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Content
2014
2013
- 1401.0677 G-Doob-Meyer Decomposition and its Application in Bid-Ask Pricing for American Contingent Claim Under Knightian Uncertainty
by Wei Chen
- 1401.0124 Mean field approximation for biased diffusion on Japanese inter-firm trading network
by Hayafumi Watanabe
- 1312.7860 A Global Game with Heterogenous Priors
by Wolfgang Kuhle
- 1312.7614 Inference on causal and structural parameters using many moment inequalities
by Victor Chernozhukov & Denis Chetverikov & Kengo Kato
- 1312.7545 The process of macroprudential oversight in Europe
by Peter Sarlin & Henrik J. Nyman
- 1312.7460 What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary
by Yuri Biondi & Simone Righi
- 1312.7360 A state-constrained differential game arising in optimal portfolio liquidation
by Alexander Schied & Tao Zhang
- 1312.7346 Bankruptcy Risk Induced by Career Concerns of Regulators
by Godfrey Charles-Cadogan & John A. Cole
- 1312.7328 A family of density expansions for L\'evy-type processes
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci
- 1312.7186 Valid Post-Selection Inference in High-Dimensional Approximately Sparse Quantile Regression Models
by Alexandre Belloni & Victor Chernozhukov & Kengo Kato
- 1312.7057 Empirical Study of the GARCH model with Rational Errors
by Ting Ting Chen & Tetsuya Takaishi
- 1312.6841 Hedging Against the Interest-rate Risk by Measuring the Yield-curve Movement
by Zhongliang Tuo
- 1312.6804 A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades
by Teruyoshi Kobayashi
- 1312.6456 Exact Simulation of Non-stationary Reflected Brownian Motion
by Mohammad Mousavi & Peter W. Glynn
- 1312.6443 Global inequality in energy consumption from 1980 to 2010
by Scott Lawrence & Qin Liu & Victor M. Yakovenko
- 1312.6350 Sparse Portfolio Selection via Quasi-Norm Regularization
by Caihua Chen & Xindan Li & Caleb Tolman & Suyang Wang & Yinyu Ye
- 1312.6032 Information and optimal investment in defaultable assets
by Giulia Di Nunno & Steffen Sjursen
- 1312.5919 A Monte Carlo method for optimal portfolio executions
by Nico Achtsis & Dirk Nuyens
- 1312.5911 Estimating time-changes in noisy L\'evy models
by Adam D. Bull
- 1312.5807 Block Sampling under Strong Dependence
by Ting Zhang & Hwai-Chung Ho & Martin Wendler & Wei Biao Wu
- 1312.5693 Pricing of vanilla and first generation exotic options in the local stochastic volatility framework: survey and new results
by Alexander Lipton & Andrey Gal & Andris Lasis
- 1312.5660 Capital distribution and portfolio performance in the mean-field Atlas model
by Benjamin Jourdain & Julien Reygner
- 1312.5617 Accelerated Share Repurchase: pricing and execution strategy
by Olivier Gu'eant & Jiang Pu & Guillaume Royer
- 1312.5496 On idiosyncratic stochasticity of financial leverage effects
by Carles Bret'o
- 1312.5271 Systematic and multifactor risk models revisited
by Michel Fliess & C'edric Join
- 1312.5116 Sensitivity analysis in a market with memory
by David R. Banos & Giulia Di Nunno & Frank Proske
- 1312.5073 Extrapolating the term structure of interest rates with parameter uncertainty
by Anne Balter & Antoon Pelsser & Peter Schotman
- 1312.4979 Market models with optimal arbitrage
by Huy N. Chau & Peter Tankov
- 1312.4803 Multiscaling edge effects in an agent-based money emergence model
by Pawe{l} O'swik{e}cimka & Stanis{l}aw Dro.zd.z & Robert Gk{e}barowski & Andrzej Z. G'orski & Jaros{l}aw Kwapie'n
- 1312.4622 Coupled mode theory of stock price formation
by Jack Sarkissian
- 1312.4443 Pricing and Hedging Basket Options with Exact Moment Matching
by Tommaso Paletta & Arturo Leccadito & Radu Tunaru
- 1312.4385 Local risk-minimization under restricted information to asset prices
by Claudia Ceci & Katia Colaneri & Alessandra Cretarola
- 1312.4296 No-arbitrage conditions and absolutely continuous changes of measure
by Claudio Fontana
- 1312.4227 Matching distributions: Asset pricing with density shape correction
by Jarno Talponen
- 1312.4094 Nonparametric Identification in Panels using Quantiles
by Victor Chernozhukov & Ivan Fernandez-Val & Stefan Hoderlein & Hajo Holzmann & Whitney Newey
- 1312.3917 On the Market Viability under Proportional Transaction Costs
by Erhan Bayraktar & Xiang Yu
- 1312.3894 Semi-Markov Models in High Frequency Finance: A Review
by G. D'Amico & F. Petroni & F. Prattico
- 1312.3826 Firm competition in a probabilistic framework of consumer choice
by Hao Liao & Rui Xiao & Duanbing Chen & Matus Medo & Yi-Cheng Zhang
- 1312.3789 Gas storage valuation and hedging. A quantification of the model risk
by Patrick Henaff & Ismail Laachir & Francesco Russo
- 1312.3349 Market Impact Paradoxes
by Igor Skachkov
- 1312.3314 Analytical expansions for parabolic equations
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci
- 1312.3247 Emergent quantum mechanics of finances
by Vadim Nastasiuk
- 1312.3211 Barrier Option Pricing
by A. H. Davison & T. Sidogi
- 1312.2754 Liquidation of an indivisible asset with independent investment
by Emilie Fabre & Guillaume Royer & Nizar Touzi
- 1312.2722 Modelling of the European Union income distribution by extended Yakovenko formula
by Maciej Jagielski & Ryszard Kutner
- 1312.2693 Fiscal shocks and asymmetric effects: a comparative analysis
by Ioannis Praggidis & Periklis Gogas & Vasilios Plakandaras & Theophilos Papadimitriou
- 1312.2641 Simultaneous auctions for complementary goods
by Wiroy Shin
- 1312.2433 Arbitrages in a Progressive Enlargement Setting
by Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc
- 1312.2362 Modelling the income distribution in the European Union: An application for the initial analysis of the recent worldwide financial crisis
by Maciej Jagielski & Ryszard Kutner
- 1312.2302 The Self-Financing Equation in High Frequency Markets
by Rene Carmona & Kevin Webster
- 1312.2281 Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion
by John Armstrong & Martin Forde & Matthew Lorig & Hongzhong Zhang
- 1312.2203 Research on fresh agriculture product based on overconfidence of the retailer under options and spot markets dominated
by Kai Nie & Man Yu
- 1312.2179 On the implicit interest rate in the Yunus equation
by Marc Diener & Pheakdei Mauk
- 1312.2048 The False Premises and Promises of Bitcoin
by Brian P. Hanley
- 1312.2004 Optimal Trading Strategies as Measures of Market Disequilibrium
by Valerii Salov
- 1312.1645 What is the best risk measure in practice? A comparison of standard measures
by Susanne Emmer & Marie Kratz & Dirk Tasche
- 1312.1578 Credit Portfolio Management in a Turning Rates Environment
by Arthur M. Berd & Elena Ranguelova & Antonio Baldaque da Silva
- 1312.1473 Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models
by Francesco Audrino & Lorenzo Camponovo
- 1312.1006 Dynamic Limit Growth Indices in Discrete Time
by Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera
- 1312.0690 Self-organization and phase transition in financial markets with multiple choices
by Li-Xin Zhong & Wen-Juan Xu & Ping Huang & Chen-Yang Zhong & Tian Qiu
- 1312.0563 Simulating and analyzing order book data: The queue-reactive model
by Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum
- 1312.0557 Asymptotic distribution of the Markowitz portfolio
by Steven E. Pav
- 1312.0514 Trade arrival dynamics and quote imbalance in a limit order book
by Alexander Lipton & Umberto Pesavento & Michael G Sotiropoulos
- 1312.0506 The impact of systemic risk on the diversification benefits of a risk portfolio
by Marc Busse & Michel Dacorogna & Marie Kratz
- 1312.0424 Optimal insurance purchase strategies via optimal multiple stopping times
by Rodrigo S. Targino & Gareth W. Peters & Georgy Sofronov & Pavel V. Shevchenko
- 1312.0323 Towards a microeconomic theory of the finance-driven business cycle
by Alejandro Jenkins
- 1312.0283 Stochastic areas of diffusions and applications in risk theory
by Zhenyu Cui
- 1312.0161 Science and the Future: Introduction
by Angelo Tartaglia
- 1312.0128 CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?
by Damiano Brigo & Andrea Pallavicini
- 1311.7419 Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
by Sigrid Kallblad
- 1311.7065 Individual and Time Effects in Nonlinear Panel Models with Large N, T
by Ivan Fernandez-Val & Martin Weidner
- 1311.7027 A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
by Claudio Fontana
- 1311.6262 Agent-based models for latent liquidity and concave price impact
by Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud
- 1311.6257 Filters and smoothers for self-exciting Markov modulated counting processes
by Samuel N. Cohen & Robert J. Elliott
- 1311.6187 Pathwise stochastic integrals for model free finance
by Nicolas Perkowski & David J. Promel
- 1311.6179 Optimal Strategies for a Long-Term Static Investor
by Lingjiong Zhu
- 1311.6080 A New Characterization of Comonotonicity and its Application in Behavioral Finance
by Zuo Quan Xu
- 1311.6027 Left-wing asymptotics of the implied volatility in the presence of atoms
by Archil Gulisashvili
- 1311.5753 Nucleation, condensation and lambda-transition on a real-life stock market
by M. Wilinski & B. Szewczak & T. Gubiec & R. Kutner & Z. R. Struzik
- 1311.5661 The order book as a queueing system: average depth and influence of the size of limit orders
by Ioane Muni Toke
- 1311.5511 Unified Growth Theory: A puzzling collection of myths based on hyperbolic illusions
by Ron W Nielsen
- 1311.5211 Remark on repo and options
by Andrei Kapaev
- 1311.5120 Actuarial fairness and solidarity in pooled annuity funds
by Catherine Donnelly
- 1311.5101 Copulas and time series with long-ranged dependences
by R'emy Chicheportiche & Anirban Chakraborti
- 1311.5036 Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
by Kyungsub Lee
- 1311.4977 Conditional correlation in asset return and GARCH intensity model
by Geon Ho Choe & Kyungsub Lee
- 1311.4973 High moment variations and their application
by Geon Ho Choe & Kyungsub Lee
- 1311.4969 Recursive formula for arithmetic Asian option prices
by Kyungsub Lee
- 1311.4798 The multiplex structure of interbank networks
by Leonardo Bargigli & Giovanni di Iasio & Luigi Infante & Fabrizio Lillo & Federico Pierobon
- 1311.4771 Stock Market Trend Analysis Using Hidden Markov Models
by G. Kavitha & A. Udhayakumar & D. Nagarajan
- 1311.4698 A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
by Christoph Aistleitner & Markus Hofer & Robert Tichy
- 1311.4503 A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
by Idris Kharroubi & Nicolas Langren'e & Huy^en Pham
- 1311.4342 Option pricing and hedging with execution costs and market impact
by Olivier Gu'eant & Jiang Pu
- 1311.4274 Impact of information cost and switching of trading strategies in an artificial stock market
by Yi-Fang Liu & Wei Zhang & Chao Xu & J{o}rgen Vitting Andersen & Hai-Chuan Xu
- 1311.4266 Pr\'evision du risque de cr\'edit : Une \'etude comparative entre l'Analyse Discriminante et l'Approche Neuronale
by Younes Boujelb`ene & Sihem Khemakhem
- 1311.4249 Multiscale Stochastic Volatility Model for Derivatives on Futures
by Jean-Pierre Fouque & Yuri F. Saporito & Jorge P. Zubelli
- 1311.4230 Structural Changes on Warsaw's Stock Exchange: the end of Financial Crisis
by Pawe{l} Fiedor
- 1311.4160 Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets
by Benjamin Myers & Austin Gerig
- 1311.4078 Skew and implied leverage effect: smile dynamics revisited
by Vincent Vargas & Tung-Lam Dao & Jean-Philippe Bouchaud
- 1311.4074 Option Pricing with Lie Symmetry Analysis and Similarity Reduction Method
by Wenqing Bao & ChunLi Chen & Jin E. Zhang
- 1311.4068 Uncertain growth and the value of the future
by Jaume Masoliver & Miquel Montero & Josep Perell'o & John Geanakoplos & J. Doyne Farmer
- 1311.4057 A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios
by Th'eophile Griveau-Billion & Jean-Charles Richard & Thierry Roncalli
- 1311.3881 Functional Ito Calculus, Path-dependence and the Computation of Greeks
by Samy Jazaerli & Yuri F. Saporito
- 1311.3871 Financial interaction networks inferred from traded volumes
by Hongli Zeng & R'emi Lemoy & Mikko Alava
- 1311.3764 Modeling systemic risks in financial markets
by Abhijnan Rej
- 1311.3529 Time--consistent investment under model uncertainty: the robust forward criteria
by Sigrid Kallblad & Jan Obloj & Thaleia Zariphopoulou
- 1311.3019 An Excursion-Theoretic Approach to Regulator's Bank Reorganization Problem
by Masahiko Egami & Tadao Oryu
- 1311.2645 Program Evaluation and Causal Inference with High-Dimensional Data
by Alexandre Belloni & Victor Chernozhukov & Ivan Fern'andez-Val & Christian Hansen
- 1311.2550 The Kelly growth optimal strategy with a stop-loss rule
by Mads Nielsen
- 1311.2511 Spin Glasses and Nonlinear Constraints in Portfolio Optimization
by M. Andrecut
- 1311.2278 Performance of multifractal detrended fluctuation analysis on short time series
by Juan Luis Lopez & Jesus Guillermo Contreras
- 1311.2273 Measures of uncertainty in market network analysis
by V. A. Kalyagin & A. P. Koldanov & P. A. Koldanov & P. M. Pardalos & V. A. Zamaraev
- 1311.1924 Community detection for correlation matrices
by Mel MacMahon & Diego Garlaschelli
- 1311.1715 Portfolio Choice with Stochastic Investment Opportunities: a User's Guide
by Ren Liu & Johannes Muhle-Karbe
- 1311.1562 Stationary Markov Perfect Equilibria in Discounted Stochastic Games
by Wei He & Yeneng Sun
- 1311.1545 Varadhan's formula, conditioned diffusions, and local volatilities
by Stefano De Marco & Peter Friz
- 1311.1535 Nash equilibrium for coupling of CO2 allowances and electricity markets
by Mireille Bossy & Nadia Maizi & Odile Pourtallier
- 1311.1154 Modeling of Volatility with Non-linear Time Series Model
by Kim Song Yon & Kim Mun Chol
- 1311.1122 On time scaling of semivariance in a jump-diffusion process
by Rodrigue Oeuvray & Pascal Junod
- 1311.1097 Does Banque de France control inflation and unemployment?
by Ivan Kitov & Oleg Kitov
- 1311.0688 Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield
by Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel
- 1311.0675 On strong binomial approximation for stochastic processes and applications for financial modelling
by Nikolai Dokuchaev
- 1311.0657 Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
by Ladislav Kristoufek
- 1311.0530 Multivariate stochastic volatility modelling using Wishart autoregressive processes
by K. Triantafyllopoulos
- 1311.0498 Default Clustering in Large Pools: Large Deviations
by Konstantinos Spiliopoulos & Richard B. Sowers
- 1311.0414 On Agents and Equilibria
by Ted Theodosopoulos
- 1311.0412 Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression
by Xiaohong Chen & Timothy Christensen
- 1311.0354 On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory
by Assa Hirbod & Morales Manuel & Omidi Firouzi Hassan
- 1311.0270 There is a VaR beyond usual approximations
by Marie Kratz
- 1311.0236 Variance matters (in stochastic dividend discount models)
by Arianna Agosto & Enrico Moretto
- 1311.0118 Regulatory-Compliant Derivatives Pricing is Not Risk-Neutral
by Chris Kenyon & Andrew Green
- 1310.8604 Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing
by Matias Leppisaari
- 1310.8431 Multiagent's model of stock market with p-adic description of prices
by Viktor Zharkov
- 1310.8296 The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations
by Hyong-chol O & Yong-hwa Ro & Ning Wan
- 1310.8169 Predicting trend reversals using market instantaneous state
by Thomas Bury
- 1310.7857 Sticky continuous processes have consistent price systems
by Christian Bender & Mikko S. Pakkanen & Hasanjan Sayit
- 1310.7280 The stochastic field of aggregate utilities and its saddle conjugate
by Peter Bank & Dmitry Kramkov
- 1310.7128 Restructuring the "one-way CSA" counterparty risk in a CDO
by Lorenzo Giada & Claudio Nordio
- 1310.7018 Stock returns versus trading volume: is the correspondence more general?
by Rafal Rak & Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka
- 1310.6873 Double Cascade Model of Financial Crises
by Thomas R. Hurd & Davide Cellai & Sergey Melnik & Quentin Shao
- 1310.6822 Optimal Choice under Short Sell Limit with Sharpe Ratio as Criterion among Multiple Assets
by Yiran Sheng & Ruokun Huang
- 1310.6819 Valuing FtD Contract under Copula Approach via Monte-Carlo Stimulation
by Yiran Sheng
- 1310.6526 Exact simulation pricing with Gamma processes and their extensions
by Lancelot F. James & Dohyun Kim & Zhiyuan Zhang
- 1310.6486 Systemic Risk Identification, Modelling, Analysis, and Monitoring: An Integrated Approach
by Antoaneta Sergueiva
- 1310.6320 Epidemics in markets with trade friction and imperfect transactions
by Mathieu Moslonka-Lefebvre & Herv'e Monod & Christopher A. Gilligan & Elisabeta Vergu & Jo~ao A. N. Filipe
- 1310.6025 An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality
by Iosif Pinelis
- 1310.5540 Frequency Effects on Predictability of Stock Returns
by Pawe{l} Fiedor
- 1310.5388 Structure and causality relations in a global network of financial companies
by Leonidas Sandoval Junior
- 1310.5306 Can social microblogging be used to forecast intraday exchange rates?
by Panagiotis Papaioannnou & Lucia Russo & George Papaioannou & Constantinos Siettos
- 1310.5114 Explore or exploit? A generic model and an exactly solvable case
by Thomas Gueudr'e & Alexander Dobrinevski & Jean-Philippe Bouchaud
- 1310.4994 Asymptotic Glosten Milgrom equilibrium
by Cheng Li & Hao Xing
- 1310.4783 Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations
by Matyas Barczy & Gyula Pap
- 1310.4539 Modeling the coupled return-spread high frequency dynamics of large tick assets
by Gianbiagio Curato & Fabrizio Lillo
- 1310.4538 The Origin of Fat Tails
by Martin Gremm
- 1310.4471 Multivariate transient price impact and matrix-valued positive definite functions
by Aur'elien Alfonsi & Alexander Schied & Florian Klock
- 1310.4403 Complexity, economic science and possible economic benefits of climate change mitigation policy
by J. F. Mercure & H. Pollitt & U. Chewpreecha & P. Salas & A. Foley & P. B. Holden & N. R. Edwards
- 1310.4142 Quantum harmonic oscillator in option pricing
by Liviu-Adrian Cotfas & Nicolae Cotfas
- 1310.4067 On pricing kernels, information and risk
by D. L. Wilcox & T. J. Gebbie
- 1310.3984 Measuring correlations between non-stationary series with DCCA coefficient
by Ladislav Kristoufek
- 1310.3860 Stochastic Modeling and Fair Valuation of Drawdown Insurance
by Hongzhong Zhang & Tim Leung & Olympia Hadjiliadis
- 1310.3716 The Relation Between Global Migration and Trade Networks
by Paolo Sgrignoli & Rodolfo Metulini & Stefano Schiavo & Massimo Riccaboni
- 1310.3694 A primal-dual algorithm for BSDEs
by Christian Bender & Nikolaus Schweizer & Jia Zhuo
- 1310.3572 Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction
by Ankush Agarwal
- 1310.3397 Regression techniques for Portfolio Optimisation using MOSEK
by Thomas Schmelzer & Raphael Hauser & Erling Andersen & Joachim Dahl
- 1310.3396 Seven Sins in Portfolio Optimization
by Thomas Schmelzer & Raphael Hauser
- 1310.3386 Regulatory-Optimal Funding
by Chris Kenyon & Andrew Green
- 1310.3347 Order Estimates for the Exact Lugannani-Rice Expansion
by Takashi Kato & Jun Sekine & Kenichi Yoshikawa
- 1310.3113 Superreplication when trading at market indifference prices
by Peter Bank & Selim Gokay
- 1310.3083 A note on the policy implications of the fiscal multiplier
by Evangelos F. Magirou
- 1310.3077 Optimal Order Scheduling for Deterministic Liquidity Patterns
by Peter Bank & Antje Fruth
- 1310.3061 Small-maturity asymptotics for the at-the-money implied volatility slope in L\'evy models
by Stefan Gerhold & I. Cetin Gulum & Arpad Pinter
- 1310.3052 Power identities for L\'evy risk models under taxation and capital injections
by Hansjoerg Albrecher & Jevgenijs Ivanovs
- 1310.2973 Taylor approximation of incomplete Radner equilibrium models
by Jin Hyuk Choi & Kasper Larsen
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