Content
2015
- 1503.05127 Tornadoes and related damage costs: statistical modeling with a semi-Markov approach
by Chiara Corini & Guglielmo D'Amico & Filippo Petroni & Flavio Prattico & Raimondo Manca - 1503.05098 Randomizing bipartite networks: the case of the World Trade Web
by Fabio Saracco & Riccardo Di Clemente & Andrea Gabrielli & Tiziano Squartini - 1503.04979 The affine inflation market models
by Stefan Waldenberger - 1503.04841 Forest Fire Model as a Supercritical Dynamic Model in Financial Systems
by Deokjae Lee & Jae-Young Kim & Jeho Lee & B. Kahng - 1503.04799 From anti-conformism to extremism
by G'erard Weisbuch - 1503.04772 A dynamic game on Green Supply Chain Management
by Mehrnoosh Khademi & Massimiliano Ferrara & Bruno Pansera & Mehdi Salimi - 1503.04460 Optimal risk allocation in a market with non-convex preferences
by Hirbod Assa - 1503.03986 Measuring switching processes in financial markets with the Mean-Variance spin glass approach
by Jan Jurczyk - 1503.03902 L\'evy Processes For Finance: An Introduction In R
by D. J. Manuge - 1503.03726 Bounds for randomly shared risk of heavy-tailed loss factors
by Oliver Kley & Claudia Kluppelberg - 1503.03705 A hybrid tree/finite-difference approach for Heston-Hull-White type models
by M. Briani & L. Caramellino & A. Zanette - 1503.03567 Profitable forecast of prices of stock options on real market data via the solution of an ill-posed problem for the Black-Scholes equation
by Michael V. Klibanov & Andrey V. Kuzhuget - 1503.03548 Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets
by Yu-Lei Wan & Wen-Jie Xie & Gao-Feng Gu & Zhi-Qiang Jiang & Wei Chen & Xiong Xiong & Wei Zhang & Wei-Xing Zhou - 1503.03194 Symmetry structure and solution of evolution-type equations with time dependent parameters in financial Mathematics
by Michael Okelola & Keshlan Govinder - 1503.03180 Negative Dependence Concept in Copulas and the Marginal Free Herd Behavior Index
by Jae Youn Ahn - 1503.03006 Some new results on Dufffie-type OTC markets
by Alain B'elanger & Gaston Giroux & Ndoun'e Ndoun'e - 1503.02822 On robust pricing-hedging duality in continuous time
by Zhaoxu Hou & Jan Obloj - 1503.02479 Competition and Efficiency of Coalitions in Cournot Games with Uncertainty
by Baosen Zhang & Ramesh Johari & Ram Rajagopal - 1503.02405 Detecting and interpreting distortions in hierarchical organization of complex time series
by Stanis{l}aw Dro.zd.z & Pawe{l} O'swik{e}cimka - 1503.02237 Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case
by Erhan Bayraktar & Virginia R. Young & David Promislow - 1503.02177 Compounding approach for univariate time series with non-stationary variances
by Rudi Schafer & Sonja Barkhofen & Thomas Guhr & Hans-Jurgen Stockmann & Ulrich Kuhl - 1503.02034 A generic model for spouse's pensions with a view towards the calculation of liabilities
by Alexander Sokol - 1503.01802 Game-theoretic approach to risk-sensitive benchmarked asset management
by Amogh Deshpande & Saul D. Jacka - 1503.01754 A Quantization Approach to the Counterparty Credit Exposure Estimation
by M. Bonollo & L. Di Persio & I. Oliva & A. Semmoloni - 1503.01584 Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data
by Frederik Meudt & Martin Theissen & Rudi Schafer & Thomas Guhr - 1503.00961 Optimally Investing to Reach a Bequest Goal
by Erhan Bayraktar & Virginia R. Young - 1503.00913 Understanding Financial Market States Using Artificial Double Auction Market
by Kyubin Yim & Gabjin Oh & Seunghwan Kim - 1503.00864 Affine LIBOR models driven by real-valued affine processes
by Stefan Waldenberger & Wolfgang Muller - 1503.00823 Influence network in Chinese stock market
by Ya-Chun Gao & Yong Zeng & Shi-Min Cai - 1503.00621 Leveraging the network: a stress-test framework based on DebtRank
by Stefano Battiston & Marco D'Errico & Stefano Gurciullo & Guido Caldarelli - 1503.00556 Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example
by Yuriy Stepanov & Philip Rinn & Thomas Guhr & Joachim Peinke & Rudi Schafer - 1503.00529 Diversity waves in collapse-driven population dynamics
by Sergei Maslov & Kim Sneppen - 1503.00421 State and group dynamics of world stock market by principal component analysis
by Ashadun Nobi & Jae Woo Lee - 1503.00127 How crude oil prices shape the global division of labour
by Francesco Picciolo & Andreas Papandreou & Klaus Hubacek & Franco Ruzzenenti - 1503.00019 Error analysis in Fourier methods for option pricing
by Fabi'an Crocce & Juho Happola & Jonas Kiessling & Ra'ul Tempone - 1502.07961 Measures of Systemic Risk
by Zachary Feinstein & Birgit Rudloff & Stefan Weber - 1502.07625 Developing Knowledge States: Technology and the Enhancement of National Statistical Capacity
by Derrick M. Anderson & Andrew B. Whitford - 1502.07622 Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity
by Tihomir Gyulov & Lyuben Valkov - 1502.07531 Feynman-Kac formula for L\'evy processes with discontinuous killing rate
by Kathrin Glau - 1502.07522 Dynamics of quasi-stationary systems: Finance as an example
by Philip Rinn & Yuriy Stepanov & Joachim Peinke & Thomas Guhr & Rudi Schafer - 1502.07397 Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
by Stephane Crepey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand - 1502.07367 Cross correlations in European government bonds and EuroStoxx
by Jan Jurczyk & Alexander Eckrot - 1502.07321 An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series
by Alexander Schnurr - 1502.07265 Estimation of Several Political Action Effects of Energy Prices
by Andrew B. Whitford - 1502.06984 Model risk on credit risk
by J. Molins & E. Vives - 1502.06901 Equilibrium in Misspecified Markov Decision Processes
by Ignacio Esponda & Demian Pouzo - 1502.06805 International R&D Spillovers and other Unobserved Common Spillovers and Shocks
by Diego-Ivan Ruge-Leiva - 1502.06736 Rotational invariant estimator for general noisy matrices
by Joel Bun & Romain Allez & Jean-Philippe Bouchaud & Marc Potters - 1502.06681 Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
by Erhan Bayraktar & Zhou Zhou - 1502.06557 Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
by Florian Ziel - 1502.06349 Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators
by Antonio Dalessandro & Gareth W. Peters - 1502.06217 Contour map of estimation error for Expected Shortfall
by Imre Kondor & Fabio Caccioli & G'abor Papp & Matteo Marsili - 1502.06163 Threadneedle: An Experimental Tool for the Simulation and Analysis of Fractional Reserve Banking Systems
by Jacky Mallett - 1502.06106 Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis
by Maxim Bichuch & Agostino Capponi & Stephan Sturm - 1502.06074 Coping with Negative Short-Rates
by Zura Kakushadze - 1502.05920 Robust Utility Maximization with L\'evy Processes
by Ariel Neufeld & Marcel Nutz - 1502.05743 The existence of optimal bang-bang controls for GMxB contracts
by Parsiad Azimzadeh & Peter A. Forsyth - 1502.05603 Assessment of 48 Stock markets using adaptive multifractal approach
by Paulo Ferreira & Andreia Dion'isio & S. M. S. Movahed - 1502.05442 Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models
by Archil Gulisashvili & Frederi Viens & Xin Zhang - 1502.05367 One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics
by Damien Challet - 1502.05274 How predictable is technological progress?
by J. Doyne Farmer & Francois Lafond - 1502.05238 Pareto Efficient Nash Implementation Via Approval Voting
by Yakov Babichenko & Leonard J. Schulman - 1502.04909 Identification of Atlas models
by Robert Fernholz - 1502.04592 Hawkes processes in finance
by Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy - 1502.04521 A dynamic optimal execution strategy under stochastic price recovery
by Masashi Ieda - 1502.04359 A weak law of large numbers for a limit order book model with fully state dependent order dynamics
by Ulrich Horst & Dorte Kreher - 1502.03978 Non Parametric Estimates of Option Prices Using Superhedging
by Gianluca Cassese - 1502.03901 Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing
by Boris Buchmann & Benjamin Kaehler & Ross Maller & Alexander Szimayer - 1502.03871 Stationary distribution of the volume at the best quote in a Poisson order book model
by Ioane Muni Toke - 1502.03840 Market Dynamics and Indirect Network Effects in Electric Vehicle Diffusion
by Zhe Yu & Shanjun Li & Lang Tong - 1502.03656 Quasi-Newton particle Metropolis-Hastings
by Johan Dahlin & Fredrik Lindsten & Thomas B. Schon - 1502.03359 Asymptotic indifference pricing in exponential L\'evy models
by Cl'ement M'enass'e & Peter Tankov - 1502.03254 Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
by Archil Gulisashvili & Blanka Horvath & Antoine Jacquier - 1502.03252 Diversification, protection of liability holders and regulatory arbitrage
by Pablo Koch-Medina & Cosimo Munari & Mario Sikic - 1502.03155 A lava attack on the recovery of sums of dense and sparse signals
by Victor Chernozhukov & Christian Hansen & Yuan Liao - 1502.03018 Approximating explicitly the mean reverting CEV process
by Nikolaos Halidias & Ioannis Stamatiou - 1502.02968 Learning and Portfolio Decisions for HARA Investors
by Michele Longo & Alessandra Mainini - 1502.02963 An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab
by Ricardo Crisostomo - 1502.02926 Consistent Recalibration of Yield Curve Models
by Philipp Harms & David Stefanovits & Josef Teichmann & Mario Wuthrich - 1502.02863 Dark-Pool Perspective of Optimal Market Making
by M. Alessandra Crisafi & Andrea Macrina - 1502.02847 The Robust Merton Problem of an Ambiguity Averse Investor
by Sara Biagini & Mustafa Pinar - 1502.02819 The pricing of lookback options and binomial approximation
by Karl Grosse-Erdmann & Fabien Heuwelyckx - 1502.02595 Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps
by Jos'e E. Figueroa-L'opez & Sveinn 'Olafsson - 1502.02537 Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities
by Dimitri O. Ledenyov & Viktor O. Ledenyov - 1502.02352 Optimal portfolio with unobservable market parameters and certainty equivalence principle
by Nikolai Dokuchaev - 1502.02286 Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
by Tatiana Belkina & Shangzhen Luo - 1502.02083 Information and Trading Targets in a Dynamic Market Equilibrium
by Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi - 1502.01918 Systemic Risk with Exchangeable Contagion: Application to the European Banking System
by Umberto Cherubini & Sabrina Mulinacci - 1502.01912 Archimedean-based Marshall-Olkin Distributions and Related Copula Functions
by Sabrina Mulinacci - 1502.01735 Convex duality with transaction costs
by Yan Dolinsky & H. Mete Soner - 1502.01658 Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
by Michael Ho & Zheng Sun & Jack Xin - 1502.01125 Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model
by Frederik Meudt & Thilo A. Schmitt & Rudi Schafer & Thomas Guhr - 1502.00908 A Directional Multivariate Value at Risk
by Ra'ul Torres & Rosa E. Lillo & Henry Laniado - 1502.00882 A New Methodology for Estimating Internal Credit Risk and Bankruptcy Prediction under Basel II Regime
by M. Naresh Kumar & V. Sree Hari Rao - 1502.00861 An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions
by Eric Dahlgren & Tim Leung - 1502.00824 How volatilities nonlocal in time affect the price dynamics in complex financial systems
by Lei Tan & Bo Zheng & Jun-Jie Chen & Xiong-Fei Jiang - 1502.00808 On the multiplicative effect of government spending (or any other spending for that matter)
by Jo~ao P. da Cruz - 1502.00680 Quasi-Centralized Limit Order Books
by Martin D. Gould & Mason A. Porter & Sam D. Howison - 1502.00674 An equilibrium model for spot and forward prices of commodities
by Michail Anthropelos & Michael Kupper & Antonis Papapantoleon - 1502.00358 Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties
by Tim Leung & Yoshihiro Shirai - 1502.00225 Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components
by Ladislav Kristoufek - 1502.00218 Direct Foreign Investment in Kurdistan Region of Middle-East: Non-Oil Sector Analysis
by Angus O. Unegbu & Augustine Okanlawon - 1502.00104 Worldwide clustering of the corruption perception
by Michal Paulus & Ladislav Kristoufek - 1501.07778 Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix
by Patrick Steffen Michelberger & Jan Hendrik Witte - 1501.07504 Adaptive Filter Design for Stock Market Prediction Using a Correlation-based Criterion
by J. E. Wesen & V. VV. Vermehren & H. M. de Oliveira - 1501.07480 Portfolio Optimization under Shortfall Risk Constraint
by Oliver Janke & Qinghua Li - 1501.07473 Information in stock prices and some consequences: A model-free approach
by Yannis G. Yatracos - 1501.07404 Liquidity costs: a new numerical methodology and an empirical study
by Christophe Michel & Victor Reutenauer & Denis Talay & Etienne Tanr'e - 1501.07402 Valuation Algorithms for Structural Models of Financial Interconnectedness
by Johannes Hain & Tom Fischer - 1501.07297 Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk
by Gildas Ratovomirija - 1501.07124 Optimal strategies of investment in a linear stochastic model of market
by O. S. Rozanova & G. S. Kambarbaeva - 1501.06980 Short-time at-the-money skew and rough fractional volatility
by Masaaki Fukasawa - 1501.06221 Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach
by Jinbeom Kim & Tim Leung - 1501.06084 Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
by Andrei Cozma & Matthieu Mariapragassam & Christoph Reisinger - 1501.05893 Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
by Maxim Bichuch & Agostino Capponi & Stephan Sturm - 1501.05771 Positively-homogeneous Konus-Divisia indices and their applications to demand analysis and forecasting
by Nikolay Klemashev & Alexander Shananin - 1501.05751 Interbank markets and multiplex networks: centrality measures and statistical null models
by Leonardo Bargigli & Giovanni di Iasio & Luigi Infante & Fabrizio Lillo & Federico Pierobon - 1501.05400 Cascades in multiplex financial networks with debts of different seniority
by Charles D. Brummitt & Teruyoshi Kobayashi - 1501.05381 Combining Alphas via Bounded Regression
by Zura Kakushadze - 1501.05176 Bin Size Independence in Intra-day Seasonalities for Relative Prices
by Esteban Guevara Hidalgo - 1501.05040 Modular Dynamics of Financial Market Networks
by Filipi N. Silva & Cesar H. Comin & Thomas K. DM. Peron & Francisco A. Rodrigues & Cheng Ye & Richard C. Wilson & Edwin Hancock & Luciano da F. Costa - 1501.04992 Interactions between financial and environmental networks in OECD countries
by Franco Ruzzenenti & Andreas Joseph & Elisa Ticci & Pietro Vozzella & Giampaolo Gabbi - 1501.04747 Consumption investment optimization with Epstein-Zin utility in incomplete markets
by Hao Xing - 1501.04682 Toward robust early-warning models: A horse race, ensembles and model uncertainty
by Markus Holopainen & Peter Sarlin - 1501.04575 An optimal trading problem in intraday electricity markets
by Ren'e Aid & Pierre Gruet & Huy^en Pham - 1501.04548 Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures
by Rohini Kumar - 1501.04274 Optional Decomposition for continuous semimartingales under arbitrary filtrations
by Ioannis Karatzas & Constantinos Kardaras - 1501.04123 Data manipulation detection via permutation information theory quantifiers
by Aurelio Fernandez Bariviera & M. Bel'en Guercio & Lisana B. Martinez - 1501.03768 On the martingale-fair index of return for investment funds
by Leslaw Gajek & Marek Kaluszka - 1501.03756 Optimal Trading with Alpha Predictors
by Filippo Passerini & Samuel E. Vazquez - 1501.03701 A New Approach to Model Free Option Pricing
by Raphael Hauser & Sergey Shahverdyan - 1501.03430 Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach
by Victor Chernozhukov & Christian Hansen & Martin Spindler - 1501.03387 The asymptotic smile of a multiscaling stochastic volatility model
by Francesco Caravenna & Jacopo Corbetta - 1501.03371 Google matrix analysis of the multiproduct world trade network
by Leonardo Ermann & Dima L. Shepelyansky - 1501.03185 Post-Selection and Post-Regularization Inference in Linear Models with Many Controls and Instruments
by Victor Chernozhukov & Christian Hansen & Martin Spindler - 1501.03123 Non-concave utility maximisation on the positive real axis in discrete time
by Laurence Carassus & Mikl'os R'asonyi & Andrea M. Rodrigues - 1501.02750 Self-Financing Trading and the Ito-Doeblin Lemma
by Chris Kenyon & Andrew Green - 1501.02513 The 20-60-20 Rule
by Piotr Jaworski & Marcin Pitera - 1501.02447 Stochastic simulation framework for the Limit Order Book using liquidity motivated agents
by Efstathios Panayi & Gareth Peters - 1501.02382 Robust Inference of Risks of Large Portfolios
by Jianqing Fan & Fang Han & Han Liu & Byron Vickers - 1501.02276 The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs
by Tim Leung & Brian Ward - 1501.02007 Shortfall Deviation Risk: An alternative to risk measurement
by Marcelo Brutti Righi & Paulo Sergio Ceretta - 1501.01954 On financial applications of the two-parameter Poisson-Dirichlet distribution
by Sergey Sosnovskiy - 1501.01892 Optimal Asset Liquidation with Multiplicative Transient Price Impact
by Dirk Becherer & Todor Bilarev & Peter Frentrup - 1501.01573 The Temporal Dimension of Risk
by Ola Mahmoud - 1501.01504 Optimal investment under behavioural criteria in incomplete diffusion market models
by Mikl'os R'asonyi & Jos'e Gregorio Rodr'iguez-Villarreal - 1501.01265 The ABC of Simulation Estimation with Auxiliary Statistics
by Jean-Jacques Forneron & Serena Ng - 1501.01155 Entropy-Based Financial Asset Pricing
by Mihaly Ormos & David Zibriczky - 1501.01126 A Composite Risk Measure Framework for Decision Making under Uncertainty
by Pengyu Qian & Zizhuo Wang & Zaiwen Wen - 1501.00843 A law of large numbers for limit order books
by Ulrich Horst & Michael Paulsen - 1501.00837 On a class of generalized Takagi functions with linear pathwise quadratic variation
by Alexander Schied - 1501.00833 Signs of dependence and heavy tails in non-life insurance data
by Jonas Alm - 1501.00818 Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets
by Florian Ziel & Rick Steinert & Sven Husmann - 1501.00434 Monetary Policy and Dark Corners in a stylized Agent-Based Model
by Stanislao Gualdi & Marco Tarzia & Francesco Zamponi & Jean-Philippe Bouchaud - 1501.00419 Minimizing the Probability of Ruin in Retirement
by Christopher J. Rook - 1501.00273 On the spot-futures no-arbitrage relations in commodity markets
by Ren'e Aid & Luciano Campi & Delphine Lautier
2014
- 1412.8725 Towards a formalization of a two traders market with information exchange
by F. Bagarello & E. Haven - 1412.8624 Optimal Digital Product Maintenance with a Continuous Revenue Stream
by James Fan & Christopher Griffin - 1412.8434 Monge-Kantorovich Depth, Quantiles, Ranks, and Signs
by Victor Chernozhukov & Alfred Galichon & Marc Hallin & Marc Henry - 1412.8414 Accounting for Earnings Announcements in the Pricing of Equity Options
by Tim Leung & Marco Santoli - 1412.8017 Adaptive Market Efficiency of Agricultural Commodity Futures Contracts
by Semei Coronado-Ram'irez & Pedro Celso-Arellano & Omar Rojas - 1412.7943 Derivatives pricing in energy markets: an infinite dimensional approach
by Fred Espen Benth & Paul Kruhner - 1412.7649 Optimal switching for pairs trading rule: a viscosity solutions approach
by Minh Man Ngo & Huyen Pham - 1412.7647 Tail Risk Constraints and Maximum Entropy
by Donald Geman & H'elyette Geman & Nassim Nicholas Taleb - 1412.7562 A new perspective on the fundamental theorem of asset pricing for large financial markets
by Christa Cuchiero & Irene Klein & Josef Teichmann - 1412.7500 Inflation and speculation in a dynamic macroeconomic model
by Matheus Grasselli & Adrien Nguyen Huu - 1412.7412 Smile with the Gaussian term structure model
by Abdelkoddousse Ahdida & Aur'elien Alfonsi & Ernesto Palidda - 1412.7269 Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange
by Mitsuaki Murota & Jun-ichi Inoue - 1412.7227 An $H$ theorem for Boltzmann's equation for the Yard-Sale Model of asset exchange
by Bruce M. Boghosian & Merek Johnson & Jeremy Marcq - 1412.7172 Rational Groupthink
by Matan Harel & Elchanan Mossel & Philipp Strack & Omer Tamuz - 1412.7096 Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling
by Emmanuel Bacry & Thibault Jaisson & Jean-Francois Muzy - 1412.7058 Fundamental theorem of asset pricing: a strengthened version and $p$-summable markets
by Andrei Lebedev & Petr Zabreiko - 1412.6924 Visualizing the Invisible Hand of Markets: Simulating complex dynamic economic interactions
by Klaus Jaffe - 1412.6745 Risk measuring under liquidity risk
by Erindi Allaj - 1412.6459 Dynamic Conic Finance via Backward Stochastic Difference Equations
by Tomasz R. Bielecki & Igor Cialenco & Tao Chen - 1412.6244 Nonlinear GARCH model and 1/f noise
by Aleksejus Kononovicius & Julius Ruseckas - 1412.6064 Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
by Jamal Amani Rad & Kourosh Parand - 1412.6063 Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
by Jamal Amani Rad & Kourosh Parand & Saeid Abbasbandy - 1412.5647 Nonlinear Factor Models for Network and Panel Data
by Mingli Chen & Iv'an Fern'andez-Val & Martin Weidner - 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