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Content
2014
- 1406.7723 Active extension portfolio optimization with non-convex risk measures using metaheuristics
by Ronald Hochreiter & Christoph Waldhauser
- 1406.7606 Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy
by Xiaoxiao Zheng & Xin Zhang
- 1406.7604 Optimal investment-reinsurance policy under a long-term perspective
by Xiaoxiao Zheng & Xin Zhang
- 1406.7526 Predictability of Volatility Homogenised Financial Time Series
by Pawe{l} Fiedor & Odd Magnus Trondrud
- 1406.7330 Stock Market Prediction from WSJ: Text Mining via Sparse Matrix Factorization
by Felix Ming Fai Wong & Zhenming Liu & Mung Chiang
- 1406.7115 Income Inequality in the 21st Century -- A biased summary of Piketty's Capital in the Twenty-First Century
by Dietrich Stauffer
- 1406.7064 Hierarchical Structure of the Foreign Trade: The Case of the United State
by Ersin Kantar
- 1406.7040 Optimal Portfolio Problem Using Entropic Value at Risk: When the Underlying Distribution is Non-Elliptical
by Hassan Omidi Firouzi & Andrew Luong
- 1406.6952 On the Depletion Problem for an Insurance Risk Process: New Non-ruin Quantities in Collective Risk Theory
by Zied Ben-Salah & H'el`ene Gu'erin & Manuel Morales & Hassan Omidi Firouzi
- 1406.6951 Change of numeraire in the two-marginals martingale transport problem
by Luciano Campi & Ismail Laachir & Claude Martini
- 1406.6940 Optimal Investment with Stopping in Finite Horizon
by Xiongfei Jian & Xun Li & Fahuai Yi
- 1406.6902 Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
by Claudia Ceci & Katia Colaneri & Alessandra Cretarola
- 1406.6862 Coping with area price risk in electricity markets: Forecasting Contracts for Difference in the Nordic power market
by Egil Ferkingstad & Anders L{o}land
- 1406.6805 Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk
by Simone Farinelli & Hideyuki Takada
- 1406.6651 Causality Networks
by Ishanu Chattopadhyay
- 1406.6620 Game Theory, Statistical Mechanics and Income Inequality
by Venkat Venkatasubramanian & Yu Luo & Jay Sethuraman
- 1406.6575 Systemic risk through contagion in a core-periphery structured banking network
by Oliver Kley & Claudia Kluppelberg & Lukas Reichel
- 1406.6562 Hierarchical structure of the countries based on electricity consumption and economic growth
by Ersin Kantar & Alper Aslan & Bayram Deviren & Mustafa Keskin
- 1406.6559 Hierarchical structure of the European countries based on debts as a percentage of GDP during the 2000-2011 period
by Ersin Kantar & Bayram Deviren & Mustafa Keskin
- 1406.6496 Using an Artificial Financial Market for studying a Cryptocurrency Market
by Luisanna Cocco & Giulio Concas & Michele Marchesi
- 1406.6441 Thermodynamics of inequalities: from precariousness to economic stratification
by Matteo Smerlak
- 1406.6245 Optimal investment with time-varying stochastic endowments
by Christoph Belak & An Chen & Carla Mereu & Robert Stelzer
- 1406.6142 How to hedge extrapolated yield curves
by Andreas Lager{aa}s
- 1406.6100 Probabilistic flows of inhabitants in urban areas and self-organization in housing markets
by Takao Hishikawa & Jun-ichi Inoue
- 1406.6090 Semiclassical approximation in stochastic optimal control I. Portfolio construction problem
by Sakda Chaiworawitkul & Patrick S. Hagan & Andrew Lesniewski
- 1406.6084 From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments
by Henry Lam & Zhenming Liu
- 1406.6038 Exact fit of simple finite mixture models
by Dirk Tasche
- 1406.5852 Moral Hazard in Dynamic Risk Management
by Jakv{s}a Cvitani'c & Dylan Possamai & Nizar Touzi
- 1406.5817 Reduction of systemic risk by means of Pigouvian taxation
by Vinko Zlati'c & Giampaolo Gabbi & Hrvoje Abraham
- 1406.5755 A Bond Consistent Derivative Fair Value
by Johan Gunnesson & Alberto Fern'andez Mu~noz de Morales
- 1406.5718 An Unconventional Attempt to Tame Mandelbrot's Grey Swans
by Denis M. Filatov & Maksim A. Vanyarkho
- 1406.5646 Statistical Arbitrage in the Black-Scholes Framework
by Ahmet Goncu
- 1406.5487 Survival Models for the Duration of Bid-Ask Spread Deviations
by Efstathios Panayi & Gareth Peters
- 1406.5486 Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data
by Efstathios Panayi & Gareth Peters & Ioannis Kosmidis
- 1406.5430 A robust algorithm and convergence analysis for static replications of nonlinear payoffs
by Jingtang Ma & Dongya Deng & Harry Zheng
- 1406.5414 A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
by Christa Cuchiero & Josef Teichmann
- 1406.5386 Zooming into market states
by Desislava Chetalova & Rudi Schafer & Thomas Guhr
- 1406.5312 Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage in Markovian Models of Financial Markets
by Martin Le Doux Mbele Bidima & Mikl'os R'asonyi
- 1406.5276 On possible origins of trends in financial market price changes
by Ryo Murakami & Tomomichi Nakamura & Shin Kimura & Masashi Manabe & Toshihiro Tanizawa
- 1406.5120 Strategy-proofness and single-peackedness in bounded distributive lattices
by Ernesto Savaglio & Stefano Vannucci
- 1406.5083 A variation of the Dragulescu-Yakovenko income model
by Jos'e Mar'ia Sarabia & Faustino Prieto & Vanesa Jord'a
- 1406.5022 Instabilities in large economies: aggregate volatility without idiosyncratic shocks
by Julius Bonart & Jean-Philippe Bouchaud & Augustin Landier & David Thesmar
- 1406.4783 Advisors and indicators based on the SSA models and non-linear generalizations
by A. M. Avdeenko
- 1406.4329 Ergodic BSDEs with jumps and time dependence
by Samuel N. Cohen & Victor Fedyashov
- 1406.4322 Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence
by Matthew Ames & Gareth W. Peters & Guillaume Bagnarosa & Ioannis Kosmidis
- 1406.4301 A general HJM framework for multiple yield curve modeling
by Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto
- 1406.4297 Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
by Tiziano De Angelis & Salvatore Federico & Giorgio Ferrari
- 1406.4275 A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information
by Takashi Kato & Jun Sekine & Hiromitsu Yamamoto
- 1406.4222 Investment under Duality Risk Measure
by Zuo Quan Xu
- 1406.4114 Climate Events and Insurance Demand - The effect of potentially catastrophic events on insurance demand in Italy
by Alessandro Chieppa & Andrea Ricca & Gianluca Rosso
- 1406.3967 The limits of statistical significance of Hawkes processes fitted to financial data
by Mehdi Lallouache & Damien Challet
- 1406.3716 The G\"{a}rtner-Ellis theorem, homogenization, and affine processes
by Archil Gulisashvili & Josef Teichmann
- 1406.3531 Decoding Stock Market Behavior with the Topological Quantum Computer
by Ovidiu Racorean
- 1406.3396 Factor Models for Alpha Streams
by Zura Kakushadze
- 1406.3112 Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
by Oscar Lopez & Rafael Serrano
- 1406.3064 Hierarchical representation of socio-economic complex systems according to minimal sapnning trees
by Andrzej Jarynowski & Andrzej Buda
- 1406.2950 On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums
by Hirbod Assa
- 1406.2581 Multilevel path simulation for weak approximation schemes
by Denis Belomestny & Tigran Nagapetyan
- 1406.2292 Analitic approach to solve a degenerate parabolic PDE for the Heston model
by A. Canale & R. M. Mininni & A. Rhandi
- 1406.2133 Historical Backtesting of Local Volatility Model using AUD/USD Vanilla Options
by Timothy G. Ling & Pavel V. Shevchenko
- 1406.2053 A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations
by Hyong-chol O & Yong-hwa Ro & Ning Wan
- 1406.1936 Stochastic Analysis Seminar on Filtering Theory
by Andrew Papanicolaou
- 1406.1811 A heuristic pricing and hedging framework for multi-currency fixed income desks
by Eduard Gim'enez & Alberto Elices & Giovanna Villani
- 1406.1733 The Naive Extrapolation Hypothesis and the Rosy-Gloomy Forecasts
by Vasileios Barmpoutis
- 1406.1547 Arbitrage-free exchange rate ensembles over a general trade network
by Stan Palasek
- 1406.1249 Notes on Alpha Stream Optimization
by Zura Kakushadze
- 1406.1149 Numerical analysis for Spread option pricing model in illiquid underlying asset market: full feedback model
by Ahmad Reza Yazdanian & T A Pirvu
- 1406.0968 Integration of a Predictive, Continuous Time Neural Network into Securities Market Trading Operations
by Christopher S Kirk
- 1406.0824 Supervised classification-based stock prediction and portfolio optimization
by Sercan Arik & Sukru Burc Eryilmaz & Adam Goldberg
- 1406.0551 Robust pricing and hedging under trading restrictions and the emergence of local martingale models
by Alexander M. G. Cox & Zhaoxu Hou & Jan Obloj
- 1406.0496 Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods
by Nicolo Musmeci & Tomaso Aste & Tiziana Di Matteo
- 1406.0455 Buyer to Seller Recommendation under Constraints
by Cheng Chen & Lan Zheng & Venkatesh Srinivasan & Alex Thomo & Kui Wu & Anthony Sukow
- 1406.0437 Estimation of the Global Minimum Variance Portfolio in High Dimensions
by Taras Bodnar & Nestor Parolya & Wolfgang Schmid
- 1406.0412 Option Pricing in an Imperfect World
by Gianluca Cassese
- 1406.0394 Implied volatility of basket options at extreme strikes
by Archil Gulisashvili & Peter Tankov
- 1406.0389 Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness
by J. D. Opdyke
- 1406.0268 What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis
by Ladislav Kristoufek
- 1406.0209 An inverse optimal stopping problem for diffusion processes
by Thomas Kruse & Philipp Strack
- 1406.0077 Path Diffusion, Part I
by Johan GB Beumee & Chris Cormack & Peyman Khorsand & Manish Patel
- 1406.0070 Structure of local interactions in complex financial dynamics
by X. F. Jiang & T. T. Chen & B. Zheng
- 1406.0055 Explicit investment rules with time-to-build and uncertainty
by Ren'e Aid & Salvatore Federico & Huy^en Pham & Bertrand Villeneuve
- 1406.0044 Can Turnover Go to Zero?
by Zura Kakushadze
- 1405.7801 Gambling in contests with random initial law
by Han Feng & David Hobson
- 1405.7747 Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics
by Fabio Dercole & Davide Radi
- 1405.7611 VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution
by Chris Kenyon & Andrew Green
- 1405.7603 Mixed Tempered Stable distribution
by Edit Rroji & Lorenzo Mercuri
- 1405.7342 Option Pricing in a Dynamic Variance-Gamma Model
by Lorenzo Mercuri & Fabio Bellini
- 1405.6990 Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series
by Sergey A. Kamenshchikov
- 1405.6905 On the stationarity of Dynamic Conditional Correlation models
by Jean-David Fermanian & Hassan Malongo
- 1405.6677 Bregman superquantiles. Estimation methods and applications
by Tatiana Labopin-Richard & Fabrice Gamboa & Aur'elien Garivier & Bertrand Iooss
- 1405.6514 Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility
by Martino Bardi & Annalisa Cesaroni & Andrea Scotti
- 1405.6400 Networks of Military Alliances, Wars, and International Trade
by Matthew O. Jackson & Stephen M. Nei
- 1405.6111 Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
by Andrey Itkin
- 1405.6047 Modeling FX market activity around macroeconomic news: a Hawkes process approach
by Marcello Rambaldi & Paris Pennesi & Fabrizio Lillo
- 1405.6027 R&D Strategy Document
by James B. Glattfelder & Thomas Bisig & Richard B. Olsen
- 1405.5939 Wealth share analysis with "fundamentalist/chartist" heterogeneous agents
by Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou
- 1405.5842 Stationarity of Bivariate Dynamic Contagion Processes
by Angelos Dassios & Xin Dong
- 1405.5805 Micro and Macro Benefits of Random Investments in Financial Markets
by Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda
- 1405.5695 Big Data, Socio-Psychological Theory, Algorithmic Text Analysis and Predicting the Michigan Consumer Sentiment Index
by Rickard Nyman & Paul Ormerod
- 1405.5294 Valuation of Barrier Options using Sequential Monte Carlo
by Pavel V. Shevchenko & Pierre Del Moral
- 1405.5230 A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics
by Christian Bayer & Ulrich Horst & Jinniao Qiu
- 1405.5000 Correlation structure and principal components in global crude oil market
by Yue-Hua Dai & Wen-Jie Xie & Zhi-Qiang Jiang & George J. Jiang & Wei-Xing Zhou
- 1405.4905 Set-valued shortfall and divergence risk measures
by c{C}au{g}{i}n Ararat & Andreas H. Hamel & Birgit Rudloff
- 1405.4716 Combining Alpha Streams with Costs
by Zura Kakushadze
- 1405.4537 Rough paths, Signatures and the modelling of functions on streams
by Terry Lyons
- 1405.4498 The Economics of BitCoin Price Formation
by Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs
- 1405.4490 Quantum spatial-periodic harmonic model for daily price-limited stock markets
by Xiangyi Meng & Jian-Wei Zhang & Jingjing Xu & Hong Guo
- 1405.4474 Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$
by Shiqi Song
- 1405.4421 Local times for typical price paths and pathwise Tanaka formulas
by Nicolas Perkowski & David J. Promel
- 1405.4301 Mining Urban Performance: Scale-Independent Classification of Cities Based on Individual Economic Transactions
by Stanislav Sobolevsky & Izabela Sitko & Sebastian Grauwin & Remi Tachet des Combes & Bartosz Hawelka & Juan Murillo Arias & Carlo Ratti
- 1405.4079 Valuation and Hedging of Contracts with Funding Costs and Collateralization
by Tomasz R. Bielecki & Marek Rutkowski
- 1405.3812 Optimal investment under behavioural criteria -- a dual approach
by Mikl'os R'asonyi & Jos'e G. Rodr'iguez-Villarreal
- 1405.3769 Distortion Risk Measures and Elicitability
by Ruodu Wang & Johanna F. Ziegel
- 1405.3767 Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information
by Xin Dong & Harry Zheng
- 1405.3566 A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
by Yalc{c}in Aktar & Erik Taflin
- 1405.3561 An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
by Jean-Francois Chassagneux & Antoine Jacquier & Ivo Mihaylov
- 1405.3512 Quantum Brownian motion model for the stock market
by Xiangyi Meng & Jian-Wei Zhang & Hong Guo
- 1405.3225 Can Analysts Predict Rallies Better Than Crashes?
by Ivan Medovikov
- 1405.3202 The systematic structure and predictability of urban business diversity
by Hyejin Youn & Lu'is M. A. Bettencourt & Jos'e Lobo & Deborah Strumsky & Horacio Samaniego & Geoffrey B. West
- 1405.2718 Arbitrage Pricing of Multi-person Game Contingent Claims
by Ivan Guo & Marek Rutkowski
- 1405.2669 Simple examples of pure-jump strict local martingales
by Martin Keller-Ressel
- 1405.2609 Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets
by Nassim N. Taleb
- 1405.2459 Interest rate models and Whittaker functions
by Dmitry Muravey
- 1405.2450 Affine LIBOR models with multiple curves: theory, examples and calibration
by Zorana Grbac & Antonis Papapantoleon & John Schoenmakers & David Skovmand
- 1405.2445 How does bad and good volatility spill over across petroleum markets?
by Jozef Barunik & Evzen Kocenda & Lukas Vacha
- 1405.2442 A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
by Tiziano De Angelis & Giorgio Ferrari & John Moriarty
- 1405.2384 A Multi-factor Adaptive Statistical Arbitrage Model
by Wenbin Zhang & Zhen Dai & Bindu Pan & Milan Djabirov
- 1405.2240 Optimal stopping under model uncertainty: randomized stopping times approach
by Denis Belomestny & Volker Kraetschmer
- 1405.2220 Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market
by Li-Xin Wang
- 1405.2051 Merchant Sharing Towards a Zero Marginal Cost Economy
by Laurent Fournier
- 1405.2023 Simultaneous Trading in 'Lit' and Dark Pools
by M. Alessandra Crisafi & Andrea Macrina
- 1405.1948 Phynance
by Zura Kakushadze
- 1405.1791 On the Super-Additivity and Estimation Biases of Quantile Contributions
by Nassim N Taleb & Raphael Douady
- 1405.1481 Graphical potential games
by Yakov Babichenko & Omer Tamuz
- 1405.1326 Paths and indices of maximal tail dependence
by Edward Furman & Jianxi Su & Riv{c}ardas Zitikis
- 1405.1309 Default Probability Estimation via Pair Copula Constructions
by Luciana Dalla Valle & Maria Elena De Giuli & Claudia Tarantola & Claudio Manelli
- 1405.1266 The super-replication theorem under proportional transaction costs revisited
by Walter Schachermayer
- 1405.1247 Stylized facts of price gaps in limit order books: Evidence from Chinese stocks
by Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei Chen & Wei Zhang & Wei-Xing Zhou
- 1405.1212 Market risk modelling in Solvency II regime and hedging options not using underlying
by Przemys{l}aw Klusik
- 1405.0878 Market Coupling as the Universal Algorithm to Assess Zonal Divisions
by Grzegorz Orynczak & Marcin Jakubek & Karol Wawrzyniak & Michal Klos
- 1405.0733 Spatial interactions in agent-based modeling
by Marcel Ausloos & Herbert Dawid & Ugo Merlone
- 1405.0732 Hedging of equity-linked with maximal success factor
by Klusik Przemyslaw
- 1405.0585 Evaluating gambles using dynamics
by Ole Peters & Murray Gell-Mann
- 1405.0515 KVA: Capital Valuation Adjustment
by Andrew Green & Chris Kenyon
- 1405.0508 MVA: Initial Margin Valuation Adjustment by Replication and Regression
by Andrew Green & Chris Kenyon
- 1405.0378 A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing
by Masaaki Fujii
- 1404.7698 An Optimal Consumption-Investment Model with Constraint on Consumption
by Zuo Quan Xu & Fahuai Yi
- 1404.7653 The role of the information set for forecasting - with applications to risk management
by Hajo Holzmann & Matthias Eulert
- 1404.7642 Predictive regressions for macroeconomic data
by Fukang Zhu & Zongwu Cai & Liang Peng
- 1404.7632 A multivariate model for financial indices and an algorithm for detection of jumps in the volatility
by Mario Bonino & Matteo Camelia & Paolo Pigato
- 1404.7493 Drawdown: From Practice to Theory and Back Again
by Lisa R. Goldberg & Ola Mahmoud
- 1404.7438 The least squares method for option pricing revisited
by Maciej Klimek & Marcin Pitera
- 1404.7406 Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs
by Erhan Bayraktar & Yuchong Zhang
- 1404.7377 The Italian Crisis and Producer Households Debt: a Source of Stability? A Reproducible Research
by Stefano Olgiati & Gilberto Bronzini & Alessandro Danovi
- 1404.7364 Predictable markets? A news-driven model of the stock market
by Maxim Gusev & Dimitri Kroujiline & Boris Govorkov & Sergey V. Sharov & Dmitry Ushanov & Maxim Zhilyaev
- 1404.7356 Analysis of a decision model in the context of equilibrium pricing and order book pricing
by Daniel C. Wagner & Thilo A. Schmitt & Rudi Schafer & Thomas Guhr & Dietrich E. Wolf
- 1404.7320 Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context
by Qinghua Li
- 1404.7314 Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
by Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth
- 1404.6792 Leveraged {ETF} implied volatilities from {ETF} dynamics
by Tim Leung & Matthew Lorig & Andrea Pascucci
- 1404.6637 Braided and Knotted Stocks in the Stock Market: Anticipating the flash crashes
by Ovidiu Racorean
- 1404.6227 A Multi-Entity Input Output (MEIO) Approach to Sustainability - Water-Energy-GHG (WEG) Footprint Statements in Use Cases from Auto and Telco Industries
by Reza Farrahi Moghaddam & Fereydoun Farrahi Moghaddam & Mohamed Cheriet
- 1404.6190 Polynomial Term Structure Models
by Si Cheng & Michael R. Tehranchi
- 1404.6120 Incorporating a Volatility Smile into the Markov-Functional Model
by Feijia Wang
- 1404.5689 Measurement and Internalization of Systemic Risk in a Global Banking Network
by Xiaobing Feng & Haibo Hu
- 1404.5408 Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case
by Jakub Trybu{l}a & Dariusz Zawisza
- 1404.5381 The Futures Premium and Rice Market Efficiency in Prewar Japan
by Mikio Ito & Kiyotaka Maeda & Akihiko Noda
- 1404.5271 Reconstruction of density functions by sk-splines
by A. Kushpel & J. Levesley
- 1404.5222 Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model
by Takashi Shinzato
- 1404.5203 Towards a Monotonicity-Compliant Price Index for the Art Market
by Ventura Charlin & Arturo Cifuentes
- 1404.5140 High-order compact finite difference scheme for option pricing in stochastic volatility models
by Bertram During & Michel Fourni'e
- 1404.5138 High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
by Bertram During & Michel Fourni'e & Christof Heuer
- 1404.5050 A Spectral Model of Turnover Reduction
by Zura Kakushadze
- 1404.4950 Expected Cash Flow: A Novel Model Of Evaluating Financial Assets
by Magomet Yandiev
- 1404.4798 Signal-wise performance attribution for constrained portfolio optimisation
by Bruno Durin
- 1404.4665 Approximate aggregation in the neoclassical growth model with ideosyncratic shocks
by Karsten Chipeniuk & Nets Hawk Katz & Todd Walker
- 1404.4659 Modelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models
by Jan Kuklinski & Doinita Negru & Pawel Pliszka
- 1404.4550 Macroprudential oversight, risk communication and visualization
by Peter Sarlin
- 1404.4464 On small-noise equations with degenerate limiting system arising from volatility models
by Giovanni Conforti & Stefano De Marco & Jean-Dominique Deuschel
- 1404.4275 A Bitcoin system with no mining and no history transactions: Build a compact Bitcoin system
by Xiaochao Qian
- 1404.4150 The Master Equation in Mean Field Theory
by Alain Bensoussan & Jens Frehse & Phillip Yam
- 1404.4068 Directed Random Market: the equilibrium distribution
by Guy Katriel
- 1404.4040 $L_p$ regularized portfolio optimization
by Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still
- 1404.4028 Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing
by Mark Higgins
- 1404.4014 Option Pricing Accuracy for Estimated Heston Models
by Robert Azencott & Yutheeka Gadhyan & Roland Glowinski
- 1404.3678 On the properties of nodal price response matrix in electricity markets
by Vadim Borokhov
- 1404.3555 Smile from the Past: A general option pricing framework with multiple volatility and leverage components
by Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi
- 1404.3347 Stability and Identification with Optimal Macroprudential Policy Rules
by Jean-Bernard Chatelain & Kirsten Ralf
- 1404.3274 Two centuries of trend following
by Y. Lemp'eri`ere & C. Deremble & P. Seager & M. Potters & J. P. Bouchaud
- 1404.3258 Regularizing Portfolio Risk Analysis: A Bayesian Approach
by Sourish Das & Aritra Halder & Dipak K. Dey
- 1404.3229 A Note on the Pricing of Basket Options Using Taylor Approximations
by Pablo Olivares & Alexander Alvarez
- 1404.3219 Estimating nonlinear regression errors without doing regression
by Hong Pi & Carsten Peterson
- 1404.3167 A Dynamical Model of the Industrial Economy of the Humber Region
by Christopher J. K. Knight & Alexandra S. Penn & Rebecca B. Hoyle
- 1404.3160 Pricing of Basket Options Using Polynomial Approximations
by Pablo Olivares
- 1404.3153 Asymptotics for $d$-dimensional L\'evy-type processes
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci
- 1404.2227 Facelifting in Utility Maximization
by Kasper Larsen & H. Mete Soner & Gordan Zitkovic
- 1404.2140 Financial bubbles: mechanisms and diagnostics
by Didier Sornette & Peter Cauwels
- 1404.2050 Bayesian DEJD model and detection of asymmetric jumps
by Maciej Kostrzewski
- 1404.1913 Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
by Nicole El Karoui & Mohamed Mrad & Caroline Hillairet
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