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2013: G-Doob-Meyer Decomposition and its Application in Bid-Ask Pricing for American Contingent Claim Under Knightian Uncertainty

Wei Chen

2013: A Global Game with Heterogenous Priors

Wolfgang Kuhle

2013: What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary

Yuri Biondi and Simone Righi

2013: Bankruptcy Risk Induced by Career Concerns of Regulators

Godfrey Charles-Cadogan and John A. Cole

2013: A family of density expansions for L\'evy-type processes

Matthew Lorig, Stefano Pagliarani and Andrea Pascucci

2013: Empirical Study of the GARCH model with Rational Errors

Ting Ting Chen and Tetsuya Takaishi

2013: Hedging Against the Interest-rate Risk by Measuring the Yield-curve Movement

Zhongliang Tuo

2013: Exact Simulation of Non-stationary Reflected Brownian Motion

Mohammad Mousavi and Peter W. Glynn

2013: Sparse Portfolio Selection via Quasi-Norm Regularization

Caihua Chen, Xindan Li, Caleb Tolman, Suyang Wang and Yinyu Ye

2013: Information and optimal investment in defaultable assets

Giulia Di Nunno and Steffen Sjursen

2013: A Monte Carlo method for optimal portfolio executions

Nico Achtsis and Dirk Nuyens

2013: Block Sampling under Strong Dependence

Ting Zhang, Hwai-Chung Ho, Martin Wendler and Wei Biao Wu

2013: Pricing of vanilla and first generation exotic options in the local stochastic volatility framework: survey and new results

Alexander Lipton, Andrey Gal and Andris Lasis

2013: On idiosyncratic stochasticity of financial leverage effects

Carles Bret\'o

2013: Systematic and multifactor risk models revisited

Michel Fliess and C\'edric Join

2013: Extrapolating the term structure of interest rates with parameter uncertainty

Anne Balter, Antoon Pelsser and Peter Schotman

2013: Market models with optimal arbitrage

Huy N. Chau and Peter Tankov

2013: Coupled mode theory of stock price formation

Jack Sarkissian

2013: Pricing and Hedging Basket Options with Exact Moment Matching

Tommaso Paletta, Arturo Leccadito and Radu Tunaru

2013: Semi-Markov Models in High Frequency Finance: A Review

G. D'Amico, Filippo Petroni and F. Prattico

2013: Firm competition in a probabilistic framework of consumer choice

Hao Liao, Rui Xiao, Duanbing Chen, Matus Medo and Yi-Cheng Zhang

2013: Gas storage valuation and hedging. A quantification of the model risk

Patrick Henaff, Ismail Laachir and Francesco Russo

2013: Market Impact Paradoxes

Igor Skachkov

2013: Emergent quantum mechanics of finances

Vadim Nastasiuk

2013: Barrier Option Pricing

A. H. Davison and T. Sidogi

2013: Modelling of the European Union income distribution by extended Yakovenko formula

Maciej Jagielski and Ryszard Kutner

2013: Fiscal shocks and asymmetric effects: a comparative analysis

Ioannis Praggidis, Periklis Gogas, Vasilios Plakandaras and Theophilos Papadimitriou

2013: Simultaneous auctions for complementary goods

Wiroy Shin

2013: Arbitrages in a Progressive Enlargement Setting

Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc

2013: Modelling the income distribution in the European Union: An application for the initial analysis of the recent worldwide financial crisis

Maciej Jagielski and Ryszard Kutner

2013: The Self-Financing Equation in High Frequency Markets

Rene Carmona and Kevin Webster

2013: Research on fresh agriculture product based on overconfidence of the retailer under options and spot markets dominated

Kai Nie and Man Yu

2013: On the implicit interest rate in the Yunus equation

Marc Diener and Pheakdei Mauk

2013: Optimal Trading Strategies as Measures of Market Disequilibrium

Valerii Salov

2013: Credit Portfolio Management in a Turning Rates Environment

Arthur M. Berd, Elena Ranguelova and Antonio Baldaque da Silva

2013: Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models

Francesco Audrino and Lorenzo Camponovo

2013: Trade arrival dynamics and quote imbalance in a limit order book

Alexander Lipton, Umberto Pesavento and Michael G Sotiropoulos

2013: The impact of systemic risk on the diversification benefits of a risk portfolio

Marc Busse, Michel Dacorogna and Marie Kratz

2013: Optimal insurance purchase strategies via optimal multiple stopping times

Rodrigo Targino, Gareth W. Peters, Georgy Sofronov and Pavel V. Shevchenko

2013: Stochastic areas of diffusions and applications in risk theory

Zhenyu Cui

2013: CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?

Damiano Brigo and Andrea Pallavicini

2013: Unified Growth Theory: A puzzling collection of myths based on hyperbolic illusions

Ron W Nielsen

2013: Explore or exploit? A generic model and an exactly solvable case

Thomas Gueudr\'e, Alexander Dobrinevski and Jean-Philippe Bouchaud

2013: Agent-Based Stock Market Model with Endogenous Agents' Impact

Jan A. Lipski and Ryszard Kutner

2013: Continuous compliance: a proxy-based monitoring framework

Julien Vedani and Fabien Ramaharobandro

2013: A Systematic Approach to Constructing Market Models With Arbitrage

Johannes Ruf and Wolfgang Runggaldier

2013: Dynamic evolution of cross-correlations in the Chinese stock market

Fei Ren and Wei-Xing Zhou

2013: Efficient immunization strategies to prevent financial contagion

Teruyoshi Kobayashi and Kohei Hasui

2013: Valuation Perspectives and Decompositions for Variable Annuities with GMWB riders

Cody B. Hyndman and Menachem Wenger

2013: Modeling and Solving Alternative Financial Solutions Seeking

Emmanuel Frenod, Jean-Philippe Gouigoux and Landry Tour\'e

2013: On the Lebesgue Property of Monotone Convex Functions

Keita Owari

2013: Pricing American options via multi-level approximation methods

Denis Belomestny, Fabian Dickmann and Tigran Nagapetyan

2013: A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents

Samuel Drapeau, Michael Kupper and Antonis Papapantoleon

2013: Execution and block trade pricing with optimal constant rate of participation

Olivier Gu\'eant

2013: Quadratic hedging schemes for non-Gaussian GARCH models

Alexandru Badescu, Robert J. Elliott and Juan-Pablo Ortega

2013: A control problem with fuel constraint and Dawson-Watanabe superprocesses

Alexander Schied

2013: Numerical methods for the quadratic hedging problem in Markov models with jumps

Carmine De Franco, Peter Tankov and Xavier Warin

2013: Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall

Mauricio Labadie and Charles-Albert Lehalle

2013: Pricing for Large Positions in Contingent Claims

Scott Robertson

2013: A model for a large investor trading at market indifference prices. I: single-period case

Peter Bank and Dmitry Kramkov

2013: Time-Consistent and Market-Consistent Evaluations

Mitja Stadje and Antoon Pelsser

2013: Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models

Budhi Arta Surya and Kazutoshi Yamazaki

2013: Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem

Maria B. Chiarolla and Giorgio Ferrari

2013: An algorithm for calculating the set of superhedging portfolios in markets with transaction costs

Andreas L\"ohne and Birgit Rudloff

2013: Science and the Future: Introduction

Angelo Tartaglia

2013: Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals

Sigrid K\"allblad

2013: A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing

Claudio Fontana

2013: Filters and smoothers for self-exciting Markov modulated counting processes

Samuel N. Cohen and Robert J. Elliott

2013: Left-wing asymptotics of the implied volatility in the presence of atoms

Archil Gulisashvili

2013: The order book as a queueing system: average depth and influence of the size of limit orders

Ioane Muni Toke

2013: Remark on repo and options

Andrei Kapaev

2013: Copulas and time series with long-ranged dependences

R\'emy Chicheportiche and Anirban Chakraborti

2013: Conditional correlation in asset return and GARCH intensity model

Geon Ho Choe and Kyungsub Lee

2013: High moment variations and their application

Geon Ho Choe and Kyungsub Lee

2013: Recursive formula for arithmetic Asian option prices

Kyungsub Lee

2013: The multiplex structure of interbank networks

Leonardo Bargigli, Giovanni di Iasio, Luigi Infante, Fabrizio Lillo and Federico Pierobon

2013: Stock Market Trend Analysis Using Hidden Markov Models

G. Kavitha, A. Udhayakumar and D. Nagarajan

2013: A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing

Christoph Aistleitner, Markus Hofer and Robert Tichy

2013: A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization

Idris Kharroubi, Nicolas Langren\'e and Huy\^en Pham

2013: Pr\'evision du risque de cr\'edit: Une \'etude comparative entre l'Analyse Discriminante et l'Approche Neuronale

Younes Boujelb\`ene and Sihem Khemakhem

2013: Multiscale Stochastic Volatility Model for Derivatives on Futures

Jean-Pierre Fouque, Yuri F. Saporito and Jorge P. Zubelli

2013: Structural Changes on Warsaw's Stock Exchange: the end of Financial Crisis

Paweł Fiedor

2013: Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets

Benjamin Myers and Austin Gerig

2013: Skew and implied leverage effect: smile dynamics revisited

Vincent Vargas, Tung-Lam Dao and Jean-Philippe Bouchaud

2013: Option Pricing with Lie Symmetry Analysis and Similarity Reduction Method

Wenqing Bao, ChunLi Chen and Jin E. Zhang

2013: Uncertain growth and the value of the future

Jaume Masoliver, Miquel Montero, Josep Perell\'o, John Geanakoplos and J. Farmer

2013: A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios

Théophile Griveau-Billion, Jean-Charles Richard and Thierry Roncalli

2013: Financial interaction networks inferred from traded volumes

Hongli Zeng, R\'emi Lemoy and Mikko Alava

2013: Modeling systemic risks in financial markets

Abhijnan Rej

2013: An Excursion-Theoretic Approach to Regulator's Bank Reorganization Problem

Masahiko Egami and Tadao Oryu

2013: The Kelly growth optimal strategy with a stop-loss rule

Mads Nielsen

2013: Spin Glasses and Nonlinear Constraints in Portfolio Optimization

M. Andrecut

2013: Performance of multifractal detrended fluctuation analysis on short time series

Juan Luis Lopez and Jesus Guillermo Contreras

2013: Measures of uncertainty in market network analysis

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

2013: Portfolio Choice with Stochastic Investment Opportunities: a User's Guide

Ren Liu and Johannes Muhle-Karbe

2013: Nash equilibrium for coupling of CO2 allowances and electricity markets

Mireille Bossy, Nadia Maizi and Odile Pourtallier

2013: On time scaling of semivariance in a jump-diffusion process

Rodrigue Oeuvray and Pascal Junod

2013: Does Banque de France control inflation and unemployment?

Ivan Kitov and Oleg Kitov

2013: Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series

Ladislav Krištoufek

2013: Multivariate stochastic volatility modelling using Wishart autoregressive processes

Kostas Triantafyllopoulos

2013: On Agents and Equilibria

Ted Theodosopoulos

2013: Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression

Xiaohong Chen and Timothy Christensen

2013: On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory

Assa Hirbod, Morales Manuel and Omidi Firouzi Hassan

2013: There is a VaR beyond usual approximations

Marie Kratz

2013: Variance matters (in stochastic dividend discount models)

Arianna Agosto and Enrico Moretto

2013: Exact simulation pricing with Gamma processes and their extensions

Lancelot F. James, Dohyun Kim and Zhiyuan Zhang

2013: Frequency Effects on Predictability of Stock Returns

Paweł Fiedor

2013: Credit Risk and the Instability of the Financial System: an Ensemble Approach

Thilo A. Schmitt, Desislava Chetalova, Rudi Sch\"afer and Thomas Guhr

2013: Reducing Financial Avalanches By Random Investments

Alessio Emanuele Biondo, Alessandro Pluchino, Andrea Rapisarda and Dirk Helbing

2013: Efficient valuation method for the SABR model

Hyukjae Park

2013: Detecting spatial homogeneity in the world trade web with Detrended Fluctuation Analysis

Riccardo Chiarucci, Franco Ruzzenenti and Maria I. Loffredo

2013: Portfolio Optimization in R

M. Andrecut

2013: A Stochastic Feedback Model for Volatility

Raoul Golan and Austin Gerig

2013: Making Mean-Variance Hedging Implementable in a Partially Observable Market

Masaaki Fujii and Akihiko Takahashi

2013: Bayesian inference for CoVaR

Mauro Bernardi, Ghislaine Gayraud and Lea Petrella

2013: On the Dividend Strategies with Non-Exponential Discounting

Qian Zhao, Jiaqin Wei and Rongming Wang

2013: A Model for Scaling in Firms' Size and Growth Rate Distribution

Cornelia Metzig and Mirta B. Gordon

2013: The Identification of Thresholds and Time Delay in Self-Exciting Threshold AR Model by Wavelet

Song-Yon Kim and Mun-Chol Kim

2013: Early-warning signals of topological collapse in interbank networks

Tiziano Squartini, Iman Lelyveld and Diego Garlaschelli

2013: On controller-stopper problems with jumps and their applications to indifference pricing of American options

Erhan Bayraktar and Zhou Zhou

2013: The art of probability-of-default curve calibration

Dirk Tasche

2013: Semi-parametric Bayesian Partially Identified Models based on Support Function

Yuan Liao and Anna Simoni

2013: Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method

Hideyuki Tanaka and Toshihiro Yamada

2013: Generalized Gaussian Bridges

Tommi Sottinen and Adil Yazigi

2013: On the Hedging of Options On Exploding Exchange Rates

Peter Carr, Travis Fisher and Johannes Ruf

2013: A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems

Erhan Bayraktar and Arash Fahim

2013: Path Integral and Asian Options

Peng Zhang

2013: Portfolio optimization in a default model under full/partial information

Thomas Lim and Marie-Claire Quenez

2013: Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing

Matias Leppisaari

2013: Multiagent's model of stock market with p-adic description of prices

Viktor Zharkov

2013: The stochastic field of aggregate utilities and its saddle conjugate

Peter Bank and Dmitry Kramkov

2013: Restructuring the "one-way CSA" counterparty risk in a CDO

Lorenzo Giada and Claudio Nordio

2013: Stock returns versus trading volume: is the correspondence more general?

Rafal Rak, Stanislaw Drozdz, Jaroslaw Kwapien and Pawel Oswiecimka

2013: Optimal Choice under Short Sell Limit with Sharpe Ratio as Criterion among Multiple Assets

Yiran Sheng and Ruokun Huang

2013: Valuing FtD Contract under Copula Approach via Monte-Carlo Stimulation

Yiran Sheng

2013: Systemic Risk Identification, Modelling, Analysis, and Monitoring: An Integrated Approach

Antoaneta Sergueiva

2013: Epidemics in markets with trade friction and imperfect transactions

Mathieu Moslonka-Lefebvre, Herv\'e Monod, Christopher A. Gilligan, Elisabeta Vergu and Jo\~ao A. N. Filipe

2013: An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality

Iosif Pinelis

2013: Structure and causality relations in a global network of financial companies

Leonidas Sandoval Junior

2013: Can social microblogging be used to forecast intraday exchange rates?

Panagiotis Papaioannnou, Lucia Russo, George Papaioannou and Constantinos Siettos

2013: Modeling the coupled return-spread high frequency dynamics of large tick assets

Gianbiagio Curato and Fabrizio Lillo

2013: Quantum harmonic oscillator in option pricing

Liviu-Adrian Cotfas and Nicolae Cotfas

2013: On pricing kernels, information and risk

D. L. Wilcox and T. J. Gebbie

2013: Measuring correlations between non-stationary series with DCCA coefficient

Ladislav Krištoufek

2013: Stochastic Modeling and Fair Valuation of Drawdown Insurance

Hongzhong Zhang, Tim Leung and Olympia Hadjiliadis

2013: The Relation Between Global Migration and Trade Networks

Paolo Sgrignoli, Rodolfo Metulini, Stefano Schiavo and Massimo Riccaboni

2013: Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction

Ankush Agarwal

2013: Regression techniques for Portfolio Optimisation using MOSEK

Thomas Schmelzer, Raphael Hauser, Erling Andersen and Joachim Dahl

2013: Seven Sins in Portfolio Optimization

Thomas Schmelzer and Raphael Hauser

2013: Superreplication when trading at market indifference prices

Peter Bank and Selim G\"okay

2013: A note on the policy implications of the fiscal multiplier

Evangelos F. Magirou

2013: Optimal Order Scheduling for Deterministic Liquidity Patterns

Peter Bank and Antje Fruth

2013: Optimistic versus Pessimistic--Optimal Judgemental Bias with Reference Point

Si Chen

2013: Reciprocity as the foundation of Financial Economics

Timothy C. Johnson

2013: Is it a power law distribution? The case of economic contractions

Salvador Pueyo

2013: Geometrization of Econophysics: An Alternative Approach for Measuring Elements of Risk Management of an Economic System

M. E. Kahil

2013: Random Matrix Application to Correlations Among Volatility of Assets

Ajay Singh and Dinghai Xu

2013: Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence

Ladislav Krištoufek

2013: Can Google Trends search queries contribute to risk diversification?

Ladislav Krištoufek

2013: Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books

Jose Blanchet and Xinyun Chen

2013: Arbitrage-Free Pricing Before and Beyond Probabilities

Louis Paulot

2013: Pricing and Hedging Derivative Securities with Unknown Local Volatilities

Kerry W. Fendick

2013: Asymptotics for Fixed Transaction Costs

Albert Altarovici, Johannes Muhle-Karbe and H. Mete Soner

2013: The Composition of Wage Differentials between Migrants and Natives

Panagiotis Nanos and Christian Schluter

2013: Integrals of Higher Binary Options and Defaultable Bond with Discrete Default Information

Hyong-Chol O, Dong-Hyok Kim, Jong-Jun Jo and Song-Hun Ri

2013: Mirror and Synchronous Couplings of Geometric Brownian Motions

Saul D. Jacka, Aleksandar Mijatovic and Dejan Siraj

2013: Bubbles, Jumps, and Scaling from Properly Anticipated Prices

Felix Patzelt and Klaus Pawelzik

2013: Optimal investment and price dependence in a semi-static market

Pietro Siorpaes

2013: On the Preference Relations with Negatively Transitive Asymmetric Part. I

Maria Viktorovna Droganova and Valentin Vankov Iliev

2013: Market viability and martingale measures under partial information

Claudio Fontana, Bernt {\O}ksendal and Agn\`es Sulem

2013: Convergence of European Lookback Options with Floating Strike in the Binomial Model

Fabien Heuwelyckx

2013: Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models

Guoping Xu and Harry Zheng

2013: Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage

Winslow Strong

2013: Optimal Investment with Stocks and Derivatives

Pietro Siorpaes

2013: Malliavin calculus method for asymptotic expansion of dual control problems

Michael Monoyios

2013: Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions

Christoph Reisinger and Rasmus Wissmann

2013: Inference of Extreme Synchrony with an Entropy Measure on a Bipartite Network

Aki-Hiro Sato

2013: Do arbitrage-free prices come from utility maximization?

Pietro Siorpaes

2013: Panel Data Models with Nonadditive Unobserved Heterogeneity: Estimation and Inference

Ivan Fernandez-Val and Joonhwah Lee

2013: Error estimates for binomial approximations of game put options

Y. Iron and Y. Kifer

2013: Portfolio Optimization under Convex Incentive Schemes

Maxim Bichuch and Stephan Sturm

2013: Maximum entropy distribution of stock price fluctuations

Rosario Bartiromo

2013: Pricing financial derivatives by a minimizing method

Eduard Rotenstein

2013: Inflation, unemployment, and labour force. Phillips curves and long-term projections for Austria

Ivan Kitov and Oleg Kitov

2013: Estimating the FDI Impact on Economic Growth and Export Performances of the European Economies in Transition

Olivera Kostoska and Pece Mitrevski

2013: Convergence of the discrete variance swap in time-homogeneous diffusion models

Carole Bernard, Zhenyu Cui and Don McLeish

2013: Corporations and Regulators: The Game of Influence in Regulatory Capture

Dominic K. Albino, Anzi Hu and Yaneer Bar-Yam

2013: When roll-overs do not qualify as num\'eraire: bond markets beyond short rate paradigms

Irene Klein, Thorsten Schmidt and Josef Teichmann

2013: Probabilistic aspects of finance

Hans F\"ollmer and Alexander Schied

2013: When to sell a Markov chain asset?

Qing Zhang

2013: Optimal Execution Trajectories. Linear Market Impact with Exponential Decay

Igor Skachkov

2013: General Properties of Solutions to Inhomogeneous Black-Scholes Equations with Discontinuous Maturity Payoffs and Application

Hyong-Chol O and Ji-Sok Kim

2013: A stochastic model for speculative bubbles

Sébastien Gadat, Laurent Miclo and Fabien Panloup

2013: Migration and Trade: A Complex-Network Approach

Giorgio Fagiolo and Marina Mastrorillo

2013: The Relationship Between Stock Market Parameters and Interbank Lending Market: an Empirical Evidence

Magomet Yandiev and Alexander Pakhalov

2013: Call option on the maximum of the interest rate in the one factor affine model

Mohamad Houda

2013: New measure of multifractality and its application in finances

Dariusz Grech and Grzegorz Pamu{\l}a

2013: Dynamics of probabilistic labor markets: statistical physics perspective

He Chen and Jun-ichi Inoue

2013: Statistical Mechanics of Labor Markets

He Chen and Jun-ichi Inoue

2013: Hedging under multiple risk constraints

Ying Jiao, Olivier Klopfenstein and Peter Tankov

2013: Non-linear dependences in finance

R\'emy Chicheportiche

2013: Learning curve for collective behavior of zero-intelligence agents in successive job-hunting processes with a diversity of Jaynes-Shannon's MaxEnt principle

He Chen and Jun-ichi Inoue

2013: A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD)

Jackie Shen

2013: Characterizing financial crisis by means of the three states random field Ising model

Mitsuaki Murota and Jun-ichi Inoue

2013: Trade integration and trade imbalances in the European Union: a network perspective

Gautier M. Krings, Jean-François Carpantier and Jean-Charles Delvenne

2013: Futures market efficiency diagnostics via temporal two-point correlations. Russian market case study

Mikhail Kopytin and Evgeniy Kazantsev

2013: New models of income distribution, graduation as the explanation of Gini coefficient

Dmitry Schmerling

2013: Asymptotic analysis for Merton's problem with transaction costs in power utility case

Jin Hyuk Choi

2013: Portfolio Optimization under Small Transaction Costs: a Convex Duality Approach

Jan Kallsen and Shen Li

2013: Grand canonical minority game as a sign predictor

Karol Wawrzyniak and Wojciech Wi\'slicki

2013: A nested factor model for non-linear dependences in stock returns

R\'emy Chicheportiche and Jean-Philippe Bouchaud

2013: Multi-Asset Option Pricing with Exponential L\'evy Processes and the Mellin Transform

D. J. Manuge

2013: Stability analysis of a model for the market dynamics of a smart grid

F. Sorrentino, D. Tolic, R. Fierro, J. R. Gordon and A. Mammoli

2013: Modeling of Stock Returns and Trading Volume

Taisei Kaizoji

2013: Dependency Structure and Scaling Properties of Financial Time Series Are Related

Raffaello Morales, T. Di Matteo and Tomaso Aste

2013: On lower and upper bounds for Asian-type options: a unified approach

Alexander Novikov and Nino Kordzakhia

2013: The Entropy Law and the impossibility of perpetual economic growth

Henrique N. S\'a Earp and Ademar R. Romeiro

2013: Econophysics: Comments on a few Applications, Successes, Methods, & Models

Marcel Ausloos

2013: Statistical inference of co-movements of stocks during a financial crisis

Takero Ibuki, Shunsuke Higano, Sei Suzuki, Jun-ichi Inoue and Anirban Chakraborti

2013: Inflation, unemployment, and labor force. Phillips curves and long-term projections for Japan

Ivan Kitov and Oleg Kitov

2013: Comprehensive Unified Models of Structural and Reduced Form Models for Defaultable Fixed Income Bonds (Part 1: One factor-model, Part 2:Two factors-model)

Hyong-Chol O, Song-Yon Kim, Dong-Hyok Kim and Chol-Hyok Pak

2013: Commodity futures and market efficiency

Ladislav Krištoufek and Miloslav Vošvrda

2013: Segmentation procedure based on Fisher's exact test and its application to foreign exchange rates

Aki-Hiro Sato and Hideki Takayasu

2013: Long-term memory in electricity prices: Czech market evidence

Ladislav Krištoufek and Petra Lunackova

2013: Exact Simulation of Wishart Multidimensional Stochastic Volatility Model

Chulmin Kang and Wanmo Kang

2013: Contagion among Central and Eastern European stock markets during the financial crisis

Jozef Baruník and Lukas Vacha

2013: Development Towards Sustainability: How to judge past and proposed policies?

Michael Dittmar

2013: Exponential and power laws in public procurement markets

Ladislav Krištoufek and Jiri Skuhrovec

2013: G-consistent price system and bid-ask pricing for European contingent claims under Knightian uncertainty

Wei Chen

2013: Can we still benefit from international diversification? The case of the Czech and German stock markets

Krenar Avdulaj and Jozef Baruník

2013: Risk Without Return

Lisa R. Goldberg and Ola Mahmoud

2013: Scaling symmetry, renormalization, and time series modeling

Marco Zamparo, Fulvio Baldovin, Michele Caraglio and Attilio L. Stella

2013: A model-free characterization of recurrences in stationary time series

R\'emy Chicheportiche and Anirban Chakraborti

2013: Stationarity and ergodicity for an affine two factor model

Matyas Barczy, Leif Doering, Zenghu Li and Gyula Pap

2013: Heat Kernel Framework for Asset Pricing in Finite Time

Andrea Macrina

2013: Isobenefit Lines, Breaking Point of equal attraction, Uniformity Benefit, Variety Value and Proximity Value, Preference Gap Gain

Luca D'Acci

2013: Schauder a priori estimates and regularity of solutions to boundary-degenerate elliptic linear second-order partial differential equations

Paul M. N. Feehan and Camelia Pop

2013: Modeling Spatial Equilibrium in Cities: the Isobenefit Lines

Luca D'Acci

2013: Spontaneous Economic Order

Yong Tao

2013: The fine-structure of volatility feedback I: multi-scale self-reflexivity

R\'emy Chicheportiche and Jean-Philippe Bouchaud

2013: Stability of the exponential utility maximization problem with respect to preferences

Hao Xing

2013: Maximum principles for boundary-degenerate second-order linear elliptic differential operators

Paul M. N. Feehan

2013: Confidence sets in nonparametric calibration of exponential L\'evy models

Jakob S\"ohl

2013: The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data

C. Neri and L. Schneider

2013: Time Consistent Bid-Ask Dynamic Pricing Mechanisms for Contingent Claims and Its Numerical Simulations Under Uncertainty

Wei Chen

2013: Robust maximization of asymptotic growth under covariance uncertainty

Erhan Bayraktar and Yu-Jui Huang

2013: How efficiency shapes market impact

J. Farmer, Austin Gerig, Fabrizio Lillo and Henri Waelbroeck

2013: Random G-expectations

Marcel Nutz

2013: A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms

Yu-Min Yen

2013: Inference on Counterfactual Distributions

Victor Chernozhukov, Ivan Fernandez-Val and Blaise Melly

2013: ADI schemes for pricing American options under the Heston model

Tinne Haentjens and Karel in 't Hout

2013: Following a Trend with an Exponential Moving Average: Analytical Results for a Gaussian Model

D. S. Grebenkov and J. Serror

2013: Computation of ruin probabilities for general discrete-time Markov models

Ilya Tkachev and Alessandro Abate

2013: A Taylor series approach to pricing and implied vol for LSV models

Matthew Lorig, Stefano Pagliarani and Andrea Pascucci

2013: Optimal robust bounds for variance options

Alexander M. G. Cox and Jiajie Wang

2013: Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility

Filip Zikes and Jozef Baruník

2013: Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison

Changki Kim, Yangho Choi, Woojoo Lee and Jae Youn Ahn

2013: Kinetic properties in inhomogeneous self-aware media

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2013: A pricing measure to explain the risk premium in power markets

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2013: Over-the-counter market models with several assets

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2013: Regressions with Berkson errors in covariates - A nonparametric approach

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2013: A relative information approach to financial time series analysis using binary $N$-grams dictionaries

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2013: American options with gradual exercise under proportional transaction costs

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2013: Achieving Speedup in Aggregate Risk Analysis using Multiple GPUs

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2013: Optimal Dynamic Portfolio with Mean-CVaR Criterion

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2013: Econophysics Research in India in the last two Decades

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2013: Mean Field Games and Systemic Risk

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2013: Fractality of profit landscapes and validation of time series models for stock prices

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2013: A general Multidimensional Monte Carlo Approach for Dynamic Hedging under stochastic volatility

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2013: Asset Allocation under the Basel Accord Risk Measures

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2013: Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant

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2013: Network versus portfolio structure in financial systems

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2013: Time-reversal asymmetry in financial systems

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2013: Mixed-correlated ARFIMA processes for power-law cross-correlations

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2013: Testing power-law cross-correlations: Rescaled covariance test

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2013: On the multifractal effects generated by monofractal signals

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2013: On a Heath-Jarrow-Morton approach for stock options

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2013: The Small-Maturity Heston Forward Smile

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2013: The Pricing of Multiple-Expiry Exotics

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2013: Robust Hedging with Proportional Transaction Costs

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2013: The Kinetics of Wealth and the Origin of the Pareto Law

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2013: The Calculus of Expected Loss: Backtesting Parameter-Based Expected Loss in a Basel II Framework

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2013: On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Ito processes

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2013: Carbon-dioxide emissions trading and hierarchical structure in worldwide finance and commodities markets

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2013: Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources

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2013: Bayesian estimation of probabilities of default for low default portfolios

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2013: A Schauder approach to degenerate-parabolic partial differential equations with unbounded coefficients

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2013: Bandit Market Makers

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2013: The explicit Laplace transform for the Wishart process

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2013: Tight Approximations of Dynamic Risk Measures

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2013: Complexity, Chaos, and the Duffing-Oscillator Model: An Analysis of Inventory Fluctuations in Markets

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2013: Is it possible to predict long-term success with k-NN? Case Study of four market indices (FTSE100, DAX, HANGSENG, NASDAQ)

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2013: Liability-driven investment in longevity risk management

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2013: Systematic and non-systematic mortality risk in pension portfolios

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2013: An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit

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2013: Network Topologies of Financial Market During the Global Financial Crisis

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2013: Quantum Tunneling of Stock Price in Range Bound Market Conditions

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2013: Where Do Thin Tails Come From?

Nassim Nicholas Taleb

2013: CVA for Bilateral Counterparty Risk under Alternative Settlement Conventions

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2013: Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes

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2013: A Benchmark Approach to Risk-Minimization under Partial Information

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2013: When terminal facelift enforces Delta constraints

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2013: Correct usage of transmission coefficient for timing the market

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2013: A Remark on the Structure of Expectiles

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2013: Uncertainty and absence of arbitrage opportunity

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2013: Good Debt or Bad Debt: Detecting Semantic Orientations in Economic Texts

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2013: South African Riots: Repercussion of the Global Food Crisis and US Drought

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2013: Power-law exponent of the Bouchaud-M\'ezard model on regular random network

Takashi Ichinomiya

2013: On utility maximization with derivatives under model uncertainty

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2013: Utility indifference valuation for non-smooth payoffs with an application to power derivatives

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2013: Transformation Method for Solving Hamilton-Jacobi-Bellman Equation for Constrained Dynamic Stochastic Optimal Allocation Problem

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2013: Utility Maximization under Model Uncertainty in Discrete Time

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2013: Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693

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2013: Contraction or steady state? An analysis of credit risk management in Italy in the period 2008-2012

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2013: Importance sampling for jump processes and applications to finance

Laetitia Badouraly Kassim, J\'er\^ome Lelong and Imane Loumrhari

2013: Geographical Variation in Project Cost Performance: The Netherlands versus Worldwide

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2013: Explaining Cost Overruns of Large-Scale Transportation Infrastructure Projects using a Signalling Game

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2013: Lock-in and Its Influence on the Project Performance of Large-Scale Transportation Infrastructure Projects. Investigating the Way in Which Lock-in Can Emerge and Affect Cost Overruns

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2013: Cost overruns in Large-Scale Transportation Infrastructure Projects: Explanations and Their Theoretical Embeddedness

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2013: Modeling record-breaking stock prices

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2013: Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem

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2013: Explicit Description of HARA Forward Utilities and Their Optimal Portfolios

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2013: Assessing Financial Model Risk

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2013: Factorising equity returns in an emerging market through exogenous shocks and capital flows

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2013: Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE

Jacek Jakubowski and Mariusz Niew\k{e}g{\l}owski

2013: Time-independent pricing of options in range bound markets

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2013: Are random trading strategies more successful than technical ones?

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

2013: Pricing Corporate Defaultable Bond using Declared Firm Value

Hyong-Chol O, Jong-Jun Jo and Chol-Ho Kim

2013: Anticipatory Systems, Preferences, Averages: Inflation, Uncertain Phenomena, Management

Leonid A. Shapiro

2013: Structural and topological phase transitions on the German Stock Exchange

M. Wili\'nski, A. Sienkiewicz, T. Gubiec, R. Kutner and Z. R. Struzik

2013: Stochastic PDEs and Quantitative Finance: The Black-Scholes-Merton Model of Options Pricing and Riskless Trading

Brandon Kaplowitz and Siddharth G. Reddy

2013: A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance

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2013: On the global economic potentials and marginal costs of non-renewable resources and the price of energy commodities

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2013: Variance Swaps on Defaultable Assets and Market Implied Time-Changes

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2013: On arbitrages arising from honest times

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2013: Exponential L\'evy-type models with stochastic volatility and stochastic jump-intensity

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2013: Value matters: Predictability of Stock Index Returns

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2013: Ensemble properties of high frequency data and intraday trading rules

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2013: A trajectorial interpretation of Doob's martingale inequalities

B. Acciaio, M. Beiglb\"ock, F. Penkner, W. Schachermayer and J. Temme

2013: To lag or not to lag? How to compare indices of stock markets that operate at different times

Leonidas Sandoval Junior

2013: On the closure in the Emery topology of semimartingale wealth-process sets

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2013: Explosive behavior in a log-normal interest rate model

Dan Pirjol

2013: Minimizing Shortfall

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2013: Timed tuplix calculus and the Wesseling and van den Bergh equation

J. A. Bergstra and C. A. Middelburg

2013: Evolution of the distribution of wealth in an economic environment driven by local Nash equilibria

Pierre Degond, Jian-Guo Liu and Christian Ringhofer

2013: D-Brane solutions under market panic

R. Pincak

2013: The Meaning of Probability of Default for Asset-backed Loans

David Chisholm and Graham Andersen

2013: Moderate deviations for importance sampling estimators of risk measures

Pierre Nyquist

2013: A note on Keen's model: The limits of Schumpeter's "Creative Destruction"

Glenn Ierley

2013: On Modeling Economic Default Time: A Reduced-Form Model Approach

Jia-Wen Gu, Bo Jiang, Wai-Ki Ching and Harry Zheng

2013: Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity

Stefan Tappe and Thorsten Schmidt

2013: Computational Dynamic Market Risk Measures in Discrete Time Setting

Babacar Seck, Robert J. Elliott and Jean-Pierre Gueyie

2013: Compound Wishart Matrices and Noisy Covariance Matrices: Risk Underestimation

Beno\^it Collins, David McDonald and Nadia Saad

2013: Non-Equivalent Beliefs and Subjective Equilibrium Bubbles

Martin Larsson

2013: Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model

M. Hossein Partovi

2013: Evolution of correlation structure of industrial indices of US equity markets

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2013: Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1

Tomasz R. Bielecki and Marek Rutkowski

2013: On the time spent in the red by a refracted L\'evy risk process

Jean-Fran\c{c}ois Renaud

2013: Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty

Wei Chen

2013: From Text to Bank Interrelation Maps

Samuel R\"onnqvist and Peter Sarlin

2013: How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network

Fabio Caccioli, J. Farmer, Nick Foti and Daniel Rockmore

2013: Thermodynamics of long-run economic innovation and growth

Timothy J. Garrett

2013: The convergence of regional house prices in the USA in the context of the stress testing of financial institutions

Argyn Kuketayev

2013: Spontaneous centralization of control in a network of company ownerships

Sebastian M. Krause, Tiago P. Peixoto and Stefan Bornholdt

2013: Evolutionary Model of a Anonymous Consumer Durable Market

Joachim Kaldasch

2013: Some applications of first-passage ideas to finance

R\'emy Chicheportiche and Jean-Philippe Bouchaud

2013: Systemic risk and spatiotemporal dynamics of the US housing market

Hao Meng, Wen-Jie Xie, Zhi-Qiang Jiang, Boris Podobnik, Wei-Xing Zhou and H. Eugene Stanley

2013: Mean-Variance and Expected Utility: The Borch Paradox

David Johnstone and Dennis Lindley

2013: Some Possible Solution of Problem of Sovereign Debts: a short plan

T. S. Kholupenko, E. E. Kholupenko and P. A. Guseva

2013: Market-wide price co-movement around crashes in the Tokyo Stock Exchange

Jun-ichi Maskawa, Joshin Murai and Koji Kuroda

2013: A theoretical framework for trading experiments

Maxence Soumare, J{\o}rgen Vitting Andersen, Francis Bouchard, Alain Elkaim, Dominique Gu\'egan, Justin Leroux, Michel Miniconi and Lars Stentoft

2013: Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation

Pavel V. Shevchenko and Gareth W. Peters

2013: CORN: Correlation-Driven Nonparametric Learning Approach for Portfolio Selection -- an Online Appendix

Bin Li, Dingjiang Huang and Steven C. H. Hoi

2013: An alternative proof of a result of Takaoka

Shiqi Song

2013: Volatility in options formulae for general stochastic dynamics

Kais Hamza, Fima Klebaner and Olivia Mah

2013: A Financial Risk Analysis: Does the 2008 Financial Crisis Give Impact on Weekends Returns of the U.S. Movie Box Office?

Novriana Sumarti and Rafki Hidayat

2013: The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments

Laszlo F. Korsos

2013: Multifractality and long memory of a financial index

Pablo Su\'arez-Garc\'ia and David G\'omez-Ullate

2013: Reserve Requirement Analysis using a Dynamical System of a Bank based on Monti-Klein model of Bank's Profit Function

Novriana Sumarti and Iman Gunadi

2013: American option of stochastic volatility model with negative Fichera function on degenerate boundary

Chen Xiaoshan and Song Qingshuo

2013: Are your data really Pareto distributed?

Pasquale Cirillo

2013: Higher Order Binaries with Time Dependent Coefficients and Two Factors - Model for Defaultable Bond with Discrete Default Information

Hyong-Chol O, Yong-Gon Kim and Dong-Hyok Kim

2013: BSDEs with singular terminal condition and control problems with constraints

Stefan Ankirchner, Monique Jeanblanc and Thomas Kruse

2013: Supplementary Appendix for "Inference on Treatment Effects After Selection Amongst High-Dimensional Controls"

Alexandre Belloni, Victor Chernozhukov and Christian Hansen

2013: Mathematical Analysis of Money in the Scope of Austerity

Peter Stallinga

2013: Economics 2.0: The Natural Step towards A Self-Regulating, Participatory Market Society

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2013: Kinetic exchange models: From molecular physics to social science

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2013: Overspend? Late? Failure? What the Data Say About IT Project Risk in the Public Sector

Alexander Budzier and Bent Flyvbjerg

2013: Critical reflexivity in financial markets: a Hawkes process analysis

Stephen J. Hardiman, Nicolas Bercot and Jean-Philippe Bouchaud

2013: On optimal dividends in the dual model

Erhan Bayraktar, Andreas Kyprianou and Kazutoshi Yamazaki

2013: Characterizing the development of sectoral Gross Domestic Product composition

Raphael Lutz, Michael Spies, Dominik E. Reusser, J\"urgen P. Kropp and Diego Rybski

2013: Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs

S\"oren Christensen and Marc Wittlinger

2013: No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs

Tomasz R. Bielecki, Igor Cialenco and Rodrigo Rodriguez

2013: Life Insurance Purchasing to Maximize Utility of Household Consumption

Erhan Bayraktar and Virginia R. Young

2013: Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices

Tomasz R. Bielecki, Igor Cialenco, Ismail Iyigunler and Rodrigo Rodriguez

2013: General Intensity Shapes in Optimal Liquidation

Olivier Gu\'eant and Charles-Albert Lehalle

2013: Homogenization and asymptotics for small transaction costs

H. Mete Soner and Nizar Touzi

2013: A Semi-group Expansion for Pricing Barrier Options

Takashi Kato, Akihiko Takahashi and Toshihiro Yamada

2013: Fossil fuel consumption and economic growth: causality relationship in the world

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2013: Smiles all around: FX joint calibration in a multi-Heston model

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2013: A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model

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2013: Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model

Didier Sornette, Ryan Woodard, Wanfeng Yan and Wei-Xing Zhou

2013: Brownian markets

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2013: On the Existence of Consistent Price Systems

Erhan Bayraktar, Mikko S. Pakkanen and Hasanjan Sayit

2013: Optimization problem under change of regime of interest rate

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2013: Prices and Asymptotics for Discrete Variance Swaps

Carole Bernard and Zhenyu Cui

2013: Optimal portfolios of a long-term investor with floor or drawdown constraints

Vladimir Cherny and Jan Obloj

2013: Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]

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2013: Hedging without sweat: a genetic programming approach

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2013: Goodhart, Charles A.E. and Tsomocos, Dimitros P.: The challenge of financial stability: a new model and its applications

Jean-Bernard Chatelain

2013: Semi-bounded Rationality: A model for decision making

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2013: Fluctuation analysis of the three agent groups herding model

Vygintas Gontis and Aleksejus Kononovicius

2013: To the problem of turbulence in quantitative easing transmission channels and transactions network channels at quantitative easing policy implementation by central banks

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2013: Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios

Lijun Bo and Agostino Capponi

2013: Risk Measure Estimation On Fiegarch Processes

Taiane S. Prass and S\'ilvia R. C. Lopes

2013: Pricing bonds with optional sinking feature using Markov Decision Processes

Jan-Frederik Mai and Marc Wittlinger

2013: Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes

Helin Zhu, Fan Ye and Enlu Zhou

2013: A Model for Stock Returns and Volatility

Tao Ma and R. A. Serota

2013: A First-Order BSPDE for Swing Option Pricing

Christian Bender and Nikolai Dokuchaev

2013: Monte Carlo approximation to optimal investment

L C G Rogers and Pawel Zaczkowski

2013: Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm

Tetsuya Takaishi

2013: The Statistical and Econometric Analysis of Asylum Application Trends and their relationship to GDP in the EEA

Gerard Keogh

2013: Ergodic transition in a simple model of the continuous double auction

Tijana Radivojevi\'c, Jonatha Anselmi and Enrico Scalas

2013: Markov switching quadratic term structure models

Stéphane Goutte

2013: An Exactly Solvable Discrete Stochastic Process with Correlated Properties

Jongwook Kim and Junghyo Jo

2013: Direct Evidence for Synchronization in Japanese Business Cycle

Yuichi Ikeda, Hideaki Aoyama, Hiroshi Iyetomi and Hiroshi Yoshikawa

2013: A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation

Jiang-Lun Wu and Wei Yang

2013: Are Financial Markets an aspect of Quantum World?

Ovidiu Racorean

2013: The Effect of Growth On Equality in Models of the Economy

Kang Liu, N. Lubbers, W. Klein, J. Tobochnik, B. Boghosian and Harvey Gould

2013: Exact record and order statistics of random walks via first-passage ideas

Gregory Schehr and Satya N. Majumdar

2013: A robust tree method for pricing American options with CIR stochastic interest rate

Elisa Appolloni, Lucia Caramellino and Antonino Zanette

2013: Multivariate high-frequency financial data via semi-Markov processes

Guglielmo D'Amico and Filippo Petroni

2013: Uncovering the network structure of the world currency market: Cross-correlations in the fluctuations of daily exchange rates

Sitabhra Sinha and Uday Kovur

2013: Relative Robust Portfolio Optimization

Raphael Hauser, Vijay Krishnamurthy and Reha T\"ut\"unc\"u

2013: Semi Markov model for market microstructure

Pietro Fodra and Huy\^en Pham

2013: Bubbles are rational

Pierre Lescanne

2013: Non-Stationarity in Financial Time Series and Generic Features

Thilo A. Schmitt, Desislava Chetalova, Rudi Sch\"afer and Thomas Guhr

2013: Existence and uniqueness of Arrow-Debreu equilibria with consumptions in $\mathbf{L}^0_+$

Dmitry Kramkov

2013: An Information-Theoretic Test for Dependence with an Application to the Temporal Structure of Stock Returns

Galen Sher and Pedro Vitoria

2013: Barrier Options under L\'evy Processes: a Simple Short-Cut

José Fajardo

2013: Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility

Jozef Baruník and Jiri Kukacka

2013: Bimodality in the firm size distributions: a kinetic exchange model approach

Anindya S. Chakrabarti

2013: Bridging stylized facts in finance and data non-stationarities

Sabrina Camargo, Silvio M. Duarte Queiros and Celia Anteneodo

2013: A unified approach to pricing and risk management of equity and credit risk

Claudio Fontana and Juan Miguel A. Montes

2013: Non stationary multifractality in stock returns

Raffaello Morales, T. Di Matteo and Tomaso Aste

2013: Online Portfolio Selection: A Survey

Bin Li and Steven C. H. Hoi

2013: On statistical indistinguishability of the complete and incomplete markets

Nikolai Dokuchaev

2013: Performance Analysis of Hybrid Forecasting Model In Stock Market Forecasting

Mahesh S. Khadka, K. M. George, N. Park and Jaebeom Kim

2013: Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment

Jiri Kukacka and Jozef Baruník

2013: From Minority Game to Black & Scholes pricing

Matteo Ortisi and Valerio Zuccolo

2013: Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework

Alexander Schied

2013: Heavy-tail driven by memory

Jongwook Kim and Gabjin Oh

2013: The position profiles of order cancellations in an emerging stock market

Gao-Feng Gu, Xiong Xiong, Fei Ren, Wei-Xing Zhou and Wei Zhang

2013: Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations

J. D. Deuschel, P. K. Friz, Antoine Jacquier and S. Violante

2013: The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options

Sam Howison, Christoph Reisinger and Jan Hendrik Witte

2013: Linear stochastic volatility models

Jacek Jakubowski and Maciej Wisniewolski

2013: Rearranging Edgeworth-Cornish-Fisher Expansions

Victor Chernozhukov, Ivan Fernandez-Val and Alfred Galichon

2013: Delusions of Success: Comment on Dan Lovallo and Daniel Kahneman

Bent Flyvbjerg

2013: A note on replicating a CDS through a repo and an asset swap

Lorenzo Giada and Claudio Nordio

2013: Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion

Qian Zhao, Jiaqin Wei and Rongming Wang

2013: Balancing small fixed and proportional transaction cost in trading strategies

Jose V. Alcala and Arash Fahim

2013: Government Solvency, Austerity and Fiscal Consolidation in the OECD: A Keynesian Appraisal of Transversality and No Ponzi Game Conditions

Karim Azizi, Nicolas Canry, Jean-Bernard Chatelain and Bruno Tinel

2013: A Fokker-Planck description for the queue dynamics of large tick stocks

A. Gareche, G. Disdier, J. Kockelkoren and J. -P. Bouchaud

2013: Hedging in bond markets by the Clark-Ocone formula

Nicolas Privault and Timothy Robin Teng

2013: Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market

Tetsuya Takaishi, Ting Ting Chen and Zeyu Zheng

2013: Option pricing, Bayes risks and Applications

Yannis G. Yatracos

2013: Central Clearing of OTC Derivatives: bilateral vs multilateral netting

Rama Cont and Thomas Kokholm

2013: Schr\"odinger group and quantum finance

Juan M. Romero, Ulises Lavana and Elio Mart\'inez

2013: Risk measures for processes and BSDEs

Irina Penner and Anthony Reveillac

2013: Firm's Information Environment and Stock Liquidity: Evidence from Tunisian Context

Nadia Loukil and Ouidad Yousfi

2013: On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems

Dimitri Ledenyov and Viktor Ledenyov

2013: On option pricing in illiquid markets with jumps

Youssef El-Khatib and Abdulnasser Hatemi-J

2013: On the pricing and hedging of options for highly volatile periods

Youssef El-Khatib and Abdulnasser Hatemi-J

2013: Cubature on Wiener space: pathwise convergence

Christian Bayer and Peter K. Friz

2013: Double Whammy - How ICT Projects are Fooled by Randomness and Screwed by Political Intent

Alexander Budzier and Bent Flyvbjerg

2013: A variation of the Canadisation algorithm for the pricing of American options driven by L\'evy processes

Florian Kleinert and Kees van Schaik

2013: What Causes Cost Overrun in Transport Infrastructure Projects?"

Bent Flyvbjerg, Mette K. Skamris Holm and S{\o}ren L. Buhl

2013: Measuring the default risk of sovereign debt from the perspective of network

Hongwei Chuang and Hwai-Chung Ho

2013: Hierarchy of Frustrations as Supplementary Indices in Complex System Dynamics, Applied to the U.S. Intermarket

Krzysztof Sokalski

2013: Hedging of Game Options under Model Uncertainty in Discrete Time

Yan Dolinsky

2013: Return on net sales from three companies in the manufacturing of fabricated metal products (except machinery and equipment)

Marta Tomczak, Anna Ziolkowska and Martyna Rosik

2013: Jan Tinbergen's legacy for economic networks: from the gravity model to quantum statistics

Tiziano Squartini and Diego Garlaschelli

2013: Robust price bounds for the forward starting straddle

David Hobson and Martin Klimmek

2013: Robustification of Elliott's on-line EM algorithm for HMMs

Christina Erlwein and Peter Ruckdeschel

2013: Optimal initiation of a GLWB in a variable annuity: no arbitrage approach

H. Huang, Moshe Milevsky and T. S. Salisbury

2013: Why Mass Media Matter to Planning Research: The Case of Megaprojects

Bent Flyvbjerg

2013: Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs

Andrea Pallavicini and Damiano Brigo

2013: Five Misunderstandings About Case-Study Research

Bent Flyvbjerg

2013: A Peer-based Model of Fat-tailed Outcomes

Ben Klemens

2013: Premiums And Reserves, Adjusted By Distortions

Alois Pichler

2013: Why Your IT Project Might Be Riskier Than You Think

Bent Flyvbjerg and Alexander Budzier

2013: High-frequency market-making for multi-dimensional Markov processes

Pietro Fodra and Mauricio Labadie

2013: Pivotal estimation in high-dimensional regression via linear programming

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2013: Nanotechnology and Innovation, Recent status and the strategic implication for the formation of high tech clusters in Greece, in between a global economic crisis

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2013: A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices

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2013: Drift dependence of optimal trade execution strategies under transient price impact

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2013: Building portfolios of stocks in the S\~ao Paulo Stock Exchange using Random Matrix Theory

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2013: The Existence of Dominating Local Martingale Measures

Peter Imkeller and Nicolas Perkowski

2013: Recovering Model Structures from Large Low Rank and Sparse Covariance Matrix Estimation

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2013: On the Computational Complexity of Measuring Global Stability of Banking Networks

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2013: Forward Exponential Performances: Pricing and Optimal Risk Sharing

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2013: A Map of the Brazilian Stock Market

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2013: A Mathematical Approach to Order Book Modeling

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2013: Average and Quantile Effects in Nonseparable Panel Models

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2013: An extension of Paulsen-Gjessing's risk model with stochastic return on investments

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2013: Continuous-time Mean-Variance Portfolio Selection with Stochastic Parameters

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2013: CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models

Damiano Brigo, Jo\~ao Garcia and Nicola Pede

2013: Swing options in commodity markets: A multidimensional L\'evy diffusion model

Marcus Eriksson, Jukka Lempa and Trygve Kastberg Nilssen

2013: Random Matrix Theory and Cross-correlations in Global Financial Indices and Local Stock Market Indices

Ashadun Nobi, Seong Eun Maeng, Gyeong Gyun Ha and Jae Woo Lee

2013: On The EU and Euro-zone Stability

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2013: An Optimal Pairs-Trading Rule

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2013: Optimal dividends problem with a terminal value for spectrally positive Levy processes

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2013: Information Transmission Between Financial Markets in Chicago and New York

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Peter K. Friz, Stefan Gerhold and Marc Yor

2013: Theory of Performance Participation Strategies

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2013: Collateral-Enhanced Default Risk

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2013: Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process

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2013: A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions

Luis Alvarez, Pekka Matom\"aki and Teppo A. Rakkolainen

2013: Cross-diffusion Modeling in Macroeconomics

Laszlo Balazsi and Krisztina Kiss

2013: A second-order stock market model

Robert Fernholz, Tomoyuki Ichiba and Ioannis Karatzas

2013: Pricing Step Options under the CEV and other Solvable Diffusion Models

Giuseppe Campolieti, Roman N. Makarov and Karl Wouterloot

2013: From Nobel Prize to Project Management: Getting Risks Right

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2013: An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model

Takashi Kato, Akihiko Takahashi and Toshihiro Yamada

2013: Volatility polarization of non-specialized investors' heterogeneous activity

Mario Guti\'errez-Roig and Josep Perell\'o

2013: Technical report: Risk-neutral density recovery via spectral analysis

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2013: Quality Control and Due Diligence in Project Management: Getting Decisions Right by Taking the Outside View

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2013: Evaluation on the Financial Competitiveness of Chinese Listed Real Estate Companies Based on Entropy Method

Wei Lin and Linbo Shao

2013: The Heston Riemannian distance function

Archil Gulisashvili and Peter Laurence

2013: Stochastic Local Intensity Loss Models with Interacting Particle Systems

Aur\'elien Alfonsi, C\'eline Labart and J\'er\^ome Lelong

2013: Variance optimal hedging for continuous time additive processes and applications

Stéphane Goutte, Nadia Oudjane and Francesco Russo

2013: On the Robust superhedging of measurable claims

Dylan Possama\"i, Guillaume Royer and Nizar Touzi

2013: Representing Aggregate Belief through the Competitive Equilibrium of a Securities Market

David M. Pennock and Michael Wellman

2013: Efficient Markets, Behavioral Finance and a Statistical Evidence of the Validity of Technical Analysis

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2013: Risks of Large Portfolios

Jianqing Fan, Yuan Liao and Xiaofeng Shi

2013: Efficient Importance Sampling for Rare Event Simulation with Applications

Cheng-Der Fuh, Huei-Wen Teng and Ren-Her Wang

2013: Inflation-rate Derivatives: From Market Model to Foreign Currency Analogy

Lixin Wu

2013: Behavioural present value

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2013: On return rate implied by behavioural present value

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2013: Basis of financial arithmetic from the viewpoint of the utility theory

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2013: CVA and FVA to Derivatives Trades Collateralized by Cash

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2013: Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs

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2013: On the optimal allocation of assets in investment portfolio with application of modern portfolio and nonlinear dynamic chaos theories in investment, commercial and central banks

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2013: Study of a Market Model with Conservative Exchanges on Complex Networks

L. A. Braunstein, P. A. Macri and J. R. Iglesias

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2013: Uniqueness of Kusuoka Representations

Alois Pichler and Alexander Shapiro

2013: Diffusion-based models for financial markets without martingale measures

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2013: Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression

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2013: Negative Kelvin temperatures in stock markets

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2013: Realized wavelet-based estimation of integrated variance and jumps in the presence of noise

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2013: A Modified GHG Intensity Indicator: Toward a Sustainable Global Economy based on a Carbon Border Tax and Emissions Trading

Reza Farrahi Moghaddam, Fereydoun Farrahi Moghaddam and Mohamed Cheriet

2013: Model-independent Bounds for Option Prices: A Mass Transport Approach

Mathias Beiglb\"ock, Pierre Henry-Labord\`ere and Friedrich Penkner

2013: Default clustering in large portfolios: Typical events

Kay Giesecke, Konstantinos Spiliopoulos and Richard B. Sowers

2013: Optimal stopping under probability distortion

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2013: On utility maximization under convex portfolio constraints

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2013: No-arbitrage of second kind in countable markets with proportional transaction costs

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2013: Switching Portfolios

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2013: Markets Evolution After the Credit Crunch

Marco Bianchetti and Mattia Carlicchi

2013: On the relation between forecast precision and trading profitability of financial analysts

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2013: Ab initio analysis of all income society classes in the European Union

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2013: Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach

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2013: Stock Price Fluctuations in an Agent-Based Model with Market Liquidity

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2013: A primer on reflexivity and price dynamics under systemic risk

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2013: On Possible Influence of Space Weather on Agricultural Markets: Necessary Conditions and Probable Scenarios

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2013: DebtRank-transparency: Controlling systemic risk in financial networks

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2013: Cross-Ownership as a Structural Explanation for Over- and Underestimation of Default Probability

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2013: Conservation laws, financial entropy and the Eurozone crisis

William Cockshott and David Zachariah

2013: Pricing Using a Homogeneously Saturated Equation

Daniel T. Cassidy

2013: Ecosystems perspective on financial networks: diagnostic tools

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2013: Cash Flow Entropy

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2013: Model-independent no-arbitrage conditions on American put options

Alexander M. G. Cox and Christoph Hoeggerl

2013: DVA for Assets

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2013: Measuring Model Risk

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Daniel T. Cassidy

2013: Financial Portfolio Optimization: Computationally guided agents to investigate, analyse and invest!?

Ankit Dangi

2013: Random cascade model in the limit of infinite integral scale as the exponential of a non-stationary $1/f$ noise. Application to volatility fluctuations in stock markets

J. F. Muzy, R. Baile and E. Bacry

2013: Compact Securities Markets for Pareto Optimal Reallocation of Risk

David M. Pennock and Michael Wellman

2013: Value-Based Inventory Management

Grzegorz Michalski

2013: Polish and Silesian Non-Profit Organizations Liquidity Strategies

Grzegorz Michalski and Mercik Aleksander

2013: Planning Optimal From the Firm Value Creation Perspective Levels of Operating Cash Investments

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2013: Portfolio Management Approach in Trade Credit Decision Making

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Qasim Nasar-Ullah

2013: On Bankruptcy Game Theoretic Interval Rules

Rodica Branzei, Marco Dall'Aglio and Stef H. Tijs

2013: Reinterpretation of Sieczka-Ho{\l}yst financial market model

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2013: The Community Structure of the Global Corporate Network

Stefania Vitali and Stefano Battiston

2013: Modeling of income distribution in the European Union with the Fokker-Planck equation

Maciej Jagielski and Ryszard Kutner

2013: Dynamics of episodic transient correlations in currency exchange rate returns and their predictability

Milan \v{Z}ukovi\v{c}

2013: Trust in foreseeing neighbours - a novel threshold model of financial market

Jan A. Lipski and Ryszard Kutner

2013: The Foster-Hart Measure of Riskiness for General Gambles

Frank Riedel and Tobias Hellmann

2013: Hawkes model for price and trades high-frequency dynamics

E. Bacry and J. F Muzy

2013: Testing the Goodwin growth-cycle macroeconomic dynamics in Brazil

N. J. Moura and Marcelo Ribeiro

2013: Coupling between time series: a network view

Saeed Mehraban, Amirhossein Shirazi, Maryam Zamani and Gholamreza Jafari

2013: On a dynamic adaptation of the Distribution Builder approach to investment decisions

Phillip Monin

2013: Gambling in contests with regret

Han Feng and David Hobson

2013: Optimal replication of random claims by ordinary integrals with applications in finance

Nikolai Dokuchaev

2013: On Infectious Model for Dependent Defaults

Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu and Harry Zheng

2013: On Reduced Form Intensity-based Model with Trigger Events

Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu and Harry Zheng

2013: Homogenization and asymptotics for small transaction costs: the multidimensional case

Dylan Possama\"i, H. Mete Soner and Nizar Touzi

2013: Bollinger Bands Thirty Years Later

Mark Leeds

2013: Cascading Failures in Bi-partite Graphs: Model for Systemic Risk Propagation

Xuqing Huang, Irena Vodenska, Shlomo Havlin and H. Eugene Stanley

2013: Three-state herding model of the financial markets

Aleksejus Kononovicius and Vygintas Gontis

2013: The beneficial role of random strategies in social and financial systems

Alessio Emanuele Biondo, Alessandro Pluchino and Andrea Rapisarda

2013: Coupled effects of market impact and asymmetric sensitivity in financial markets

Li-Xin Zhong, Wen-Juan Xu, Fei Ren and Yong-Dong Shi

2013: Large tick assets: implicit spread and optimal tick size

Khalil Dayri and Mathieu Rosenbaum

2013: Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints

Johannes Muhle-Karbe and Ren Liu

2013: Point process bridges and weak convergence of insider trading models

Umut \c{C}etin and Hao Xing

2013: Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause

Lorenzo Giada and Claudio Nordio

2013: Negative Call Prices

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2013: Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook

Valeriy Zakamulin

2013: Set-valued average value at risk and its computation

Andreas H. Hamel, Birgit Rudloff and Mihaela Yankova

2013: No need for conspiracy: Self-organized cartel formation in a modified trust game

Tiago P. Peixoto and Stefan Bornholdt

2013: On the Existence of Shadow Prices

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2013: The bounds of heavy-tailed return distributions in evolving complex networks

Jo\~ao P. da Cruz and Pedro G. Lind

2013: Transaction Costs, Trading Volume, and the Liquidity Premium

Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe and Walter Schachermayer

2013: Path properties and regularity of affine processes on general state spaces

Christa Cuchiero and Josef Teichmann

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Mauricio Junca

2013: Ambiguous Volatility, Possibility and Utility in Continuous Time

Larry Epstein and Shaolin Ji

2013: The dynamics of financial stability in complex networks

Jo\~ao P. da Cruz and Pedro G. Lind

2013: Ising-like agent-based technology diffusion model: adoption patterns vs. seeding strategies

Carlos E. Laciana and Santiago L. Rovere

2013: On the Multi-Dimensional Controller and Stopper Games

Erhan Bayraktar and Yu-Jui Huang

2013: Asymptotic Power Utility-Based Pricing and Hedging

Jan Kallsen, Johannes Muhle-Karbe and Richard Vierthauer