Hits ?▲ |
Authors |
Title |
Venue |
Year |
Link |
Author keywords |
14 | Elaine Wah, Michael P. Wellman |
Latency arbitrage in fragmented markets: A strategic agent-based analysis. |
Algorithmic Finance |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Siddartha Ghoshal, Steve Roberts |
Extracting predictive information from heterogeneous data streams using Gaussian Processes. |
Algorithmic Finance |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Wolfgang Kuhle |
Darwinian adverse selection. |
Algorithmic Finance |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Bruno Bouchard 0002, Marcel Nutz |
Consistent price systems under model uncertainty. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Laurens de Haan, Cécile Mercadier, Chen Zhou |
Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Arash Fahim, Yu-Jui Huang |
Model-independent superhedging under portfolio constraints. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Jiatu Cai, Masaaki Fukasawa |
Asymptotic replication with modified volatility under small transaction costs. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Pierre Henry-Labordère, Nizar Touzi |
An explicit martingale version of the one-dimensional Brenier theorem. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Berend Roorda, Johannes M. Schumacher |
Weakly time consistent concave valuations and their dual representations. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Peter Bank, Selim Gökay |
Superreplication when trading at market indifference prices. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Andrew Lyasoff |
Another look at the integral of exponential Brownian motion and the pricing of Asian options. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Tianyang Nie, Marek Rutkowski |
A BSDE approach to fair bilateral pricing under endogenous collateralization. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | |
Retraction Note to: The distribution of the maximum of a variance gamma process and path-dependent option pricing. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Stéphane Crépey, Shiqi Song |
Counterparty risk and funding: immersion and beyond. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | José E. Figueroa-López, Sveinn Ólafsson |
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Kim Weston |
Stability of utility maximization in nonequivalent markets. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto |
A general HJM framework for multiple yield curve modelling. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Yuri Kabanov, Serguei Pergamenshchikov |
In the insurance business risky investments are dangerous: the case of negative risk sums. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Angelos Dassios, You You Zhang |
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Matteo Burzoni, Marco Frittelli, Marco Maggis |
Universal arbitrage aggregator in discrete-time markets under uncertainty. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Freddy Delbaen, Fabio Bellini, Valeria Bignozzi, Johanna F. Ziegel |
Risk measures with the CxLS property. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Eyal Neuman, Alexander Schied |
Optimal portfolio liquidation in target zone models and catalytic superprocesses. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar |
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Torsten Schöneborn |
Adaptive basket liquidation. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Kathrin Glau |
A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Kasper Larsen, Halil Mete Soner, Gordan Zitkovic |
Facelifting in utility maximization. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette |
Consumption-investment problem with transaction costs for Lévy-driven price processes. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Alexander M. G. Cox, Zhaoxu Hou, Jan Oblój |
Robust pricing and hedging under trading restrictions and the emergence of local martingale models. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Bruno Bouchard 0002, Grégoire Loeper, Yiyi Zou |
Almost-sure hedging with permanent price impact. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Yuri Kabanov, Constantinos Kardaras, Shiqi Song |
No arbitrage of the first kind and local martingale numéraires. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Aurélien Alfonsi, Pierre Blanc |
Dynamic optimal execution in a mixed-market-impact Hawkes price model. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Erwan Pierre, Stéphane Villeneuve, Xavier Warin |
Liquidity management with decreasing returns to scale and secured credit line. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | José E. Figueroa-López, Sveinn Ólafsson |
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. |
Finance Stochastics |
2016 |
DBLP DOI BibTeX RDF |
|
14 | Marek Z. Reformat, Ronald R. Yager |
Soft Computing Techniques for Querying XBRL Data. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Manuel Fiorelli, Maria Teresa Pazienza, Armando Stellato |
A Flexible Approach to Semantic Annotation Systems for Web Content. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Michael K. Maschek |
Particle Swarm Optimization in Agent-Based Economic Simulations of the Cournot Market Model. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | David Aveiro, Duarte Pinto |
Universal Enterprise Adaptive Object Model: A Semantic Web-Based Implementation of Organizational Self-Awareness. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Christopher N. Boyer, B. Wade Brorsen, James R. Fain |
Private-Value Auction Versus Posted-Price Selling: An Agent-Based Model Approach. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Ruben Costa, Celson Lima |
Management of Knowledge Sources Supported by Domain Ontologies: Building and Construction Case Studys. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Birger Lantow, Kurt Sandkuhl |
An Analysis of Applicability using Quality Metrics for Ontologies on Ontology Design Patterns. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Ann Shawing Yang |
Lottery Payment Cards: A Study of Mental Accounting. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Alicia Sagae, Scott E. Fahlman |
Image Retrieval with Textual Label Similarity Features. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Vince Vella, Wing Lon Ng |
A Dynamic Fuzzy Money Management Approach for Controlling the Intraday Risk-Adjusted Performance of AI Trading Algorithms. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Manuel Kleinknecht, Wing Lon Ng |
Minimizing Basel III Capital Requirements with Unconditional Coverage Constraint. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Klaus Jaffe |
Visualizing the Invisible Hand of Markets: Simulating Complex Dynamic Economic Interactions. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Daniel E. O'Leary |
Twitter Mining for Discovery, Prediction and Causality: Applications and Methodologies. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Jan L. G. Dietz, Joaquim Filipe |
Special Issue of Papers from the 6th International Conference on Knowledge Engineering and Ontology Development. |
Intell. Syst. Account. Finance Manag. |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Martin Wallmeier |
Smile in motion: An intraday analysis of asymmetric implied volatility. |
Algorithmic Finance |
2015 |
DBLP DOI BibTeX RDF |
|
14 | George Tzagkarakis, Juliana Caicedo-Llano, Thomas Dionysopoulos |
Sparse modeling of volatile financial time series via low-dimensional patterns over learned dictionaries. |
Algorithmic Finance |
2015 |
DBLP DOI BibTeX RDF |
|
14 | |
A minute with Peter Bossaerts. |
Algorithmic Finance |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Ricky Cooper, Michael Ong, Ben Van Vliet |
Multi-scale capability: A better approach to performance measurement for algorithmic trading. |
Algorithmic Finance |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Alexandru Mandes |
Microstructure-based order placement in a continuous double auction agent based model. |
Algorithmic Finance |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Vasilios Plakandaras, Theophilos Papadimitriou, Periklis Gogas, Konstantinos I. Diamantaras |
Market sentiment and exchange rate directional forecasting. |
Algorithmic Finance |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Olivier Brandouy, Jean-Paul Delahaye, Lin Ma 0005 |
Estimating the algorithmic complexity of stock markets. |
Algorithmic Finance |
2015 |
DBLP DOI BibTeX RDF |
|
14 | |
Author Index Volume 4 (2015). |
Algorithmic Finance |
2015 |
DBLP BibTeX RDF |
|
14 | Maxim Gusev, Dimitri Kroujiline, Boris Govorkov, Sergey V. Sharov, Dmitry Ushanov, Maxim Zhilyaev |
Predictable markets? A news-driven model of the stock market. |
Algorithmic Finance |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Malihe Alikhani, Bjørn Kjos-Hanssen, Amirarsalan Pakravan, Babak Saadat |
Pricing complexity options. |
Algorithmic Finance |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Luca Capriotti |
Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks. |
Algorithmic Finance |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Agostino Capponi, José E. Figueroa-López, Andrea Pascucci |
Dynamic credit investment in partially observed markets. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Salvatore Federico, Paul Gassiat, Fausto Gozzi |
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Philipp A. Mayer, Natalie Packham, Wolfgang M. Schmidt |
Static hedging under maturity mismatch. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Peter Bank, Dmitry O. Kramkov |
A model for a large investor trading at market indifference prices. I: Single-period case. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | David Hobson, Martin Klimmek |
Robust price bounds for the forward starting straddle. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Peter Grandits |
An optimal consumption problem in finite time with a constraint on the ruin probability. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | |
The distribution of the maximum of a variance gamma process and path-dependent option pricing. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Cecilia Mancini, Vanessa Mattiussi, Roberto Renò |
Spot volatility estimation using delta sequences. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Zachary Feinstein, Birgit Rudloff |
Multi-portfolio time consistency for set-valued convex and coherent risk measures. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Paolo Guasoni, Gu Wang 0002 |
Hedge and mutual funds' fees and the separation of private investments. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Dmitry O. Kramkov |
Existence of an endogenously complete equilibrium driven by a diffusion. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Paolo Guasoni, Miklós Rásonyi |
Fragility of arbitrage and bubbles in local martingale diffusion models. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Caroline Hillairet, Ying Jiao |
Portfolio optimization with insider's initial information and counterparty risk. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Fred Espen Benth, Nils Detering |
Pricing and hedging Asian-style options on energy. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Jin Hyuk Choi, Kasper Larsen |
Taylor approximation of incomplete Radner equilibrium models. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Marcus C. Christiansen, Andreas Niemeyer |
On the forward rate concept in multi-state life insurance. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Irina Penner, Anthony Reveillac |
Risk measures for processes and BSDEs. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Jan Kallsen, Paul Krühner |
On a Heath-Jarrow-Morton approach for stock options. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Amel Bentata, Rama Cont |
Forward equations for option prices in semimartingale models. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Tahir Choulli, Jun Deng, Junfeng Ma |
How non-arbitrage, viability and numéraire portfolio are related. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Pietro Siorpaes |
Optimal investment and price dependence in a semi-static market. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Lingfei Li, Vadim Linetsky |
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Andrey Krishenik, Andreea Minca, Johannes Wissel |
When do creditors with heterogeneous beliefs agree to run? |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Peter Imkeller, Nicolas Perkowski |
The existence of dominating local martingale measures. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Christa Cuchiero, Josef Teichmann |
A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Jean-François Chassagneux, Romuald Elie, Idris Kharroubi |
When terminal facelift enforces delta constraints. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Oleksii Mostovyi |
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Albert Altarovici, Johannes Muhle-Karbe, Halil Mete Soner |
Asymptotics for fixed transaction costs. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Denis Belomestny, Mark S. Joshi, John Schoenmakers |
Addendum to: Multilevel dual approach for pricing American style derivatives. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Romuald Elie, Emmanuel Lépinette |
Approximate hedging for nonlinear transaction costs on the volume of traded assets. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Paul Embrechts, Bin Wang, Ruodu Wang |
Aggregation-robustness and model uncertainty of regulatory risk measures. |
Finance Stochastics |
2015 |
DBLP DOI BibTeX RDF |
|
14 | Adam Fadlalla, Farzaneh Amani |
Predicting Next Trading Day Closing Price of Qatar Exchange Index using Technical indicators and Artificial Neural Networks. |
Intell. Syst. Account. Finance Manag. |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Ibtissem Baklouti |
A Psychological Approach to Microfinance Credit Scoring via a Classification and Regression Tree. |
Intell. Syst. Account. Finance Manag. |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Viktor Manahov, Mona Soufian, Robert Hudson |
The Implications of Trader Cognitive Abilities on Stock Market Properties. |
Intell. Syst. Account. Finance Manag. |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Pankaj Nagpal, Andreas I. Nicolaou, Kalle Lyytinen |
Outsourcing and Market Value of the Firm: toward a Comprehensive Model. |
Intell. Syst. Account. Finance Manag. |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Wai Peng Wong, Qiang Deng, Ming-Lang Tseng, Loo Hay Lee, Chee-Wooi Hooy |
A stochastic Setting to Bank Financial Performance for Refining Efficiency estimates. |
Intell. Syst. Account. Finance Manag. |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Alexandre Mendes, R. L. Cardoso, P. C. Mário, A. L. Martinez, F. R. Ferreira |
Insolvency Prediction in the Presence of Data Inconsistencies. |
Intell. Syst. Account. Finance Manag. |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Sergio Davalos, Fei Leng, Ehsan H. Feroz, Zhiyan Cao |
Designing an if-then Rules-Based Ensemble of Heterogeneous bankruptcy Classifiers: a Genetic Algorithm Approach. |
Intell. Syst. Account. Finance Manag. |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Hendro Wicaksono, Fabian Jost, Sven Rogalski, Jivka Ovtcharova |
Energy Efficiency Evaluation in manufacturing through an Ontology-Represented Knowledge Base. |
Intell. Syst. Account. Finance Manag. |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Aurelien Cassagnes, Yu Chen 0007, Hirotada Ohashi |
Heterogeneous Computation of Rainbow Option prices using Fourier cosine Series Expansion under a mixed CPU-GPU Computation Framework. |
Intell. Syst. Account. Finance Manag. |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Edward J. Cartwright |
Imitation and Coordination in Small-World Networks. |
Intell. Syst. Account. Finance Manag. |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Saki Kawakubo, Kiyoshi Izumi, Shinobu Yoshimura |
Analysis of an Option Market Dynamics Based on a Heterogeneous Agent Model. |
Intell. Syst. Account. Finance Manag. |
2014 |
DBLP DOI BibTeX RDF |
|