Contact information of arXiv.org
Corrections
All material on this site has been provided by the respective publishers and authors. You can help
correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Content
2015
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
- 1412.3140 Multilevel approximation of backward stochastic differential equations
by Dirk Becherer & Plamen Turkedjiev
- 1412.3126 Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets
by Omar Rojas & Carlos Trejo-Pech
- 1412.2746 Taxation as an instrument of stimulation of innovation-active business entities
by Andrey Nechaev
- 1412.2453 A BSDE approach to fair bilateral pricing under endogenous collateralization
by Tianyang Nie & Marek Rutkowski
- 1412.2399 Modellierungskonzepte der Synergetik und der Theorie der Selbstorganisation
by Werner Ebeling & Andrea Scharnhorst
- 1412.2262 Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
by Erhan Bayraktar & David Promislow & Virginia Young
- 1412.2152 Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate
by Elia Zarinelli & Michele Treccani & J. Doyne Farmer & Fabrizio Lillo
- 1412.2124 Competition of Commodities for the Status of Money in an Agent-based Model
by Robert Gk{e}barowski & Stanis{l}aw Dro.zd.z & Andrzej Z. G'orski & Pawe{l} O'swik{e}cimka
- 1412.2053 Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games
by Erhan Bayraktar & Song Yao
- 1412.1991 Reserve-Dependent Surrender
by Kamille Sofie T{aa}gholt Gad & Jeppe Juhl & Mogens Steffensen
- 1412.1679 Stess-testing the system: Financial shock contagion in the realm of uncertainty
by Stefano Gurciullo
- 1412.1618 Spanning trees of the World Trade Web: real-world data and the gravity model of trade
by Patryk Skowron & Mariusz Karpiarz & Agata Fronczak & Piotr Fronczak
- 1412.1469 A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding
by Giovanni Mottola
- 1412.1429 Model-Independent Pricing of Asian Options via Optimal Martingale Transport
by Florian Stebegg
- 1412.1325 Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA
by Giovanni Mottola
- 1412.1298 Gas Storage valuation with regime switching
by Nicole Bauerle & Viola Riess
- 1412.1293 Skewness and kurtosis analysis for non-Gaussian distributions
by Ahmet Celikoglu & Ugur Tirnakli
- 1412.1183 Regulatory Capital Modelling for Credit Risk
by Marek Rutkowski & Silvio Tarca
- 1412.0950 Firm size distribution in Italy and employment protection
by Luca Amendola
- 1412.0542 Budget Imbalance Criteria for Auctions: A Formalized Theorem
by Marco B. Caminati & Manfred Kerber & Colin Rowat
- 1412.0217 Market impacts and the life cycle of investors orders
by Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle
- 1412.0148 The impact of startup costs and the grid operator on the power price equilibrium
by Miha Troha & Raphael Hauser
- 1412.0141 A fully consistent, minimal model for non-linear market impact
by Jonathan Donier & Julius Bonart & Iacopo Mastromatteo & Jean-Philippe Bouchaud
- 1412.0127 A biased view of a few possible components when reflecting on the present decade financial and economic crisis
by Marcel Ausloos
- 1412.0064 Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia
by Silvio Tarca & Marek Rutkowski
- 1412.0042 Misspecified Recovery
by Jaroslav Boroviv{c}ka & Lars Peter Hansen & Jos'e A. Scheinkman
- 1411.7991 Existence and Uniqueness of a Steady State for an OTC Market with Several Assets
by Alain Belanger & Ndoune Ndoune
- 1411.7880 Evidence of Economic Regularities and Disparities of Italian Regions From Aggregated Tax Income Size Data
by Roy Cerqueti & Marcel Ausloos
- 1411.7805 Improving predictability of time series using maximum entropy methods
by Gregor Chliamovitch & Alexandre Dupuis & Bastien Chopard & Anton Golub
- 1411.7670 Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line
by Erwan Pierre & St'ephane Villeneuve & Xavier Warin
- 1411.7653 Asymptotic behaviour of the fractional Heston model
by Hamza Guennoun & Antoine Jacquier & Patrick Roome & Fangwei Shi
- 1411.7613 Systemic risk analysis in reconstructed economic and financial networks
by Giulio Cimini & Tiziano Squartini & Diego Garlaschelli & Andrea Gabrielli
- 1411.7593 Indirect Influences in International Trade
by Rafael Diaz & Laura Gomez
- 1411.7502 Hydrodynamic limit of order book dynamics
by Xuefeng Gao & S. J. Deng
- 1411.7494 An Evolutionary Optimization Approach to Risk Parity Portfolio Selection
by Ronald Hochreiter
- 1411.7231 Risk-Sensitive Mean-Field Type Control under Partial Observation
by Boualem Djehiche & Hamidou Tembine
- 1411.6938 On Trading American Put Options with Interactive Volatility
by Sigurd Assing & Yufan Zhao
- 1411.6657 Risk minimization and portfolio diversification
by Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu
- 1411.6507 Inference in High Dimensional Panel Models with an Application to Gun Control
by Alexandre Belloni & Victor Chernozhukov & Christian Hansen & Damian Kozbur
- 1411.6256 Randomized versions of Mazur lemma and Krein-Smulian theorem
by Jose Miguel Zapata
- 1411.6250 Identification and Estimation of Multidimensional Screening
by Gaurab Aryal & Federico Zincenko
- 1411.6080 Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
by Tim Leung & Xin Li & Zheng Wang
- 1411.5625 Two maxentropic approaches to determine the probability density of compound risk losses
by Erika Gomes-Gonc{c}alves & Henryk Gzyl & Silvia Mayoral
- 1411.5453 Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization
by Xiaolin Luo & Pavel V. Shevchenko
- 1411.5159 Large deviations of the realized (co-)volatility vector
by Hac`ene Djellout & Arnaud Guillin & Yacouba Samoura
- 1411.5062 Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
by Tim Leung & Xin Li
- 1411.4970 Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines
by David Walsh-Jones & Daniel Jones & Christoph Reisinger
- 1411.4851 Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm
by Frank Gehmlich & Thorsten Schmidt
- 1411.4756 Diversification versus specialization -- lessons from a noise driven linear dynamical system
by Gabriell Mate & Zoltan Neda
- 1411.4633 Theories of Accounting: Evolution & Developments, Income-Determination and Diversities in Use
by Angus O. Unegbu
- 1411.4606 The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels
by Jihun Han & Hyungbin Park
- 1411.4441 On the Coherent Risk Measure Representations in the Discrete Probability Spaces
by Kerem Ugurlu
- 1411.4438 Solving finite time horizon Dynkin games by optimal switching
by Randall Martyr
- 1411.4265 Methodological thoughts on expected loss estimates for IFRS 9 impairment: hidden reserves, cyclical loss predictions and LGD backtesting
by Wolfgang Reitgruber
- 1411.4193 Characterization of Market Models in the Presence of Traded Vanilla and Barrier Options
by Peter Spoida
- 1411.3977 Multi-curve HJM modelling for risk management
by Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti
- 1411.3947 Incorporating Views on Market Dynamics in Options Hedging
by Antoine E. Zambelli
- 1411.3618 A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
by Ben Hambly & Matthieu Mariapragassam & Christoph Reisinger
- 1411.3615 Kelly criterion for variable pay-off
by Ricardo P'erez-Marco
- 1411.3399 Trend and Fractality Assessment of Mexico's Stock Exchange
by Javier Morales & V'ictor Tercero & Fernando Camacho & Eduardo Cordero & Luis L'opez & F-Javier Almaguer
- 1411.3078 Long Term Risk: A Martingale Approach
by Likuan Qin & Vadim Linetsky
- 1411.3075 Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing
by Likuan Qin & Vadim Linetsky
- 1411.2950 Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That
by Peter B. Lerner
- 1411.2835 A continuous auction model with insiders and random time of information release
by Jos'e Manuel Corcuera & Giulia Di Nunno & Gergely Farkas & Bernt {O}ksendal
Printed from https://ideas.repec.org/s/arx/papers126.html
