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Content
2016
- 1607.03430 Dual representations for systemic risk measures
by c{C}au{g}{i}n Ararat & Birgit Rudloff
- 1607.03205 Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals
by Taisei Kaizoji & Michiko Miyano
- 1607.03161 A mathematical model for a gaming community
by Romulus Breban
- 1607.02743 Information uncertainty related to marked random times and optimal investment
by Ying Jiao & Idris Kharroubi
- 1607.02688 On the time consistency of collective preferences
by Luis A. Alcala
- 1607.02481 Inferring monopartite projections of bipartite networks: an entropy-based approach
by Fabio Saracco & Mika J. Straka & Riccardo Di Clemente & Andrea Gabrielli & Guido Caldarelli & Tiziano Squartini
- 1607.02470 Deep Learning for Mortgage Risk
by Justin Sirignano & Apaar Sadhwani & Kay Giesecke
- 1607.02423 Fair division with divisible and indivisible items
by Alexander Rubchinsky
- 1607.02422 Rating models: emerging market distinctions
by Alexander Karminsky
- 1607.02421 Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory
by Andrey Subochev & Igor Zakhlebin
- 1607.02419 Divisive-agglomerative algorithm and complexity of automatic classification problems
by Alexander Rubchinsky
- 1607.02410 Tail protection for long investors: Trend convexity at work
by Tung-Lam Dao & Trung-Tu Nguyen & Cyril Deremble & Yves Lemp'eri`ere & Jean-Philippe Bouchaud & Marc Potters
- 1607.02378 Matrix-vector representation of various solution concepts
by Fuad Aleskerov & Andrey Subochev
- 1607.02349 Toward an integrated workforce planning framework using structured equations
by Marie Doumic & Beno^it Perthame & Edouard Ribes & Delphine Salort & Nathan Toubiana
- 1607.02319 Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
by Gareth W. Peters & Pavel V. Shevchenko & Bertrand Hassani & Ariane Chapelle
- 1607.02289 An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
by Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou
- 1607.02093 Artificial Neural Network and Time Series Modeling Based Approach to Forecasting the Exchange Rate in a Multivariate Framework
by Tamal Datta Chaudhuri & Indranil Ghosh
- 1607.02067 On the American swaption in the linear-rational framework
by Damir Filipovic & Yerkin Kitapbayev
- 1607.01999 Inferring the contiguity matrix for spatial autoregressive analysis with applications to house price prediction
by Somwrita Sarkar & Sanjay Chawla
- 1607.01902 On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models
by Benjamin Avanzi & Jos'e-Luis P'erez & Bernard Wong & Kazutoshi Yamazaki
- 1607.01751 Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations
by Sylwester Arabas & Ahmad Farhat
- 1607.01619 Swaption Prices in HJM model. Nonparametric fit
by V. M. Belyaev
- 1607.01519 Granger Independent Martingale Processes
by Umberto Cherubini & Fabio Gobbi & Sabrina Mulinacci & Silvia Romagnoli
- 1607.01317 Dynamic optimization and its relation to classical and quantum constrained systems
by Mauricio Contreras & Rely Pellicer & Marcelo Villena
- 1607.01207 Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching
by Nemat Safarov & Colin Atkinson
- 1607.01110 Utility Indifference Pricing of Insurance Catastrophe Derivatives
by Andreas Eichler & Gunther Leobacher & Michaela Szolgyenyi
- 1607.00830 A probability-free and continuous-time explanation of the equity premium and CAPM
by Vladimir Vovk & Glenn Shafer
- 1607.00756 Comments on the BCBS proposal for a New Standardized Approach for Operational Risk
by Giulio Mignola & Roberto Ugoccioni & Eric Cope
- 1607.00721 Recursive utility optimization with concave coefficients
by Shaolin Ji & Xiaomin Shi
- 1607.00699 The State of Applied Econometrics - Causality and Policy Evaluation
by Susan Athey & Guido Imbens
- 1607.00698 The Econometrics of Randomized Experiments
by Susan Athey & Guido Imbens
- 1607.00638 Time-Inconsistent Stochastic Linear-quadratic Differential Game
by Qinglong Zhou & Gaofeng Zong
- 1607.00454 Limit order trading with a mean reverting reference price
by Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang
- 1607.00448 Estimation and prediction of credit risk based on rating transition systems
by Jinghai Shao & Siming Li & Yong Li
- 1607.00393 Frequentist properties of Bayesian inequality tests
by David M. Kaplan & Longhao Zhuo
- 1607.00286 Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk
by Alexandre Belloni & Mingli Chen & Victor Chernozhukov
- 1607.00077 Existence of a calibrated regime switching local volatility model and new fake Brownian motions
by Benjamin Jourdain & Alexandre Zhou
- 1607.00035 Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information
by Albina Danilova
- 1606.09194 A multilayer approach for price dynamics in financial markets
by Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda
- 1606.08984 Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement
by Johan G. Andreasson & Pavel V. Shevchenko & Alex Novikov
- 1606.08679 Replica approach to mean-variance portfolio optimization
by Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor
- 1606.08562 Complex Systems and a Computational Social Science Perspective on the Labor Market
by Abdullah Almaatouq
- 1606.08381 Pricing European and American Options under Heston Model using Discontinuous Galerkin Finite Elements
by Sinem Kozp{i}nar & Murat Uzunca & Bulent Karasozen
- 1606.08269 An agent behavior based model for diffusion price processes with application to phase transition and oscillations
by Christof Henkel
- 1606.07831 A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities
by Seyed Amir Hejazi & Kenneth R. Jackson
- 1606.07684 Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks
by Tiziano Squartini & Assaf Almog & Guido Caldarelli & Iman van Lelyveld & Diego Garlaschelli & Giulio Cimini
- 1606.07381 Spread, volatility, and volume relationship in financial markets and market making profit optimization
by Jack Sarkissian
- 1606.07311 Skorohod's representation theorem and optimal strategies for markets with frictions
by Huy N. Chau & Mikl'os R'asonyi
- 1606.07277 Validation of the Replica Trick for Simple Models
by Takashi Shinzato
- 1606.06948 A New Currency of the Future: The Novel Commodity Money with Attenuation Coefficient Based on the Logistics Cost of Anchor
by Boliang Lin & Ruixi Lin
- 1606.06829 Brexit or Bremain ? Evidence from bubble analysis
by Marco Bianchetti & Davide Galli & Camilla Ricci & Angelo Salvatori & Marco Scaringi
- 1606.06720 A mathematical model of demand-supply dynamics with collectability and saturation factors
by Y. Charles Li & Hong Yang
- 1606.06578 Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance
by Byung-Geun Choi & Napat Rujeerapaiboon & Ruiwei Jiang
- 1606.06143 Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options
by Gilles Pag`es & Olivier Pironneau & Guillaume Sall
- 1606.06111 Deviations from universality in the fluctuation behavior of a heterogeneous complex system reveal intrinsic properties of components: The case of the international currency market
by Abhijit Chakraborty & Soumya Easwaran & Sitabhra Sinha
- 1606.06051 Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms?
by Kiran Sharma & Anirban Chakraborti
- 1606.06003 Using String Invariants for Prediction Searching for Optimal Parameters
by Marek Bundzel & Tomas Kasanicky & Richard Pincak
- 1606.05877 A new decomposition of portfolio return
by Robert Fernholz
- 1606.05488 Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
by Shaolin Ji & Xiaomin Shi
- 1606.05164 Network Valuation in Financial Systems
by Paolo Barucca & Marco Bardoscia & Fabio Caccioli & Marco D'Errico & Gabriele Visentin & Guido Caldarelli & Stefano Battiston
- 1606.05079 Optimal Liquidation under Partial Information with Price Impact
by Katia Colaneri & Zehra Eksi & Rudiger Frey & Michaela Szolgyenyi
- 1606.04872 The multiplex dependency structure of financial markets
by Nicol'o Musmeci & Vincenzo Nicosia & Tomaso Aste & Tiziana Di Matteo & Vito Latora
- 1606.04819 Nonparametric Analysis of Random Utility Models
by Yuichi Kitamura & Jorg Stoye
- 1606.04816 Note on level r consensus
by Nikolay L. Poliakov
- 1606.04796 Kinetic and mean field description of Gibrat's law
by Giuseppe Toscani
- 1606.04790 Local Operators in Kinetic Wealth Distribution
by M. Andrecut
- 1606.04285 Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions
by Masaaki Fujii & Akihiko Takahashi
- 1606.04139 Credit allocation based on journal impact factor and coauthorship contribution
by Javier E. Contreras-Reyes
- 1606.04039 The Sound of Silence: equilibrium filtering and optimal censoring in financial markets
by Miles B. Gietzmann & Adam J. Ostaszewski
- 1606.03901 Kolmogorov Space in Time Series Data
by K. Kanjamapornkul & R. Pinv{c}'ak
- 1606.03899 Exact Smooth Term-Structure Estimation
by Damir Filipovi'c & Sander Willems
- 1606.03709 Mean field games of timing and models for bank runs
by Rene Carmona & Francois Delarue & Daniel Lacker
- 1606.03597 Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring
by Mihaly Ormos & Dusan Timotity
- 1606.03595 Incentivizing Resilience in Financial Networks
by Matt V. Leduc & Stefan Thurner
- 1606.03590 Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading
by Mihaly Ormos & Dusan Timotity
- 1606.03388 Optimal Resource Extraction in Regime Switching L\'evy Markets
by Moustapha Pemy
- 1606.03325 Model-free portfolio theory and its functional master formula
by Alexander Schied & Leo Speiser & Iryna Voloshchenko
- 1606.03261 Socio-economic inequality: Relationship between Gini and Kolkata indices
by Arnab Chatterjee & Asim Ghosh & Bikas K Chakrabarti
- 1606.02871 The study of Thai stock market across the 2008 financial crisis
by K. Kanjamapornkul & Richard Pinv{c}'ak & Erik Bartov{s}
- 1606.02783 A non-equilibrium formulation of food security resilience
by Matteo Smerlak & Bapu Vaitla
- 1606.02748 A Contextual Model Of The Secessionist Rebellion in Eastern Ukraine
by Olga Nicoara & David White
- 1606.02045 On the "usual" misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis
by Marcel Ausloos & Franck Jovanovic & Christophe Schinckus
- 1606.01495 The Problem of Calibrating an Agent-Based Model of High-Frequency Trading
by Donovan Platt & Tim Gebbie
- 1606.01343 The Zero-Coupon Rate Model for Derivatives Pricing
by Xiao Lin
- 1606.01270 A data driven network approach to rank countries production diversity and food specialization
by Chengyi Tu & Joel Carr & Samir Suweis
- 1606.01218 World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive
by Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Pawe{l} O'swik{e}cimka
- 1606.00908 A/B Testing of Auctions
by Shuchi Chawla & Jason D. Hartline & Denis Nekipelov
- 1606.00631 The space of outcomes of semi-static trading strategies need not be closed
by Beatrice Acciaio & Martin Larsson & Walter Schachermayer
- 1606.00530 On American VIX options under the generalized 3/2 and 1/2 models
by Jerome Detemple & Yerkin Kitapbayev
- 1606.00424 Residential income segregation: A behavioral model of the housing market
by Marco Pangallo & Jean Pierre Nadal & Annick Vignes
- 1606.00142 Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso
by Ning Xu & Jian Hong & Timothy C. G. Fisher
- 1606.00092 Testing for Common Breaks in a Multiple Equations System
by Tatsushi Oka & Pierre Perron
- 1605.09720 Endogenous Formation of Limit Order Books: Dynamics Between Trades
by Roman Gayduk & Sergey Nadtochiy
- 1605.09484 A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting
by Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko
- 1605.09181 The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios
by Krzysztof Domino
- 1605.09112 A Mean Field Game of Optimal Stopping
by Marcel Nutz
- 1605.08908 What does past correlation structure tell us about the future? An answer from network filtering
by Nicol'o Musmeci & Tomaso Aste & Tiziana Di Matteo
- 1605.08899 Modelling Trading Networks and the Role of Trust
by Rafael A. Barrio & Tzipe Govezensky & 'Elfego Ruiz-Guti'errez & Kimmo K. Kaski
- 1605.08354 Can an interdisciplinary field contribute to one of the parent disciplines from which it emerged?
by Anirban Chakraborti & Dhruv Raina & Kiran Sharma
- 1605.08166 A constraint-based framework to study rationality, competition and cooperation in fisheries
by Christian Mullon & Charles Mullon
- 1605.08099 Contracting theory with competitive interacting agents
by Romuald Elie & Dylan Possamai
- 1605.08025 Foreign exchange risk premia: from traditional to state-space analyses
by Siwat Nakmai
- 1605.07945 Trading VIX Futures under Mean Reversion with Regime Switching
by Jiao Li
- 1605.07884 Risk Arbitrage and Hedging to Acceptability under Transaction Costs
by Emmanuel Lepinette & Ilya Molchanov
- 1605.07680 Generalized Subjective Lexicographic Expected Utility Representation
by Hugo Cruz-Sanchez
- 1605.07500 Pathwise Iteration for Backward SDEs
by Christian Bender & Christian Gaertner & Nikolaus Schweizer
- 1605.07419 Linear Credit Risk Models
by Damien Ackerer & Damir Filipovi'c
- 1605.07278 Discrete Wavelet Transform-Based Prediction of Stock Index: A Study on National Stock Exchange Fifty Index
by Dhanya Jothimani & Ravi Shankar & Surendra S. Yadav
- 1605.07230 Deep Portfolio Theory
by J. B. Heaton & N. G. Polson & J. H. Witte
- 1605.07099 The Jacobi Stochastic Volatility Model
by Damien Ackerer & Damir Filipovi'c & Sergio Pulido
- 1605.06849 A note on optimal expected utility of dividend payments with proportional reinsurance
by Xiaoqing Liang & Zbigniew Palmowski
- 1605.06845 Minimal Investment Risk of Portfolio Optimization Problem with Budget and Investment Concentration Constraints
by Takashi Shinzato
- 1605.06843 Portfolio Optimization Problem with Non-identical Variances of Asset Returns using Statistical Mechanical Informatics
by Takashi Shinzato
- 1605.06840 Asymptotic Eigenvalue Distribution of Wishart Matrices whose Components are not Independently and Identically Distributed
by Takashi Shinzato
- 1605.06700 The impact of the financial crisis on the long-range memory of European corporate bond and stock markets
by Lisana B. Martinez & M. Belen Guercio & Aurelio F. Bariviera & Antonio Terce~no
- 1605.06482 Volatility Forecasts Using Nonlinear Leverage Effects
by Kenichiro McAlinn & Asahi Ushio & Teruo Nakatsuma
- 1605.06429 Hedging with Small Uncertainty Aversion
by Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried
- 1605.06301 BSDEs with mean reflection
by Philippe Briand & Romuald Elie & Ying Hu
- 1605.05819 Exponentially concave functions and a new information geometry
by Soumik Pal & Ting-Kam Leonard Wong
- 1605.05814 Some Mathematical Aspects of Price Optimisation
by Y. Bai & E. Hashorva & G. Ratovomirija & M. Tamraz
- 1605.05802 Recursive utility maximization under partial information
by Shaolin Ji & Xiaomin Shi
- 1605.05631 Far from equilibrium: Wealth reallocation in the United States
by Yonatan Berman & Ole Peters & Alexander Adamou
- 1605.05545 Elections in Russia, 1991-2008
by Daniel Treisman
- 1605.05100 Wrong-Way Risk Models: A Comparison of Analytical Exposures
by Fr'ed'eric Vrins
- 1605.04995 Optimality of two-parameter strategies in stochastic control
by Kazutoshi Yamazaki
- 1605.04949 How brokers can optimally plot against traders
by Manuel Lafond
- 1605.04948 Quantum theory of securities price formation in financial markets
by Jack Sarkissian
- 1605.04945 Extended nonlinear feedback model for describing episodes of high inflation
by M A Szybisz & L Szybisz
- 1605.04943 Stochastic Effects in a Discretized Kinetic Model of Economic Exchange
by M. L. Bertotti & A. K. Chattopadhyay & G. Modanese
- 1605.04941 Mortgages and Refinancing
by Khizar Qureshi & Cheng Su
- 1605.04940 Value-at-Risk: The Effect of Autoregression in a Quantile Process
by Khizar Qureshi
- 1605.04938 The topology of card transaction money flows
by Massimiliano Zanin & David Papo & Miguel Romance & Regino Criado & Santiago Moral
- 1605.04600 Learning zero-cost portfolio selection with pattern matching
by Tim Gebbie & Fayyaaz Loonat
- 1605.04584 On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums
by Ewa Marciniak & Zbigniew Palmowski
- 1605.04385 Knight--Walras Equilibria
by Patrick Beissner & Frank Riedel
- 1605.04219 Empowering cash managers to achieve cost savings by improving predictive accuracy
by Francisco Salas-Molina & Francisco J. Martin & Juan A. Rodr'iguez-Aguilar & Joan Serr`a & Josep Ll. Arcos
- 1605.03683 Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions
by Takashi Kato
- 1605.03653 High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering
by Erhan Bayraktar & Alexander Munk
- 1605.03559 Survey on log-normally distributed market-technical trend data
by Ren'e Kempen & Stanislaus Maier-Paape
- 1605.03551 Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate
by Martin Gremm
- 1605.03133 Economic Development and Inequality: a complex system analysis
by Angelica Sbardella & Emanuele Pugliese & Luciano Pietronero
- 1605.03097 Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model
by Siyan Zhang & Anna L. Mazzucato & Victor Nistor
- 1605.02654 Stochastic Portfolio Theory: A Machine Learning Perspective
by Yves-Laurent Kom Samo & Alexander Vervuurt
- 1605.02539 Robust framework for quantifying the value of information in pricing and hedging
by Anna Aksamit & Zhaoxu Hou & Jan Obl'oj
- 1605.02472 Generalized semi-Markovian dividend discount model: risk and return
by Guglielmo D'Amico
- 1605.02418 Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors
by Sujay Mukhoti & Pritam Ranjan
- 1605.02283 Coherence and incoherence collective behavior in financial market
by Shangmei Zhao & Qiuchao Xie & Qing Lu & Xin Jiang & Wei Chen
- 1605.02188 Forecasting time series with structural breaks with Singular Spectrum Analysis, using a general form of recurrent formula
by Donya Rahmani & Saeed Heravi & Hossein Hassani & Mansi Ghodsi
- 1605.01998 Unbiased Monte Carlo Simulation of Diffusion Processes
by Louis Paulot
- 1605.01976 The Accounting Network: how financial institutions react to systemic crisis
by Andrea Flori & Giuseppe Pappalardo & Michelangelo Puliga & Alessandro Chessa & Fabio Pammolli
- 1605.01949 The wage transition in developed countries and its implications for China
by Belal Baaquie & Bertrand M. Roehner & Qinghai Wang
- 1605.01920 Is it "natural" to expect Economics to become a part of the Natural Sciences?
by Arnab Chatterjee
- 1605.01862 Optimal market making
by Olivier Gu'eant
- 1605.01354 Modeling and Simulation of the Economics of Mining in the Bitcoin Market
by Luisanna Cocco & Michele Marchesi
- 1605.01343 Electoral Systems Used around the World
by Siamak F. Shahandashti
- 1605.01327 No-arbitrage and hedging with liquid American options
by Erhan Bayraktar & Zhou Zhou
- 1605.01071 Lie symmetries of (1+2) nonautonomous evolution equations in Financial Mathematics
by A. Paliathanasis & R. M. Morris & P. G. L. Leach
- 1605.01052 Regrets, learning and wisdom
by Damien Challet
- 1605.01028 On Optimal Retirement (How to Retire Early)
by Philip Ernst & Dean Foster & Larry Shepp
- 1605.00868 The Local Fractional Bootstrap
by Mikkel Bennedsen & Ulrich Hounyo & Asger Lunde & Mikko S. Pakkanen
- 1605.00762 Revisiting a Theorem of L.A. Shepp on Optimal Stopping
by Philip Ernst & Larry Shepp
- 1605.00634 Why have asset price properties changed so little in 200 years
by Jean-Philippe Bouchaud & Damien Challet
- 1605.00499 Monte Carlo Confidence Sets for Identified Sets
by Xiaohong Chen & Timothy Christensen & Elie Tamer
- 1605.00339 A unified pricing of variable annuity guarantees under the optimal stochastic control framework
by Pavel V. Shevchenko & Xiaolin Luo
- 1605.00307 Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options
by Jan Kuklinski & Kevin Tyloo
- 1605.00230 Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models
by Leopoldo Catania & Nima Nonejad
- 1605.00173 Robustness of mathematical models and technical analysis strategies
by Ahmed Bel Hadj Ayed & Gr'egoire Loeper & Fr'ed'eric Abergel
- 1605.00080 Depreciation and the Time Value of Money
by Brendon Farrell
- 1605.00039 Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
by Ren'e Aid & Matteo Basei & Giorgia Callegaro & Luciano Campi & Tiziano Vargiolu
- 1604.08895 The puzzle that just isn't
by Christian Mueller-Kademann
- 1604.08824 A new structural stochastic volatility model of asset pricing and its stylized facts
by Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings
- 1604.08743 Factor Models for Cancer Signatures
by Zura Kakushadze & Willie Yu
- 1604.08735 Pricing Bermudan options under local L\'evy models with default
by Anastasia Borovykh & Cornelis W. Oosterlee & Andrea Pascucci
- 1604.08677 An Explicit Formula for Likelihood Function for Gaussian Vector Autoregressive Moving-Average Model Conditioned on Initial Observables with Application to Model Calibration
by Du Nguyen
- 1604.08224 Utility maximization problem with random endowment and transaction costs: when wealth may become negative
by Yiqing Lin & Junjian Yang
- 1604.08070 Convex Hedging in Incomplete Markets
by Birgit Rudloff
- 1604.08037 On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation
by Martijn Pistorius & Mitja Stadje
- 1604.07969 On the Surprising Explanatory Power of Higher Realized Moments in Practice
by Keren Shen & Jianfeng Yao & Wai Keung Li
- 1604.07782 Is the public sector of your country a diffusion borrower? Empirical evidence from Brazil
by Leno S. Rocha & Frederico S. A. Rocha & Th'arsis T. P. Souza
- 1604.07690 Arbitrage without borrowing or short selling?
by Jani Lukkarinen & Mikko S. Pakkanen
- 1604.07556 Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model
by Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth
- 1604.07125 Approximate Residual Balancing: De-Biased Inference of Average Treatment Effects in High Dimensions
by Susan Athey & Guido W. Imbens & Stefan Wager
- 1604.07042 Entropy and credit risk in highly correlated markets
by Sylvia Gottschalk
- 1604.06917 Concurrent Credit Portfolio Losses
by Joachim Sicking & Thomas Guhr & Rudi Schafer
- 1604.06892 On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums
by Ewa Marciniak & Zbigniew Palmowski
- 1604.06629 Entangling credit and funding shocks in interbank markets
by Giulio Cimini & Matteo Serri
- 1604.06609 Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
by Huy^en Pham
- 1604.06342 Optimal trading with online parameters revisions
by N Baradel & B Bouchard & Ngoc Minh Dang
- 1604.06284 The Impact of Services on Economic Complexity: Service Sophistication as Route for Economic Growth
by Viktor Stojkoski & Zoran Utkovski & Ljupco Kocarev
- 1604.05896 Random selection of factors preserves the correlation structure in a linear factor model to a high degree
by Antti J. Tanskanen & Jani Lukkarinen & Kari Vatanen
- 1604.05771 Multidimensional matching
by Pierre-Andr'e Chiappori & Robert McCann & Brendan Pass
- 1604.05598 Regime switching vine copula models for global equity and volatility indices
by Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stober
- 1604.05584 Optimal investment and consumption with downside risk constraint in jump-diffusion models
by Thai Nguyen
- 1604.05517 Robust pricing--hedging duality for American options in discrete time financial markets
by Anna Aksamit & Shuoqing Deng & Jan Obl'oj & Xiaolu Tan
- 1604.05406 Gap Risk KVA and Repo Pricing: An Economic Capital Approach in the Black-Scholes-Merton Framework
by Wujiang Lou
- 1604.05404 Repo Haircuts and Economic Capital: A Theory of Repo Pricing
by Wujiang Lou
- 1604.05178 High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation
by Yuri M. Dimitrov & Lubin G. Vulkov
- 1604.04963 Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty
by Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward
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