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Content
2015
- 1506.06568 Nonparametric estimates of pricing functionals
by Carlo Marinelli & Stefano d'Addona
- 1506.06180 Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio
by Matthew Lorig & Ronnie Sircar
- 1506.06069 Resolute refinements of social choice correspondences
by Daniela Bubboloni & Michele Gori
- 1506.05990 Annuitization and asset allocation
by Moshe A. Milevsky & Virginia R. Young
- 1506.05911 Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets
by Lorenz Schneider & Bertrand Tavin
- 1506.05895 Hedging, arbitrage and optimality with superlinear frictions
by Paolo Guasoni & Mikl'os R'asonyi
- 1506.05497 Optimal Dynamic Contracts for a Large-Scale Principal-Agent Hierarchy: A Concavity-Preserving Approach
by Christopher W. Miller & Insoon Yang
- 1506.05418 Universal Laws of Human Society's Income Distribution
by Yong Tao
- 1506.05376 Calculating optimal limits for transacting credit card customers
by Jonathan K. Budd & Peter G. Taylor
- 1506.04880 An Exchange Rate Target Zone Model with a Terminal Condition and Mean-Reverting Fundamentals
by Viktors Ajevskis
- 1506.04869 Modeling and Computation of Mean Field Equilibria in Producers' Game with Emission Permits Trading
by Shuhua Chang & Xinyu Wang & Alexander Shananin
- 1506.04698 Quick or Persistent? Strategic Investment Demanding Versatility
by Jan-Henrik Steg & Jacco Thijssen
- 1506.04663 The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives
by Vahan Nanumyan & Antonios Garas & Frank Schweitzer
- 1506.04227 Safety Third: Roy's Criterion and Higher Order Moments
by Steven E. Pav
- 1506.04125 A risk management approach to capital allocation
by V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said
- 1506.04063 Optimal Skorokhod embedding under finitely-many marginal constraints
by Gaoyue Guo & Xiaolu Tan & Nizar Touzi
- 1506.03917 On the Characteristics of the Free Market in a Cooperative Society
by Norbert Agbeko
- 1506.03898 Numerical analysis on local risk-minimization forexponential L\'evy models
by Takuji Arai & Yuto Imai & Ryoichi Suzuki
- 1506.03758 From Walras' auctioneer to continuous time double auctions: A general dynamic theory of supply and demand
by Jonathan Donier & Jean-Philippe Bouchaud
- 1506.03708 Markets, herding and response to external information
by Adri'an Carro & Ra'ul Toral & Maxi San Miguel
- 1506.03621 Convergence of Estimated Option Price in a Regime switching Market
by Anindya Goswami & Sanket Nandan
- 1506.03597 How log-normal is your country? An analysis of the statistical distribution of the exported volumes of products
by Mario Alberto Annunziata & Alberto Petri & Giorgio Pontuale & Andrea Zaccaria
- 1506.03564 Copula based hierarchical risk aggregation - Tree dependent sampling and the space of mild tree dependence
by Fabio Derendinger
- 1506.03414 An evolutionary advantage of cooperation
by Ole Peters & Alexander Adamou
- 1506.03347 Time-scale analysis of co-movement in EU sovereign bond markets
by Filip Smolik & Lukas Vacha
- 1506.03106 Business cycle synchronization within the European Union: A wavelet cohesion approach
by Lubos Hanus & Lukas Vacha
- 1506.02940 Autoregressive approaches to import-export time series I: basic techniques
by Luca Di Persio
- 1506.02802 The Limits of Leverage
by Paolo Guasoni & Eberhard Mayerhofer
- 1506.02789 Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact
by Kensuke Ishitani & Takashi Kato
- 1506.02522 Semi-Global Solutions to DSGE Models: Perturbation around a Deterministic Path
by Viktors Ajevskis
- 1506.02521 Nonlocal Solutions to Dynamic Equilibrium Models: The Approximate Stable Manifolds Approach
by Viktors Ajevskis
- 1506.02507 Liquidity and Impact in Fair Markets
by Thibault Jaisson
- 1506.02414 Cross Ranking of Cities and Regions: Population vs. Income
by Roy Cerqueti & Marcel Ausloos
- 1506.02074 Optimal Static Quadratic Hedging
by Tim Leung & Matthew Lorig
- 1506.02020 Portfolio Allocation for Sellers in Online Advertising
by Ragavendran Gopalakrishnan & Eric Bax & Krishna Prasad Chitrapura & Sachin Garg
- 1506.02013 VCG Payments for Portfolio Allocations in Online Advertising
by James Li & Eric Bax & Nilanjan Roy & Andrea Leistra
- 1506.01984 Autoregressive approaches to import--export time series II: a concrete case study
by Luca Di Persio & Chiara Segala
- 1506.01837 No-Arbitrage Prices of Cash Flows and Forward Contracts as Choquet Representations
by Tom Fischer
- 1506.01734 Many-to-one contagion of economic growth rate across trade credit network of firms
by Natasa Golo & Guy Kelman & David S. Bree & Leanne Usher & Marco Lamieri & Sorin Solomon
- 1506.01660 Transition from lognormal to chi-square superstatistics for financial time series
by Dan Xu & Christian Beck
- 1506.01513 Social signals and algorithmic trading of Bitcoin
by David Garcia & Frank Schweitzer
- 1506.01477 Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium
by Takuji Arai
- 1506.01467 A system of non-local parabolic PDE and application to option pricing
by Anindya Goswami & Jeeten Patel & Poorva Shevgaonkar
- 1506.01315 Impossibility Theorems and the Universal Algebraic Toolkit
by Mario Szegedy & Yixin Xu
- 1506.00937 Financial Contagion and Asset Liquidation Strategies
by Zachary Feinstein
- 1506.00806 An Empirical Approach to Financial Crisis Indicators Based on Random Matrices
by Antoine Kornprobst & Raphael Douady
- 1506.00697 Approximations of Bond and Swaption Prices in a Black-Karasi\'{n}ski Model
by Andrzej Daniluk & Rafa{l} Muchorski
- 1506.00686 Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs
by Damiano Brigo & Marco Francischello & Andrea Pallavicini
- 1506.00535 New exact Taylor's expansions and simple solutions to PDEs
by Moawia Alghalith
- 1506.00396 Good deal bounds with convex constraints
by Takuji Arai
- 1506.00348 Enhanced Gravity Model of trade: reconciling macroeconomic and network models
by Assaf Almog & Rhys Bird & Diego Garlaschelli
- 1506.00236 The gradual evolution of buyer--seller networks and their role in aggregate fluctuations
by Ryohei Hisano & Tsutomu Watanabe & Takayuki Mizuno & Takaaki Ohnishi & Didier Sornette
- 1506.00188 Market Completion with Derivative Securities
by Daniel C. Schwarz
- 1506.00166 Optimal Investment to Minimize the Probability of Drawdown
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young
- 1506.00146 The Theory of a Heliospheric Economy
by Thomas Tarler
- 1506.00088 Semimartingale detection and goodness-of-fit tests
by Adam D. Bull
- 1506.00082 Weak Convergence of Path-Dependent SDEs in Basket CDS Pricing with Contagion Risk
by Yao Tung Huang & Qingshuo Song & Harry Zheng
- 1505.08136 Long-range memory and multifractality in gold markets
by Provash Mali & Amitabha Mukhopadhyay
- 1505.08120 Alternative Asymptotics and the Partially Linear Model with Many Regressors
by Matias D. Cattaneo & Michael Jansson & Whitney K. Newey
- 1505.08117 Predictability of price movements in deregulated electricity markets
by Olga Y. Uritskaya & Vadim M. Uritsky
- 1505.07907 Linking Economic Complexity, Institutions and Income Inequality
by D. Hartmann & M. R. Guevara & C. Jara-Figueroa & M. Aristaran & C. A. Hidalgo
- 1505.07705 An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
by Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang
- 1505.07613 High-order compact schemes for Black-Scholes basket options
by Bertram During & Christof Heuer
- 1505.07533 Optimal Stopping with Random Maturity under Nonlinear Expectations
by Erhan Bayraktar & Song Yao
- 1505.07484 Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds
by Dirk Tasche
- 1505.07313 Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models
by Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang
- 1505.07224 Incomplete stochastic equilibria for dynamic monetary utility
by Constantinos Kardaras & Hao Xing & Gordan v{Z}itkovi'c
- 1505.07210 Intertemporal Substitutability, Risk Aversion and Asset Prices
by Dominique Pepin
- 1505.06946 Conditional Asian Options
by Runhuan Feng & Hans W. Volkmer
- 1505.06216 Jarzynski-type equalities in gambling: role of information in capital growth
by Yuji Hirono & Yoshimasa Hidaka
- 1505.06053 Record statistics for random walk bridges
by Claude Godreche & Satya N. Majumdar & Gregory Schehr
- 1505.05737 Product-Mix Auctions and Tropical Geometry
by Ngoc Mai Tran & Josephine Yu
- 1505.05669 Optimal forest rotation age under efficient climate change mitigation
by Tommi Ekholm
- 1505.05639 Analysis of the most important variables which determine innovation among rural entrepreneurs
by Elena Lucia Harpa & Liviu Marian & Sorina Moica & Iulia Elena Apavaloaie
- 1505.05491 Portfolio Optimization
by Aizhan Issagali & Damira Alshimbayeva & Aidana Zhalgas
- 1505.05256 Small-time asymptotics for Gaussian self-similar stochastic volatility models
by Archil Gulisashvili & Frederi Viens & Xin Zhang
- 1505.05182 Market Fragility, Systemic Risk, and Ricci Curvature
by Romeil Sandhu & Tryphon Georgiou & Allen Tannenbaum
- 1505.05089 CEI: a new indicator measuring City Commercial Credit Risk initiated in China
by Ruonan Lin & Yi Gu
- 1505.05046 American Options with Asymmetric Information and Reflected BSDE
by Neda Esmaeeli & Peter Imkeller
- 1505.04936 Ergodicity and diffusivity of Markovian order book models: a general framework
by Weibing Huang & Mathieu Rosenbaum
- 1505.04921 Optimal control of predictive mean-field equations and applications to finance
by Bernt {O}ksendal & Agn`es Sulem
- 1505.04914 A pricing formula for delayed claims: Appreciating the past to value the future
by Enrico Biffis & Beniamin Goldys & Cecilia Prosdocimi & Margherita Zanella
- 1505.04810 Dynamics of Order Positions and Related Queues in a Limit Order Book
by Xin Guo & Zhao Ruan & Lingjiong Zhu
- 1505.04757 Actuarial Applications and Estimation of Extended~CreditRisk$^+$
by Jonas Hirz & Uwe Schmock & Pavel V. Shevchenko
- 1505.04648 Chebyshev Interpolation for Parametric Option Pricing
by Maximilian Ga{ss} & Kathrin Glau & Mirco Mahlstedt & Maximilian Mair
- 1505.04593 The efficiency of Anderson-Darling test with limited sample size: an application to Backtesting Counterparty Credit Risk internal model
by M. Formenti & L. Spadafora & M. Terraneo & F. Ramponi
- 1505.04587 On the Failures of Bonus Plans
by David Lagziel & Ehud Lehrer
- 1505.04573 The Binomial Tree Method and Explicit Difference Schemes for American Options with Time Dependent Coefficients
by Hyong-chol O & Song-gon Jang & Il-Gwang Jon & Mun-Chol Kim & Gyong-Ryol Kim & Hak-Yong Kim
- 1505.04485 Remarks on equality of two distributions under some partial orders
by Chuancun Yin
- 1505.04459 Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
by Jos'e E. Figueroa-L'opez & Yankeng Luo
- 1505.04276 The multi-layer network nature of systemic risk and its implications for the costs of financial crises
by Sebastian Poledna & Jos'e Luis Molina-Borboa & Seraf'in Mart'inez-Jaramillo & Marco van der Leij & Stefan Thurner
- 1505.04060 Forecasting Financial Extremes: A Network Degree Measure of Super-exponential Growth
by Wanfeng Yan & Edgar van Tuyll van Serooskerken
- 1505.04045 Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz
by Georg Mainik & Georgi Mitov & Ludger Ruschendorf
- 1505.03980 Optimal Dividend Strategies for Two Collaborating Insurance Companies
by Hansjoerg Albrecher & Pablo Azcue & Nora Muler
- 1505.03956 From 0D to 1D spatial models using OCMat
by Dieter Grass
- 1505.03874 Homogenization and Clustering as a Non-Statistical Methodology to Assess Multi-Parametrical Chain Problems
by Johannes Freiesleben & Nicolas Gu'erin
- 1505.03587 Pricing complexity options
by Malihe Alikhani & Bj{o}rn Kjos-Hanssen & Amirarsalan Pakravan & Babak Saadat
- 1505.03501 Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
by Ramin Okhrati & Alejandro Balb'as & Jos'e Garrido
- 1505.03030 On the Exact Simulation of (Jump) Diffusion Bridges
by Murray Pollock
- 1505.02750 Effects of polynomial trends on detrending moving average analysis
by Ying-Hui Shao & Gao-Feng Gu & Zhi-Qiang Jiang & Wei-Xing Zhou
- 1505.02644 A Profit-maximization Model for a Company that Sells an Arbitrary Number of Products
by Dragos-Patru Covei
- 1505.02627 Approximate hedging with proportional transaction costs in stochastic volatility models with jumps
by Thai Huu Nguyen & Serguei Pergamenschchikov
- 1505.02546 Approximate hedging problem with transaction costs in stochastic volatility markets
by Thai Huu Nguyen & Serguei Pergamenshchikov
- 1505.02431 An explicit solution for optimal investment in Heston model
by Elena Boguslavskaya & Dmitry Muravey
- 1505.02416 Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
by Christoph Czichowsky & Walter Schachermayer
- 1505.02305 The Intrafirm Complexity of Systemically Important Financial Institutions
by Robin L. Lumsdaine & Daniel N. Rockmore & Nicholas Foti & Gregory Leibon & J. Doyne Farmer
- 1505.02292 Wrong-Way Bounds in Counterparty Credit Risk Management
by Amir Memartoluie & David Saunders & Tony Wirjanto
- 1505.02281 Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm
by Marius Hofert & Amir Memartoluie & David Saunders & Tony Wirjanto
- 1505.02274 Structure of global buyer-supplier networks and its implications for conflict minerals regulations
by Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe
- 1505.02039 Structural default model with mutual obligations
by Andrey Itkin & Alexander Lipton
- 1505.01550 Dynamic Multi-Factor Clustering of Financial Networks
by Gordon J. Ross
- 1505.01333 Sharper asset ranking from total drawdown durations
by Damien Challet
- 1505.01274 Kinetic models of immediate exchange
by Els Heinsalu & Marco Patriarca
- 1505.00997 Non-Arbitrage Under Additional Information for Thin Semimartingale Models
by Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc
- 1505.00965 An Introduction to Multilevel Monte Carlo for Option Valuation
by Desmond J. Higham
- 1505.00829 Inference on the Sharpe ratio via the upsilon distribution
by Steven E. Pav
- 1505.00704 Collective synchronization and high frequency systemic instabilities in financial markets
by Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo
- 1505.00638 On statistical indistinguishability of complete and incomplete discrete time market models
by Nikolai Dokuchaev
- 1505.00597 A general Doob-Meyer-Mertens decomposition for $g$-supermartingale systems
by Bruno Bouchard & Dylan Possamai & Xiaolu Tan
- 1505.00475 On the Forecast Combination Puzzle
by Wei Qian & Craig A. Rolling & Gang Cheng & Yuhong Yang
- 1505.00471 Phase Transitions, Renormalization and Yang-Lee Zeros in Stock Markets
by J. L. Subias
- 1505.00328 Profitability of contrarian strategies in the Chinese stock market
by Huai-Long Shi & Zhi-Qiang Jiang & Wei-Xing Zhou
- 1505.00288 New copulas based on general partitions-of-unity and their applications to risk management
by Dietmar Pfeifer & Herv'e Awoumlac Tsatedem & Andreas Mandle & C^ome Girschig
- 1505.00003 Estimation of connectivity measures in gappy time series
by G. Papadopoulos & D. Kugiumtzis
- 1504.08170 Singular recursive utility
by Kristina R. Dahl & Bernt {O}ksendal
- 1504.08136 Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
by Wendong Zheng & Pingping Zeng
- 1504.08073 ESO Valuation with Job Termination Risk and Jumps in Stock Price
by Tim Leung & Haohua Wan
- 1504.07920 Pricing and hedging game options in currency models with proportional transaction costs
by Alet Roux
- 1504.07805 Operational risk modeled analytically II: the consequences of classification invariance
by Vivien Brunel
- 1504.07666 Thermodynamics of firms' growth
by Eduardo Zambrano & Alberto Hernando & Aurelio Fernandez-Bariviera & Ricardo Hernando & Angelo Plastino
- 1504.07604 Generalization of the Aoki-Yoshikawa sectoral productivity model based on extreme physical information principle
by Ilona Bednarek & Marcin Makowski & Edward W. Piotrowski & Jan S{l}adkowski & Jacek Syska
- 1504.07227 Communication Strategies for Low-Latency Trading
by Mina Karzand & Lav R. Varshney
- 1504.07152 Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective
by Aki-Hiro Sato & Paolo Tasca & Takashi Isogai
- 1504.06909 The Social Cost of Carbon with Economic and Climate Risks
by Yongyang Cai & Kenneth L. Judd & Thomas S. Lontzek
- 1504.06789 Network Structure and Counterparty Credit Risk
by Alexander von Felbert
- 1504.06773 Google matrix of the world network of economic activities
by V. Kandiah & H. Escaith & D. L. Shepelyansky
- 1504.06634 Efficient Network Structures with Separable Heterogeneous Connection Costs
by Babak Heydari & Mohsen Mosleh & Kia Dalili
- 1504.06563 Population viewpoint on Hawkes processes
by Alexandre Boumezoued
- 1504.06397 Testing the performance of technical trading rules in the Chinese market
by Shan Wang & Zhi-Qiang Jiang & Sai-Ping Li & Wei-Xing Zhou
- 1504.06235 Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process
by Stanislaus Maier-Paape & Andreas Platen
- 1504.06113 Transitions in the Stock Markets of the US, UK, and Germany
by Matthias Raddant & Friedrich Wagner
- 1504.06094 Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
by Miryana Grigorova & Peter Imkeller & Elias Offen & Youssef Ouknine & Marie-Claire Quenez
- 1504.06031 Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses
by Eyal Neuman & Alexander Schied
- 1504.05844 A Study of Correlations in the Stock Market
by Chandradew Sharma & Kinjal Banerjee
- 1504.05806 SMC-ABC methods for the estimation of stochastic simulation models of the limit order book
by Gareth W. Peters & Efstathios Panayi & Francois Septier
- 1504.05737 Agent-based mapping of credit risk for sustainable microfinance
by Joung-Hun Lee & Marko Jusup & Boris Podobnik & Yoh Iwasa
- 1504.05723 Noise Robust Online Inference for Linear Dynamic Systems
by Saikat Saha
- 1504.05309 Introduction to Stochastic Differential Equations (SDEs) for Finance
by Andrew Papanicolaou
- 1504.04819 Forecasting the term structure of crude oil futures prices with neural networks
by Jozef Barunik & Barbora Malinska
- 1504.04774 Time-consistency of risk measures with GARCH volatilities and their estimation
by Claudia Kluppelberg & Jianing Zhang
- 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
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