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2016
- 1611.06098 On the wavelets-based SWIFT method for backward stochastic differential equations
by Ki Wai Chau & Cornelis W. Oosterlee - 1611.06010 Value-at-Risk Prediction in R with the GAS Package
by David Ardia & Kris Boudt & Leopoldo Catania - 1611.05690 A decomposition algorithm for computing income taxes with pass-through entities and its application to the Chilean case
by Javiera Barrera & Eduardo Moreno & Sebastian Varas - 1611.05571 Random matrix approach to estimation of high-dimensional factor models
by Joongyeub Yeo & George Papanicolaou - 1611.05518 Robust Trading of Implied Skew
by Sergey Nadtochiy & Jan Obloj - 1611.05288 Analysis of Price and Income Elasticities of Energy Demand in Ecuador: A Dynamic OLS Approach
by Kathia Pinz\'on - 1611.05280 Toward Economics as a New Complex System
by Taisei Kaizoji - 1611.05194 Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals
by Kensuke Ishitani - 1611.04941 Empirical analysis of daily cash flow time series and its implications for forecasting
by Francisco Salas-Molina & Juan A. Rodr\'iguez-Aguilar & Joan Serr\`a & Montserrat Guillen & Francisco J. Martin - 1611.04877 The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach
by Xavier Warin - 1611.04851 Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall
by Marie Kratz & Yen H. Lok & Alexander J McNeil - 1611.04494 Predictable Forward Performance Processes: The Binomial Case
by Bahman Angoshtari & Thaleia Zariphopoulou & Xun Yu Zhou - 1611.04320 Regularization and analytic option pricing under $\alpha$-stable distribution of arbitrary asymmetry
by Jean-Philippe Aguilar & Cyril Coste & Hagen Kleinert & Jan Korbel - 1611.04311 How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation
by Matteo Serri & Guido Caldarelli & Giulio Cimini - 1611.04091 Immediate price impact of a stock and its warrant: Power-law or logarithmic model?
by Hai-Chuan Xu & Zhi-Qiang Jiang & Wei-Xing Zhou - 1611.04090 Time-varying return predictability in the Chinese stock market
by Huai-Long Shi & Zhi-Qiang Jiang & Wei-Xing Zhou - 1611.03782 What do central counterparties default funds really cover? A network-based stress test answer
by Giulia Poce & Giulio Cimini & Andrea Gabrielli & Andrea Zaccaria & Giuditta Baldacci & Marco Polito & Mariangela Rizzo & Silvia Sabatini - 1611.03740 Properties of the financial break-even point in a simple investment project as a function of the discount rate
by Domingo A. Tarzia - 1611.03435 Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
by Paulwin Graewe & Ulrich Horst - 1611.03239 Distributional Mellin calculus in $\mathbb{C}^n$, with applications to option pricing
by Jean-Philippe Aguilar & Cyril Coste & Hagen Kleinert & Jan Korbel - 1611.03110 Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies
by Tim Leung & Jamie Kang - 1611.02961 A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models
by Maarten Wyns & Jacques Du Toit - 1611.02952 Unexpected Default in an Information Based Model
by Matteo Ludovico Bedini & Rainer Buckdahn & Hans-J\"urgen Engelbert - 1611.02877 Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment
by Damiano Brigo & Fr\'ed\'eric Vrins - 1611.02760 The missing assets and the size of Shadow Banking: an update
by Davide Fiaschi & Imre Kondor & Matteo Marsili & Valerio Volpati - 1611.02556 Application of the Generalized Linear Models in Actuarial Framework
by Murwan H. M. A. Siddig - 1611.02549 Emerging interdependence between stock values during financial crashes
by Jacopo Rocchi & Enoch Yan Lok Tsui & David Saad - 1611.02547 Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach
by Moustapha Pemy - 1611.02270 The Average-Marginal Relationship and Tractable Equilibrium Forms
by Michal Fabinger & E. Glen Weyl - 1611.02026 Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous Volatility
by Milan Kumar Das & Anindya Goswami & Tanmay S. Patankar - 1611.01958 Optimal shrinkage-based portfolio selection in high dimensions
by Taras Bodnar & Yarema Okhrin & Nestor Parolya - 1611.01771 An Equilibrium Model with Computationally Constrained Agents
by Wolfgang Kuhle - 1611.01767 EM Algorithm and Stochastic Control in Economics
by Steven Kou & Xianhua Peng & Xingbo Xu - 1611.01531 Effects of income redistribution on the evolution of cooperation in spatial public goods games
by Zhenhua Pei & Baokui Wang & Jinming Du - 1611.01524 `To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers
by Vasyl Golosnoy & Nestor Parolya - 1611.01471 A fair monetization model to reconcile authors and consumers of intellectual property
by Evgeny Ivanko - 1611.01463 International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints
by Nonthachote Chatsanga & Andrew J. Parkes - 1611.01440 Liquidity induced asset bubbles via flows of ELMMs
by Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis - 1611.01381 Revealing the Anatomy of Vote Trading
by Omar A. Guerrero & Ulrich Matter - 1611.01379 Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
by Bertram D\"uring & Christian Hendricks & James Miles - 1611.01285 Naive Diversification Preferences and their Representation
by Enrico G. De Giorgi & Ola Mahmoud - 1611.01280 Optimal portfolio selection under vanishing fixed transaction costs
by S\"oren Christensen & Albrecht Irle & Andreas Ludwig - 1611.00997 LQG for portfolio optimization
by M. Abeille & E. Serie & A. Lazaric & X. Brokmann - 1611.00970 Working Paper on Organizational Dynamics within Corporate Venture Capital Firms
by Michael Rolfes & Alex "Sandy" Pentland - 1611.00897 Joint multifractal analysis based on wavelet leaders
by Zhi-Qiang Jiang & Yan-Hong Yang & Gang-Jin Wang & Wei-Xing Zhou - 1611.00885 Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function
by Maria do Rosario Grossinho & Yaser Kord Faghan & Daniel Sevcovic - 1611.00723 Socio-economic inequality and prospects of institutional Econophysics
by Arnab Chatterjee & Asim Ghosh & Bikas K Chakrabarti - 1611.00464 Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo
by Ivan Guo & Gregoire Loeper - 1611.00389 Option pricing in exponential L\'{e}vy models with transaction costs
by Nicola Cantarutti & Jo\~ao Guerra & Manuel Guerra & Maria do Ros\'ario Grossinho - 1611.00316 Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids
by Bertram D\"uring & Christof Heuer - 1611.00156 Globalization Process in Emerging Capital Markets -- Lessons and Implications to China
by Zichong Li & Pengyu Huang - 1610.10078 Optimal retirement income tontines
by Moshe A. Milevsky & Thomas S. Salisbury - 1610.10029 Meta-CTA Trading Strategies based on the Kelly Criterion
by Bernhard K. Meister - 1610.09904 Mean Field Game of Controls and An Application To Trade Crowding
by Pierre Cardaliaguet & Charles-Albert Lehalle - 1610.09875 Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts
by Eckhard Platen & David Taylor - 1610.09812 Long-range Correlation and Market Segmentation in Bond Market
by Zhongxing Wang & Yan Yan & Xiaosong Chen - 1610.09734 Model-free bounds on Value-at-Risk using partial dependence information
by Thibaut Lux & Antonis Papapantoleon - 1610.09714 Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure
by Teh Raihana Nazirah Roslan & Wenjun Zhang & Jiling Cao - 1610.09622 Numerical study of splitting methods for American option valuation
by Karel in 't Hout & Radoslav Valkov - 1610.09542 Managing Default Contagion in Inhomogeneous Financial Networks
by Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter - 1610.09519 Multifractal cross wavelet analysis
by Zhi-Qiang Jiang & Wei-Xing Zhou & H. Eugene Stanley - 1610.09404 Understanding the Tracking Errors of Commodity Leveraged ETFs
by Kevin Guo & Tim Leung - 1610.09403 Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options
by Kevin Guo & Tim Leung - 1610.09384 Equitable retirement income tontines: Mixing cohorts without discriminating
by M. A. Milevsky & T. S. Salisbury - 1610.09306 Calls, zonoids, peacocks and log-concavity
by Michael R. Tehranchi - 1610.09292 Optimal Shrinkage Estimator for High-Dimensional Mean Vector
by Taras Bodnar & Ostap Okhrin & Nestor Parolya - 1610.09234 Super-Replication with Fixed Transaction Costs
by Peter Bank & Yan Dolinsky - 1610.09230 Robust Utility Maximization in Discrete-Time Markets with Friction
by Ariel Neufeld & Mario Sikic - 1610.09124 Model-independent pricing with insider information: a Skorokhod embedding approach
by Beatrice Acciaio & Alexander M. G. Cox & Martin Huesmann - 1610.09085 On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models
by Takuji Arai & Yuto Imai - 1610.08921 Theory of earthquakes interevent times applied to financial markets
by Maciej Jagielski & Ryszard Kutner & Didier Sornette - 1610.08918 Income and wealth distribution of the richest Norwegian individuals: An inequality analysis
by Maciej Jagielski & Kordian Czy\.zewski & Ryszard Kutner & H. Eugene Stanley - 1610.08878 Asymptotics for rough stochastic volatility models
by Martin Forde & Hongzhong Zhang - 1610.08818 Agnostic Risk Parity: Taming Known and Unknown-Unknowns
by Raphael Benichou & Yves Lemp\'eri\`ere & Emmanuel S\'eri\'e & Julien Kockelkoren & Philip Seager & Jean-Philippe Bouchaud & Marc Potters - 1610.08806 Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures
by Niushan Gao & Denny H. Leung & Foivos Xanthos - 1610.08782 Intrinsic risk measures
by W. Farkas & A. Smirnow - 1610.08767 Equity Market Impact Modeling: an Empirical Analysis for Chinese Market
by Shiyu Han & Lan Wu & Yuan Cheng - 1610.08732 On exponential functionals of processes with independent increments
by Paavo Salminen & L Vostrikova - 1610.08676 $\kappa$-generalized models of income and wealth distributions: A survey
by F. Clementi & M. Gallegati & G. Kaniadakis & S. Landini - 1610.08644 Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point
by Oliver Janke - 1610.08558 Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio
by Ankush Agarwal & Ronnie Sircar - 1610.08416 Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations
by Jaroslaw Kwapien & Pawel Oswiecimka & Marcin Forczek & Stanislaw Drozdz - 1610.08415 A Comparison of Various Electricity Tariff Price Forecasting Techniques in Turkey and Identifying the Impact of Time Series Periods
by T. O. Benli - 1610.08414 The Fellowship of LIBOR: A Study of Spurious Interbank Correlations by the Method of Wigner-Ville Function
by Peter B. Lerner - 1610.08230 Short term prediction of extreme returns based on the recurrence interval analysis
by Zhi-Qiang Jiang & Gang-Jin Wang & Askery Canabarro & Boris Podobnik & Chi Xie & H. Eugene Stanley & Wei-Xing Zhou - 1610.08143 Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics
by Tim Leung & Zheng Wang - 1610.08104 Cleaning large correlation matrices: tools from random matrix theory
by Jo\"el Bun & Jean-Philippe Bouchaud & Marc Potters - 1610.07694 Efficient Simulation Method for Dynamic Portfolio Selection with Transaction Cost, Liquidity Cost and Market Impact
by Rongju Zhang & Nicolas Langren\'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza - 1610.07292 Population growth, interest rate, and housing tax in the transitional China
by Ling-Yun He & Xing-Chun Wen - 1610.07287 The asset price bubbles in emerging financial markets: a new statistical approach
by Shu-Peng Chen & Ling-Yun He - 1610.07131 Asymptotic of Non-Crossings probability of Additive Wiener Fields
by Pingjin Deng - 1610.07028 Techniques for multifractal spectrum estimation in financial time series
by Petr Jizba & Jan Korbel - 1610.06805 Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix
by Amine Ismail & Huy\^en Pham - 1610.05892 Centrality measures in networks based on nodes attributes, long-range interactions and group influence
by F. Aleskerov & N. Meshcheryakova & S. Shvydun - 1610.05728 Approximate pricing of European and Barrier claims in a local-stochastic volatility setting
by Weston Barger & Matthew Lorig - 1610.05703 Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques
by A. Belenky & L. Egorova - 1610.05697 "Butterfly Effect" vs Chaos in Energy Futures Markets
by Loretta Mastroeni & Pierluigi Vellucci - 1610.05583 Price Dynamics Via Expectations, and the Role of Money Therein
by Gesine A. Steudle & Saini Yang & Carlo C. Jaeger - 1610.05494 Network reconstruction via density sampling
by Tiziano Squartini & Giulio Cimini & Andrea Gabrielli & Diego Garlaschelli - 1610.05448 Generalization error minimization: a new approach to model evaluation and selection with an application to penalized regression
by Ning Xu & Jian Hong & Timothy C. G. Fisher - 1610.05383 Detection of intensity bursts using Hawkes processes: an application to high frequency financial data
by Marcello Rambaldi & Vladimir Filimonov & Fabrizio Lillo - 1610.05171 Urban-rural gap and poverty traps in China: A prefecture level analysis
by Jian-Xin Wu & Ling-Yun He - 1610.05018 An explicit formula for optimal portfolios in complete Wiener driven markets: a functional It\^o calculus approach
by Kristoffer Lindensj\"o - 1610.04760 Uncertainty Estimates in the Heston Model via Fisher Information
by Oliver Pfante & Nils Bertschinger - 1610.04458 Optimal trading policies for wind energy producer
by Zongjun Tan & Peter Tankov - 1610.04334 Time-Varying Comovement of Foreign Exchange Markets
by Mikio Ito & Akihiko Noda & Tatsuma Wada - 1610.04085 The Fatou Closedness under Model Uncertainty
by Marco Maggis & Thilo Meyer-Brandis & Gregor Svindland - 1610.04051 Time value of extra information against its timely value
by N. Serhan Aydin - 1610.03958 Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
by Albert Altarovici & Max Reppen & H. Mete Soner - 1610.03936 A framework for analyzing contagion in assortative banking networks
by Thomas R. Hurd & James P. Gleeson & Sergey Melnik - 1610.03769 On Origins of Bubbles
by Zura Kakushadze - 1610.03718 Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions
by J. D. Opdyke - 1610.03259 Epidemics of Liquidity Shortages in Interbank Markets
by Giuseppe Brandi & Riccardo Di Clemente & Giulio Cimini - 1610.03230 Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model
by R\'uben Sousa & Ana Bela Cruzeiro & Manuel Guerra - 1610.03086 Option pricing with Legendre polynomials
by Julien Hok & Tat Lung Chan - 1610.03050 Dependent Defaults and Losses with Factor Copula Models
by Damien Ackerer & Thibault Vatter - 1610.02940 Constrained Optimal Transport
by Ibrahim Ekren & H. Mete Soner - 1610.02863 Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
by F Blasques & P Gorgi & S Koopman & O Wintenberger - 1610.02456 Volatility Smile as Relativistic Effect
by Zura Kakushadze - 1610.02126 Multiple risk factor dependence structures: Copulas and related properties
by Jianxi Su & Edward Furman - 1610.01946 Efficient Valuation of SCR via a Neural Network Approach
by Seyed Amir Hejazi & Kenneth R. Jackson - 1610.01937 Trading against disorderly liquidation of a large position under asymmetric information and market impact
by Caroline Hillairet & Cody Hyndman & Ying Jiao & Renjie Wang - 1610.01645 Administration Costs in the Management of Research Funds; A Case Study of a Public Fund for the Promotion of Industrial Innovation
by David R Walwyn - 1610.01450 Mixture Diffusion for Asset Pricing
by Xin Liu - 1610.01338 The Cross-section of Expected Returns on Penny Stocks: Are Low-hanging Fruits Not-so Sweet?
by Ananjan Bhattacharyya & Abhijeet Chandra - 1610.01270 Information inefficiency in a random linear economy model
by Joao Pedro Jerico & Renato Vicente - 1610.01227 A Duality Result for Robust Optimization with Expectation Constraints
by Christopher W. Miller - 1610.01149 Taylor's Law of temporal fluctuation scaling in stock illiquidity
by Qing Cai & Hai-Chuan Xu & Wei-Xing Zhou - 1610.00999 Exponential utility maximization under model uncertainty for unbounded endowments
by Daniel Bartl - 1610.00955 Inventory growth cycles with debt-financed investment
by Matheus Grasselli & Adrien Nguyen-Huu - 1610.00937 Sharpe portfolio using a cross-efficiency evaluation
by Juan F. Monge & Mercedes Landete & Jos\'e L. Ruiz - 1610.00818 The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models
by Likuan Qin & Vadim Linetsky - 1610.00795 A hybrid approach to assess systemic risk in financial networks
by Daniele Petrone & Vito Latora - 1610.00778 Long-Term Factorization of Affine Pricing Kernels
by Likuan Qin & Vadim Linetsky - 1610.00577 Exponential functionals of Levy processes and variable annuity guaranteed benefits
by Runhuan Feng & Alexey Kuznetsov & Fenghao Yang - 1610.00395 Optimal Portfolios of Illiquid Assets
by T. R. Hurd & Quentin H. Shao & Tuan Tran - 1610.00332 Decoupling the short- and long-term behavior of stochastic volatility
by Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen - 1610.00312 Volatility Inference and Return Dependencies in Stochastic Volatility Models
by Oliver Pfante & Nils Bertschinger - 1610.00274 The complex dynamics of products and its asymptotic properties
by Orazio Angelini & Matthieu Cristelli & Andrea Zaccaria & Luciano Pietronero - 1610.00261 Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
by Charles-Albert Lehalle & Othmane Mounjid - 1610.00259 Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016
by Rui Menezes & Sonia Bentes - 1610.00256 XVA at the Exercise Boundary
by Andrew Green & Chris Kenyon - 1609.09601 Biased Roulette Wheel: A Quantitative Trading Strategy Approach
by Giancarlo Salirrosas Mart\'inez - 1609.09571 The Role of Rating and Loan Characteristics in Online Microfunding Behaviors
by Gaurav Paruthi & Enrique Frias-Martinez & Vanessa Frias-Martinez - 1609.09205 Robust Optimal Investment in Discrete Time for Unbounded Utility Function
by Laurence Carassus & Romain Blanchard - 1609.08978 A stylized model for wealth distribution
by Bertram D\"uring & Nicos Georgiou & Enrico Scalas - 1609.08746 When Big Data Fails! Relative success of adaptive agents using coarse-grained information to compete for limited resources
by V. Sasidevan & Appilineni Kushal & Sitabhra Sinha - 1609.08520 Clustering Approaches for Financial Data Analysis: a Survey
by Fan Cai & Nhien-An Le-Khac & Tahar Kechadi - 1609.07903 Strongly Consistent Multivariate Conditional Risk Measures
by Hannes Hoffmann & Thilo Meyer-Brandis & Gregor Svindland - 1609.07897 Risk-Consistent Conditional Systemic Risk Measures
by Hannes Hoffmann & Thilo Meyer-Brandis & Gregor Svindland - 1609.07559 Short Maturity Asian Options in Local Volatility Models
by Dan Pirjol & Lingjiong Zhu - 1609.07558 Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options
by Dan Pirjol & Lingjiong Zhu - 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 Trader lead-lag networks and order flow prediction
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 - 1609.03029 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. Pr\"omel - 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 Ekstr\"om - 1609.01621 Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets
by David Criens - 1609.01274 Securities Lending Strategies, Valuation of Term Loans 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 - 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 Are Order Anticipation Strategies Harmful? A Theoretical Approach
by Elias Strehle - 1609.00554 On Jensen's inequality for generalized Choquet integral with an application to risk aversion
by Wioletta Szeligowska & Marek Kaluszka