Hits ?▲ |
Authors |
Title |
Venue |
Year |
Link |
Author keywords |
14 | Kasper Larsen, Oleksii Mostovyi, Gordan Zitkovic |
An expansion in the model space in the context of utility maximization. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Mathieu Cambou, Damir Filipovic |
Replicating portfolio approach to capital calculation. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Monique Jeanblanc, Libo Li, Shiqi Song |
An enlargement of filtration formula with applications to multiple non-ordered default times. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Martin Keller-Ressel |
Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Yu-Jui Huang, Adrien Nguyen Huu |
Time-consistent stopping under decreasing impatience. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Patrick Beissner, Frank Riedel |
Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Fred Espen Benth, Paul Krühner |
Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Bruno Bouchard 0002, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe |
Equilibrium returns with transaction costs. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Johannes Muhle-Karbe, Marcel Nutz |
A risk-neutral equilibrium leading to uncertain volatility pricing. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Dirk Becherer, Todor Bilarev, Peter Frentrup |
Optimal liquidation under stochastic liquidity. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Teemu Pennanen, Ari-Pekka Perkkiö |
Convex duality in optimal investment and contingent claim valuation in illiquid markets. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang |
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Likuan Qin, Vadim Linetsky |
Long-term factorization in Heath-Jarrow-Morton models. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Massimo Marinacci, Federico Severino |
Weak time-derivatives and no-arbitrage pricing. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc |
No-arbitrage under a class of honest times. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Dan Pirjol, Lingjiong Zhu |
Explosion in the quasi-Gaussian HJM model. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Sigrid Källblad, Jan Oblój, Thaleia Zariphopoulou |
Dynamically consistent investment under model uncertainty: the robust forward criteria. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Ulrich Horst, Dörte Kreher |
Second order approximations for limit order books. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Martin Herdegen, Johannes Muhle-Karbe |
Stability of Radner equilibria with respect to small frictions. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Jaksa Cvitanic, Dylan Possamaï, Nizar Touzi |
Dynamic programming approach to principal-agent problems. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Masaaki Fukasawa, Mitja Stadje |
Perfect hedging under endogenous permanent market impacts. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Umut Çetin |
Financial equilibrium with asymmetric information and random horizon. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Zdzislaw Brzezniak, Tayfun Kok |
Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Niushan Gao, Denny Leung, Cosimo Munari, Foivos Xanthos |
Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Tiantian Mao, Jun Cai |
Risk measures based on behavioural economics theory. |
Finance Stochastics |
2018 |
DBLP DOI BibTeX RDF |
|
14 | Víctor Manuel Rivas Santos, Elisabet Parras-Gutierrez, Juan Julián Merelo Guervós, Maribel García Arenas, Pablo García-Fernández |
Time series forecasting using evolutionary neural nets implemented in a volunteer computing system. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | James R. Fain |
City formation with complex landscapes. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Svitlana Galeshchuk |
Technological bias at the exchange rate market. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | J. Christopher Westland |
An empirical investigation of analytical procedures using mixture distributions. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Claudia Di Napoli, Pol Mateu Santamaria, Silvia Rossi 0002 |
A web-based multi-agent decision support system for a city-oriented management of cruise arrivals. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Svitlana Galeshchuk, Sumitra Mukherjee |
Deep networks for predicting direction of change in foreign exchange rates. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Daniel E. O'Leary |
ISAFM Paper of the Year for 2016. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Javier Bajo, Philippe Mathieu, María José Escalona |
Multi-agent technologies in economics. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Daniel E. O'Leary |
Configuring blockchain architectures for transaction information in blockchain consortiums: The case of accounting and supply chain systems. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Juan Lara-Rubio, Antonio Blanco-Oliver, Rafael Pino-Mejías |
Promoting Entrepreneurship at the Base of the Social Pyramid via Pricing Systems: A case Study. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Iryna Veryzhenko, Lise Arena, Etienne Harb, Nathalie Oriol |
Time to Slow Down for High-Frequency Trading? Lessons from Artificial Markets. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Andreas S. Karathanasopoulos |
Modelling and trading the London, New York and Frankfurt stock exchanges with a new gene expression programming trader tool. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Salim Lahmiri |
A two-step system for direct bank telemarketing outcome classification. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Anis Boubaker, Abderrahmane Leshob, Hafedh Mili, Yasmine Charif |
A pattern-based approach to extract REA value models from business process models. |
Intell. Syst. Account. Finance Manag. |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Joseph D. Haley |
Using directional bit sequences to reveal the property-liability underwriting cycle as an algorithmic process. |
Algorithmic Finance |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Mariana Rosa Montenegro, Pedro Henrique Melo Albuquerque |
Wealth management: Modeling the nonlinear dependence. |
Algorithmic Finance |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Philip Maymin |
Editorial. |
Algorithmic Finance |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Eugene V. Korotkov, Maria A. Korotkova |
Study of the periodicity in Euro-US Dollar exchange rates using local alignment and random matrices. |
Algorithmic Finance |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Evgeni B. Tarassov |
The Russian ETF puzzle and its possible reasons. |
Algorithmic Finance |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Matthew Dixon, Diego Klabjan, Jin Hoon Bang |
Classification-based financial markets prediction using deep neural networks. |
Algorithmic Finance |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Luca Capriotti, Yupeng Jiang, Andrea Macrina |
AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks. |
Algorithmic Finance |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Jeffery A. Born, David H. Myers, William J. Clark |
Trump tweets and the efficient Market Hypothesis. |
Algorithmic Finance |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Jitendra Aswani |
Impact of global financial crisis on network of Asian stock markets. |
Algorithmic Finance |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Neofytos Rodosthenous, Mihail Zervos |
Watermark options. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen |
Hybrid scheme for Brownian semistationary processes. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Takuji Arai, Yuto Imai, Ryoichi Suzuki |
Local risk-minimization for Barndorff-Nielsen and Shephard models. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Mathias Beiglböck, Alexander M. G. Cox, Martin Huesmann, Nicolas Perkowski, David J. Prömel |
Pathwise superreplication via Vovk's outer measure. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Tomas Björk, Mariana Khapko, Agatha Murgoci |
On time-inconsistent stochastic control in continuous time. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Zhe Cheng, Scott Robertson |
Endogenous current coupons. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Ioannis Karatzas, Johannes Ruf |
Trading strategies generated by Lyapunov functions. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Delip Madan, Martijn Pistorius, Mitja Stadje |
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Luciano Campi, Ismail Laachir, Claude Martini |
Change of numeraire in the two-marginals martingale transport problem. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried |
Hedging with small uncertainty aversion. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | D. Baños, Thilo Meyer-Brandis, Frank Proske, S. Duedahl |
Computing deltas without derivatives. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Hao Xing |
Consumption-investment optimization with Epstein-Zin utility in incomplete markets. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Ivan Guo, Marek Rutkowski |
Arbitrage-free pricing of multi-person game claims in discrete time. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Holger Kraft, Thomas Seiferling, Frank Thomas Seifried |
Optimal consumption and investment with Epstein-Zin recursive utility. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Michail Anthropelos, Constantinos Kardaras |
Equilibrium in risk-sharing games. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Masahiko Egami, Tadao Oryu |
A direct solution method for pricing options involving the maximum process. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Constantinos Kardaras, Scott Robertson |
Continuous-time perpetuities and time reversal of diffusions. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Sebastian Herrmann, Johannes Muhle-Karbe |
Model uncertainty, recalibration, and the emergence of delta-vega hedging. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc |
No-arbitrage up to random horizon for quasi-left-continuous models. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Zhi Liu 0005 |
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Carole Bernard, Ludger Rüschendorf, Steven Vanduffel, Ruodu Wang |
Risk bounds for factor models. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Julien Guyon, Romain Menegaux, Marcel Nutz |
Bounds for VIX futures given S&P 500 smiles. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Stefano Pagliarani, Andrea Pascucci |
The exact Taylor formula of the implied volatility. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Ying Jiao, Olivier Klopfenstein, Peter Tankov |
Hedging under multiple risk constraints. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Ying Jiao, Chunhua Ma, Simone Scotti |
Alpha-CIR model with branching processes in sovereign interest rate modeling. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Daniel C. Schwarz |
Market completion with derivative securities. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö |
The scaling limit of superreplication prices with small transaction costs in the multivariate case. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Jaksa Cvitanic, Walter Schachermayer, Hui Wang |
Erratum to: Utility maximization in incomplete markets with random endowment. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Vladimir Vovk |
The role of measurability in game-theoretic probability. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Sigrid Källblad |
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Michael B. Giles, Yuan Xia |
Multilevel Monte Carlo for exponential Lévy models. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Beatrice Acciaio, Martin Larsson, Walter Schachermayer |
The space of outcomes of semi-static trading strategies need not be closed. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | David Hobson, Anthony Neuberger |
Model uncertainty and the pricing of American options. |
Finance Stochastics |
2017 |
DBLP DOI BibTeX RDF |
|
14 | Ossi Ylijoki, Jari Porras |
Conceptualizing Big Data: Analysis of Case Studies. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Biliana Alexandrova-Kabadjova |
Currents of Liquidity Flows Created by the Different Type of Payments: the Case of SPEI. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Salim Lahmiri |
Features selection, data mining and finacial risk classification: a comparative study. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Peter Sarlin |
Computational Tools for Systemic Risk Identification and Assessment. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Alejandro Reveiz-Herault |
An Active Asset Management Investment Process for Drawdown-Averse Investors. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Carlos León 0003, Clara Machado, Andrés Murcia |
Assessing Systemic Importance With a Fuzzy Logic Inference System. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Silvia Figini, Roberto Savona, Marika Vezzoli |
Corporate Default Prediction Model Averaging: A Normative Linear Pooling Approach. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Marina Resta |
Enhancing Self-Organizing Map Capabilities with Graph Clustering: An Application to Financial Markets. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Sunita Goel, Özlem Uzuner |
Do Sentiments Matter in Fraud Detection? Estimating Semantic Orientation of Annual Reports. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | James R. Fain |
Screening Discrimination in a Broader Context. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Takanobu Mizuta, Shintaro Kosugi, Takuya Kusumoto, Wataru Matsumoto, Kiyoshi Izumi, Isao Yagi, Shinobu Yoshimura |
Effects of Price Regulations and Dark Pools on Financial Market Stability: An Investigation by Multiagent Simulations. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Peter Sarlin |
Visual Macroprudential Surveillance of Banks. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Marina Resta |
VaRSOM: A Tool to Monitor Markets' Stability Based on Value at Risk and Self-Organizing Maps. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Brad S. Trinkle, Amelia A. Baldwin |
Research Opportunities for Neural Networks: The Case for Credit. |
Intell. Syst. Account. Finance Manag. |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Samit Ahlawat |
Empirical evaluation of price-based technical patterns using probabilistic neural networks. |
Algorithmic Finance |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Brett Hemenway, Sanjeev Khanna |
Sensitivity and computational complexity in financial networks. |
Algorithmic Finance |
2016 |
DBLP DOI BibTeX RDF |
|
14 | A. Mintzelas, K. Kiriakopoulos |
Natural time analysis in financial markets. |
Algorithmic Finance |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Anton Golub, Gregor Chliamovitch, Alexandre Dupuis, Bastien Chopard |
Multi-scale representation of high frequency market liquidity. |
Algorithmic Finance |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Paolo Coletti, Maurizio Murgia 0002 |
The network of the Italian stock market during the 2008-2011 financial crises. |
Algorithmic Finance |
2016 |
DBLP DOI BibTeX RDF |
|