Report NEP-UPT-2012-02-15This is the archive for NEP-UPT, a report on new working papers in the area of Utility Models & Prospect Theory. Alexander Harin issued this report. It is usually issued weekly.
The following items were announced in this report:
- Jongwook Kim & Gabjin Oh, 2012. "Heavy-tail driven by memory," Papers 1201.5690, arXiv.org, revised May 2013.
- Dario Caldara & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Yao Wen, 2012. "Computing DSGE models with recursive preferences and stochastic volatility," Finance and Economics Discussion Series 2012-04, Board of Governors of the Federal Reserve System (U.S.).
- Anita Mehta, 2012. "Predatory trading and risk minimisation: how to (b)eat the competition," Papers 1202.1374, arXiv.org.
- Zorana Grbac & Antonis Papapantoleon, 2012. "A tractable LIBOR model with default risk," Papers 1202.0587, arXiv.org, revised Oct 2012.