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### 2014

**1406.5022 Instabilities in large economies: aggregate volatility without idiosyncratic shocks***by*Julius Bonart & Jean-Philippe Bouchaud & Augustin Landier & David Thesmar**1406.4783 Advisors and indicators based on the SSA models and non-linear generalizations***by*A. M. Avdeenko**1406.4329 Ergodic BSDEs with jumps and time dependence***by*Samuel N. Cohen & Victor Fedyashov**1406.4322 Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence***by*Matthew Ames & Gareth W. Peters & Guillaume Bagnarosa & Ioannis Kosmidis**1406.4301 A general HJM framework for multiple yield curve modeling***by*Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto**1406.4297 Optimal Boundary Surface for Irreversible Investment with Stochastic Costs***by*Tiziano De Angelis & Salvatore Federico & Giorgio Ferrari**1406.4275 A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information***by*Takashi Kato & Jun Sekine & Hiromitsu Yamamoto**1406.4222 Investment under Duality Risk Measure***by*Zuo Quan Xu**1406.4114 Climate Events and Insurance Demand - The effect of potentially catastrophic events on insurance demand in Italy***by*Alessandro Chieppa & Andrea Ricca & Gianluca Rosso**1406.3967 The limits of statistical significance of Hawkes processes fitted to financial data***by*Mehdi Lallouache & Damien Challet**1406.3716 The G\"{a}rtner-Ellis theorem, homogenization, and affine processes***by*Archil Gulisashvili & Josef Teichmann**1406.3531 Decoding Stock Market Behavior with the Topological Quantum Computer***by*Ovidiu Racorean**1406.3396 Factor Models for Alpha Streams***by*Zura Kakushadze**1406.3112 Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models***by*Oscar Lopez & Rafael Serrano**1406.3064 Hierarchical representation of socio-economic complex systems according to minimal sapnning trees***by*Andrzej Jarynowski & Andrzej Buda**1406.2950 On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums***by*Hirbod Assa**1406.2581 Multilevel path simulation for weak approximation schemes***by*Denis Belomestny & Tigran Nagapetyan**1406.2292 Analitic approach to solve a degenerate parabolic PDE for the Heston model***by*A. Canale & R. M. Mininni & A. Rhandi**1406.2133 Historical Backtesting of Local Volatility Model using AUD/USD Vanilla Options***by*Timothy G. Ling & Pavel V. Shevchenko**1406.2053 A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations***by*Hyong-chol O & Yong-hwa Ro & Ning Wan**1406.1936 Stochastic Analysis Seminar on Filtering Theory***by*Andrew Papanicolaou**1406.1811 A generalized pricing and hedging framework for multi-currency fixed income desks***by*Eduard Gim\'enez & Alberto Elices & Giovanna Villani**1406.1733 The Naive Extrapolation Hypothesis and the Rosy-Gloomy Forecasts***by*Vasileios Barmpoutis**1406.1547 Arbitrage-free exchange rate ensembles over a general trade network***by*Stan Palasek**1406.1249 Notes on Alpha Stream Optimization***by*Zura Kakushadze**1406.1149 Numerical analysis for Spread option pricing model in illiquid underlying asset market: full feedback model***by*Ahmad Reza Yazdanian & T A Pirvu**1406.0968 Integration of a Predictive, Continuous Time Neural Network into Securities Market Trading Operations***by*Christopher S Kirk**1406.0824 Supervised classification-based stock prediction and portfolio optimization***by*Sercan Arik & Sukru Burc Eryilmaz & Adam Goldberg**1406.0551 Robust pricing and hedging under trading restrictions and the emergence of local martingale models***by*Alexander M. G. Cox & Zhaoxu Hou & Jan Obloj**1406.0496 Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods***by*Nicolo Musmeci & Tomaso Aste & Tiziana Di Matteo**1406.0455 Buyer to Seller Recommendation under Constraints***by*Cheng Chen & Lan Zheng & Venkatesh Srinivasan & Alex Thomo & Kui Wu & Anthony Sukow**1406.0437 Estimation of the Global Minimum Variance Portfolio in High Dimensions***by*Taras Bodnar & Nestor Parolya & Wolfgang Schmid**1406.0412 Option Pricing in an Imperfect World***by*Gianluca Cassese**1406.0394 Implied volatility of basket options at extreme strikes***by*Archil Gulisashvili & Peter Tankov**1406.0389 Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness***by*J. D. Opdyke**1406.0268 What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis***by*Ladislav Kristoufek**1406.0209 Inverse Optimal Stopping***by*Thomas Kruse & Philipp Strack**1406.0077 Path Diffusion, Part I***by*Johan GB Beumee & Chris Cormack & Peyman Khorsand & Manish Patel**1406.0070 Structure of local interactions in complex financial dynamics***by*X. F. Jiang & T. T. Chen & B. Zheng**1406.0055 Explicit investment rules with time-to-build and uncertainty***by*Ren\'e Aid & Salvatore Federico & Huy\^en Pham & Bertrand Villeneuve**1406.0044 Can Turnover Go to Zero?***by*Zura Kakushadze**1405.7801 Gambling in contests with random initial law***by*Han Feng & David Hobson**1405.7747 Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics***by*Fabio Dercole & Davide Radi**1405.7611 VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution***by*Chris Kenyon & Andrew Green**1405.7603 Mixed Tempered Stable distribution***by*Edit Rroji & Lorenzo Mercuri**1405.7342 Option Pricing in a Dynamic Variance-Gamma Model***by*Lorenzo Mercuri & Fabio Bellini**1405.6990 Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series***by*Sergey A. Kamenshchikov**1405.6905 On the stationarity of Dynamic Conditional Correlation models***by*Jean-David Fermanian & Hassan Malongo**1405.6677 Bregman superquantiles. Estimation methods and applications***by*Tatiana Labopin-Richard & Fabrice Gamboa & Aur\'elien Garivier & Bertrand Iooss**1405.6514 Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility***by*Martino Bardi & Annalisa Cesaroni & Andrea Scotti**1405.6400 Networks of Military Alliances, Wars, and International Trade***by*Matthew O. Jackson & Stephen M. Nei**1405.6111 Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps***by*Andrey Itkin**1405.6047 Modeling FX market activity around macroeconomic news: a Hawkes process approach***by*Marcello Rambaldi & Paris Pennesi & Fabrizio Lillo**1405.6027 R&D Strategy Document***by*James B. Glattfelder & Thomas Bisig & Richard B. Olsen**1405.5939 Wealth share analysis with "fundamentalist/chartist" heterogeneous agents***by*Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou**1405.5842 Stationarity of Bivariate Dynamic Contagion Processes***by*Angelos Dassios & Xin Dong**1405.5805 Micro and Macro Benefits of Random Investments in Financial Markets***by*Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda**1405.5695 Big Data, Socio-Psychological Theory, Algorithmic Text Analysis and Predicting the Michigan Consumer Sentiment Index***by*Rickard Nyman & Paul Ormerod**1405.5294 Valuation of Barrier Options using Sequential Monte Carlo***by*Pavel V. Shevchenko & Pierre Del Moral**1405.5230 A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics***by*Christian Bayer & Ulrich Horst & Jinniao Qiu**1405.5000 Correlation structure and principal components in global crude oil market***by*Yue-Hua Dai & Wen-Jie Xie & Zhi-Qiang Jiang & George J. Jiang & Wei-Xing Zhou**1405.4905 Set-valued shortfall and divergence risk measures***by*\c{C}a\u{g}\in Ararat & Andreas H. Hamel & Birgit Rudloff**1405.4716 Combining Alpha Streams with Costs***by*Zura Kakushadze**1405.4537 Rough paths, Signatures and the modelling of functions on streams***by*Terry Lyons**1405.4498 The Economics of BitCoin Price Formation***by*Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs**1405.4490 Quantum spatial-periodic harmonic model for daily price-limited stock markets***by*Xiangyi Meng & Jian-Wei Zhang & Jingjing Xu & Hong Guo**1405.4474 Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$***by*Shiqi Song**1405.4421 Local times for typical price paths and pathwise Tanaka formulas***by*Nicolas Perkowski & David J. Pr\"omel**1405.4301 Mining Urban Performance: Scale-Independent Classification of Cities Based on Individual Economic Transactions***by*Stanislav Sobolevsky & Izabela Sitko & Sebastian Grauwin & Remi Tachet des Combes & Bartosz Hawelka & Juan Murillo Arias & Carlo Ratti**1405.4079 Valuation and Hedging of Contracts with Funding Costs and Collateralization***by*Tomasz R. Bielecki & Marek Rutkowski**1405.3812 Optimal investment under behavioural criteria -- a dual approach***by*Mikl\'os R\'asonyi & Jos\'e G. Rodr\'iguez-Villarreal**1405.3769 Distortion Risk Measures and Elicitability***by*Ruodu Wang & Johanna F. Ziegel**1405.3767 Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information***by*Xin Dong & Harry Zheng**1405.3566 A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities***by*Yal\c{c}in Aktar & Erik Taflin**1405.3561 An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients***by*Jean-Francois Chassagneux & Antoine Jacquier & Ivo Mihaylov**1405.3512 Quantum Brownian motion model for the stock market***by*Xiangyi Meng & Jian-Wei Zhang & Hong Guo**1405.3225 Can Analysts Predict Rallies Better Than Crashes?***by*Ivan Medovikov**1405.3202 The systematic structure and predictability of urban business diversity***by*Hyejin Youn & Lu\'is M. A. Bettencourt & Jos\'e Lobo & Deborah Strumsky & Horacio Samaniego & Geoffrey B. West**1405.2718 Arbitrage Pricing of Multi-person Game Contingent Claims***by*Ivan Guo & Marek Rutkowski**1405.2669 Simple examples of pure-jump strict local martingales***by*Martin Keller-Ressel**1405.2609 Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets***by*Nassim N. Taleb**1405.2459 Interest rate models and Whittaker functions***by*Dmitry Muravey**1405.2450 Affine LIBOR models with multiple curves: theory, examples and calibration***by*Zorana Grbac & Antonis Papapantoleon & John Schoenmakers & David Skovmand**1405.2445 How does bad and good volatility spill over across petroleum markets?***by*Jozef Barunik & Evzen Kocenda & Lukas Vacha**1405.2442 A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries***by*Tiziano De Angelis & Giorgio Ferrari & John Moriarty**1405.2384 A Multi-factor Adaptive Statistical Arbitrage Model***by*Wenbin Zhang & Zhen Dai & Bindu Pan & Milan Djabirov**1405.2240 Optimal stopping under model uncertainty: randomized stopping times approach***by*Denis Belomestny & Volker Kraetschmer**1405.2220 Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market***by*Li-Xin Wang**1405.2051 Merchant Sharing Towards a Zero Marginal Cost Economy***by*Laurent Fournier**1405.2023 Simultaneous Trading in 'Lit' and Dark Pools***by*M. Alessandra Crisafi & Andrea Macrina**1405.1948 Phynance***by*Zura Kakushadze**1405.1791 On the Super-Additivity and Estimation Biases of Quantile Contributions***by*Nassim N Taleb & Raphael Douady**1405.1326 Paths and indices of maximal tail dependence***by*Edward Furman & Jianxi Su & Ri\v{c}ardas Zitikis**1405.1309 Default Probability Estimation via Pair Copula Constructions***by*Luciana Dalla Valle & Maria Elena De Giuli & Claudia Tarantola & Claudio Manelli**1405.1266 The super-replication theorem under proportional transaction costs revisited***by*Walter Schachermayer**1405.1247 Stylized facts of price gaps in limit order books: Evidence from Chinese stocks***by*Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei Chen & Wei Zhang & Wei-Xing Zhou**1405.1212 Market risk modelling in Solvency II regime and hedging options not using underlying***by*Przemys\law 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 indexes and an algorithm for detection of jumps in the volatility***by*Mario Bonino & Matteo Camelia & Paolo Pigato**1404.7493 On a Convex Measure of Drawdown Risk***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 Sch\"afer & 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 Models for interest rates and stochastic volatility***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 Futures Premium and Efficiency of the Rice Futures Markets 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 D\"uring & Michel Fourni\'e**1404.5138 High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids***by*Bertram D\"uring & 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*Qian Xiaochao**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 Zavi\v{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 Microscopic determinants of the weak-form efficiency of an artificial order-driven stock market***by*Jian Zhou & Gao-Feng Gu & Zhi-Qiang Jiang & Xiong Xiong & 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