Printed from https://ideas.repec.org/s/arx/papers109.html
Content
2015
- 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 - 1501.05400 Cascades in multiplex financial networks with debts of different seniority
by Charles D. Brummitt & Teruyoshi Kobayashi - 1501.05381 Combining Alphas via Bounded Regression
by Zura Kakushadze - 1501.05176 Bin Size Independence in Intra-day Seasonalities for Relative Prices
by Esteban Guevara Hidalgo - 1501.05040 Modular Dynamics of Financial Market Networks
by Filipi N. Silva & Cesar H. Comin & Thomas K. DM. Peron & Francisco A. Rodrigues & Cheng Ye & Richard C. Wilson & Edwin Hancock & Luciano da F. Costa - 1501.04992 Interactions between financial and environmental networks in OECD countries
by Franco Ruzzenenti & Andreas Joseph & Elisa Ticci & Pietro Vozzella & Giampaolo Gabbi - 1501.04747 Consumption investment optimization with Epstein-Zin utility in incomplete markets
by Hao Xing - 1501.04682 Toward robust early-warning models: A horse race, ensembles and model uncertainty
by Markus Holopainen & Peter Sarlin - 1501.04575 An optimal trading problem in intraday electricity markets
by Ren'e Aid & Pierre Gruet & Huy^en Pham - 1501.04548 Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures
by Rohini Kumar - 1501.04274 Optional Decomposition for continuous semimartingales under arbitrary filtrations
by Ioannis Karatzas & Constantinos Kardaras - 1501.04123 Data manipulation detection via permutation information theory quantifiers
by Aurelio Fernandez Bariviera & M. Bel'en Guercio & Lisana B. Martinez - 1501.03768 On the martingale-fair index of return for investment funds
by Leslaw Gajek & Marek Kaluszka - 1501.03756 Optimal Trading with Alpha Predictors
by Filippo Passerini & Samuel E. Vazquez - 1501.03701 A New Approach to Model Free Option Pricing
by Raphael Hauser & Sergey Shahverdyan - 1501.03430 Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach
by Victor Chernozhukov & Christian Hansen & Martin Spindler - 1501.03387 The asymptotic smile of a multiscaling stochastic volatility model
by Francesco Caravenna & Jacopo Corbetta - 1501.03371 Google matrix analysis of the multiproduct world trade network
by Leonardo Ermann & Dima L. Shepelyansky - 1501.03185 Post-Selection and Post-Regularization Inference in Linear Models with Many Controls and Instruments
by Victor Chernozhukov & Christian Hansen & Martin Spindler - 1501.03123 Non-concave utility maximisation on the positive real axis in discrete time
by Laurence Carassus & Mikl'os R'asonyi & Andrea M. Rodrigues - 1501.02750 Self-Financing Trading and the Ito-Doeblin Lemma
by Chris Kenyon & Andrew Green - 1501.02513 The 20-60-20 Rule
by Piotr Jaworski & Marcin Pitera - 1501.02447 Stochastic simulation framework for the Limit Order Book using liquidity motivated agents
by Efstathios Panayi & Gareth Peters - 1501.02382 Robust Inference of Risks of Large Portfolios
by Jianqing Fan & Fang Han & Han Liu & Byron Vickers - 1501.02276 The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs
by Tim Leung & Brian Ward - 1501.02007 Shortfall Deviation Risk: An alternative to risk measurement
by Marcelo Brutti Righi & Paulo Sergio Ceretta - 1501.01954 On financial applications of the two-parameter Poisson-Dirichlet distribution
by Sergey Sosnovskiy - 1501.01892 Optimal Asset Liquidation with Multiplicative Transient Price Impact
by Dirk Becherer & Todor Bilarev & Peter Frentrup - 1501.01573 The Temporal Dimension of Risk
by Ola Mahmoud - 1501.01504 Optimal investment under behavioural criteria in incomplete diffusion market models
by Mikl'os R'asonyi & Jos'e Gregorio Rodr'iguez-Villarreal - 1501.01265 The ABC of Simulation Estimation with Auxiliary Statistics
by Jean-Jacques Forneron & Serena Ng - 1501.01155 Entropy-Based Financial Asset Pricing
by Mihaly Ormos & David Zibriczky - 1501.01126 A Composite Risk Measure Framework for Decision Making under Uncertainty
by Pengyu Qian & Zizhuo Wang & Zaiwen Wen - 1501.00843 A law of large numbers for limit order books
by Ulrich Horst & Michael Paulsen - 1501.00837 On a class of generalized Takagi functions with linear pathwise quadratic variation
by Alexander Schied - 1501.00833 Signs of dependence and heavy tails in non-life insurance data
by Jonas Alm - 1501.00818 Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets
by Florian Ziel & Rick Steinert & Sven Husmann - 1501.00434 Monetary Policy and Dark Corners in a stylized Agent-Based Model
by Stanislao Gualdi & Marco Tarzia & Francesco Zamponi & Jean-Philippe Bouchaud - 1501.00419 Minimizing the Probability of Ruin in Retirement
by Christopher J. Rook - 1501.00273 On the spot-futures no-arbitrage relations in commodity markets
by Ren'e Aid & Luciano Campi & Delphine Lautier
2014
- 1412.8725 Towards a formalization of a two traders market with information exchange
by F. Bagarello & E. Haven - 1412.8624 Optimal Digital Product Maintenance with a Continuous Revenue Stream
by James Fan & Christopher Griffin - 1412.8434 Monge-Kantorovich Depth, Quantiles, Ranks, and Signs
by Victor Chernozhukov & Alfred Galichon & Marc Hallin & Marc Henry - 1412.8414 Accounting for Earnings Announcements in the Pricing of Equity Options
by Tim Leung & Marco Santoli - 1412.8017 Adaptive Market Efficiency of Agricultural Commodity Futures Contracts
by Semei Coronado-Ram'irez & Pedro Celso-Arellano & Omar Rojas - 1412.7943 Derivatives pricing in energy markets: an infinite dimensional approach
by Fred Espen Benth & Paul Kruhner - 1412.7649 Optimal switching for pairs trading rule: a viscosity solutions approach
by Minh Man Ngo & Huyen Pham - 1412.7647 Tail Risk Constraints and Maximum Entropy
by Donald Geman & H'elyette Geman & Nassim Nicholas Taleb - 1412.7562 A new perspective on the fundamental theorem of asset pricing for large financial markets
by Christa Cuchiero & Irene Klein & Josef Teichmann