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Content
2014
- 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
- 1409.7720 Risk Premia: Asymmetric Tail Risks and Excess Returns
by Y. Lemp'eri`ere & C. Deremble & T. T. Nguyen & P. Seager & M. Potters & J. P. Bouchaud
- 1409.7512 The evolution of wealth transmission in human populations: a stochastic model
by G. Augustins & L. Etienne & J-B. Ferdy & R. Ferrer & B. Godelle & E. Pitard & F. Rousset
- 1409.7269 High-Resilience Limits of Block-Shaped Order Books
by Jan Kallsen & Johannes Muhle-Karbe
- 1409.7028 A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
by Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera
- 1409.7002 Entropy and Optimization of Portfolios
by Krzysztof Urbanowicz
- 1409.6940 Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty
by Patrick Beissner & Frank Riedel
- 1409.6857 Finite sample properties of power-law cross-correlations estimators
by Ladislav Kristoufek
- 1409.6773 On a Stopping Game in continuous time
by Erhan Bayraktar & Zhou Zhou
- 1409.6649 A GDP-driven model for the binary and weighted structure of the International Trade Network
by Assaf Almog & Tiziano Squartini & Diego Garlaschelli
- 1409.6646 The Immediate Exchange model: an analytical investigation
by Guy Katriel
- 1409.6645 Calculation of a power price equilibrium
by Miha Troha & Raphael Hauser
- 1409.6444 On the interplay between short and long term memory in the power-law cross-correlations setting
by Ladislav Kristoufek
- 1409.6443 Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags
by Paul Gaskell & Frank McGroarty & Thanassis Tiropanis
- 1409.6257 Optimal models of extreme volume-prices are time-dependent
by Paulo Rocha & Frank Raischel & Jo~ao Pedro Boto & Pedro G. Lind
- 1409.6193 Estimating topological properties of weighted networks from limited information
by Giulio Cimini & Tiziano Squartini & Andrea Gabrielli & Diego Garlaschelli
- 1409.6093 Funding Value Adjustment and Incomplete Markets
by Lorenzo Cornalba
- 1409.6042 Option pricing in constant elasticity of variance model with liquidity costs
by Krzysztof Turek
- 1409.6027 Distance to the line in the Heston model
by Archil Gulisashvili
- 1409.5963 International trade network: fractal properties and globalization puzzle
by Mariusz Karpiarz & Piotr Fronczak & Agata Fronczak
- 1409.5936 Bounds on Portfolio Quality
by Steven E. Pav
- 1409.5801 Pricing and hedging of energy spread options and volatility modulated Volterra processes
by Fred Espen Benth & Hanna Zdanowicz
- 1409.5321 Empirical Study of the 1-2-3 Trend Indicator
by Yasemin Hafizogullari & Stanislaus Maier-Paape & Andreas Platen
- 1409.5142 The $\alpha$-Hypergeometric Stochastic Volatility Model
by Jos'e Da Fonseca & Claude Martini
- 1409.4896 Mean of Ratios or Ratio of Means: statistical uncertainty applied to estimate Multiperiod Probability of Defaul
by Matteo Formenti
- 1409.4894 The Credibility Theory applied to backtesting Counterparty Credit Risk
by Matteo Formenti
- 1409.4890 Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence
by Matteo Formenti
- 1409.4857 A simple dynamical model leading to Pareto wealth distribution and stability
by Ricardo P'erez-Marco
- 1409.4541 Visualising stock flow consistent models as directed acyclic graphs
by Peter G. Fennell & David O'Sullivan & Antoine Godin & Stephen Kinsella
- 1409.4387 Indicators of availability of non-market relations in the sphere of labor market in Ukraine
by Valery Tabakov
- 1409.3979 Rawls' Fairness, Income Distribution and Alarming Level of Gini Coefficient
by Yong Tao & Xiangjun Wu & Changshuai Li
- 1409.3969 Portfolio Selection with Mandatory Bequest
by Jiacheng Feng
- 1409.3837 Instability and network effects in innovative markets
by Paolo Sgrignoli & Elena Agliari & Raffaella Burioni & Augusto Schianchi
- 1409.3799 The World Trade Web: A Multiple-Network Perspective
by Paolo Sgrignoli
- 1409.3738 Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks
by Benjamin Vandermarliere & Alexei Karas & Jan Ryckebusch & Koen Schoors
- 1409.3394 Optimal consumption and sale strategies for a risk averse agent
by David Hobson & Yeqi Zhu
- 1409.3296 Endogenous crisis waves: a stochastic model with synchronized collective behavior
by Stanislao Gualdi & Jean-Philippe Bouchaud & Giulia Cencetti & Marco Tarzia & Francesco Zamponi
- 1409.2760 Synergy cycles in the Norwegian innovation system: The relation between synergy and cycle values
by Inga Ivanova & Oivind Strand & Loet Leydesdorff
- 1409.2661 The effect of the number of states on the validity of credit ratings
by P. Lencastre & F. Raischel & P. G. Lind
- 1409.2625 Contagion in an interacting economy
by Pierre Paga & Reimer Kuhn
- 1409.2618 Optimal Execution with Dynamic Order Flow Imbalance
by Kyle Bechler & Mike Ludkovski
- 1409.2575 Custom v. Standardized Risk Models
by Zura Kakushadze & Jim Kyung-Soo Liew
- 1409.2226 Optimal double stopping of a Brownian bridge
by Erik J. Baurdoux & Nan Chen & Budhi A. Surya & Kazutoshi Yamazaki
- 1409.2214 Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
by Nien-Lin Liu & Hoang-Long Ngo
- 1409.2023 Optimal investment with bounded above utilities in discrete time markets
by Miklos Rasonyi
- 1409.1956 A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities
by Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst
- 1409.1858 Affine Processes
by Eberhard Mayerhofer
- 1409.1830 Discrete Time Term Structure Theory and Consistent Recalibration Models
by Anja Richter & Josef Teichmann
- 1409.1786 Zero-determinant strategies in iterated multi-strategy games
by Jin-Li Guo
- 1409.1748 A spring-block analogy for the dynamics of stock indexes
by Bulcsu Sandor & Zoltan Neda
- 1409.1620 Orthogonal Polynomials for Seminonparametric Instrumental Variables Model
by Yevgeniy Kovchegov & Nese Yildiz
- 1409.1451 Opening discussion on banking sector risk exposures and vulnerabilities from virtual currencies: An operational risk perspective
by Gareth W. Peters & Ariane Chapelle & Efstathios Panayi
- 1409.1442 On the design of sell-side limit and market order tactics
by Vladimir Markov
- 1409.1441 Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands
by Vladimir Markov & Slava Mazur & David Saltz
- 1409.1393 On Correlated Defaults and Incomplete Information
by Wai-Ki Ching & Jia-Wen Gu & Harry Zheng
- 1409.1175 Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models
by Pablo Olivares & Matthew Cane
- 1409.1071 Default contagion risks in Russian interbank market
by A. V. Leonidov & E. L. Rumyantsev
- 1409.0789 Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo
by Rosario N. Mantegna
- 1409.0697 A lattice framework for pricing display advertisement options with the stochastic volatility underlying model
by Bowei Chen & Jun Wang
- 1409.0665 Optimal Dynamic Procurement Policies for a Storable Commodity with L\'evy Prices and Convex Holding Costs
by Maria B. Chiarolla & Giorgio Ferrari & Gabriele Stabile
- 1409.0636 Manipulating decision making of typical agents
by V. I. Yukalov & D. Sornette
- 1409.0407 Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
by Chuancun Yin & Kam Chuen Yuen
- 1409.0118 Analysis of Spin Financial Market by GARCH Model
by Tetsuya Takaishi
- 1409.0003 What You Should Know About Megaprojects, and Why: An Overview
by Bent Flyvbjerg
- 1409.0002 Should we build more large dams? The actual costs of hydropower megaproject development
by Atif Ansar & Bent Flyvbjerg & Alexander Budzier & Daniel Lunn
- 1408.7010 Long Term Optimal Investment in Matrix Valued Factor Models
by Scott Robertson & Hao Xing
- 1408.6973 How structurally stable are global socioeconomic systems?
by Serguei Saavedra & Rudolf P. Rohr & Luis J. Gilarranz & Jordi Bascompte
- 1408.6938 Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation
by Xiaolin Luo & Pavel V. Shevchenko
- 1408.6799 Stochastic Perron for stochastic target games
by Erhan Bayraktar & Jiaqi Li
- 1408.6673 Hedging Conditional Value at Risk with Options
by Maciej J. Capi'nski
- 1408.6639 Can Google searches help nowcast and forecast unemployment rates in the Visegrad Group countries?
by Jaroslav Pavlicek & Ladislav Kristoufek
- 1408.6637 Spectrum-based estimators of the bivariate Hurst exponent
by Ladislav Kristoufek
- 1408.6513 Efficient solution of structural default models with correlated jumps and mutual obligations
by Andrey Itkin & Alexander Lipton
- 1408.6455 Long time asymptotics for optimal investment
by Huyen Pham
- 1408.6279 A Noisy Principal Component Analysis for Forward Rate Curves
by Marcio Laurini & Alberto Ohashi
- 1408.6255 Intra-day variability of the stock market activity versus stationarity of the financial time series
by T. Gubiec & M. Wili'nski
- 1408.6122 Game theory analysis for carbon auction market through electricity market coupling
by Mireille Bossy & Nadia Maizi & Odile Pourtallier
- 1408.6118 VWAP Execution as an Optimal Strategy
by Takashi Kato
- 1408.6070 Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation
by Xiangyu Cui & Xun Li & Duan Li & Yun Shi
- 1408.6065 Shadow prices for continuous processes
by Christoph Czichowsky & Walter Schachermayer & Junjian Yang
- 1408.6043 A Framework of Conjugate Direction Methods for Symmetric Linear Systems in Optimization
by Giovanni Fasano
- 1408.5989 Duality Theory for Portfolio Optimisation under Transaction Costs
by Christoph Czichowsky & Walter Schachermayer
- 1408.5951 Fragility of the Commons under Prospect-Theoretic Risk Attitudes
by Ashish R. Hota & Siddharth Garg & Shreyas Sundaram
- 1408.5677 Asymptotic replication with modified volatility under small transaction costs
by Jiatu Cai & Masaaki Fukasawa
- 1408.5673 Approximating the zero-coupon bond price in a general one-factor model with constant coefficients
by Beata Stehlikova
- 1408.5618 Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies
by Hao Meng & Hai-Chuan Xu & Wei-Xing Zhou & Didier Sornette
- 1408.5585 Hierarchical causality in financial economics
by Diane Wilcox & Tim Gebbie
- 1408.5526 High Performance Financial Simulation Using Randomized Quasi-Monte Carlo Methods
by Linlin Xu & Giray Okten
- 1408.5510 Consistent Price Systems under Model Uncertainty
by Bruno Bouchard & Marcel Nutz
Printed from https://ideas.repec.org/s/arx/papers117.html
