. T. Nguyen, P. Seager, M. Potters and J. P. Bouchaud

2015: Regularizing Portfolio Risk Analysis: A Bayesian Approach

Sourish Das, Aritra Halder and Dipak K. Dey

2015: Accelerating Implicit Finite Difference Schemes Using a Hardware Optimized Tridiagonal Solver for FPGAs

Samuel Palmer

2015: Weak reflection principle for L\'evy processes

Erhan Bayraktar and Sergey Nadtochiy

2015: Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach

Giorgio Ferrari, Frank Riedel and Jan-Henrik Steg

2015: Quantum decision making by social agents

V. I. Yukalov and D. Sornette

2015: The two defaults scenario for stressing credit portfolio loss distributions

Dirk Tasche

2015: The Corporate Social Responsibility is just a twist in a M\"obius Strip

Nazaria Solferino and Viviana Solferino

2015: Universalized Prisoner's Dilemma With Risk

Paul Studtmann

2015: Volume Weighted Average Price Optimal Execution

Enzo Busseti and Stephen Boyd

2015: The spatial component of R&D networks

Tobias Scholl, Antonios Garas and Frank Schweitzer

2015: Representation and approximation of ambit fields in Hilbert space

Fred Espen Benth and Heidar Eyjolfsson

2015: Correctness of Backtest Engines

Robert L\"ow, Stanislaus Maier-Paape and Andreas Platen

2015: Asymmetry of cross correlations between intra-day and overnight volatilities

Rubina Zadourian and Peter Grassberger

2015: Efficient Computation of the Quasi Likelihood function for Discretely Observed Diffusion Processes

Lars Josef H\"o\"ok and Erik Lindstr\"om

2015: Quadratic Hawkes processes for financial prices

Pierre Blanc, Jonathan Donier and Jean-Philippe Bouchaud

2015: Option contracts for a privacy-aware market

Maurizio Naldi and Giuseppe D'Acquisto

2015: Les indicateus avanc\'es de l'inflation en RDCongo

Henry Ngongo

2015: Universality of market superstatistics

Mateusz Denys, Maciej Jagielski, Tomasz Gubiec, Ryszard Kutner and H. Eugene Stanley

2015: Mean-Reverting Portfolios: Tradeoffs Between Sparsity and Volatility

Marco Cuturi and Alexandre d'Aspremont

2015: Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application

Wen-Jie Xie, Zhi-Qiang Jiang, Gao-Feng Gu, Xiong Xiong and Wei-Xing Zhou

2015: Managing Cellular Billing Plan Switchings

Valery Vilisov

2015: A network analysis of the global energy market: an insight on the entanglement between crude oil and the world economy

Franco Ruzzenenti, Francesco Picciolo and Andreas Papandreou

2015: Stochastic Optimal Growth Model with Risk Sensitive Preferences

Nicole B\"auerle and Anna Ja\'skiewicz

2015: A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series

Gautier Marti, Philippe Very, Philippe Donnat and Frank Nielsen

2015: Measuring multiscaling in financial time-series

Riccardo Junior Buonocore, Tomaso Aste and Tiziana Di Matteo

2015: Modeling Concordances of Company's Investment Directions With Its Market Attraction

Valery Vilisov

2015: Estimating Tipping Points in Feedback-Driven Financial Networks

Zvonko Kostanjcar, Stjepan Begusic, H. E. Stanley and Boris Podobnik

2015: Optimal Insurance with Rank-Dependent Utility and Increasing Indemnities

Xu Zuo Quan, Zhou Xun Yu and Zhuang Sheng Chao

2015: An Introduction to Business Mathematics

Henk van Elst

2015: Analytical solution to an investment problem under uncertainties with shocks

Cl\'audia Nunes and Rita Pimentel

2015: Feynman-Kac Formulas for Solutions to Degenerate Elliptic and Parabolic Boundary-Value and Obstacle Problems with Dirichlet Boundary Conditions

Paul M. N. Feehan, Ruoting Gong and Jian Song

2015: Production Function of the Mining Sector of Iran

Seyyed Ali Zeytoon Nejad Moosavian

2015: A Hedged Monte Carlo Approach to Real Option Pricing

Edgardo Brigatti, Felipe Macias, Max O. Souza and Jorge P. Zubelli

2015: Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models

Ludovic Goudenege, Andrea Molent and Antonino Zanette

2015: Efficiency and credit ratings: a permutation-information-theory analysis

Aurelio Fernandez Bariviera, Luciano Zunino, M. Belen Guercio, Lisana B. Martinez and Osvaldo A. Rosso

2015: IMF Lending and Economic Growth: An Empirical Analysis of Ukraine

Roman Kononenko

2015: Minimizing Lifetime Poverty with a Penalty for Bankruptcy

Asaf Cohen and Virginia R. Young

2015: The Principle of the Malevolent Hiding Hand; or, the Planning Fallacy Writ Large

Bent Flyvbjerg and Cass Sunstein

2015: Measuring economic complexity of countries and products: which metric to use?

Manuel Sebastian Mariani, Alexandre Vidmer, Matus Medo and Yi-Cheng Zhang

2015: Wealth distribution across communities of adaptive financial agents

Pietro DeLellis, Franco Garofalo, Francesco Lo Iudice and Elena Napoletano

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2015: Universal Laws of Human Society's Income Distribution

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2015: High-order compact schemes for Black-Scholes basket options

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2015: Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models

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2015: Conditional Asian Options

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2015: Market Fragility, Systemic Risk, and Ricci Curvature

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