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Content
2013
- 1307.2014 On the multifractal effects generated by monofractal signals
by Dariusz Grech & Grzegorz Pamu{l}a
- 1307.1685 Evolution of the distribution of wealth in an economic environment driven by local Nash equilibria
by Pierre Degond & Jian-Guo Liu & Christian Ringhofer
- 1307.1501 Heavy tailed time series with extremal independence
by Rafal Kulik & Philippe Soulier
- 1307.1320 Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem
by M. Basei & A. Cesaroni & T. Vargiolu
- 1307.0872 Maximization of recursive utilities under convex portfolio constraints
by Anis Matoussi & Hanen Mezghani & Mohamed Mnif
- 1307.0817 A Statistical Test of Walrasian Equilibrium by Means of Complex Networks Theory
by Leonardo Bargigli & Andrea Lionetto & Stefano Viaggiu
- 1307.0785 Explicit Description of HARA Forward Utilities and Their Optimal Portfolios
by Tahir Choulli & Junfeng Ma
- 1307.0684 Assessing Financial Model Risk
by Pauline Barrieu & Giacomo Scandolo
- 1307.0450 Portfolio Optimization in R
by M. Andrecut
- 1307.0444 Revisiting the Merit-Order Effect of Renewable Energy Sources
by Marcus Hildmann & Andreas Ulbig & Goran Andersson
- 1307.0190 D-Brane solutions under market panic
by R. Pincak
- 1307.0114 Risk Without Return
by Lisa R. Goldberg & Ola Mahmoud
- 1306.6715 The Meaning of Probability of Default for Asset-backed Loans
by David Chisholm & Graham Andersen
- 1306.6588 Moderate deviations for importance sampling estimators of risk measures
by Pierre Nyquist
- 1306.6583 A note on Keen's model: The limits of Schumpeter's "Creative Destruction"
by Glenn Ierley
- 1306.6402 On Modeling Economic Default Time: A Reduced-Form Model Approach
by Jia-Wen Gu & Bo Jiang & Wai-Ki Ching & Harry Zheng
- 1306.6267 Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity
by Stefan Tappe & Thorsten Schmidt
- 1306.5705 Computational Dynamic Market Risk Measures in Discrete Time Setting
by Babacar Seck & Robert J. Elliott & Jean-Pierre Gueyie
- 1306.5510 Compound Wishart Matrices and Noisy Covariance Matrices: Risk Underestimation
by Beno^it Collins & David McDonald & Nadia Saad
- 1306.5447 Explicit implied volatilities for multifactor local-stochastic volatility models
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci
- 1306.5302 Factorising equity returns in an emerging market through exogenous shocks and capital flows
by Diane Wilcox & Tim Gebbie
- 1306.5198 Dynamic Assessment Indices
by Tomasz R. Bielecki & Igor Cialenco & Samuel Drapeau & Martin Karliczek
- 1306.5145 Social Discounting and the Long Rate of Interest
by Dorje C. Brody & Lane P. Hughston
- 1306.5082 Non-Equivalent Beliefs and Subjective Equilibrium Bubbles
by Martin Larsson
- 1306.4994 Additive versus multiplicative parameters - applications in economics and finance
by Helena Jasiulewicz & Wojciech Kordecki
- 1306.4975 A Stochastic Feedback Model for Volatility
by Raoul Golan & Austin Gerig
- 1306.4958 Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model
by M. Hossein Partovi
- 1306.4769 Evolution of correlation structure of industrial indices of US equity markets
by Giuseppe Buccheri & Stefano Marmi & Rosario N. Mantegna
- 1306.4733 Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1
by Tomasz R. Bielecki & Marek Rutkowski
- 1306.4619 On the time spent in the red by a refracted L\'evy risk process
by Jean-Franc{c}ois Renaud
- 1306.4070 Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty
by Wei Chen
- 1306.3923 Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots
by Albert Ferreiro-Castilla & Kees van Schaik
- 1306.3856 From Text to Bank Interrelation Maps
by Samuel Ronnqvist & Peter Sarlin
- 1306.3704 How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network
by Fabio Caccioli & J. Doyne Farmer & Nick Foti & Daniel Rockmore
- 1306.3554 Thermodynamics of long-run economic innovation and growth
by Timothy J. Garrett
- 1306.3531 The convergence of regional house prices in the USA in the context of the stress testing of financial institutions
by Argyn Kuketayev
- 1306.3479 Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions
by Helena Jasiulewicz & Wojciech Kordecki
- 1306.3437 A cutting surface algorithm for semi-infinite convex programming with an application to moment robust optimization
by Sanjay Mehrotra & David Papp
- 1306.3422 Spontaneous centralization of control in a network of company ownerships
by Sebastian M. Krause & Tiago P. Peixoto & Stefan Bornholdt
- 1306.3395 Evolutionary Model of a Anonymous Consumer Durable Market
by Joachim Kaldasch
- 1306.3359 Making Mean-Variance Hedging Implementable in a Partially Observable Market
by Masaaki Fujii & Akihiko Takahashi
- 1306.3110 Some applications of first-passage ideas to finance
by R'emy Chicheportiche & Jean-Philippe Bouchaud
- 1306.2834 Bayesian inference for CoVaR
by Mauro Bernardi & Ghislaine Gayraud & Lea Petrella
- 1306.2832 VWAP execution and guaranteed VWAP
by Olivier Gu'eant & Guillaume Royer
- 1306.2831 Systemic risk and spatiotemporal dynamics of the US housing market
by Hao Meng & Wen-Jie Xie & Zhi-Qiang Jiang & Boris Podobnik & Wei-Xing Zhou & H. Eugene Stanley
- 1306.2820 Modeling and Solving Alternative Financial Solutions Seeking
by Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Tour'e
- 1306.2802 Asymptotics for Fixed Transaction Costs
by Albert Altarovici & Johannes Muhle-Karbe & H. Mete Soner
- 1306.2793 On the probability density function of baskets
by Christian Bayer & Peter Friz & Peter Laurence
- 1306.2751 Robust Portfolios and Weak Incentives in Long-Run Investments
by Paolo Guasoni & Johannes Muhle-Karbe & Hao Xing
- 1306.2728 Mean-Variance and Expected Utility: The Borch Paradox
by David Johnstone & Dennis Lindley
- 1306.2719 Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk
by M. H. A. Davis & M. R. Pistorius
- 1306.2508 Phase Transition in the S&P Stock Market
by Matthias Raddant & Friedrich Wagner
- 1306.2251 Some Possible Solution of Problem of Sovereign Debts: a short plan
by T. S. Kholupenko & E. E. Kholupenko & P. A. Guseva
- 1306.2245 Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process
by Vladimir Filimonov & Spencer Wheatley & Didier Sornette
- 1306.2188 Market-wide price co-movement around crashes in the Tokyo Stock Exchange
by Jun-ichi Maskawa & Joshin Murai & Koji Kuroda
- 1306.2073 A theoretical framework for trading experiments
by Maxence Soumare & J{o}rgen Vitting Andersen & Francis Bouchard & Alain Elkaim & Dominique Gu'egan & Justin Leroux & Michel Miniconi & Lars Stentoft
- 1306.1882 Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation
by Pavel V. Shevchenko & Gareth W. Peters
- 1306.1781 The Composition of Wage Differentials between Migrants and Natives
by Panagiotis Nanos & Christian Schluter
- 1306.1378 CORN: Correlation-Driven Nonparametric Learning Approach for Portfolio Selection -- an Online Appendix
by Bin Li & Dingjiang Huang & Steven C. H. Hoi
- 1306.1062 An alternative proof of a result of Takaoka
by Shiqi Song
- 1306.0995 B-spline techniques for volatility modeling
by Sylvain Corlay
- 1306.0980 Volatility in options formulae for general stochastic dynamics
by Kais Hamza & Fima Klebaner & Olivia Mah
- 1306.0966 A Financial Risk Analysis: Does the 2008 Financial Crisis Give Impact on Weekends Returns of the U.S. Movie Box Office?
by Novriana Sumarti & Rafki Hidayat
- 1306.0938 The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments
by Laszlo F. Korsos
- 1306.0887 Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization
by Damiano Brigo & Jan-Frederik Mai & Matthias Scherer
- 1306.0490 Multifractality and long memory of a financial index
by Pablo Su'arez-Garc'ia & David G'omez-Ullate
- 1306.0468 Reserve Requirement Analysis using a Dynamical System of a Bank based on Monti-Klein model of Bank's Profit Function
by Novriana Sumarti & Iman Gunadi
- 1306.0345 American option of stochastic volatility model with negative Fichera function on degenerate boundary
by Chen Xiaoshan & Song Qingshuo
- 1306.0215 Cross-border Portfolio Investment Networks and Indicators for Financial Crises
by Andreas Joseph & Stephan Joseph & Guanrong Chen
- 1306.0100 Are your data really Pareto distributed?
by Pasquale Cirillo
- 1305.7309 Optimization problem under change of regime of interest rate
by Bogdan Iftimie & Monique Jeanblanc & Thomas Lim & Hai-Nam Nguyen
- 1305.7092 Prices and Asymptotics for Discrete Variance Swaps
by Carole Bernard & Zhenyu Cui
- 1305.6988 Integrals of Higher Binary Options and Defaultable Bond with Discrete Default Information
by Hyong-Chol O & Dong-Hyok Kim & Jong-Jun Jo & Song-Hun Ri
- 1305.6868 Higher Order Binaries with Time Dependent Coefficients and Two Factors - Model for Defaultable Bond with Discrete Default Information
by Hyong-Chol O & Yong-Gon Kim & Dong-Hyok Kim
- 1305.6831 Optimal portfolios of a long-term investor with floor or drawdown constraints
by Vladimir Cherny & Jan Obloj
- 1305.6797 Continuous-Time Random Walk with multi-step memory: An application to market dynamics
by Tomasz Gubiec & Ryszard Kutner
- 1305.6765 Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]
by J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante
- 1305.6762 Hedging without sweat: a genetic programming approach
by Terje Lensberg & Klaus Reiner Schenk-Hopp'e
- 1305.6541 BSDEs with singular terminal condition and control problems with constraints
by Stefan Ankirchner & Monique Jeanblanc & Thomas Kruse
- 1305.6323 Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
by Aim'e Lachapelle & Jean-Michel Lasry & Charles-Albert Lehalle & Pierre-Louis Lions
- 1305.6148 Goodhart, Charles A.E. and Tsomocos, Dimitros P.: The challenge of financial stability: a new model and its applications
by Jean-Bernard Chatelain
- 1305.6099 Supplementary Appendix for "Inference on Treatment Effects After Selection Amongst High-Dimensional Controls"
by Alexandre Belloni & Victor Chernozhukov & Christian Hansen
- 1305.6037 Semi-bounded Rationality: A model for decision making
by Tshilidzi Marwala
- 1305.6023 A Robust Version of Convex Integral Functionals
by Keita Owari
- 1305.6008 Arbitrage and duality in nondominated discrete-time models
by Bruno Bouchard & Marcel Nutz
- 1305.5963 Note on multidimensional Breeden-Litzenberger representation for state price densities
by Jarno Talponen & Lauri Viitasaari
- 1305.5958 Fluctuation analysis of the three agent groups herding model
by Vygintas Gontis & Aleksejus Kononovicius
- 1305.5915 Model-free CPPI
by Alexander Schied
- 1305.5656 To the problem of turbulence in quantitative easing transmission channels and transactions network channels at quantitative easing policy implementation by central banks
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1305.5621 On a Heath-Jarrow-Morton approach for stock options
by Jan Kallsen & Paul Kruhner
- 1305.5575 Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios
by Lijun Bo & Agostino Capponi
- 1305.5373 Mathematical Analysis of Money in the Scope of Austerity
by Peter Stallinga
- 1305.5238 Risk Measure Estimation On Fiegarch Processes
by Taiane S. Prass & S'ilvia R. C. Lopes
- 1305.5220 Pricing bonds with optional sinking feature using Markov Decision Processes
by Jan-Frederik Mai & Marc Wittlinger
- 1305.4879 Reducing the debt : is it optimal to outsource an investment?
by Gilles Edouard Espinosa & Caroline Hillairet & Benjamin Jourdain & Monique Pontier
- 1305.4874 The Query Complexity of Correlated Equilibria
by Sergiu Hart & Noam Nisan
- 1305.4719 Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model
by Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e
- 1305.4321 Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes
by Helin Zhu & Fan Ye & Enlu Zhou
- 1305.4173 A Model for Stock Returns and Volatility
by Tao Ma & R. A. Serota
- 1305.4132 Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE
by Jacek Jakubowski & Mariusz Niewk{e}g{l}owski
- 1305.4078 Economics 2.0: The Natural Step towards A Self-Regulating, Participatory Market Society
by Dirk Helbing
- 1305.4013 A market impact game under transient price impact
by Alexander Schied & Tao Zhang
- 1305.3988 A First-Order BSPDE for Swing Option Pricing
by Christian Bender & Nikolai Dokuchaev
- 1305.3433 Monte Carlo approximation to optimal investment
by L C G Rogers & Pawel Zaczkowski
- 1305.3243 Scaling symmetry, renormalization, and time series modeling
by Marco Zamparo & Fulvio Baldovin & Michele Caraglio & Attilio L. Stella
- 1305.3184 Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm
by Tetsuya Takaishi
- 1305.2824 The Statistical and Econometric Analysis of Asylum Application Trends and their relationship to GDP in the EEA
by Gerard Keogh
- 1305.2716 Ergodic transition in a simple model of the continuous double auction
by Tijana Radivojevi'c & Jonatha Anselmi & Enrico Scalas
- 1305.2693 Markov switching quadratic term structure models
by St'ephane Goutte
- 1305.2655 An Exactly Solvable Discrete Stochastic Process with Correlated Properties
by Jongwook Kim & Junghyo Jo
- 1305.2271 On the Lebesgue Property of Monotone Convex Functions
by Keita Owari
- 1305.2263 Direct Evidence for Synchronization in Japanese Business Cycle
by Yuichi Ikeda & Hideaki Aoyama & Hiroshi Iyetomi & Hiroshi Yoshikawa
- 1305.2151 A comparison of techniques for dynamic multivariate risk measures
by Zachary Feinstein & Birgit Rudloff
- 1305.2121 Statistical Mechanics of Competitive Resource Allocation using Agent-based Models
by Anirban Chakraborti & Damien Challet & Arnab Chatterjee & Matteo Marsili & Yi-Cheng Zhang & Bikas K. Chakrabarti
- 1305.1868 A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation
by Jiang-Lun Wu & Wei Yang
- 1305.1747 Optimal dividend problem for a generalized compound Poisson risk model
by Chuancun Yin
- 1305.1559 Are Financial Markets an aspect of Quantum World?
by Ovidiu Racorean
- 1305.0794 The Effect of Growth On Equality in Models of the Economy
by Kang Liu & N. Lubbers & W. Klein & J. Tobochnik & B. Boghosian & Harvey Gould
- 1305.0768 Kinetic exchange models: From molecular physics to social science
by Marco Patriarca & Anirban Chakraborti
- 1305.0741 Delusions of Success: Comment on Dan Lovallo and Daniel Kahneman
by Bent Flyvbjerg
- 1305.0639 Exact record and order statistics of random walks via first-passage ideas
by Gregory Schehr & Satya N. Majumdar
- 1305.0479 A robust tree method for pricing American options with CIR stochastic interest rate
by Elisa Appolloni & Lucia Caramellino & Antonino Zanette
- 1305.0436 Multivariate high-frequency financial data via semi-Markov processes
by Guglielmo D'Amico & Filippo Petroni
- 1305.0413 Permanent market impact can be nonlinear
by Olivier Gu'eant
- 1305.0239 Uncovering the network structure of the world currency market: Cross-correlations in the fluctuations of daily exchange rates
by Sitabhra Sinha & Uday Kovur
- 1305.0144 Relative Robust Portfolio Optimization
by Raphael Hauser & Vijay Krishnamurthy & Reha Tutuncu
- 1305.0105 Semi Markov model for market microstructure
by Pietro Fodra & Huy^en Pham
- 1305.0101 Bubbles are rational
by Pierre Lescanne
- 1305.0040 A note on replicating a CDS through a repo and an asset swap
by Lorenzo Giada & Claudio Nordio
- 1304.7934 Maximum Lebesgue Extension of Monotone Convex Functions
by Keita Owari
- 1304.7882 Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion
by Qian Zhao & Jiaqin Wei & Rongming Wang
- 1304.7878 On the Dividend Strategies with Non-Exponential Discounting
by Qian Zhao & Jiaqin Wei & Rongming Wang
- 1304.7563 Pricing TARN Using a Finite Difference Method
by Xiaolin Luo & Pavel Shevchenko
- 1304.7562 Balancing small fixed and proportional transaction cost in trading strategies
by Jose V. Alcala & Arash Fahim
- 1304.7535 Elasticity theory of structuring
by Andrei N. Soklakov
- 1304.7533 Deriving Derivatives
by Andrei N. Soklakov
- 1304.7330 Government Solvency, Austerity and Fiscal Consolidation in the OECD: A Keynesian Appraisal of Transversality and No Ponzi Game Conditions
by Karim Azizi & Nicolas Canry & Jean-Bernard Chatelain & Bruno Tinel
- 1304.6846 Time-independent pricing of options in range bound markets
by Ovidiu Racorean
- 1304.6819 A Fokker-Planck description for the queue dynamics of large tick stocks
by A. Gareche & G. Disdier & J. Kockelkoren & J. -P. Bouchaud
- 1304.6165 Hedging in bond markets by the Clark-Ocone formula
by Nicolas Privault & Timothy Robin Teng
- 1304.6116 Selling Multiple Correlated Goods: Revenue Maximization and Menu-Size Complexity (old title: "The Menu-Size Complexity of Auctions")
by Sergiu Hart & Noam Nisan
- 1304.6006 Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market
by Tetsuya Takaishi & Ting Ting Chen & Zeyu Zheng
- 1304.5962 The pricing formula for cancellable European options
by Hsuan-Ku Liu
- 1304.5380 Survey data and Bayesian analysis: a cost-efficient way to estimate customer equity
by Juha Karvanen & Ari Rantanen & Lasse Luoma
- 1304.5337 The Convexity of the Free Boundary for the American put option
by Hsuan-Ku Liu
- 1304.5156 Option pricing, Bayes risks and Applications
by Yannis G. Yatracos
- 1304.5130 Non-Stationarity in Financial Time Series and Generic Features
by Thilo A. Schmitt & Desislava Chetalova & Rudi Schafer & Thomas Guhr
- 1304.5065 Central Clearing of OTC Derivatives: bilateral vs multilateral netting
by Rama Cont & Thomas Kokholm
- 1304.5040 Dynamic robust duality in utility maximization
by Bernt {O}ksendal & Agn`es Sulem
- 1304.4995 Schr\"odinger group and quantum finance
by Juan M. Romero & Ulises Lavana & Elio Mart'inez
- 1304.4929 A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role
by Yannis G. Yatracos
- 1304.4853 Risk measures for processes and BSDEs
by Irina Penner & Anthony Reveillac
- 1304.4852 Firm's Information Environment and Stock Liquidity : Evidence from Tunisian Context
by Nadia Loukil & Ouidad Yousfi
- 1304.4807 On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems
by Dimitri O. Ledenyov & Viktor O. Ledenyov
- 1304.4690 On option pricing in illiquid markets with jumps
by Youssef El-Khatib & Abdulnasser Hatemi-J
- 1304.4688 On the pricing and hedging of options for highly volatile periods
by Youssef El-Khatib & Abdulnasser Hatemi-J
- 1304.4623 Cubature on Wiener space: pathwise convergence
by Christian Bayer & Peter K. Friz
- 1304.4590 Double Whammy - How ICT Projects are Fooled by Randomness and Screwed by Political Intent
by Alexander Budzier & Bent Flyvbjerg
- 1304.4534 A variation of the Canadisation algorithm for the pricing of American options driven by L\'evy processes
by Florian Kleinert & Kees van Schaik
- 1304.4525 Overspend? Late? Failure? What the Data Say About IT Project Risk in the Public Sector
by Alexander Budzier & Bent Flyvbjerg
- 1304.4476 What Causes Cost Overrun in Transport Infrastructure Projects?"
by Bent Flyvbjerg & Mette K. Skamris Holm & S{o}ren L. Buhl
- 1304.4311 A Model for Scaling in Firms' Size and Growth Rate Distribution
by Cornelia Metzig & Mirta B. Gordon
- 1304.3969 Post-Selection Inference for Generalized Linear Models with Many Controls
by Alexandre Belloni & Victor Chernozhukov & Ying Wei
- 1304.3824 Pricing and Valuation under the Real-World Measure
by Gabriel Frahm
- 1304.3814 Measuring the default risk of sovereign debt from the perspective of network
by Hongwei Chuang & Hwai-Chung Ho
- 1304.3722 Hierarchy of Frustrations as Supplementary Indices in Complex System Dynamics, Applied to the U.S. Intermarket
by Krzysztof Sokalski
- 1304.3602 An age structured demographic theory of technological change
by J. -F. Mercure
- 1304.3574 Hedging of Game Options under Model Uncertainty in Discrete Time
by Yan Dolinsky
- 1304.3516 Existence of an endogenously complete equilibrium driven by a diffusion
by Dmitry Kramkov
- 1304.3350 Return on net sales from three companies in the manufacturing of fabricated metal products (except machinery and equipment)
by Marta Tomczak & Anna Ziolkowska & Martyna Rosik
- 1304.3284 Existence and uniqueness of Arrow-Debreu equilibria with consumptions in $\mathbf{L}^0_+$
by Dmitry Kramkov
- 1304.3252 Jan Tinbergen's legacy for economic networks: from the gravity model to quantum statistics
by Tiziano Squartini & Diego Garlaschelli
- 1304.3159 Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials
by Andrey Itkin
- 1304.3135 Maximizing Matching in Double-sided Auctions
by Jinzhong Niu & Simon Parsons
- 1304.2942 Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions
by Damiano Brigo & Giuseppe Di Graziano
- 1304.2141 Robust price bounds for the forward starting straddle
by David Hobson & Martin Klimmek
- 1304.2069 Robustification of Elliott's on-line EM algorithm for HMMs
by Christina Erlwein & Peter Ruckdeschel
- 1304.1999 Mirror and Synchronous Couplings of Geometric Brownian Motions
by Saul D. Jacka & Aleksandar Mijatovic & Dejan Siraj
- 1304.1940 Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims
by Lingjiong Zhu
- 1304.1849 Pricing approximations and error estimates for local L\'evy-type models with default
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci
- 1304.1821 Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
by H. Huang & M. A. Milevsky & T. S. Salisbury
- 1304.1783 A convolution method for numerical solution of backward stochastic differential equations
by Cody Blaine Hyndman & Polynice Oyono Ngou
- 1304.1665 Why Mass Media Matter to Planning Research: The Case of Megaprojects
by Bent Flyvbjerg
- 1304.1420 Fluctuation Analysis for the Loss From Default
by Konstantinos Spiliopoulos & Justin A. Sirignano & Kay Giesecke
- 1304.1397 Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs
by Andrea Pallavicini & Damiano Brigo
- 1304.1186 Five Misunderstandings About Case-Study Research
by Bent Flyvbjerg
- 1304.0923 Information, no-arbitrage and completeness for asset price models with a change point
by Claudio Fontana & Zorana Grbac & Monique Jeanblanc & Qinghua Li
- 1304.0718 A Peer-based Model of Fat-tailed Outcomes
by Ben Klemens
- 1304.0490 Premiums And Reserves, Adjusted By Distortions
by Alois Pichler
- 1304.0368 An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals
by Jan Ob{l}'oj & Peter Spoida
- 1304.0353 An Information-Theoretic Test for Dependence with an Application to the Temporal Structure of Stock Returns
by Galen Sher & Pedro Vitoria
- 1304.0282 Uniform Post Selection Inference for LAD Regression and Other Z-estimation problems
by Alexandre Belloni & Victor Chernozhukov & Kengo Kato
- 1304.0265 Why Your IT Project Might Be Riskier Than You Think
by Bent Flyvbjerg & Alexander Budzier
- 1304.0212 Do wealth distributions follow power laws? Evidence from "rich lists"
by Michal Brzezinski
- 1303.7445 Agent-based modeling of a price information trading business
by Saad Ahmad Khan & Ladislau Boloni
- 1303.7405 How Planners Deal with Uncomfortable Knowledge: The Dubious Ethics of the American Planning Association
by Bent Flyvbjerg
- 1303.7404 Megaprojects and Risk: An Anatomy of Ambition
by Bent Flyvbjerg & Nils Bruzelius & Werner Rothengatter
- 1303.7403 Delusion and Deception in Large Infrastructure Projects: Two Models for Explaining and Preventing Executive Disaster
by Bent Flyvbjerg & Massimo Garbuio & Dan Lovallo
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