Content
2016
- 1609.07472 Gated Neural Networks for Option Pricing: Rationality by Design
by Yongxin Yang & Yu Zheng & Timothy M. Hospedales - 1609.07051 Multivariate Garch with dynamic beta
by Matthias Raddant & Friedrich Wagner - 1609.06545 Data-driven nonlinear expectations for statistical uncertainty in decisions
by Samuel N. Cohen - 1609.05939 Crises and Physical Phases of a Bipartite Market Model
by Nima Dehmamy & Sergey Buldyrev & Shlomo Havlin & Harry Eugene Stanley & Irena Vodenska - 1609.05865 Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
by Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap - 1609.05832 Bounds for VIX Futures given S&P 500 Smiles
by Julien Guyon & Romain Menegaux & Marcel Nutz - 1609.05523 Static vs adapted optimal execution strategies in two benchmark trading models
by Damiano Brigo & Clement Piat - 1609.05475 Replica Analysis for the Duality of the Portfolio Optimization Problem
by Takashi Shinzato - 1609.05394 Predicting Future Shanghai Stock Market Price using ANN in the Period 21-Sep-2016 to 11-Oct-2016
by Barack Wamkaya Wanjawa - 1609.05286 From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes
by Christof Henkel - 1609.05200 Chinese Medical Device Market and The Investment Vector
by Weifan Zhang & Rebecca Liu & Chris Chatwin - 1609.05177 The microstructural foundations of leverage effect and rough volatility
by El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu - 1609.05056 Copula-Based Univariate Time Series Structural Shift Identification Test
by Henry Penikas - 1609.05055 A Simple Model of Credit Expansion
by Alexander Smirnov - 1609.04956 Export dynamics as an optimal growth problem in the network of global economy
by Michele Caraglio & Fulvio Baldovin & Attilio L. Stella - 1609.04944 Spatial firm competition in two dimensions with linear transportation costs: simulations and analytical results
by Alan Roncoroni & Matus Medo - 1609.04907 Asset Pricing in a Semi-Markov Modulated Market with Time-dependent Volatility
by Tanmay S. Patankar - 1609.04890 Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Model
by Shanshan Wang & Thomas Guhr - 1609.04640 Statistically validated lead-lag networks and inventory prediction in the foreign exchange market
by Damien Challet & R'emy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis - 1609.04629 Institutionalization in Efficient Markets: The Case of Price Bubbles
by Sheen S. Levine & Edward J. Zajac - 1609.04620 Price impact without order book: A study of the OTC credit index market
by Zoltan Eisler & Jean-Philippe Bouchaud - 1609.04529 The joint distributions of running maximum of a Slepian processes
by Pingjin Deng - 1609.04199 Entropy and efficiency of the ETF market
by Lucio Maria Calcagnile & Fulvio Corsi & Stefano Marmi - 1609.04065 Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
by Jonathan Yu-Meng Li - 1609.03996 SEAL's operating manual: a Spatially-bounded Economic Agent-based Lab
by Bernardo Alves Furtado & Isaque Daniel Rocha Eberhardt & Alexandre Messa - 1609.03471 The Informational Content of the Limit Order Book: An Empirical Study of Prediction Markets
by Joachim R. Groeger - 1609.03344 Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression
by Ning Xu & Jian Hong & Timothy C. G. Fisher - 1609.03223 The Solution to Science's Replication Crisis
by Bruce Knuteson - 1609.03167 Model Selection for Treatment Choice: Penalized Welfare Maximization
by Eric Mbakop & Max Tabord-Meehan - 1609.03029 Covariance of random stock prices in the Stochastic Dividend Discount Model
by Arianna Agosto & Alessandra Mainini & Enrico Moretto - 1609.02867 Canonical Supermartingale Couplings
by Marcel Nutz & Florian Stebegg - 1609.02774 Value at risk and the diversification dogma
by Arturo Erdely - 1609.02395 Dissecting cross-impact on stock markets: An empirical analysis
by Michael Benzaquen & Iacopo Mastromatteo & Zoltan Eisler & Jean-Philippe Bouchaud - 1609.02369 Stochastic Tail Exponent For Asymmetric Power Laws
by Nassim Nicholas Taleb - 1609.02354 Generalized Autoregressive Score Models in R: The GAS Package
by David Ardia & Kris Boudt & Leopoldo Catania - 1609.02349 A superhedging approach to stochastic integration
by Rafa{l} M. {L}ochowski & Nicolas Perkowski & David J. Promel - 1609.02334 The interaction between trade and FDI: the CEE countries experience
by Claudiu Tiberiu Albulescu & Daniel Goyeau - 1609.02108 The characteristic function of rough Heston models
by Omar El Euch & Mathieu Rosenbaum - 1609.01900 The loss of interest for the euro in Romania
by Claudiu Albulescu & Dominique P'epin - 1609.01655 The dividend problem with a finite horizon
by Tiziano De Angelis & Erik Ekstrom - 1609.01621 Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets
by David Criens - 1609.01274 Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory
by Ravi Kashyap - 1609.00987 Non-Gaussian analytic option pricing: a closed formula for the L\'evy-stable model
by Jean-Philippe Aguilar & Cyril Coste & Jan Korbel - 1609.00926 Multivariate Mixed Tempered Stable Distribution
by Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji - 1609.00869 Determining Optimal Stop-Loss Thresholds via Bayesian Analysis of Drawdown Distributions
by Antoine Emil Zambelli - 1609.00819 Option-Based Pricing of Wrong Way Risk for CVA
by Chris Kenyon & Andrew Green - 1609.00702 Numerical solution of a semilinear parabolic degenerate Hamilton-Jacobi-Bellman equation with singularity
by Mourad Lazgham - 1609.00599 Optimal Execution in a Multiplayer Model of Transient Price Impact
by Elias Strehle - 1609.00554 On Jensen's inequality for generalized Choquet integral with an application to risk aversion
by Wioletta Szeligowska & Marek Kaluszka - 1609.00415 Does Infrastructure Investment Lead to Economic Growth or Economic Fragility? Evidence from China
by Atif Ansar & Bent Flyvbjerg & Alexander Budzier & Daniel Lunn - 1609.00232 An adjoint method for the exact calibration of Stochastic Local Volatility models
by Maarten Wyns & Karel in 't Hout - 1608.08582 Discrete hierarchy of sizes and performances in the exchange-traded fund universe
by Benjamin Vandermarliere & Jan Ryckebusch & Koen Schoors & Peter Cauwels & Didier Sornette - 1608.08490 Multi-period investment strategies under Cumulative Prospect Theory
by Liurui Deng & Traian A. Pirvu - 1608.08468 Sparse Bayesian time-varying covariance estimation in many dimensions
by Gregor Kastner - 1608.08283 Risk measures and Margining control
by Giuseppe Carlo Calafiore & Leonardo Massai - 1608.08268 On the Market-Neutrality of Optimal Pairs-Trading Strategies
by Bahman Angoshtari - 1608.08210 What is the Contribution of Intra-household Inequality to Overall Income Inequality? Evidence from Global Data, 1973-2013
by Deepak Malghan & Hema Swaminathan - 1608.07901 Networks: An Economic Perspective
by Matthew O. Jackson & Brian W. Rogers & Yves Zenou - 1608.07863 Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential L\'evy models With Local Volatility
by Jos'e E. Figueroa-L'opez & Ruoting Gong & Matthew Lorig - 1608.07831 Rethinking Financial Contagion
by Gabriele Visentin & Stefano Battiston & Marco D'Errico - 1608.07796 Causality and Correlations between BSE and NYSE indexes: A Janus Faced Relationship
by Neeraj & Prasanta K. Panigrahi - 1608.07752 Financial Market Dynamics: Superdiffusive or not?
by Sandhya Devi - 1608.07694 Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach
by Mansooreh Kazemilari & Maman Abdurachman Djauhari & Zuhaimy Ismail - 1608.07226 Unit-linked life insurance policies: optimal hedging in partially observable market models
by Claudia Ceci & Katia Colaneri & Alessandra Cretarola - 1608.07193 Quantile Dependence between Stock Markets and its Application in Volatility Forecasting
by Heejoon Han - 1608.07158 The randomised Heston model
by Antoine Jacquier & Fangwei Shi - 1608.06959 Strategic Growth with Recursive Preferences: Decreasing Marginal Impatience
by Luis Alcala & Fernando Tohme & Carlos Dabus - 1608.06781 Fractal approach towards power-law coherency to measure cross-correlations between time series
by Ladislav Kristoufek - 1608.06416 RELARM: A rating model based on relative PCA attributes and k-means clustering
by Elnura Irmatova - 1608.06376 L\'evy-Vasicek Models and the Long-Bond Return Process
by Dorje C. Brody & Lane P. Hughston & David M. Meier - 1608.06121 Volatility and Arbitrage
by E. Robert Fernholz & Ioannis Karatzas & Johannes Ruf - 1608.06076 New economic windows on income and wealth: The k-generalized family of distributions
by F. Clementi & M. Gallegati - 1608.06045 Optimal Switching under Ambiguity and Its Applications in Finance
by Yuki Shigeta - 1608.05900 A String Model of Liquidity in Financial Markets
by Sergey Lototsky & Henry Schellhorn & Ran Zhao - 1608.05851 The Growth of Oligarchy in a Yard-Sale Model of Asset Exchange: A Logistic Equation for Wealth Condensation
by Bruce M. Boghosian & Adrian Devitt-Lee & Hongyan Wang - 1608.05814 Stochastic Evolution Equations in Banach Spaces and Applications to Heath-Jarrow-Morton-Musiela Equation
by Zdzislaw Brzezniak & Tayfun Kok - 1608.05650 Poverty Index With Time Varying Consumption and Income Distributions
by Amit K Chattopadhyay & T Krishna Kumar & Sushanta K Mallick - 1608.05597 The structure of the climate debate
by Richard S. J. Tol - 1608.05585 Consistency of option prices under bid-ask spreads
by Stefan Gerhold & I. Cetin Gulum - 1608.05498 Elicitability and backtesting: Perspectives for banking regulation
by Natalia Nolde & Johanna F. Ziegel - 1608.05378 A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes
by V. G. Filev & P. Neykov & G. S. Vasilev - 1608.05145 Filling the gaps smoothly
by Andrey Itkin & Alexander Lipton - 1608.05142 Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes
by Victor Chernozhukov & Iv'an Fern'andez-Val & Blaise Melly & Kaspar Wuthrich - 1608.05060 General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics
by Anatoliy Swishchuk & Katharina Cera & Julia Schmidt & Tyler Hofmeister - 1608.05038 Electoral Stability and Rigidity
by Michael Y. Levy - 1608.05024 Risk reduction and Diversification within Markowitz's Mean-Variance Model: Theoretical Revisit
by Gilles Boevi Koumou - 1608.05002 Bayesian Posteriors For Arbitrarily Rare Events
by Drew Fudenberg & Kevin He & Lorens Imhof - 1608.04832 Monetary economics from econophysics perspective
by Victor M. Yakovenko - 1608.04683 A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
by Alessandro Gnoatto & Martino Grasselli & Eckhard Platen - 1608.04621 Optimal importance sampling for L\'evy Processes
by Adrien Genin & Peter Tankov - 1608.04556 Rank-optimal weighting or "How to be best in the OECD Better Life Index?"
by Jan Lorenz & Christoph Brauer & Dirk A. Lorenz - 1608.04537 Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion
by Luis H. R. Alvarez E. & Paavo Salminen - 1608.04522 Maximizing and Minimizing Investment Concentration with Constraints of Budget and Investment Risk
by Takashi Shinzato - 1608.04506 Time-scale effects on the gain-loss asymmetry in stock indices
by Bulcs'u S'andor & Ingve Simonsen & B'alint Zsolt Nagy & Zolt'an N'eda - 1608.03985 Property bubble in Hong Kong: A predicted decade-long slump (2016-2025)
by Peter Richmond & Bertrand M. Roehner - 1608.03636 A General Framework for Pairs Trading with a Control-Theoretic Point of View
by Atul Deshpande & B. Ross Barmish - 1608.03521 Emergent organization in a model market
by Avinash Chand Yadav & Kaustubh Manchanda & Ramakrishna Ramaswamy - 1608.03428 A Gaussian Markov alternative to fractional Brownian motion for pricing financial derivatives
by Daniel Conus & Mackenzie Wildman - 1608.03352 Some Contributions to Sequential Monte Carlo Methods for Option Pricing
by Deborshee Sen & Ajay Jasra & Yan Zhou - 1608.03237 Managing counterparty credit risk via BSDEs
by Andrew Lesniewski & Anja Richter - 1608.03058 Dynamic portfolio strategy using clustering approach
by Fei Ren & Ya-Nan Lu & Sai-Ping Li & Xiong-Fei Jiang & Li-Xin Zhong & Tian Qiu - 1608.03053 Dynamic structure of stock communities: A comparative study between stock returns and turnover rates
by Li-Ling Su & Xiong-Fei Jiang & Sai-Ping Li & Li-Xin Zhong & Fei Ren - 1608.02740 Bayesian nonparametric sparse VAR models
by Monica Billio & Roberto Casarin & Luca Rossini - 1608.02706 Another example of duality between game-theoretic and measure-theoretic probability
by Vladimir Vovk - 1608.02690 Arbitrage-Free XVA
by Maxim Bichuch & Agostino Capponi & Stephan Sturm - 1608.02550 A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes
by Camilo Hernandez & Mauricio Junca & Harold Moreno-Franco - 1608.02523 Role of Intensive and Extensive Variables in a Soup of Firms in Economy to Address Long Run Prices and Aggregate Data
by Ali Hosseiny & Mauro Gallegati - 1608.02446 Who would invest only in the risk-free asset?
by Nuno Azevedo & Diogo Pinheiro & Stylianos Xanthopoulos & Athanasios Yannacopoulos - 1608.02428 The Opium for the Poor Is Opium. Medicare Providers in States with Low Income Prescribe High Levels of Opiates
by Eugen Tarnow - 1608.02365 Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall
by Bernardi Mauro & Roy Cerqueti & Arsen Palestini - 1608.02068 Arbitrage and utility maximization in market models with an insider
by Ngoc Huy Chau & Wolfgang Runggaldier & Peter Tankov - 1608.02028 Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing
by Michael A. Kouritzin - 1608.01900 Serendipity and strategy in rapid innovation
by T. M. A. Fink & M. Reeves & R. Palma & R. S. Farr - 1608.01895 Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
by Mikkel Bennedsen - 1608.01891 Toward Development of a New Health Economic Evaluation Definition
by Alexei Botchkarev - 1608.01795 A diffusion approximation for limit order book models
by Ulrich Horst & Dorte Kreher - 1608.01535 Optimal Population in a Finite Horizon
by Satoshi Nakano & Kazuhiko Nishimura - 1608.01532 Fixed-Effect Regressions on Network Data
by Koen Jochmans & Martin Weidner - 1608.01415 Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
by Christoph Czichowsky & R'emi Peyre & Walter Schachermayer & Junjian Yang - 1608.01365 Multifactor CES General Equilibrium: Models and Applications
by Jiyoung Kim & Satoshi Nakano & Kazuhiko Nishimura - 1608.01351 Multidimensional Polarization Index and its Application to an Analysis of the Russian State Duma
by Fuad Aleskerov & Victoria Oleynik - 1608.01197 Efficient exposure computation by risk factor decomposition
by Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger - 1608.01133 The boundary non-Crossing probabilities for Slepian process
by Pingjin Deng - 1608.01103 Fluctuation of USA Gold Price - Revisited with Chaos-based Complex Network Method
by Susmita Bhaduri & Dipak Ghosh & Subhadeep Ghosh - 1608.00878 On the Use of Computer Programs as Money
by Ross D. King - 1608.00814 SPDE limit of the global fluctuations in rank-based models
by Praveen Kolli & Mykhaylo Shkolnikov - 1608.00768 On optimal investment with processes of long or negative memory
by Huy N. Chau & Miklos Rasonyi - 1608.00756 A continuous and efficient fundamental price on the discrete order book grid
by Julius Bonart & Fabrizio Lillo - 1608.00354 hdm: High-Dimensional Metrics
by Victor Chernozhukov & Chris Hansen & Martin Spindler - 1608.00280 Pricing Weakly Model Dependent Barrier Products
by Jan Kuklinski & Panagiotis Papaioannou & Kevin Tyloo - 1608.00275 Metastable Features of Economic Networks and Responses to Exogenous Shocks
by Ali Hosseiny & Mohammad Bahrami & Antonio Palestrini & Mauro Gallegati - 1608.00230 Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility
by S. Kuchuk-Iatsenko & Y. Mishura & Y. Munchak - 1608.00213 Self-organization in a distributed coordination game through heuristic rules
by S. Agarwal & D. Ghosh & A. S. Chakrabarti - 1608.00060 Double/Debiased Machine Learning for Treatment and Causal Parameters
by Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins - 1608.00033 Locally Robust Semiparametric Estimation
by Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey & James M. Robins - 1607.08287 The effect of heterogeneity on flocking behavior and systemic risk
by Fei Fang & Yiwei Sun & Konstantinos Spiliopoulos - 1607.08214 Asymmetric volatility connectedness on forex markets
by Jozef Barunik & Evzen Kocenda & Lukas Vacha - 1607.07582 Modelling the impact of financialization on agricultural commodity markets
by Maria d'Errico & Alessandro Laio & Guido L. Chiarotti - 1607.07510 The Rank Effect for Commodities
by Ricardo T. Fernholz & Christoffer Koch - 1607.07197 On the support of extremal martingale measures with given marginals: the countable case
by Luciano Campi & Claude Martini - 1607.07108 Model-Independent Price Bounds for Catastrophic Mortality Bonds
by Raj Kumari Bahl & Sotirios Sabanis - 1607.07099 Inverse Optimization of Convex Risk Functions
by Jonathan Yu-Meng Li - 1607.06847 Decentralized Bayesian learning in dynamic games: A framework for studying informational cascades
by Deepanshu Vasal & Achilleas Anastasopoulos - 1607.06644 On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples
by Dirk Becherer & Martin Buttner & Klebert Kentia - 1607.06373 Systemic Risk and Stochastic Games with Delay
by Rene Carmona & Jean-Pierre Fouque & Seyyed Mostafa Mousavi & Li-Hsien Sun - 1607.06247 Effects of Sea Level Rise on Economy of the United States
by Monika Novackova & Richard S. J. Tol - 1607.06163 Indirect Inference With(Out) Constraints
by David T. Frazier & Eric Renault - 1607.06158 Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes
by Andrew Papanicolaou & Konstantinos Spiliopoulos - 1607.05831 Statistical inference for the doubly stochastic self-exciting process
by Simon Clinet & Yoann Potiron - 1607.05660 A Comparison of Nineteen Various Electricity Consumption Forecasting Approaches and Practicing to Five Different Households in Turkey
by T. O. Benli - 1607.05608 Identification of market trends with string and D2-brane maps
by Erik Bartov{s} & Richard Pinv{c}'ak - 1607.05572 Smoothing the payoff for efficient computation of Basket option prices
by Christian Bayer & Markus Siebenmorgen & Raul Tempone - 1607.05514 Sectoral co-movements in the Indian stock market: A mesoscopic network analysis
by Kiran Sharma & Shreyansh Shah & Anindya S. Chakrabarti & Anirban Chakraborti - 1607.05235 Extracting Geography from Trade Data
by Yuke Li & Tianhao Wu & Nicholas Marshall & Stefan Steinerberger - 1607.04968 Numerical and analytical methods for bond pricing in short rate convergence models of interest rates
by Zuzana Buckova & Beata Stehlikova & Daniel Sevcovic - 1607.04883 Statistical Industry Classification
by Zura Kakushadze & Willie Yu - 1607.04739 Multiple risk factor dependence structures: Distributional properties
by Jianxi Su & Edward Furman - 1607.04737 A form of multivariate Pareto distribution with applications to financial risk measurement
by Jianxi Su & Edward Furman - 1607.04553 Generalized Optimal Liquidation Problems Across Multiple Trading Venues
by Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu - 1607.04532 Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
by Florian Huber & Gregor Kastner & Martin Feldkircher - 1607.04488 Hedging under generalized good-deal bounds and model uncertainty
by Dirk Becherer & Klebert Kentia - 1607.04484 The Oxford Olympics Study 2016: Cost and Cost Overrun at the Games
by Bent Flyvbjerg & Allison Stewart & Alexander Budzier - 1607.04214 Existence and uniqueness results for BSDEs with jumps: the whole nine yards
by Antonis Papapantoleon & Dylan Possamai & Alexandros Saplaouras - 1607.04155 Fashion, fads and the popularity of choices: micro-foundations for diffusion consumer theory
by Jean-Francois Mercure - 1607.04153 On the Optimal Management of Public Debt: a Singular Stochastic Control Problem
by Giorgio Ferrari - 1607.04100 Insurance valuation: a computable multi-period cost-of-capital approach
by Hampus Engsner & Mathias Lindholm & Filip Lindskog - 1607.04047 A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets-
by Jana Bielagk & Ulrich Horst & Santiago Moreno--Bromberg - 1607.03522 Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
by Antonis Papapantoleon & Robert Wardenga - 1607.03430 Dual representations for systemic risk measures
by c{C}au{g}{i}n Ararat & Birgit Rudloff - 1607.03205 Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals
by Taisei Kaizoji & Michiko Miyano - 1607.03161 A mathematical model for a gaming community
by Romulus Breban - 1607.02743 Information uncertainty related to marked random times and optimal investment
by Ying Jiao & Idris Kharroubi - 1607.02688 On the time consistency of collective preferences
by Luis A. Alcala - 1607.02481 Inferring monopartite projections of bipartite networks: an entropy-based approach
by Fabio Saracco & Mika J. Straka & Riccardo Di Clemente & Andrea Gabrielli & Guido Caldarelli & Tiziano Squartini - 1607.02470 Deep Learning for Mortgage Risk
by Justin Sirignano & Apaar Sadhwani & Kay Giesecke - 1607.02423 Fair division with divisible and indivisible items
by Alexander Rubchinsky - 1607.02422 Rating models: emerging market distinctions
by Alexander Karminsky - 1607.02421 Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory
by Andrey Subochev & Igor Zakhlebin - 1607.02419 Divisive-agglomerative algorithm and complexity of automatic classification problems
by Alexander Rubchinsky - 1607.02410 Tail protection for long investors: Trend convexity at work
by Tung-Lam Dao & Trung-Tu Nguyen & Cyril Deremble & Yves Lemp'eri`ere & Jean-Philippe Bouchaud & Marc Potters - 1607.02378 Matrix-vector representation of various solution concepts
by Fuad Aleskerov & Andrey Subochev - 1607.02349 Toward an integrated workforce planning framework using structured equations
by Marie Doumic & Beno^it Perthame & Edouard Ribes & Delphine Salort & Nathan Toubiana - 1607.02319 Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
by Gareth W. Peters & Pavel V. Shevchenko & Bertrand Hassani & Ariane Chapelle - 1607.02289 An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
by Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou - 1607.02093 Artificial Neural Network and Time Series Modeling Based Approach to Forecasting the Exchange Rate in a Multivariate Framework
by Tamal Datta Chaudhuri & Indranil Ghosh - 1607.02067 On the American swaption in the linear-rational framework
by Damir Filipovic & Yerkin Kitapbayev - 1607.01999 Inferring the contiguity matrix for spatial autoregressive analysis with applications to house price prediction
by Somwrita Sarkar & Sanjay Chawla - 1607.01902 On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models
by Benjamin Avanzi & Jos'e-Luis P'erez & Bernard Wong & Kazutoshi Yamazaki - 1607.01751 Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations
by Sylwester Arabas & Ahmad Farhat - 1607.01619 Swaption Prices in HJM model. Nonparametric fit
by V. M. Belyaev - 1607.01519 Granger Independent Martingale Processes
by Umberto Cherubini & Fabio Gobbi & Sabrina Mulinacci & Silvia Romagnoli - 1607.01317 Dynamic optimization and its relation to classical and quantum constrained systems
by Mauricio Contreras & Rely Pellicer & Marcelo Villena - 1607.01207 Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching
by Nemat Safarov & Colin Atkinson - 1607.01110 Utility Indifference Pricing of Insurance Catastrophe Derivatives
by Andreas Eichler & Gunther Leobacher & Michaela Szolgyenyi - 1607.00830 A probability-free and continuous-time explanation of the equity premium and CAPM
by Vladimir Vovk & Glenn Shafer - 1607.00756 Comments on the BCBS proposal for a New Standardized Approach for Operational Risk
by Giulio Mignola & Roberto Ugoccioni & Eric Cope - 1607.00721 Recursive utility optimization with concave coefficients
by Shaolin Ji & Xiaomin Shi - 1607.00699 The State of Applied Econometrics - Causality and Policy Evaluation
by Susan Athey & Guido Imbens