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Content
2015
- 1504.04682 Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs
by Tim Leung & Xin Li & Zheng Wang
- 1504.04594 A Posteriori Error Estimator for a Front-Fixing Finite Difference Scheme for American Options
by Riccardo Fazio
- 1504.04581 Dirac Processes and Default Risk
by Chris Kenyon & Andrew Green
- 1504.04388 Mathematical modeling of physical capital using the spatial Solow model
by Gilberto Gonz'alez-Parra & Benito Chen-Charpentier & Abraham J. Arenas & Miguel Diaz-Rodriguez
- 1504.04354 The Long Memory of Order Flow in the Foreign Exchange Spot Market
by Martin D. Gould & Mason A. Porter & Sam D. Howison
- 1504.04296 Estimating the Algorithmic Complexity of Stock Markets
by Olivier Brandouy & Jean-Paul Delahaye & Lin Ma
- 1504.04254 Profitability of simple technical trading rules of Chinese stock exchange indexes
by Hong Zhu & Zhi-Qiang Jiang & Sai-Ping Li & Wei-Xing Zhou
- 1504.04102 The Equilibrium Statistical Model of Economic Systems using Concepts and Theorems of Statistical Physics
by Zhiwu Zheng
- 1504.03934 Forecasting trends with asset prices
by Ahmed Bel Hadj Ayed & Gr'egoire Loeper & Fr'ed'eric Abergel
- 1504.03895 Graph representation of balance sheets: from exogenous to endogenous money
by Cyril Pitrou
- 1504.03822 Fisher information and quantum mechanical models for finance
by Vadim Nastasiuk
- 1504.03733 Switching-GAS Copula Models With Application to Systemic Risk
by Mauro Bernardi & Leopoldo Catania
- 1504.03644 Pathwise super-replication via Vovk's outer measure
by Mathias Beiglbock & Alexander M. G. Cox & Martin Huesmann & Nicolas Perkowski & David J. Promel
- 1504.03552 Random Time Forward Starting Options
by Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti
- 1504.03508 Systemic trade-risk of critical resources
by Peter Klimek & Michael Obersteiner & Stefan Thurner
- 1504.03238 Polynomial term structure models
by Si Cheng & Michael R. Tehranchi
- 1504.03232 Economic inequality and mobility in kinetic models for social sciences
by Maria Letizia Bertotti & Giovanni Modanese
- 1504.03209 Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
by Mykhaylo Shkolnikov & Ronnie Sircar & Thaleia Zariphopoulou
- 1504.03100 Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
by Thibault Jaisson & Mathieu Rosenbaum
- 1504.03079 Explicit solution to dynamic portfolio choice problem : The continuous-time detour
by Franc{c}ois Legendre & Djibril Togola
- 1504.03074 On a method of solving the Black-Scholes Equation
by Binur Yermukanova & Laila Zhexembay & Natanael Karjanto
- 1504.02988 Topics in Stochastic Portfolio Theory
by Alexander Vervuurt
- 1504.02972 Computing trading strategies based on financial sentiment data using evolutionary optimization
by Ronald Hochreiter
- 1504.02956 Liquidity crises on different time scales
by Francesco Corradi & Andrea Zaccaria & Luciano Pietronero
- 1504.02896 Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis
by Marco Bianchetti & Sergei Kucherenko & Stefano Scoleri
- 1504.02734 Sensitivity analysis for expected utility maximization in incomplete Brownian market models
by Julio Backhoff Veraguas & Francisco Silva
- 1504.02516 Empirical Relevance of Ambiguity in First Price Auction Models
by Gaurab Aryal & Dong-Hyuk Kim
- 1504.02511 Application of the war of attrition game to the analysis of intellectual property disputes
by Manuel G. Ch'avez-Angeles & Patricia S. S'anchez-Medina
- 1504.02435 Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces
by Xi-Yuan Qian & Ya-Min Liu & Zhi-Qiang Jiang & Boris Podobnik & Wei-Xing Zhou & H. Eugene Stanley
- 1504.02361 Exploring multi-layer flow network of international trade based on flow distances
by Bin Shen & Jiang Zhang & Qiuhua Zheng
- 1504.02280 U.S. stock market interaction network as learned by the Boltzmann Machine
by Stanislav S. Borysov & Yasser Roudi & Alexander V. Balatsky
- 1504.01857 DebtRank: A microscopic foundation for shock propagation
by Marco Bardoscia & Stefano Battiston & Fabio Caccioli & Guido Caldarelli
- 1504.01811 Agent-based model with multi-level herding for complex financial systems
by Jun-Jie Chen & Lei Tan & Bo Zheng
- 1504.01542 A Vasicek-type short rate model with memory effect
by Akihiko Inoue & Shingo Moriuchi & Yusuke Nakamura
- 1504.01152 Time-Inconsistent Stochastic Linear--Quadratic Control: Characterization and Uniqueness of Equilibrium
by Ying Hu & Hanqing Jin & Xun Yu Zhou
- 1504.01150 Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
by T Kruse & A Popier
- 1504.01132 Recursive Partitioning for Heterogeneous Causal Effects
by Susan Athey & Guido Imbens
- 1504.01026 Diversity-Weighted Portfolios with Negative Parameter
by Alexander Vervuurt & Ioannis Karatzas
- 1504.01022 Application of Operator Splitting Methods in Finance
by Karel in 't Hout & Jari Toivanen
- 1504.00640 Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123
by Freddy Delbaen
- 1504.00590 Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations
by Assaf Almog & Ferry Besamusca & Mel MacMahon & Diego Garlaschelli
- 1504.00579 A Markov model of a limit order book: thresholds, recurrence, and trading strategies
by Frank Kelly & Elena Yudovina
- 1504.00428 A Market Model for VIX Futures
by Alexander Badran & Beniamin Goldys
- 1504.00334 Simulation of Implied Volatility Surfaces via Tangent Levy Models
by Rene Carmona & Yi Ma & Sergey Nadtochiy
- 1504.00310 Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices
by Erhan Bayraktar & Xiang Yu
- 1504.00276 The Martin Integral Representation of Markovian Pricing Kernels
by Hyungbin Park
- 1503.09008 IMEX schemes for a Parabolic-ODE system of European Options with Liquidity Shocks
by W. Mudzimbabwe & Lubin G. Vulkov
- 1503.09004 Dependence structure of market states
by Desislava Chetalova & Marcel Wollschlager & Rudi Schafer
- 1503.08969 Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints
by Huiwen Yan & Gechun Liang & Zhou Yang
- 1503.08961 Dynkin Game of Convertible Bonds and Their Optimal Strategy
by Huiwen Yan & Zhou Yang & Fahuai Yi & Gechun Liang
- 1503.08900 Dynamic Games with Almost Perfect Information
by Wei He & Yeneng Sun
- 1503.08785 Prices of Options as Opinion Dynamics of the Market Players with Limited Social Influence
by Elad Oster & Alexander Feigel
- 1503.08628 Dynamic indifference pricing via the G-expectation
by Qian Lin
- 1503.08589 Local risk-minimization for Barndorff-Nielsen and Shephard models
by Takuji Arai & Yuto Imai & Ryoichi Suzuki
- 1503.08586 New class of distortion risk measures and their tail asymptotics with emphasis on VaR
by Chuancun Yin & Dan Zhu
- 1503.08465 Anomalous volatility scaling in high frequency financial data
by Noemi Nava & T. Di Matteo & Tomaso Aste
- 1503.08441 East africa in the Malthusian trap? A statistical analysis of financial, economic, and demographic indicators
by Andrey Korotayev & Julia Zinkina
- 1503.08123 Higher order elicitability and Osband's principle
by Tobias Fissler & Johanna F. Ziegel
- 1503.08119 About the decomposition of pricing formulas under stochastic volatility models
by Raul Merino & Josep Vives
- 1503.08082 Black-Scholes in a CEV random environment
by Antoine Jacquier & Patrick Roome
- 1503.08032 Observability of Market Daily Volatility
by Filippo Petroni & Maurizio Serva
- 1503.08013 A Robust Statistics Approach to Minimum Variance Portfolio Optimization
by Liusha Yang & Romain Couillet & Matthew R. McKay
- 1503.07676 Sensitivity and Computational Complexity in Financial Networks
by Brett Hemenway & Sanjeev Khanna
- 1503.07495 The intensity of the random variable intercept in the sector of negative probabilities
by Marcin Makowski & Edward W. Piotrowski & Jan S{l}adkowski & Jacek Syska
- 1503.07389 Sorting in Networks: Adversity and Structure
by Andreas Bjerre-Nielsen
- 1503.07007 Optimal Position Management for a Market Maker with Stochastic Price Impacts
by Masaaki Fujii
- 1503.06926 A study of co-movements between USA and Latin American stock markets: a cross-bicorrelations perspective
by Semei Coronado & Omar Rojas & Rafael Romero-Meza & Francisco Venegas-Martinez
- 1503.06704 Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights
by Jonathan Donier & Jean-Philippe Bouchaud
- 1503.06354 A Unified Approach to Systemic Risk Measures via Acceptance Sets
by Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis
- 1503.06317 Measuring Systemic Risk: Robust Ranking Techniques Approach
by Amirhossein Sadoghi
- 1503.06205 Canonical Sectors and Evolution of Firms in the US Stock Markets
by Lorien X. Hayden & Ricky Chachra & Alexander A. Alemi & Paul H. Ginsparg & James P. Sethna
- 1503.06020 Insights in Economical Complexity in Spain: the hidden boost of migrants in international tradings
by Elena Agliari & Adriano Barra & Andrea Galluzzi & Francisco Requena-Silvente & Daniele Tantari
- 1503.05909 Principal Components Analysis for Semimartingales and Stochastic PDE
by Alberto Ohashi & Alexandre B Simas
- 1503.05769 Risk Sensitive Control of the Lifetime Ruin Problem
by Erhan Bayraktar & Asaf Cohen
- 1503.05655 Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion
by Hagen Kleinert & Jan Korbel
- 1503.05550 Club Convergence of House Prices: Evidence from China's Ten Key Cities
by Hao Meng & Wen-Jie Xie & Wei-Xing Zhou
- 1503.05475 Almost-sure hedging with permanent price impact
by B. Bouchard & G. Loeper & Y. Zou
- 1503.05416 The Principal-Agent Problem With Time Inconsistent Utility Functions
by Boualem Djehiche & Peter Helgesson
- 1503.05343 ON Integrated Chance Constraints in ALM for Pension Funds
by Youssouf A. F. Toukourou & Franc{c}ois Dufresne
- 1503.05283 Re-visiting the Distance Coefficient in Gravity Model
by Haonan Wu
- 1503.05139 Pricing of Warrants with Stock Price Dependent Threshold Conditions
by Ander Olvik & Raul Kangro
- 1503.05127 Tornadoes and related damage costs: statistical modeling with a semi-Markov approach
by Chiara Corini & Guglielmo D'Amico & Filippo Petroni & Flavio Prattico & Raimondo Manca
- 1503.05098 Randomizing bipartite networks: the case of the World Trade Web
by Fabio Saracco & Riccardo Di Clemente & Andrea Gabrielli & Tiziano Squartini
- 1503.04979 The affine inflation market models
by Stefan Waldenberger
- 1503.04841 Forest Fire Model as a Supercritical Dynamic Model in Financial Systems
by Deokjae Lee & Jae-Young Kim & Jeho Lee & B. Kahng
- 1503.04799 From anti-conformism to extremism
by G'erard Weisbuch
- 1503.04772 A dynamic game on Green Supply Chain Management
by Mehrnoosh Khademi & Massimiliano Ferrara & Bruno Pansera & Mehdi Salimi
- 1503.04460 Optimal risk allocation in a market with non-convex preferences
by Hirbod Assa
- 1503.03986 Measuring switching processes in financial markets with the Mean-Variance spin glass approach
by Jan Jurczyk
- 1503.03902 L\'evy Processes For Finance: An Introduction In R
by D. J. Manuge
- 1503.03726 Bounds for randomly shared risk of heavy-tailed loss factors
by Oliver Kley & Claudia Kluppelberg
- 1503.03705 A hybrid tree/finite-difference approach for Heston-Hull-White type models
by M. Briani & L. Caramellino & A. Zanette
- 1503.03567 Profitable forecast of prices of stock options on real market data via the solution of an ill-posed problem for the Black-Scholes equation
by Michael V. Klibanov & Andrey V. Kuzhuget
- 1503.03548 Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets
by Yu-Lei Wan & Wen-Jie Xie & Gao-Feng Gu & Zhi-Qiang Jiang & Wei Chen & Xiong Xiong & Wei Zhang & Wei-Xing Zhou
- 1503.03194 Symmetry structure and solution of evolution-type equations with time dependent parameters in financial Mathematics
by Michael Okelola & Keshlan Govinder
- 1503.03180 Negative Dependence Concept in Copulas and the Marginal Free Herd Behavior Index
by Jae Youn Ahn
- 1503.03006 Some new results on Dufffie-type OTC markets
by Alain B'elanger & Gaston Giroux & Ndoun'e Ndoun'e
- 1503.02822 On robust pricing-hedging duality in continuous time
by Zhaoxu Hou & Jan Obloj
- 1503.02479 Competition and Efficiency of Coalitions in Cournot Games with Uncertainty
by Baosen Zhang & Ramesh Johari & Ram Rajagopal
- 1503.02405 Detecting and interpreting distortions in hierarchical organization of complex time series
by Stanis{l}aw Dro.zd.z & Pawe{l} O'swik{e}cimka
- 1503.02237 Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case
by Erhan Bayraktar & Virginia R. Young & David Promislow
- 1503.02177 Compounding approach for univariate time series with non-stationary variances
by Rudi Schafer & Sonja Barkhofen & Thomas Guhr & Hans-Jurgen Stockmann & Ulrich Kuhl
- 1503.02034 A generic model for spouse's pensions with a view towards the calculation of liabilities
by Alexander Sokol
- 1503.01802 Game-theoretic approach to risk-sensitive benchmarked asset management
by Amogh Deshpande & Saul D. Jacka
- 1503.01754 A Quantization Approach to the Counterparty Credit Exposure Estimation
by M. Bonollo & L. Di Persio & I. Oliva & A. Semmoloni
- 1503.01584 Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data
by Frederik Meudt & Martin Theissen & Rudi Schafer & Thomas Guhr
- 1503.00961 Optimally Investing to Reach a Bequest Goal
by Erhan Bayraktar & Virginia R. Young
- 1503.00913 Understanding Financial Market States Using Artificial Double Auction Market
by Kyubin Yim & Gabjin Oh & Seunghwan Kim
- 1503.00864 Affine LIBOR models driven by real-valued affine processes
by Stefan Waldenberger & Wolfgang Muller
- 1503.00823 Influence network in Chinese stock market
by Ya-Chun Gao & Yong Zeng & Shi-Min Cai
- 1503.00621 Leveraging the network: a stress-test framework based on DebtRank
by Stefano Battiston & Marco D'Errico & Stefano Gurciullo & Guido Caldarelli
- 1503.00556 Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example
by Yuriy Stepanov & Philip Rinn & Thomas Guhr & Joachim Peinke & Rudi Schafer
- 1503.00529 Diversity waves in collapse-driven population dynamics
by Sergei Maslov & Kim Sneppen
- 1503.00421 State and group dynamics of world stock market by principal component analysis
by Ashadun Nobi & Jae Woo Lee
- 1503.00127 How crude oil prices shape the global division of labour
by Francesco Picciolo & Andreas Papandreou & Klaus Hubacek & Franco Ruzzenenti
- 1503.00019 Error analysis in Fourier methods for option pricing
by Fabi'an Crocce & Juho Happola & Jonas Kiessling & Ra'ul Tempone
- 1502.07961 Measures of Systemic Risk
by Zachary Feinstein & Birgit Rudloff & Stefan Weber
- 1502.07625 Developing Knowledge States: Technology and the Enhancement of National Statistical Capacity
by Derrick M. Anderson & Andrew B. Whitford
- 1502.07622 Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity
by Tihomir Gyulov & Lyuben Valkov
- 1502.07531 Feynman-Kac formula for L\'evy processes with discontinuous killing rate
by Kathrin Glau
- 1502.07522 Dynamics of quasi-stationary systems: Finance as an example
by Philip Rinn & Yuriy Stepanov & Joachim Peinke & Thomas Guhr & Rudi Schafer
- 1502.07397 Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
by Stephane Crepey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand
- 1502.07367 Cross correlations in European government bonds and EuroStoxx
by Jan Jurczyk & Alexander Eckrot
- 1502.07321 An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series
by Alexander Schnurr
- 1502.07265 Estimation of Several Political Action Effects of Energy Prices
by Andrew B. Whitford
- 1502.06984 Model risk on credit risk
by J. Molins & E. Vives
- 1502.06901 Equilibrium in Misspecified Markov Decision Processes
by Ignacio Esponda & Demian Pouzo
- 1502.06805 International R&D Spillovers and other Unobserved Common Spillovers and Shocks
by Diego-Ivan Ruge-Leiva
- 1502.06736 Rotational invariant estimator for general noisy matrices
by Joel Bun & Romain Allez & Jean-Philippe Bouchaud & Marc Potters
- 1502.06681 Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
by Erhan Bayraktar & Zhou Zhou
- 1502.06557 Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
by Florian Ziel
- 1502.06349 Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators
by Antonio Dalessandro & Gareth W. Peters
- 1502.06217 Contour map of estimation error for Expected Shortfall
by Imre Kondor & Fabio Caccioli & G'abor Papp & Matteo Marsili
- 1502.06163 Threadneedle: An Experimental Tool for the Simulation and Analysis of Fractional Reserve Banking Systems
by Jacky Mallett
- 1502.06106 Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis
by Maxim Bichuch & Agostino Capponi & Stephan Sturm
- 1502.06074 Coping with Negative Short-Rates
by Zura Kakushadze
- 1502.05920 Robust Utility Maximization with L\'evy Processes
by Ariel Neufeld & Marcel Nutz
- 1502.05743 The existence of optimal bang-bang controls for GMxB contracts
by Parsiad Azimzadeh & Peter A. Forsyth
- 1502.05603 Assessment of 48 Stock markets using adaptive multifractal approach
by Paulo Ferreira & Andreia Dion'isio & S. M. S. Movahed
- 1502.05442 Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models
by Archil Gulisashvili & Frederi Viens & Xin Zhang
- 1502.05367 One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics
by Damien Challet
- 1502.05274 How predictable is technological progress?
by J. Doyne Farmer & Francois Lafond
- 1502.05238 Pareto Efficient Nash Implementation Via Approval Voting
by Yakov Babichenko & Leonard J. Schulman
- 1502.04909 Identification of Atlas models
by Robert Fernholz
- 1502.04592 Hawkes processes in finance
by Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy
- 1502.04521 A dynamic optimal execution strategy under stochastic price recovery
by Masashi Ieda
- 1502.04359 A weak law of large numbers for a limit order book model with fully state dependent order dynamics
by Ulrich Horst & Dorte Kreher
- 1502.03978 Non Parametric Estimates of Option Prices Using Superhedging
by Gianluca Cassese
- 1502.03901 Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing
by Boris Buchmann & Benjamin Kaehler & Ross Maller & Alexander Szimayer
- 1502.03871 Stationary distribution of the volume at the best quote in a Poisson order book model
by Ioane Muni Toke
- 1502.03840 Market Dynamics and Indirect Network Effects in Electric Vehicle Diffusion
by Zhe Yu & Shanjun Li & Lang Tong
- 1502.03656 Quasi-Newton particle Metropolis-Hastings
by Johan Dahlin & Fredrik Lindsten & Thomas B. Schon
- 1502.03359 Asymptotic indifference pricing in exponential L\'evy models
by Cl'ement M'enass'e & Peter Tankov
- 1502.03254 Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
by Archil Gulisashvili & Blanka Horvath & Antoine Jacquier
- 1502.03252 Diversification, protection of liability holders and regulatory arbitrage
by Pablo Koch-Medina & Cosimo Munari & Mario Sikic
- 1502.03155 A lava attack on the recovery of sums of dense and sparse signals
by Victor Chernozhukov & Christian Hansen & Yuan Liao
- 1502.03018 Approximating explicitly the mean reverting CEV process
by Nikolaos Halidias & Ioannis Stamatiou
- 1502.02968 Learning and Portfolio Decisions for HARA Investors
by Michele Longo & Alessandra Mainini
- 1502.02963 An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab
by Ricardo Crisostomo
- 1502.02926 Consistent Recalibration of Yield Curve Models
by Philipp Harms & David Stefanovits & Josef Teichmann & Mario Wuthrich
- 1502.02863 Dark-Pool Perspective of Optimal Market Making
by M. Alessandra Crisafi & Andrea Macrina
- 1502.02847 The Robust Merton Problem of an Ambiguity Averse Investor
by Sara Biagini & Mustafa Pinar
- 1502.02819 The pricing of lookback options and binomial approximation
by Karl Grosse-Erdmann & Fabien Heuwelyckx
- 1502.02595 Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps
by Jos'e E. Figueroa-L'opez & Sveinn 'Olafsson
- 1502.02537 Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1502.02352 Optimal portfolio with unobservable market parameters and certainty equivalence principle
by Nikolai Dokuchaev
- 1502.02286 Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
by Tatiana Belkina & Shangzhen Luo
- 1502.02083 Information and Trading Targets in a Dynamic Market Equilibrium
by Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi
- 1502.01918 Systemic Risk with Exchangeable Contagion: Application to the European Banking System
by Umberto Cherubini & Sabrina Mulinacci
- 1502.01912 Archimedean-based Marshall-Olkin Distributions and Related Copula Functions
by Sabrina Mulinacci
- 1502.01735 Convex duality with transaction costs
by Yan Dolinsky & H. Mete Soner
- 1502.01658 Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
by Michael Ho & Zheng Sun & Jack Xin
- 1502.01125 Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model
by Frederik Meudt & Thilo A. Schmitt & Rudi Schafer & Thomas Guhr
- 1502.00908 A Directional Multivariate Value at Risk
by Ra'ul Torres & Rosa E. Lillo & Henry Laniado
- 1502.00882 A New Methodology for Estimating Internal Credit Risk and Bankruptcy Prediction under Basel II Regime
by M. Naresh Kumar & V. Sree Hari Rao
- 1502.00861 An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions
by Eric Dahlgren & Tim Leung
- 1502.00824 How volatilities nonlocal in time affect the price dynamics in complex financial systems
by Lei Tan & Bo Zheng & Jun-Jie Chen & Xiong-Fei Jiang
- 1502.00808 On the multiplicative effect of government spending (or any other spending for that matter)
by Jo~ao P. da Cruz
- 1502.00680 Quasi-Centralized Limit Order Books
by Martin D. Gould & Mason A. Porter & Sam D. Howison
- 1502.00674 An equilibrium model for spot and forward prices of commodities
by Michail Anthropelos & Michael Kupper & Antonis Papapantoleon
- 1502.00358 Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties
by Tim Leung & Yoshihiro Shirai
- 1502.00225 Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components
by Ladislav Kristoufek
- 1502.00218 Direct Foreign Investment in Kurdistan Region of Middle-East: Non-Oil Sector Analysis
by Angus O. Unegbu & Augustine Okanlawon
- 1502.00104 Worldwide clustering of the corruption perception
by Michal Paulus & Ladislav Kristoufek
- 1501.07778 Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix
by Patrick Steffen Michelberger & Jan Hendrik Witte
- 1501.07504 Adaptive Filter Design for Stock Market Prediction Using a Correlation-based Criterion
by J. E. Wesen & V. VV. Vermehren & H. M. de Oliveira
- 1501.07480 Portfolio Optimization under Shortfall Risk Constraint
by Oliver Janke & Qinghua Li
- 1501.07473 Information in stock prices and some consequences: A model-free approach
by Yannis G. Yatracos
- 1501.07404 Liquidity costs: a new numerical methodology and an empirical study
by Christophe Michel & Victor Reutenauer & Denis Talay & Etienne Tanr'e
- 1501.07402 Valuation Algorithms for Structural Models of Financial Interconnectedness
by Johannes Hain & Tom Fischer
- 1501.07297 Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk
by Gildas Ratovomirija
- 1501.07124 Optimal strategies of investment in a linear stochastic model of market
by O. S. Rozanova & G. S. Kambarbaeva
- 1501.06980 Short-time at-the-money skew and rough fractional volatility
by Masaaki Fukasawa
- 1501.06221 Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach
by Jinbeom Kim & Tim Leung
- 1501.06084 Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
by Andrei Cozma & Matthieu Mariapragassam & Christoph Reisinger
- 1501.05893 Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
by Maxim Bichuch & Agostino Capponi & Stephan Sturm
- 1501.05771 Positively-homogeneous Konus-Divisia indices and their applications to demand analysis and forecasting
by Nikolay Klemashev & Alexander Shananin
- 1501.05751 Interbank markets and multiplex networks: centrality measures and statistical null models
by Leonardo Bargigli & Giovanni di Iasio & Luigi Infante & Fabrizio Lillo & Federico Pierobon