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2017
- 1701.05114 Some correspondences between Index Number Theory in economy and the General Theory of Relativity in physics
by Ali Hosseiny - 1701.05091 On the tail behavior of a class of multivariate conditionally heteroskedastic processes
by Rasmus Pedersen & Olivier Wintenberger - 1701.05016 Mean-Reverting Portfolio Design with Budget Constraint
by Ziping Zhao & Daniel P. Palomar - 1701.04780 Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version
by Ruediger Frey & Lars Roesler & Dan Lu - 1701.04565 An application of time reversal to credit risk management
by Masahiko Egami & Rusudan Kevkhishvili - 1701.04491 A geometric approach to the transfer problem for a finite number of traders
by Tomohiro Uchiyama - 1701.04431 Interpolating between matching and hedonic pricing models
by Brendan Pass - 1701.04260 On VIX Futures in the rough Bergomi model
by Antoine Jacquier & Claude Martini & Aitor Muguruza - 1701.04167 Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
by Anulekha Dhara & Bikramjit Das & Karthik Natarajan - 1701.04134 A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities
by Seyed Amir Hejazi & Kenneth R. Jackson & Guojun Gan - 1701.03960 Optimal Trading with a Trailing Stop
by Tim Leung & Hongzhong Zhang - 1701.03897 A Black--Scholes inequality: applications and generalisation
by Michael R. Tehranchi - 1701.03770 The structural constraints of income inequality in Latin America
by Dominik Hartmann & Cristian Jara-Figueroa & Miguel Guevara & Alex Simoes & C\'esar A. Hidalgo - 1701.03512 Parallelizing Computation of Expected Values in Recombinant Binomial Trees
by Sai K. Popuri & Andrew M. Raim & Nagaraj K. Neerchal & Matthias K. Gobbert - 1701.03098 Trading strategies for stock pairs regarding to the cross-impact cost
by Shanshan Wang - 1701.02958 Robust Portfolio Optimisation with Specified Competitors
by Gon\c{c}alo Sim\~oes & Mark McDonald & Stacy Williams & Daniel Fenn & Raphael Hauser - 1701.02821 Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
by Andrey Itkin - 1701.02798 Phase-type Approximation of the Gerber-Shiu Function
by Kazutoshi Yamazaki - 1701.02681 Recursive Marginal Quantization of Higher-Order Schemes
by T. A. McWalter & R. Rudd & J. Kienitz & E. Platen - 1701.02245 Property Safety Stock Policy for Correlated Commodities Based on Probability Inequality
by Takashi Shinzato - 1701.02216 Structural Propagation in a Production Network with State-Replicating Elasticities
by Satoshi Nakano & Kazuhiko Nishimura - 1701.02182 Political elections and uncertainty -Are BRICS markets equally exposed to Trump's agenda?
by Jamal Bouoiyour & Refk Selmi - 1701.02167 Stability for gains from large investors' strategies in M1/J1 topologies
by Dirk Becherer & Todor Bilarev & Peter Frentrup - 1701.02028 Asset correlation estimation for inhomogeneous exposure pools
by Christoph Wunderer - 1701.02015 Functional Analytic (Ir-)Regularity Properties of SABR-type Processes
by Leif Doering & Blanka Horvath & Josef Teichmann - 1701.01891 Pricing insurance drawdown-type contracts with underlying L\'evy assets
by Zbigniew Palmowski & Joanna Tumilewicz - 1701.01677 The Shapley Value of Digraph Games
by Krishna Khatri - 1701.01515 Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
by Wenting Chen & Kai Du & Xinzi Qiu - 1701.01429 Chebyshev Reduced Basis Function applied to Option Valuation
by Javier de Frutos & Victor Gaton - 1701.01428 Predicting Economic Recessions Using Machine Learning Algorithms
by Rickard Nyman & Paul Ormerod - 1701.01427 Rational Decision-Making Under Uncertainty: Observed Betting Patterns on a Biased Coin
by Victor Haghani & Richard Dewey - 1701.01327 Optimal liquidation in a Level-I limit order book for large tick stocks
by Antoine Jacquier & Hao Liu - 1701.01255 Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets
by V. Gontis & A. Kononovicius - 1701.01185 Efficient asymptotic variance reduction when estimating volatility in high frequency data
by Simon Clinet & Yoann Potiron - 1701.00993 Brownian trading excursions and avalanches
by Friedrich Hubalek & Paul Kr\"uhner & Thorsten Rheinl\"ander - 1701.00886 Pricing European Options by Stable Fourier-Cosine Series Expansions
by Chunfa Wang - 1701.00875 Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
by Tim Leung & Yerkin Kitapbayev - 1701.00540 Net Stable Funding Ratio: Impact on Funding Value Adjustment
by Medya Siadat & Ola Hammarlid
2016
- 1701.07323 Les produits Halal dans les {\'e}conomies occidentales
by Abdelatif Kerzabi - 1701.07322 Heterogeneity of the educational system: an introduction to the problem
by F. Aleskerov & I. Frumin & E. Kardanova - 1701.07321 An analysis of potential conflict zones in the arctic region
by F. Aleskerov & E. Victorova - 1701.07318 Research and Teaching Efficiencies of Turkish Universities with Heterogeneity Considerations: Application of Multi-Activity DEA and DEA by Sequential Exclusion of Alternatives Methods
by Y. \c{C}inar - 1701.06624 Revenue Forecasting for Enterprise Products
by Amita Gajewar & Gagan Bansal - 1701.06410 Economics cannot isolate itself from political theory: a mathematical demonstration
by Brendan Markey-Towler - 1701.02662 Mathematical models describing the effects of different tax evasion behaviors
by M. L. Bertotti & G. Modanese - 1701.02649 Sur la d\'ecomposabilit\'e empirique des indicateurs de pauvret\'e
by Gane Samb Lo & Cheikh Mohamed Haidara - 1701.02647 The Influence of Collaboration in Procurement Relationships
by Wesley S. Boyce & Haim Mano & John L. Kent - 1701.02646 Economic information from Smart Meter: Nexus Between Demand Profile and Electricity Retail Price Between Demand Profile and Electricity Retail Price
by Yang Yu & Guangyi Liu & Wendong Zhu & Fei Wang & Bin Shu & Kai Zhang & Ram Rajagopal & Nicolas Astier - 1701.00112 Multinomial method for option pricing under Variance Gamma
by Nicola Cantarutti & Jo\~ao Guerra - 1701.00030 Numerical analysis of an extended structural default model with mutual liabilities and jump risk
by Vadim Kaushansky & Alexander Lipton & Christoph Reisinger - 1612.09553 A Theory of Experience Effects
by Ulrike Malmendier & Demian Pouzo & Vicotria Vanasco - 1612.09549 The Industry Supply Function and the Long-Run Competitive Equilibrium with Heterogeneous Firms
by Ignacio Esponda & Demian Pouzo - 1612.09469 A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility
by Javier de Frutos & Victor Gaton - 1612.09344 The Random Walk behind Volatility Clustering
by Sabiou Inoua - 1612.09244 Measuring the temperature and diversity of the U.S. regulatory ecosystem
by Michael J Bommarito II & Daniel Martin Katz - 1612.09189 Global economic dynamics of the forthcoming years. A forecast
by Askar Akaev & Andrey Korotayev - 1612.09152 A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing
by Johannes Muhle-Karbe & Marcel Nutz - 1612.09123 Population and trends in the global mean temperature
by Richard S. J. Tol - 1612.09103 Pointwise dual representation of dynamic convex expectations
by Daniel Bartl - 1612.09060 Fractional Dynamics of Natural Growth and Memory Effect in Economics
by Valentina V. Tarasova & Vasily E. Tarasov - 1612.08767 Pricing of Asian-type and Basket Options via Upper and Lower Bounds
by Alexander Novikov & Scott Alexander & Nino Kordzakhia & Timothy Ling - 1612.08705 Speculation and Power Law
by Sabiou Inoua - 1612.08689 Crisis' Heritage Management - New Business Opportunities Out of the Financial Collapse
by Hristian Daskalov - 1612.08583 A Proposal to Extend Expected Utility in a Quantum Probabilistic Framework
by Diederik Aerts & Emmanuel Haven & Sandro Sozzo - 1612.08488 Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures
by Richard Gerlach & Chao Wang - 1612.08486 Understanding the Impacts of Dark Pools on Price Discovery
by Linlin Ye - 1612.08338 A Generalized Population Dynamics Model of a City and an Algorithm for Engineering Regime Shifts
by James PL Tan - 1612.08111 The prevalence of chaotic dynamics in games with many players
by James B. T. Sanders & J. Doyne Farmer & Tobias Galla - 1612.07913 Economic Accelerator with Memory: Discrete Time Approach
by Valentina V. Tarasova & Vasily E. Tarasov - 1612.07903 Long and Short Memory in Economics: Fractional-Order Difference and Differentiation
by Vasily E. Tarasov & Valentina V. Tarasova - 1612.07802 How fast does the clock of Finance run? - A time-definition enforcing scale invariance and quantifying overnights
by Michele Caraglio & Fulvio Baldovin & Attilio L. Stella - 1612.07742 Cross-impact and no-dynamic-arbitrage
by Michael Schneider & Fabrizio Lillo - 1612.07618 Pointwise Arbitrage Pricing Theory in Discrete Time
by Matteo Burzoni & Marco Frittelli & Zhaoxu Hou & Marco Maggis & Jan Ob{\l}\'oj - 1612.07543 Rating evaluation of sports development efficiency using statistical analysis: evidence from Russian football
by Ilya Solntsev & Anatoly Vorobyev & Elnura Irmatova & Nikita Osokin - 1612.07194 Leverage and Uncertainty
by Mihail Turlakov - 1612.07132 Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits
by Claudia Kl\"uppelberg & Miriam Isabel Seifert - 1612.07067 Analytic solution to variance optimization with no short-selling
by Imre Kondor & G\'abor Papp & Fabio Caccioli - 1612.07016 Pricing Derivatives in Hermite Markets
by Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi - 1612.06855 Information, Impact, Ignorance, Illegality, Investing, and Inequality
by Bruce Knuteson - 1612.06665 Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs
by Foad Shokrollahi - 1612.06654 The Impact of Negative Interest Rates on Optimal Capital Injections
by Julia Eisenberg & Paul Kr\"uhner - 1612.06616 Shot-Noise Processes in Finance
by Thorsten Schmidt - 1612.06451 Panel dataset description for econometric analysis of the ISP-OTT relationship in the years 2008-2013
by Chiara Perillo & Angelos Antonopoulos & Christos Verikoukis - 1612.06441 Quantifying Retail Agglomeration using Diverse Spatial Data
by Duccio Piovani & Vassilis Zachariadis & Michael Batty - 1612.06291 The Topology of Inter-industry Relations from the Portuguese National Accounts
by Tanya Ara\'ujo & Rui Faustino - 1612.06244 The Blockchain: A Gentle Four Page Introduction
by Jan Hendrik Witte - 1612.06200 The Price of Political Uncertainty: Evidence from the 2016 U.S. Presidential Election and the U.S. Stock Markets
by Jamal Bouoiyour & Refk Selmi - 1612.06186 A Markovian Model of the Evolving World Input-Output Network
by Vahid Moosavi & Giulio Isacchini - 1612.06133 Optimal Investment under Information Driven Contagious Distress
by Lijun Bo & Agostino Capponi - 1612.05952 Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping
by Kiran Sharma & Balagopal Gopalakrishnan & Anindya S. Chakrabarti & Anirban Chakraborti - 1612.05855 Should we opt for the Black Friday discounted price or wait until the Boxing Day?
by Jiang Wu & Ricardas Zitikis - 1612.05681 BSDEs with default jump
by Roxana Dumitrescu & Marie-Claire Quenez & Agn\`es Sulem - 1612.05525 Extreme prices in electricity balancing markets from an approach of statistical physics
by Mario Mureddu & Hildegard Meyer-Ortmanns - 1612.05255 Stratified regression-based variance reduction approach for weak approximation schemes
by Denis Belomestny & Stefan H\"afner & Mikhail Urusov - 1612.05229 Stylized Facts and Simulating Long Range Financial Data
by Laurie Davies & Walter Kr\"amer - 1612.05227 European banking supervision, the role of stress test. Some brief considerations
by Simone Manduchi - 1612.05072 Predictability Hidden by Anomalous Observations
by Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani - 1612.05021 Dynamic Modeling of Price Responsive Demand in Real-time Electricity Market: Empirical Analysis
by Jaeyong An & P. R. Kumar & Le Xie - 1612.04990 A diagnostic criterion for approximate factor structure
by Patrick Gagliardini & Elisa Ossola & Olivier Scaillet - 1612.04512 Agent-based Model for Spot and Balancing Electricity Markets
by Florian K\"uhnlenz & Pedro H. J. Nardelli - 1612.04507 Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations
by Jos\'e E. Figueroa-L\'opez & Cheng Li - 1612.04407 Dynamic Convex Duality in Constrained Utility Maximization
by Yusong Li & Harry Zheng - 1612.04370 S&P500 Forecasting and Trading using Convolution Analysis of Major Asset Classes
by Panagiotis Papaioannou & Thomas Dionysopoulos & Dietmar Janetzko & Constantinos Siettos - 1612.04126 The hierarchical generalized linear model and the bootstrap estimator of the error of prediction of loss reserves in a non-life insurance company
by Alicja Wolny-Dominiak - 1612.03698 Fractal Optimization of Market Neutral Portfolio
by Sergey Kamenshchikov & Ilia Drozdov - 1612.03347 Dual Moments and Risk Attitudes
by Louis R. Eeckhoudt & Roger J. A. Laeven - 1612.03066 Parameter uncertainty and reserve risk under Solvency II
by Andreas Fr\"ohlich & Annegret Weng - 1612.03031 Early exercise decision in American options with dividends, stochastic volatility and jumps
by Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet - 1612.02985 Risk averse fractional trading using the current drawdown
by Stanislaus Maier-Paape - 1612.02666 Evaluating the Performance of ANN Prediction System at Shanghai Stock Market in the Period 21-Sep-2016 to 11-Oct-2016
by Barack Wamkaya Wanjawa - 1612.02658 The distribution dynamics of Carbon Dioxide Emission intensity across Chinese provinces: A weighted Approach
by Jian-Xin Wu & Ling-Yun He - 1612.02657 How do Chinese cities grow? A distribution dynamics approach
by Jian-Xin Wu & Ling-Yun He - 1612.02656 The demand for road transport in China: imposing theoretical regularity and flexible functional forms selection
by Ling-yun He & Li Liu - 1612.02654 China building energy consumption: definitions and measures from an operational perspective
by Ling-Yun He & Wei Wei - 1612.02653 Are Chinese transport policies effective? A new perspective from direct pollution rebound effect, and empirical evidence from road transport sector
by Lu-Yi Qiu & Ling-Yun He - 1612.02567 Order statistics of horse racing and the randomly broken stick
by Peter A. Bebbington & Julius Bonart - 1612.02444 Optimality of hybrid continuous and periodic barrier strategies in the dual model
by Jos\'e-Luis P\'erez & Kazutoshi Yamazaki - 1612.02312 Game options with gradual exercise and cancellation under proportional transaction costs
by Alet Roux & Tomasz Zastawniak - 1612.02112 Financial market with no riskless (safe) asset
by Svetlozar Rachev & Frank Fabozzi - 1612.02024 Impossible Inference in Econometrics: Theory and Applications to Regression Discontinuity, Bunching, and Exogeneity Tests
by Marinho Bertanha & Marcelo J. Moreira - 1612.01979 Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion
by Y. S. Kim & S. Stoyanov & S. Rachev & F. Fabozzi - 1612.01951 Stability of calibration procedures: fractals in the Black-Scholes model
by Yiran Cui & Sebastian del Bano Rollin & Guido Germano - 1612.01624 Universal Exponential Structure of Income Inequality: Evidence from 60 Countries
by Yong Tao & Xiangjun Wu & Tao Zhou & Weibo Yan & Yanyuxiang Huang & Han Yu & Benedict Mondal & Victor M. Yakovenko - 1612.01327 A multi-asset investment and consumption problem with transaction costs
by David Hobson & Alex S. L. Tse & Yeqi Zhu - 1612.01302 A Primer on Portfolio Choice with Small Transaction Costs
by Johannes Muhle-Karbe & Max Reppen & H. Mete Soner - 1612.01232 Wavelet-based methods for high-frequency lead-lag analysis
by Takaki Hayashi & Yuta Koike - 1612.01155 A Multifaceted Panel Data Gravity Model Analysis of Peru's Foreign Trade
by Xu Wang & Ryan P. Badman - 1612.01132 A Model of Synchronization for Self-Organized Crowding Behavior
by Jake J. Xia - 1612.01013 Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach
by Tim Leung & Hyungbin Park - 1612.00981 How many market makers does a market need?
by V\'it Per\v{z}ina & Jan M. Swart - 1612.00833 Measuring and Analyzing the Shares of Economic Growth Sources in the Mining Sector of Iran: A Neoclassical Growth Accounting Approach
by Mahmood Mahmoudzadeh & Seyyed Ali Zeytoon Nejad Moosavian - 1612.00828 A New Set of Financial Instruments
by Svetlozar & T. Rachev & Frank J. Fabozzi - 1612.00780 A Market Driver Volatility Model via Policy Improvement Algorithm
by Jun Maeda & Saul D. Jacka - 1612.00720 Optimal consumption and investment under transaction costs
by David Hobson & Alex S. L. Tse & Yeqi Zhu - 1612.00402 Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models
by Maciej Balajewicz & Jari Toivanen - 1612.00270 Predicting the rise of right-wing populism in response to unbalanced immigration
by Boris Podobnik & Marko Jusup & H. Eugene Stanley - 1612.00221 The Coconut Model with Heterogeneous Strategies and Learning
by Sven Banisch & Eckehard Olbrich - 1611.09926 Choquet integral in decision analysis - lessons from the axiomatization
by Mikhail Timonin - 1611.09893 Exploring the Uncharted Export: an Analysis of Tourism-Related Foreign Expenditure with International Spend Data
by Michele Coscia & Ricardo Hausmann & Frank Neffke - 1611.09631 Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio
by Christa Cuchiero & Walter Schachermayer & Ting-Kam Leonard Wong - 1611.09300 Optimal portfolio approximation on finite horizons
by Rohini Kumar & Hussein Nasralah - 1611.09179 Optimal stopping with f -expectations: the irregular case
by Miryana Grigorova & Peter Imkeller & Youssef Ouknine & Marie-Claire Quenez - 1611.09062 Generalization of Doob Decomposition Theorem and Risk Assessment in Incomplete Markets
by N. S. Gonchar - 1611.08510 Can Agent-Based Models Probe Market Microstructure?
by Donovan Platt & Tim Gebbie - 1611.08393 Mean-Reverting Portfolio Design via Majorization-Minimization Method
by Ziping Zhao & Daniel P. Palomar - 1611.08330 The 2015-2017 policy changes to the means-tests of Australian Age Pension: implication to decisions in retirement
by Johan G. Andreasson & Pavel V. Shevchenko - 1611.08088 Multiple Time Series Ising Model for Financial Market Simulations
by Tetsuya Takaishi - 1611.07843 Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
by Olivier Gu\'eant & Jiang Pu - 1611.07741 The Markowitz Category
by John Armstrong - 1611.07432 "Chaos" in energy and commodity markets: a controversial matter
by Loretta Mastroeni & Pierluigi Vellucci - 1611.06698 Dynamical Stationarity as a Result of Sustained Random Growth
by Tam\'as Bir\'o & Zolt\'an N\'eda - 1611.06672 Systemic Risk and Interbank Lending
by Li-Hsien Sun - 1611.06666 Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks
by Wen-Jie Xie & Ming-Xia Li & Hai-Chuan Xu & Wei Chen & Wei-Xing Zhou & H. E. Stanley - 1611.06452 Model reduction for calibration of American options
by Olena Burkovska & Kathrin Glau & Mirco Mahlstedt & Barbara Wohlmuth - 1611.06407 Interplay between endogenous and exogenous fluctuations in financial markets
by Vygintas Gontis - 1611.06344 Regression-based complexity reduction of the dual nested Monte Carlo methods
by Denis Belomestny & Stefan H\"afner & Mikhail Urusov - 1611.06218 On convex functions on the duals of $\Delta_2$-Orlicz spaces
by Freddy Delbaen & Keita Owari - 1611.06181 Calibration to American Options: Numerical Investigation of the de-Americanization
by Olena Burkovska & Maximilian Ga{\ss} & Kathrin Glau & Mirco Mahlstedt & Wim Schoutens & Barbara Wohlmuth - 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