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Content
2014
- 1405.1212 Market risk modelling in Solvency II regime and hedging options not using underlying
by Przemys{l}aw Klusik
- 1405.0878 Market Coupling as the Universal Algorithm to Assess Zonal Divisions
by Grzegorz Orynczak & Marcin Jakubek & Karol Wawrzyniak & Michal Klos
- 1405.0733 Spatial interactions in agent-based modeling
by Marcel Ausloos & Herbert Dawid & Ugo Merlone
- 1405.0732 Hedging of equity-linked with maximal success factor
by Klusik Przemyslaw
- 1405.0585 Evaluating gambles using dynamics
by Ole Peters & Murray Gell-Mann
- 1405.0515 KVA: Capital Valuation Adjustment
by Andrew Green & Chris Kenyon
- 1405.0508 MVA: Initial Margin Valuation Adjustment by Replication and Regression
by Andrew Green & Chris Kenyon
- 1405.0378 A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing
by Masaaki Fujii
- 1404.7698 An Optimal Consumption-Investment Model with Constraint on Consumption
by Zuo Quan Xu & Fahuai Yi
- 1404.7653 The role of the information set for forecasting - with applications to risk management
by Hajo Holzmann & Matthias Eulert
- 1404.7642 Predictive regressions for macroeconomic data
by Fukang Zhu & Zongwu Cai & Liang Peng
- 1404.7632 A multivariate model for financial indices and an algorithm for detection of jumps in the volatility
by Mario Bonino & Matteo Camelia & Paolo Pigato
- 1404.7493 Drawdown: From Practice to Theory and Back Again
by Lisa R. Goldberg & Ola Mahmoud
- 1404.7438 The least squares method for option pricing revisited
by Maciej Klimek & Marcin Pitera
- 1404.7406 Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs
by Erhan Bayraktar & Yuchong Zhang
- 1404.7377 The Italian Crisis and Producer Households Debt: a Source of Stability? A Reproducible Research
by Stefano Olgiati & Gilberto Bronzini & Alessandro Danovi
- 1404.7364 Predictable markets? A news-driven model of the stock market
by Maxim Gusev & Dimitri Kroujiline & Boris Govorkov & Sergey V. Sharov & Dmitry Ushanov & Maxim Zhilyaev
- 1404.7356 Analysis of a decision model in the context of equilibrium pricing and order book pricing
by Daniel C. Wagner & Thilo A. Schmitt & Rudi Schafer & Thomas Guhr & Dietrich E. Wolf
- 1404.7320 Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context
by Qinghua Li
- 1404.7314 Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
by Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth
- 1404.6792 Leveraged {ETF} implied volatilities from {ETF} dynamics
by Tim Leung & Matthew Lorig & Andrea Pascucci
- 1404.6637 Braided and Knotted Stocks in the Stock Market: Anticipating the flash crashes
by Ovidiu Racorean
- 1404.6227 A Multi-Entity Input Output (MEIO) Approach to Sustainability - Water-Energy-GHG (WEG) Footprint Statements in Use Cases from Auto and Telco Industries
by Reza Farrahi Moghaddam & Fereydoun Farrahi Moghaddam & Mohamed Cheriet
- 1404.6190 Polynomial Term Structure Models
by Si Cheng & Michael R. Tehranchi
- 1404.6120 Incorporating a Volatility Smile into the Markov-Functional Model
by Feijia Wang
- 1404.5689 Measurement and Internalization of Systemic Risk in a Global Banking Network
by Xiaobing Feng & Haibo Hu
- 1404.5408 Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case
by Jakub Trybu{l}a & Dariusz Zawisza
- 1404.5381 The Futures Premium and Rice Market Efficiency in Prewar Japan
by Mikio Ito & Kiyotaka Maeda & Akihiko Noda
- 1404.5271 Reconstruction of density functions by sk-splines
by A. Kushpel & J. Levesley
- 1404.5222 Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model
by Takashi Shinzato
- 1404.5203 Towards a Monotonicity-Compliant Price Index for the Art Market
by Ventura Charlin & Arturo Cifuentes
- 1404.5140 High-order compact finite difference scheme for option pricing in stochastic volatility models
by Bertram During & Michel Fourni'e
- 1404.5138 High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
by Bertram During & Michel Fourni'e & Christof Heuer
- 1404.5050 A Spectral Model of Turnover Reduction
by Zura Kakushadze
- 1404.4950 Expected Cash Flow: A Novel Model Of Evaluating Financial Assets
by Magomet Yandiev
- 1404.4798 Signal-wise performance attribution for constrained portfolio optimisation
by Bruno Durin
- 1404.4665 Approximate aggregation in the neoclassical growth model with ideosyncratic shocks
by Karsten Chipeniuk & Nets Hawk Katz & Todd Walker
- 1404.4659 Modelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models
by Jan Kuklinski & Doinita Negru & Pawel Pliszka
- 1404.4550 Macroprudential oversight, risk communication and visualization
by Peter Sarlin
- 1404.4464 On small-noise equations with degenerate limiting system arising from volatility models
by Giovanni Conforti & Stefano De Marco & Jean-Dominique Deuschel
- 1404.4275 A Bitcoin system with no mining and no history transactions: Build a compact Bitcoin system
by Xiaochao Qian
- 1404.4150 The Master Equation in Mean Field Theory
by Alain Bensoussan & Jens Frehse & Phillip Yam
- 1404.4068 Directed Random Market: the equilibrium distribution
by Guy Katriel
- 1404.4040 $L_p$ regularized portfolio optimization
by Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still
- 1404.4028 Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing
by Mark Higgins
- 1404.4014 Option Pricing Accuracy for Estimated Heston Models
by Robert Azencott & Yutheeka Gadhyan & Roland Glowinski
- 1404.3678 On the properties of nodal price response matrix in electricity markets
by Vadim Borokhov
- 1404.3555 Smile from the Past: A general option pricing framework with multiple volatility and leverage components
by Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi
- 1404.3347 Stability and Identification with Optimal Macroprudential Policy Rules
by Jean-Bernard Chatelain & Kirsten Ralf
- 1404.3274 Two centuries of trend following
by Y. Lemp'eri`ere & C. Deremble & P. Seager & M. Potters & J. P. Bouchaud
- 1404.3258 Regularizing Portfolio Risk Analysis: A Bayesian Approach
by Sourish Das & Aritra Halder & Dipak K. Dey
- 1404.3229 A Note on the Pricing of Basket Options Using Taylor Approximations
by Pablo Olivares & Alexander Alvarez
- 1404.3219 Estimating nonlinear regression errors without doing regression
by Hong Pi & Carsten Peterson
- 1404.3167 A Dynamical Model of the Industrial Economy of the Humber Region
by Christopher J. K. Knight & Alexandra S. Penn & Rebecca B. Hoyle
- 1404.3160 Pricing of Basket Options Using Polynomial Approximations
by Pablo Olivares
- 1404.3153 Asymptotics for $d$-dimensional L\'evy-type processes
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci
- 1404.2227 Facelifting in Utility Maximization
by Kasper Larsen & H. Mete Soner & Gordan Zitkovic
- 1404.2140 Financial bubbles: mechanisms and diagnostics
by Didier Sornette & Peter Cauwels
- 1404.2050 Bayesian DEJD model and detection of asymmetric jumps
by Maciej Kostrzewski
- 1404.1913 Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
by Nicole El Karoui & Mohamed Mrad & Caroline Hillairet
- 1404.1895 Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
by Nicole El Karoui & Caroline Hillairet & Mohamed Mrad
- 1404.1773 Derivative pricing under the possibility of long memory in the supOU stochastic volatility model
by Robert Stelzer & Jovana Zaviv{s}in
- 1404.1761 Impulse Control of a Diffusion with a Change Point
by Lokman A. Abbas-Turki & Ioannis Karatzas & Qinghua Li
- 1404.1730 Stochastic Evolution of Stock Market Volume-Price Distributions
by Paulo Rocha & Frank Raischel & Jo~ao P. da Cruz & Pedro G. Lind
- 1404.1516 Martingale optimal transport in the Skorokhod space
by Y. Dolinsky & H. M. Soner
- 1404.1441 A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
by Boualem Djehiche & Hamidou Tembine & Raul Tempone
- 1404.1367 Emergence of communities on a coevolutive model of wealth interchange
by A. Agreda & K. Tucci
- 1404.1351 Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia
by Carol Alexander & Johannes Rauch
- 1404.1180 Parallel American Monte Carlo
by Calypso Herrera & Louis Paulot
- 1404.1164 Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
by Mikio Ito & Kiyotaka Maeda & Akihiko Noda
- 1404.1052 An agent-based computational model for China's stock market and stock index futures market
by Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou
- 1404.1051 Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
by Jian Zhou & Gao-Feng Gu & Zhi-Qiang Jiang & Xiong Xiong & Wei Chen & Wei Zhang & Wei-Xing Zhou
- 1404.0879 Utility indifference pricing of derivatives written on industrial loss indexes
by Gunther Leobacher & Philip Ngare
- 1404.0746 Is It Possible to OD on Alpha?
by Zura Kakushadze & Jim Kyung-Soo Liew
- 1404.0651 On parameter identification in stochastic differential equations by penalized maximum likelihood
by Fabian Dunker & Thorsten Hohage
- 1404.0648 Dynamic optimal execution in a mixed-market-impact Hawkes price model
by Aur'elien Alfonsi & Pierre Blanc
- 1404.0601 Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility
by Jos'e E. Figueroa-L'opez & Sveinn 'Olafsson
- 1404.0410 Non-Arbitrage under a Class of Honest Times
by Tahir Choulli & Anna Aksamit & Jun Deng & Monique Jeanblanc
- 1404.0375 Principal wind turbines for a conditional portfolio approach to wind farms
by Vitor V. Lopes & Teresa Scholz & Frank Raischel & Pedro G. Lind
- 1404.0340 On the range of admissible term-structures
by Areski Cousin & Ibrahima Niang
- 1404.0243 Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models
by D. Sornette
- 1403.8125 Maximum drawdown, recovery, and momentum
by Jaehyung Choi
- 1403.8018 Are credit ratings time-homogeneous and Markov?
by Pedro Lencastre & Frank Raischel & Pedro G. Lind & Tim Rogers
- 1403.7830 Pseudo Linear Pricing Rule for Utility Indifference Valuation
by Vicky Henderson & Gechun Liang
- 1403.7800 Evolution of wealth in a nonconservative economy driven by local Nash equilibria
by Pierre Degond & Jian-Guo Liu & Christian Ringhofer
- 1403.7799 Inflation securities valuation with macroeconomic-based no-arbitrage dynamics
by Gabriele Sarais & Damiano Brigo
- 1403.7680 Omega risk model with tax
by Zhenyu Cui
- 1403.7628 Anatomy of a Bail-In
by Thomas Conlon & John Cotter
- 1403.7269 A Note on the Quantile Formulation
by Zuo Quan Xu
- 1403.7179 Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach
by Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti
- 1403.7021 Contextual and Structural Representations of Market-mediated Economic Value
by Bradly Alicea
- 1403.6531 Credit acceptance process strategy case studies - the power of Credit Scoring
by Karol Przanowski
- 1403.6378 Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies
by Stefan Bornholdt & Kim Sneppen
- 1403.6342 Behavioral and Network Origins of Wealth Inequality: Insights from a Virtual World
by Benedikt Fuchs & Stefan Thurner
- 1403.6175 Utility maximization in the large markets
by Oleksii Mostovyi
- 1403.6112 The role of the "Maximizing Output Growth Inflation Rate" in monetary policy
by Dominique Pepin
- 1403.6093 Reward-risk momentum strategies using classical tempered stable distribution
by Jaehyung Choi & Young Shin Kim & Ivan Mitov
- 1403.5965 The Implied Volatility Analysis: The South African Experience
by Romuald N. Kenmoe S & Carine D. Tafou
- 1403.5833 Sophisticated gamblers ruin and survival chances
by Salil Mehta
- 1403.5685 Trajectory Based Models, Arbitrage and Continuity
by Alexander Alvarez & Sebastian Ferrando
- 1403.5623 Systemic risk in dynamical networks with stochastic failure criterion
by B. Podobnik & D. Horvatic & M. Bertella & L. Feng & X. Huang & B. Li
- 1403.5599 The acceptance-rejection method for low-discrepancy sequences
by Nguyet Nguyen & Giray Okten
- 1403.5402 Time-changed CIR default intensities with two-sided mean-reverting jumps
by Rafael Mendoza-Arriaga & Vadim Linetsky
- 1403.5309 Multilevel Monte Carlo For Exponential L\'{e}vy Models
by Mike Giles & Yuan Xia
- 1403.5302 Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
by Archil Gulisashvili & Josep Vives
- 1403.5247 Portfolio Optimization in Affine Models with Markov Switching
by Marcos Escobar & Daniela Neykova & Rudi Zagst
- 1403.5236 A change of measure preserving the affine structure in the BNS model for commodity markets
by Fred Espen Benth & Salvador Ortiz-Latorre
- 1403.5227 Branching ratio approximation for the self-exciting Hawkes process
by Stephen J. Hardiman & Jean-Philippe Bouchaud
- 1403.5193 Predicting market instability: New dynamics between volume and volatility
by Zeyu Zheng & Zhi Qiao & Joel N. Tenenbaum & H. Eugene Stanley & Baowen Li
- 1403.5179 Collective behaviours in the stock market -- A maximum entropy approach
by Thomas Bury
- 1403.4460 Stationarity, non-stationarity and early warning signals in economic networks
by Tiziano Squartini & Diego Garlaschelli
- 1403.4329 On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market
by Alexandra Rodkina & Nikolai Dokuchaev
- 1403.4305 Which factor dominates the industry evolution? A synergy analysis based on China's ICT industry
by Yaya Li & Yongli Li & Yulin Zhao & Fang Wang
- 1403.4291 An importance sampling approach for copula models in insurance
by Philipp Arbenz & Mathieu Cambou & Marius Hofert
- 1403.4171 Least quartic Regression Criterion with Application to Finance
by Giuseppe arbia
- 1403.4111 Representation of infinite dimensional forward price models in commodity markets
by Fred Espen Benth & Paul Kruhner
- 1403.4099 High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm
by Dieter Hendricks & Diane Wilcox & Tim Gebbie
- 1403.4069 Momentum Strategies with L1 Filter
by Tung-Lam Dao
- 1403.3756 A fast Fourier transform method for Mellin-type option pricing
by D. J. Manuge & P. T. Kim
- 1403.3638 Networked relationships in the e-MID Interbank market: A trading model with memory
by Giulia Iori & Rosario N. Mantegna & Luca Marotta & Salvatore Micciche' & James Porter & Michele Tumminello
- 1403.3627 A re-examination of real interest parity in CEECs using old and new generations of panel unit root tests
by Claudiu Tiberiu Albulescu & Dominique Pepin & Aviral Kumar Tiwari
- 1403.3584 Testing for Detailed Balance in a Financial Market
by Rudolf Fiebig & David Musgrove
- 1403.3571 Anomalous impact in reaction-diffusion models
by Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud
- 1403.3478 Empirical properties of inter-cancellation durations in the Chinese stock market
by Gao-Feng Gu & Xiong Xiong & Wei Zhang & Yong-Jie Zhang & Wei-Xing Zhou
- 1403.3459 Structure conditions under progressively added information
by Tahir Choulli & Jun Deng
- 1403.3362 Coherent Chaos Interest Rate Models
by Dorje C. Brody & Stala Hadjipetri
- 1403.3294 Detecting informed activities in European-style option tradings
by Lyudmila A. Glik & Oleg L. Kritski
- 1403.3223 Merton problem with one additional indivisible asset
by Jakub Trybu{l}a
- 1403.3212 Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences-Stochastic Factor Case
by Jakub Trybu{l}a & Dariusz Zawisza
- 1403.3138 Distribution of the asset price movement and market potential
by Dong Han Kim & Stefano Marmi
- 1403.2730 Quadratic BSDEs with jumps: related non-linear expectations
by M. Nabil Kazi-Tani & Dylan Possamai & Chao Zhou
- 1403.2229 A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution
by Dieter Hendricks & Diane Wilcox
- 1403.2060 Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models
by Michael B. Walker
- 1403.2050 Partial Mutual Information Analysis of Financial Networks
by Pawe{l} Fiedor
- 1403.1889 Introduction to Risk Parity and Budgeting
by Thierry Roncalli
- 1403.1822 Zipf's law in city size from a resource utilization model
by Asim Ghosh & Arnab Chatterjee & Anindya S. Chakrabarti & Bikas K Chakrabarti
- 1403.1804 High-Order Splitting Methods for Forward PDEs and PIDEs
by Andrey Itkin
- 1403.1715 Do Google Trend data contain more predictability than price returns?
by Damien Challet & Ahmed Bel Hadj Ayed
- 1403.1637 Inside Money, Procyclical Leverage, and Banking Catastrophes
by Charles D. Brummitt & Rajiv Sethi & Duncan J. Watts
- 1403.1574 Consentaneous agent-based and stochastic model of the financial markets
by V. Gontis & A. Kononovicius
- 1403.1548 To bail-out or to bail-in? Answers from an agent-based model
by Peter Klimek & Sebastian Poledna & J. Doyne Farmer & Stefan Thurner
- 1403.1509 Modelling the Bid and Ask Prices of Illiquid CDSs
by Michael B. Walker
- 1403.1363 International Transmission of Shocks and Fragility of a Bank Network
by Xiaobing Feng & Woo Seong Jo & Beom Jun Kim
- 1403.1183 On the Frequency of Drawdowns for Brownian Motion Processes
by David Landriault & Bin Li & Hongzhong Zhang
- 1403.1086 Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging
by Johan Gunnesson & Alberto Fern'andez Mu~noz de Morales
- 1403.0994 On the Hawkes Process with Different Exciting Functions
by Behzad Mehrdad & Lingjiong Zhu
- 1403.0851 Asset Prices and Risk Aversion
by Dominique Pepin
- 1403.0848 Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics
by Andreas Joseph & Irena Vodenska & Eugene Stanley & Guanrong Chen
- 1403.0842 The adaptive nature of liquidity taking in limit order books
by Damian Eduardo Taranto & Giacomo Bormetti & Fabrizio Lillo
- 1403.0718 Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
by Xiangyu Cui & Duan Li & Xun Li
- 1403.0648 Multi-period Trading Prediction Markets with Connections to Machine Learning
by Jinli Hu & Amos Storkey
- 1403.0627 Exchange Rate Predictability in a Changing World
by Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro
- 1403.0527 Parameter estimation for the subcritical Heston model based on discrete time observations
by Matyas Barczy & Gyula Pap & Tamas T. Szabo
- 1403.0333 Intrinsic Prices Of Risk
by Truc Le
- 1403.0202 Investing and Stopping
by Moritz Duembgen & L. C. G. Rogers
- 1403.0064 Leverage effect in energy futures
by Ladislav Kristoufek
- 1403.0015 Micro to macro models for income distribution in the absence and in the presence of tax evasion
by Maria Letizia Bertotti & Giovanni Modanese
- 1402.7027 Efficient Modeling and Forecasting of the Electricity Spot Price
by Florian Ziel & Rick Steinert & Sven Husmann
- 1402.6760 Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target
by Hanqing Jin & Yimin Yang
- 1402.6583 Finding informed traders in futures and their inderlying assets in intraday trading
by Lyudmila A. Glik & Oleg L. Kritski
- 1402.6444 A First-Order BSPDE for Swing Option Pricing: Classical Solutions
by Christian Bender & Nikolai Dokuchaev
- 1402.6393 Prospect Theory for Online Financial Trading
by Yang-Yu Liu & Jose C. Nacher & Tomoshiro Ochiai & Mauro Martino & Yaniv Altshuler
- 1402.6313 Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift
by Abdelali Gabih & Hakam Kondakji & Jorn Sass & Ralf Wunderlich
- 1402.6204 The role of information in a two-traders market
by F. Bagarello & E. Haven
- 1402.5679 Time-dependent Heston model
by G. S. Vasilev
- 1402.5534 Estimation Error of Expected Shortfall
by Imre Kondor
- 1402.5373 Technology Parks Potential for Small and Medium Enterprises
by Anna V. Vilisova & Qiang Fu
- 1402.5352 Systemic Risk and Default Clustering for Large Financial Systems
by Konstantinos Spiliopoulos
- 1402.5306 Rebalancing with Linear and Quadratic Costs
by Ren Liu & Johannes Muhle-Karbe & Marko H. Weber
- 1402.5304 Trading with Small Price Impact
by Ludovic Moreau & Johannes Muhle-Karbe & H. Mete Soner
- 1402.5300 Purchasing Life Insurance to Reach a Bequest Goal
by Erhan Bayraktar & David Promislow & Virginia Young
- 1402.5208 Densely Entangled Financial Systems
by Bhaskar DasGupta & Lakshmi Kaligounder
- 1402.5094 Accelerating Implicit Finite Difference Schemes Using a Hardware Optimized Tridiagonal Solver for FPGAs
by Samuel Palmer
- 1402.4783 Mapping systemic risk: critical degree and failures distribution in financial networks
by Matteo Smerlak & Brady Stoll & Agam Gupta & James S. Magdanz
- 1402.4683 Tails of weakly dependent random vectors
by Peter Tankov
- 1402.4551 A debt behaviour model
by Wenjun Zhang & John Holt
- 1402.4171 Reconstructing the world trade multiplex: the role of intensive and extensive biases
by Rossana Mastrandrea & Tiziano Squartini & Giorgio Fagiolo & Diego Garlaschelli
- 1402.4150 On Simulation of Various Effects in Consolidated Order Book
by A. O. Glekin & A. Lykov & K. L. Vaninsky
- 1402.4047 Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach
by M. Koz{l}owska & T. Gubiec & T. R. Werner & M. Denys & A. Sienkiewicz & R. Kutner & Z. Struzik
- 1402.3820 Information-theoretic approach to lead-lag effect on financial markets
by Pawe{l} Fiedor
- 1402.3725 On the shortfall risk control -- a refinement of the quantile hedging method
by Micha{l} Barski
- 1402.3720 The geometry of relative arbitrage
by Soumik Pal & Ting-Kam Leonard Wong
- 1402.3688 Systemic Losses Due to Counter Party Risk in a Stylized Banking System
by Annika Birch & Tomaso Aste
- 1402.3562 Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching
by Bin Zou & Abel Cadenillas
- 1402.3560 Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
by Bin Zou & Abel Cadenillas
- 1402.3483 News Cohesiveness: an Indicator of Systemic Risk in Financial Markets
by Matija Piv{s}korec & Nino Antulov-Fantulin & Petra Kralj Novak & Igor Mozetiv{c} & Miha Grv{c}ar & Irena Vodenska & Tomislav v{S}muc
- 1402.3464 Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time
by Jianjun Gao & Ke Zhou & Duan Li & Xiren Cao
- 1402.3424 Reference Vectors in Economic Choice
by Teycir Abdelghani Goucha
- 1402.3030 Information ratio analysis of momentum strategies
by Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen
- 1402.2599 Model-independent Superhedging under Portfolio Constraints
by Arash Fahim & Yu-Jui Huang
- 1402.2596 On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints
by Erhan Bayraktar & Zhou Zhou
- 1402.2494 Stock portfolio structure of individual investors infers future trading behavior
by Ludvig Bohlin & Martin Rosvall
- 1402.2492 Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression
by Alice X. D. Dong & Jennifer S. K. Chan & Gareth W. Peters
- 1402.2273 Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate
by Anatoliy Swishchuk & Maksym Tertychnyi & Winsor Hoang
- 1402.2198 Multi-scale Representation of High Frequency Market Liquidity
by Anton Golub & Gregor Chliamovitch & Alexandre Dupuis & Bastien Chopard
- 1402.2046 Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading
by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo
- 1402.1953 Pricing Currency Derivatives with Markov-modulated Levy Dynamics
by Anatoliy Swishchuk & Maksym Tertychnyi & Robert Elliott
- 1402.1809 Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
by Erhan Bayraktar & Yuchong Zhang
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