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Content
2014
- 1412.5558 Backtest of Trading Systems on Candle Charts
by Stanislaus Maier-Paape & Andreas Platen
- 1412.5520 Indifference prices and implied volatilities
by Matthew Lorig
- 1412.5452 Aggregation operators for the measurement of systemic risk
by Jozsef Mezei & Peter Sarlin
- 1412.5397 Comprehensive Time-Series Regression Models Using GRETL -- U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013
by Juehui Shi
- 1412.5351 A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models
by Galina Andreeva & Raffaella Calabrese & Silvia Angela Osmetti
- 1412.5332 Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning
by Chris Kenyon & Andrew Green
- 1412.5072 Convenient liquidity measure for Financial markets
by Oleh Danyliv & Bruce Bland & Daniel Nicholass
- 1412.4839 Optimal execution with nonlinear transient market impact
by Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo
- 1412.4698 Conditional Analysis and a Principal-Agent problem
by Julio Backhoff & Ulrich Horst
- 1412.4695 On Pareto theory of circulation of elites
by Ricardo P'erez-Marco
- 1412.4503 A Million Metaorder Analysis of Market Impact on the Bitcoin
by Jonathan Donier & Julius Bonart
- 1412.4428 Nonparametric Stochastic Discount Factor Decomposition
by Timothy Christensen
- 1412.4342 Russian-Doll Risk Models
by Zura Kakushadze
- 1412.4208 Equilibrium in risk-sharing games
by Michail Anthropelos & Constantinos Kardaras
- 1412.4045 Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$
by Denis Belomestny & Tigran Nagapetyan
- 1412.3948 Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics
by Gabriele Ranco & Ilaria Bordino & Giacomo Bormetti & Guido Caldarelli & Fabrizio Lillo & Michele Treccani
- 1412.3623 Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model
by Q. Feng & C. W. Oosterlee
- 1412.3530 Optimal martingale transport between radially symmetric marginals in general dimensions
by Tongseok Lim
- 1412.3230 Max-factor individual risk models with application to credit portfolios
by Michel Denuit & Anna Kiriliouk & Johan Segers
- 1412.3140 Multilevel approximation of backward stochastic differential equations
by Dirk Becherer & Plamen Turkedjiev
- 1412.3126 Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets
by Omar Rojas & Carlos Trejo-Pech
- 1412.2746 Taxation as an instrument of stimulation of innovation-active business entities
by Andrey Nechaev
- 1412.2453 A BSDE approach to fair bilateral pricing under endogenous collateralization
by Tianyang Nie & Marek Rutkowski
- 1412.2399 Modellierungskonzepte der Synergetik und der Theorie der Selbstorganisation
by Werner Ebeling & Andrea Scharnhorst
- 1412.2262 Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
by Erhan Bayraktar & David Promislow & Virginia Young
- 1412.2152 Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate
by Elia Zarinelli & Michele Treccani & J. Doyne Farmer & Fabrizio Lillo
- 1412.2124 Competition of Commodities for the Status of Money in an Agent-based Model
by Robert Gk{e}barowski & Stanis{l}aw Dro.zd.z & Andrzej Z. G'orski & Pawe{l} O'swik{e}cimka
- 1412.2053 Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games
by Erhan Bayraktar & Song Yao
- 1412.1991 Reserve-Dependent Surrender
by Kamille Sofie T{aa}gholt Gad & Jeppe Juhl & Mogens Steffensen
- 1412.1679 Stess-testing the system: Financial shock contagion in the realm of uncertainty
by Stefano Gurciullo
- 1412.1618 Spanning trees of the World Trade Web: real-world data and the gravity model of trade
by Patryk Skowron & Mariusz Karpiarz & Agata Fronczak & Piotr Fronczak
- 1412.1469 A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding
by Giovanni Mottola
- 1412.1429 Model-Independent Pricing of Asian Options via Optimal Martingale Transport
by Florian Stebegg
- 1412.1325 Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA
by Giovanni Mottola
- 1412.1298 Gas Storage valuation with regime switching
by Nicole Bauerle & Viola Riess
- 1412.1293 Skewness and kurtosis analysis for non-Gaussian distributions
by Ahmet Celikoglu & Ugur Tirnakli
- 1412.1183 Regulatory Capital Modelling for Credit Risk
by Marek Rutkowski & Silvio Tarca
- 1412.0950 Firm size distribution in Italy and employment protection
by Luca Amendola
- 1412.0542 Budget Imbalance Criteria for Auctions: A Formalized Theorem
by Marco B. Caminati & Manfred Kerber & Colin Rowat
- 1412.0217 Market impacts and the life cycle of investors orders
by Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle
- 1412.0148 The impact of startup costs and the grid operator on the power price equilibrium
by Miha Troha & Raphael Hauser
- 1412.0141 A fully consistent, minimal model for non-linear market impact
by Jonathan Donier & Julius Bonart & Iacopo Mastromatteo & Jean-Philippe Bouchaud
- 1412.0127 A biased view of a few possible components when reflecting on the present decade financial and economic crisis
by Marcel Ausloos
- 1412.0064 Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia
by Silvio Tarca & Marek Rutkowski
- 1412.0042 Misspecified Recovery
by Jaroslav Boroviv{c}ka & Lars Peter Hansen & Jos'e A. Scheinkman
- 1411.7991 Existence and Uniqueness of a Steady State for an OTC Market with Several Assets
by Alain Belanger & Ndoune Ndoune
- 1411.7880 Evidence of Economic Regularities and Disparities of Italian Regions From Aggregated Tax Income Size Data
by Roy Cerqueti & Marcel Ausloos
- 1411.7805 Improving predictability of time series using maximum entropy methods
by Gregor Chliamovitch & Alexandre Dupuis & Bastien Chopard & Anton Golub
- 1411.7670 Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line
by Erwan Pierre & St'ephane Villeneuve & Xavier Warin
- 1411.7653 Asymptotic behaviour of the fractional Heston model
by Hamza Guennoun & Antoine Jacquier & Patrick Roome & Fangwei Shi
- 1411.7613 Systemic risk analysis in reconstructed economic and financial networks
by Giulio Cimini & Tiziano Squartini & Diego Garlaschelli & Andrea Gabrielli
- 1411.7593 Indirect Influences in International Trade
by Rafael Diaz & Laura Gomez
- 1411.7502 Hydrodynamic limit of order book dynamics
by Xuefeng Gao & S. J. Deng
- 1411.7494 An Evolutionary Optimization Approach to Risk Parity Portfolio Selection
by Ronald Hochreiter
- 1411.7231 Risk-Sensitive Mean-Field Type Control under Partial Observation
by Boualem Djehiche & Hamidou Tembine
- 1411.6938 On Trading American Put Options with Interactive Volatility
by Sigurd Assing & Yufan Zhao
- 1411.6657 Risk minimization and portfolio diversification
by Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu
- 1411.6507 Inference in High Dimensional Panel Models with an Application to Gun Control
by Alexandre Belloni & Victor Chernozhukov & Christian Hansen & Damian Kozbur
- 1411.6256 Randomized versions of Mazur lemma and Krein-Smulian theorem
by Jose Miguel Zapata
- 1411.6250 Identification and Estimation of Multidimensional Screening
by Gaurab Aryal & Federico Zincenko
- 1411.6080 Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
by Tim Leung & Xin Li & Zheng Wang
- 1411.5625 Two maxentropic approaches to determine the probability density of compound risk losses
by Erika Gomes-Gonc{c}alves & Henryk Gzyl & Silvia Mayoral
- 1411.5453 Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization
by Xiaolin Luo & Pavel V. Shevchenko
- 1411.5159 Large deviations of the realized (co-)volatility vector
by Hac`ene Djellout & Arnaud Guillin & Yacouba Samoura
- 1411.5062 Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
by Tim Leung & Xin Li
- 1411.4970 Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines
by David Walsh-Jones & Daniel Jones & Christoph Reisinger
- 1411.4851 Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm
by Frank Gehmlich & Thorsten Schmidt
- 1411.4756 Diversification versus specialization -- lessons from a noise driven linear dynamical system
by Gabriell Mate & Zoltan Neda
- 1411.4633 Theories of Accounting: Evolution & Developments, Income-Determination and Diversities in Use
by Angus O. Unegbu
- 1411.4606 The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels
by Jihun Han & Hyungbin Park
- 1411.4441 On the Coherent Risk Measure Representations in the Discrete Probability Spaces
by Kerem Ugurlu
- 1411.4438 Solving finite time horizon Dynkin games by optimal switching
by Randall Martyr
- 1411.4265 Methodological thoughts on expected loss estimates for IFRS 9 impairment: hidden reserves, cyclical loss predictions and LGD backtesting
by Wolfgang Reitgruber
- 1411.4193 Characterization of Market Models in the Presence of Traded Vanilla and Barrier Options
by Peter Spoida
- 1411.3977 Multi-curve HJM modelling for risk management
by Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti
- 1411.3947 Incorporating Views on Market Dynamics in Options Hedging
by Antoine E. Zambelli
- 1411.3618 A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
by Ben Hambly & Matthieu Mariapragassam & Christoph Reisinger
- 1411.3615 Kelly criterion for variable pay-off
by Ricardo P'erez-Marco
- 1411.3399 Trend and Fractality Assessment of Mexico's Stock Exchange
by Javier Morales & V'ictor Tercero & Fernando Camacho & Eduardo Cordero & Luis L'opez & F-Javier Almaguer
- 1411.3078 Long Term Risk: A Martingale Approach
by Likuan Qin & Vadim Linetsky
- 1411.3075 Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing
by Likuan Qin & Vadim Linetsky
- 1411.2950 Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That
by Peter B. Lerner
- 1411.2835 A continuous auction model with insiders and random time of information release
by Jos'e Manuel Corcuera & Giulia Di Nunno & Gergely Farkas & Bernt {O}ksendal
- 1411.2701 Bootstrap Consistency for Quadratic Forms of Sample Averages with Increasing Dimension
by Demian Pouzo
- 1411.2675 Process-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems
by Jingnan Fan & Andrzej Ruszczynski
- 1411.2628 Exact solution of a generalized version of the Black-Scholes equation
by Liviu-Adrian Cotfas & Camelia Delcea & Nicolae Cotfas
- 1411.2525 Optimising Credit Portfolio Using a Quadratic Nonlinear Projection Method
by Boguk Kim & Chulwoo Han & Frank Chongwoo Park
- 1411.2395 Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary
by Giorgio Ferrari & Paavo Salminen
- 1411.2215 Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction
by Shingo Ichiki & Katsuhiro Nishinari
- 1411.2167 Comeback kids: an evolutionary approach of the long-run innovation process
by Shidong Wang & Renaud Foucart & Cheng Wan
- 1411.2153 Evolving intraday foreign exchange trading strategies utilizing multiple instruments price series
by Simone Cirillo & Stefan Lloyd & Peter Nordin
- 1411.2138 It's not the economy, stupid! How social capital and GDP relate to happiness over time
by Stefano Bartolini & Francesco Sarracino
- 1411.1929 A General Equilibrium Theorem for the Economy of Giving
by W. P. Weijland
- 1411.1924 On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets
by Daniel Wilson-Nunn & Hector Zenil
- 1411.1689 Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents
by Mateusz Denys & Tomasz Gubiec & Ryszard Kutner
- 1411.1624 General smile asymptotics with bounded maturity
by Francesco Caravenna & Jacopo Corbetta
- 1411.1609 On Stochastic Orders and its applications : Policy limits and Deductibles
by Halim Zeghdoudi & Meriem Bouhadjar & Mohamed Riad Remita
- 1411.1560 Income Distribution in the European Union Versus in the United States
by Maciej Jagielski & Rafa{l} Duczmal & Ryszard Kutner
- 1411.1368 Cooperation under Incomplete Information on the Discount Factors
by Cy Maor & Eilon Solan
- 1411.1356 Impact of credit default swaps on financial contagion
by Yoshiharu Maeno & Kenji Nishiguchi & Satoshi Morinaga & Hirokazu Matsushima
- 1411.1348 Modelling cross-border systemic risk in the European banking sector: a copula approach
by Raffaella Calabrese & Silvia Osmetti
- 1411.1229 Super-replication with nonlinear transaction costs and volatility uncertainty
by Peter Bank & Yan Dolinsky & Selim Gokay
- 1411.1152 Berk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified Models
by Ignacio Esponda & Demian Pouzo
- 1411.1144 Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models
by Xiaohong Chen & Demian Pouzo
- 1411.1103 Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics
by Mauricio Junca & Rafael Serrano
- 1411.0849 Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations
by Nicole Bauerle & Igor Gilitschenski & Uwe D. Hanebeck
- 1411.0570 Incorporating Views on Marginal Distributions in the Calibration of Risk Models
by Santanu Dey & Sandeep Juneja & Karthyek R. A. Murthy
- 1411.0496 Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
by Ladislav Kristoufek
- 1411.0426 Risk measures with the CxLS property
by Freddy Delbaen & Fabio Bellini & Valeria Bignozzi & Johanna F. Ziegel
- 1410.8671 Risk in a large claims insurance market with bipartite graph structure
by Oliver Kley & Claudia Kluppelberg & Gesine Reinert
- 1410.8609 Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy
by Xiaolin Luo & Pavel Shevchenko
- 1410.8595 A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations
by Polynice Oyono Ngou & Cody Hyndman
- 1410.8504 The Model Confidence Set package for R
by Mauro Bernardi & Leopoldo Catania
- 1410.8432 Cycling in stochastic general equilibrium
by Zhijian Wang & Bin Xu
- 1410.8427 When does the stock market listen to economic news? New evidence from copulas and news wires
by Ivan Medovikov
- 1410.8409 Optimal Allocation of Trend Following Strategies
by Denis S. Grebenkov & Jeremy Serror
- 1410.8224 Efficient price dynamics in a limit order market: an utility indifference approach
by Masaaki Fukasawa
- 1410.8160 Pricing and Hedging Long-Term Options
by Hyungbin Park
- 1410.8042 Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending
by Vladimir Dombrovskii & Tatyana Obedko
- 1410.7961 Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis
by Hao-Che Chen
- 1410.7845 A new multivariate dependence measure based on comonotonicity
by Ying Zhang & Chuancun Yin
- 1410.7799 Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window
by Luca Onorante & Adrian E. Raftery
- 1410.7453 GMWB Riders in a Binomial Framework - Pricing, Hedging, and Diversification of Mortality Risk
by Cody B. Hyndman & Menachem Wenger
- 1410.7317 Continuous time analysis of fleeting discrete price moves
by Neil Shephard & Justin J. Yang
- 1410.7316 Randomisation and recursion methods for mixed-exponential Levy models, with financial applications
by Aleksandar Mijatovic & Martijn Pistorius & Johannes Stolte
- 1410.7206 Large-Maturity Regimes of the Heston Forward Smile
by Antoine Jacquier & Patrick Roome
- 1410.6898 Are news important to predict large losses?
by Mauro Bernardi & Leopoldo Catania & Lea Petrella
- 1410.6841 qGaussian model of default
by Yuri A. Katz
- 1410.6646 Stock fluctuations are correlated and amplified across networks of interlocking directorates
by Serguei Saavedra & Luis J. Gilarranz & Rudolf P. Rohr & Michael Schnabel & Brian Uzzi & Jordi Bascompte
- 1410.6408 Asset Pricing in an Imperfect World
by Gianluca Cassese
- 1410.6321 Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates
by Beata Stehlikova
- 1410.6150 Pricing of European Basket Call Option under Exponential Ornstein-Uhlenbeck Process
by Jingwei Liu & Jiwen Luo & Xing Chen
- 1410.6144 Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
by Dmitry Kramkov & Sergio Pulido
- 1410.6084 Fiscal stimulus as an optimal control problem
by Philip A. Ernst & Michael B. Imerman & Larry Shepp & Quan Zhou
- 1410.6005 The non-linear trade-off between return and risk: a regime-switching multi-factor framework
by John Cotter & Enrique Salvador
- 1410.5996 Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem
by Vladimir V'yugin
- 1410.5955 Recombining binomial tree for constant elasticity of variance process
by Hi Jun Choe & Jeong Ho Chu & So Jeong Shin
- 1410.5787 The Precautionary Principle (with Application to the Genetic Modification of Organisms)
by Nassim Nicholas Taleb & Rupert Read & Raphael Douady & Joseph Norman & Yaneer Bar-Yam
- 1410.5621 Risk diversification: a study of persistence with a filtered correlation-network approach
by Nicol'o Musmeci & Tomaso Aste & Tiziana Di Matteo
- 1410.5513 4-Factor Model for Overnight Returns
by Zura Kakushadze
- 1410.5466 Conditional Preference Orders and their Numerical Representations
by Samuel Drapeau & Asgar Jamneshan
- 1410.5328 Portfolio Selection with Multiple Spectral Risk Constraints
by Carlos Abad & Garud Iyengar
- 1410.5068 RHOMOLO: A Dynamic Spatial General Equilibrium Model for Assessing the Impact of Cohesion Policy
by Andries Brandsma & d'Artis Kancs & Philippe Monfort & Alexandra Rillaers
- 1410.4962 Robust Fundamental Theorem for Continuous Processes
by Sara Biagini & Bruno Bouchard & Constantinos Kardaras & Marcel Nutz
- 1410.4922 Assessing the Inequalities of Wealth in Regions: the Italian Case
by Roy Cerqueti & Marcel Ausloos
- 1410.4866 A polynomial distribution applied to income and wealth distribution
by Elvis Oltean & Fedor Kusmartsev
- 1410.4847 Impact of shadow banks on financial contagion
by Yoshiharu Maeno & Kenji Nishiguchi & Satoshi Morinaga & Hirokazu Matsushima
- 1410.4807 Banach geometry of arbitrage free markets
by A. V. Lebedev & P. P. Zabreiko
- 1410.4694 Global Value Trees
by Zhen Zhu & Michelangelo Puliga & Federica Cerina & Alessandro Chessa & Massimo Riccaboni
- 1410.4382 Verification of internal risk measure estimates
by Mark H. A. Davis
- 1410.3865 A statistical physics analysis of expenditure in the UK
by Elvis Oltean & Fedor Kusmartsev
- 1410.3860 An econophysical approach of polynomial distribution applied to income and expenditure
by Elvis Oltean
- 1410.3851 An Econophysical dynamical approach of expenditure and income distribution in the UK
by Elvis Oltean & Fedor Kusmartsev
- 1410.3811 Applications of statistical physics distributions to several types of income
by Elvis Oltean & Fedor V. Kusmartsev
- 1410.3793 Optimal dividend payment under time of ruin contraint: Exponential case
by Camilo Hernandez & Mauricio Junca
- 1410.3394 Volatility is rough
by Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum
- 1410.3128 A study of Methods from Statistical Mechanics applied to income distribution
by Elvis Oltean & Fedor Kusmartsev
- 1410.2976 Arbitrage theory without a num\'eraire
by Michael R. Tehranchi
- 1410.2890 Benford's law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions
by Tariq Ahmad Mir & Marcel Ausloos & Roy Cerqueti
- 1410.2570 Optimal Monitoring and Mitigation of Systemic Risk in Financial Networks
by Zhang Li & Xiaojun Lin & Borja Peleato-Inarrea & Ilya Pollak
- 1410.2550 Communication impacting financial markets
by Jorgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam
- 1410.2549 Propagation of Systemic Risk in Interbank Networks
by Vanessa Hoffmann de Quadros & Juan Carlos Gonz'alez-Avella & Jos'e Roberto Iglesias
- 1410.2282 Ross Recovery with Recurrent and Transient Processes
by Hyungbin Park
- 1410.2121 Reconstructing topological properties of complex networks using the fitness model
by Giulio Cimini & Tiziano Squartini & Nicol`o Musmeci & Michelangelo Puliga & Andrea Gabrielli & Diego Garlaschelli & Stefano Battiston & Guido Caldarelli
- 1410.2034 An initial approach to Risk Management of Funding Costs
by Damiano Brigo & Cyril Durand
- 1410.1664 Tug-of-war, market manipulation and option pricing
by Kaj Nystrom & Mikko Parviainen
- 1410.1611 Path Integral and Asset Pricing
by Zura Kakushadze
- 1410.1481 Optimal execution of ASR contracts with fixed notional
by Olivier Gu'eant
- 1410.1426 On volatility smile and an investment strategy with out-of-the-money calls
by Jarno Talponen
- 1410.1287 Rationality parameter for exercising American put
by K. Gad & J. L. Pedersen
- 1410.1220 Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
by Cody Hyndman & Xinghua Zhou
- 1410.1136 Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control
by Vladimir Dombrovskii & Tatyana Obyedko
- 1410.1101 Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
by Rodrigo S. Targino & Gareth W. Peters & Pavel V. Shevchenko
- 1410.0991 Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
by Wanyang Dai
- 1410.0946 An expansion in the model space in the context of utility maximization
by Kasper Larsen & Oleksii Mostovyi & Gordan v{Z}itkovi'c
- 1410.0915 Stability of Utility Maximization in Nonequivalent Markets
by Kim Weston
- 1410.0852 A General Duality Relation with Applications in Quantitative Risk Management
by Raphael Hauser & Sergey Shahverdyan & Paul Embrechts
- 1410.0673 Fair bilateral prices in Bergman's model
by Tianyang Nie & Marek Rutkowski
- 1410.0594 Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA
by Giovanni Mottola
- 1410.0448 Fair and profitable bilateral prices under funding costs and collateralization
by Tianyang Nie & Marek Rutkowski
- 1410.0384 Indifference pricing for Contingent Claims: Large Deviations Effects
by Scott Robertson & Konstantinos Spiliopoulos
- 1410.0249 On the convergence of the Fitness-Complexity Algorithm
by Emanuele Pugliese & Andrea Zaccaria & Luciano Pietronero
- 1410.0125 Systemic Interbank Network Risks in Russia
by A. V. Leonidov & E. L. Rumyantsev
- 1410.0112 The Fourier estimation method with positive semi-definite estimators
by Jir^o Akahori & Nien-Lin Liu & Maria Elvira Mancino & Yukie Yasuda
- 1410.0104 Classical mechanics of economic networks
by Nima Dehmamy & Sergey V. Buldyrev & Shlomo Havlin & H. Eugene Stanley & Irena Vodenska
- 1409.8609 Time Evolution of Non-linear Currency Networks
by Pawe{l} Fiedor & Artur Ho{l}da
- 1409.8528 Tax Compliance and Public Goods Provision -- An Agent-based Econophysics Approach
by S. Hokamp & G. Seibold
- 1409.8497 Apparent impact: the hidden cost of one-shot trades
by Iacopo Mastromatteo
- 1409.8321 Sudden Trust Collapse in Networked Societies
by Jo~ao da Gama Batista & Jean-Philippe Bouchaud & Damien Challet
- 1409.8269 Fact Sheet Research on Bayesian Decision Theory
by H. R. N. van Erp & R. O. Linger & P. H. A. J. M. van Gelder
- 1409.8150 Near-optimal estimation of jump activity in semimartingales
by Adam D. Bull
- 1409.8119 Scaling analysis of time series of daily prices from stock markets of transitional economies in the Western Balkans
by Darko Sarvan & Djordje Stratimirovic & Suzana Blesic & Vladimir Miljkovic
- 1409.8037 Multi-asset consumption-investment problems with infinite transaction costs
by David Hobson & Yeqi Zhu
- 1409.8030 Socio-economic inequalities: a statistical physics perspective
by Arnab Chatterjee
- 1409.8024 Herding interactions as an opportunity to prevent extreme events in financial markets
by Aleksejus Kononovicius & Vygintas Gontis
- 1409.7960 An $\alpha$-stable limit theorem under sublinear expectation
by Erhan Bayraktar & Alexander Munk
- 1409.7933 Parametric Risk Parity
by Lorenzo Mercuri & Edit Rroji
- 1409.7802 Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions
by Baojun Bian & Harry Zheng