Hits ?▲ |
Authors |
Title |
Venue |
Year |
Link |
Author keywords |
14 | Bungo Miyazaki, Kiyoshi Izumi, Fujio Toriumi, Ryo Takahashi |
Change Detection of Orders in Stock Markets using a Gaussian Mixture Model. |
Intell. Syst. Account. Finance Manag. |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Steve Phelps, Wing Lon Ng |
A Simulation Analysis of Herding and Unifractal Scaling Behaviour. |
Intell. Syst. Account. Finance Manag. |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Mark Tucker, J. Mark Bull |
An efficient algorithm for the calculation of reserves for non-unit linked life policies. |
Algorithmic Finance |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Bryant Chen, William W. Y. Hsu, Jan-Ming Ho, Ming-Yang Kao |
Linear-time accurate lattice algorithms for tail conditional expectation. |
Algorithmic Finance |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Daniel Mantilla-García |
Dynamic allocation strategies for absolute and relative loss control. |
Algorithmic Finance |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Thomas A. Rhee |
The relationship between return fractality and bipower variation. |
Algorithmic Finance |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Lior Zatlavi, Dror Y. Kenett, Eshel Ben-Jacob |
The design and performance of the adaptive stock market index. |
Algorithmic Finance |
2014 |
DBLP DOI BibTeX RDF |
|
14 | |
A Minute with Kenneth J. Arrow. |
Algorithmic Finance |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Neil J. Calkin, Marcos López de Prado |
The topology of macro financial flows: An application of stochastic flow diagrams. |
Algorithmic Finance |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Andrey Itkin |
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps. |
Algorithmic Finance |
2014 |
DBLP DOI BibTeX RDF |
|
14 | David M. Rothschild, David M. Pennock |
The extent of price misalignment in prediction markets. |
Algorithmic Finance |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Laurence Irlicht |
Fast recursive portfolio optimization. |
Algorithmic Finance |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Neil J. Calkin, Marcos López de Prado |
Stochastic flow diagrams. |
Algorithmic Finance |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Stefan Tappe, Stefan Weber 0005 |
Stochastic mortality models: an infinite-dimensional approach. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Paolo Guasoni, Constantinos Kardaras, Scott Robertson, Hao Xing |
Abstract, classic, and explicit turnpikes. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Peter Carr 0002, Travis Fisher, Johannes Ruf |
On the hedging of options on exploding exchange rates. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Walter Farkas, Pablo Koch-Medina, Cosimo Munari |
Beyond cash-additive risk measures: when changing the numéraire fails. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Teemu Pennanen |
Optimal investment and contingent claim valuation in illiquid markets. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Koichiro Takaoka, Martin Schweizer |
A note on the condition of no unbounded profit with bounded risk. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Jakob Söhl |
Confidence sets in nonparametric calibration of exponential Lévy models. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Emmanuel Gobet |
A correction note to "Discrete time hedging errors for options with irregular payoffs". |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Curdin Ott |
Bottleneck options. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Tomas Björk, Agatha Murgoci |
A theory of Markovian time-inconsistent stochastic control in discrete time. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Maxim Bichuch |
Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Vicky Henderson, Gechun Liang |
Pseudo linear pricing rule for utility indifference valuation. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Volker Krätschmer, Alexander Schied, Henryk Zähle |
Comparative and qualitative robustness for law-invariant risk measures. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Winslow Strong |
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Takashi Kato |
An optimal execution problem with market impact. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Claudio Fontana, Monique Jeanblanc, Shiqi Song |
On arbitrages arising with honest times. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Francesca Biagini, Hans Föllmer, Sorin Nedelcu |
Shifting martingale measures and the birth of a bubble as a submartingale. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Jörn Sass, Martin Smaga |
FTAP in finite discrete time with transaction costs by utility maximization. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Irene Klein, Emmanuel Lépinette, Lavinia Perez-Ostafe |
Asymptotic arbitrage with small transaction costs. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Kun Gao, Roger Lee |
Asymptotics of implied volatility to arbitrary order. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Henri Pagès, Dylan Possamaï |
A mathematical treatment of bank monitoring incentives. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Claudia Ravanelli, Gregor Svindland |
Comonotone Pareto optimal allocations for law invariant robust utilities on L 1. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Maxim Bichuch, Stephan Sturm |
Portfolio optimization under convex incentive schemes. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Daniel Hackmann, Alexey Kuznetsov 0001 |
Asian options and meromorphic Lévy processes. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Marcel Nutz |
Superreplication under model uncertainty in discrete time. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Masaaki Fukasawa |
Efficient discretization of stochastic integrals. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Yan Dolinsky, H. Mete Soner |
Robust hedging with proportional transaction costs. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Agostino Capponi, Stefano Pagliarani, Tiziano Vargiolu |
Pricing vulnerable claims in a Lévy-driven model. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Lijun Bo, Agostino Capponi |
Bilateral credit valuation adjustment for large credit derivatives portfolios. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Fred Espen Benth, Jukka Lempa |
Optimal portfolios in commodity futures markets. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe, Walter Schachermayer |
Transaction costs, trading volume, and the liquidity premium. |
Finance Stochastics |
2014 |
DBLP DOI BibTeX RDF |
|
14 | Camillia Zedan, Antonella Ianni, Seth Bullock |
Competition and Cascades in Markets: an Agent-Based Model of endogenous Mergers. |
Intell. Syst. Account. Finance Manag. |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Saban Çelik |
Micro Credit Risk Metrics: a Comprehensive Review. |
Intell. Syst. Account. Finance Manag. |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Shuhua Liu, Benoît Favre |
Understand the Global Economic Crisis: a Text Summarization Approach. |
Intell. Syst. Account. Finance Manag. |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Ding-Wen Tan, William Yeoh 0002, Yee Ling Boo, Soung-Yue Liew |
The Impact of Feature Selection: a Data-Mining Application in Direct Marketing. |
Intell. Syst. Account. Finance Manag. |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Hui Li 0001, Jun-Ling Yu, Qing Zhou, Jianhu Cai |
Forecasting Firm Risk in the Emerging Market of China with Sequential Optimization of Influence Factors on Performance of Case-Based Reasoning: an Empirical Study with Imbalanced samples. |
Intell. Syst. Account. Finance Manag. |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Daniel E. O'Leary |
'Big Data', the 'Internet of Things' and the 'Internet of Signs'. |
Intell. Syst. Account. Finance Manag. |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Vicky Arnold, Philip A. Collier, Stewart A. Leech, Steve G. Sutton, Andrew Vincent |
Incase: simulating Experience to Accelerate Expertise Development by Knowledge Workers. |
Intell. Syst. Account. Finance Manag. |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Iacopo Giampaoli, Wing Lon Ng, Nick Constantinou |
Periodicities of Foreign Exchange Markets and the Directional Change Power Law. |
Intell. Syst. Account. Finance Manag. |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Alexander Boer, Tom M. van Engers |
Legal Knowledge and Agility in Public Administration. |
Intell. Syst. Account. Finance Manag. |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Pantelis Longinidis, Panagiotis Symeonidis |
Corporate dividend Policy Determinants: Intelligent versus a Traditional Approach. |
Intell. Syst. Account. Finance Manag. |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Sovan Mitra |
Scenario Generation for Operational Risk. |
Intell. Syst. Account. Finance Manag. |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Christian L. Dunis, Jason Laws, Peter W. Middleton, Andreas S. Karathanasopoulos |
Nonlinear Forecasting of the Gold Miner spread: an Application of Correlation filters. |
Intell. Syst. Account. Finance Manag. |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Kesheng Wu, E. Wes Bethel, Ming Gu, David Leinweber, Oliver Rübel |
A big data approach to analyzing market volatility. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | I. Róbert Sipos, János Levendovszky |
Optimizing sparse mean reverting portfolios. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Slava Mazur |
Modeling market impact and timing risk in volume time. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Andrei Kirilenko, Richard B. Sowers, Xiangqian Meng |
A multiscale model of high-frequency trading. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Norbert Fogarasi, János Levendovszky |
Sparse, mean reverting portfolio selection using simulated annealing. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | |
A minute with Marcos Lopez de Prado. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Leonidas Sandoval Junior |
Cluster formation and evolution in networks of financial market indices. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Shawn Mankad, George Michailidis, Andrei Kirilenko |
Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Michael Rechenthin, W. Nick Street, Padmini Srinivasan |
Stock chatter: Using stock sentiment to predict price direction. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Oren J. Tapiero |
The relationship between risk and incomplete states uncertainty: a tsallis entropy perspective. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | |
A Minute with Giovanni Barone-Adesi. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | David Bicchetti, Nicolas Maystre |
The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | |
A Minute with Andrei Kirilenko. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | David H. Bailey, Marcos López de Prado, Eva del Pozo |
The strategy approval decision: A Sharpe ratio indifference curve approach. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Ramón Huerta, Fernando J. Corbacho, Charles Elkan |
Nonlinear support vector machines can systematically identify stocks with high and low future returns. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Shilei Wang |
Dynamical trading mechanisms in limit order markets. |
Algorithmic Finance |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Jocelyne Bion-Nadal, Giulia Di Nunno |
Dynamic no-good-deal pricing measures and extension theorems for linear operators on L ∞. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Carole Bernard, Zhenyu Cui, Martin Forde, Antoine Jacquier, Don McLeish, Aleksandar Mijatovic |
Correction note for 'The large-maturity smile for the Heston model'. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Christoph Czichowsky |
Time-consistent mean-variance portfolio selection in discrete and continuous time. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Liao Wang, Johannes Wissel |
Mean-variance hedging with oil futures. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Mathias Beiglböck, Pierre Henry-Labordère, Friedrich Penkner |
Model-independent bounds for option prices - a mass transport approach. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Denis Belomestny, John Schoenmakers, Fabian Dickmann |
Multilevel dual approach for pricing American style derivatives. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Belkacem Berdjane, Serguei Pergamenshchikov |
Optimal consumption and investment for markets with random coefficients. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Vladimir Cherny, Jan Oblój |
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Roman Muraviev |
Market selection with learning and catching up with the Joneses. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Xi Chen, Robert V. Kohn |
Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | John A. D. Appleby, Markus Riedle, Catherine Swords |
Bubbles and crashes in a Black-Scholes model with delay. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer |
The dual optimizer for the growth-optimal portfolio under transaction costs. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Martin Keller-Ressel, Johannes Muhle-Karbe |
Asymptotic and exact pricing of options on variance. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Christopher Lorenz, Alexander Schied |
Drift dependence of optimal trade execution strategies under transient price impact. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Ashkan Nikeghbali, Eckhard Platen |
A reading guide for last passage times with financial applications in view. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Tim Leung, Qingshuo Song, Jie Yang |
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Robert Jarrow, Younes Kchia, Martin Larsson, Philip Protter |
Discretely sampled variance and volatility swaps versus their continuous approximations. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Revaz Tevzadze, Teimuraz Toronjadze, Tamaz Uzunashvili |
Robust utility maximization for a diffusion market model with misspecified coefficients. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Peter Carr 0002, Roger Lee |
Variation and share-weighted variation swaps on time-changed Lévy processes. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Ruodu Wang, Liang Peng, Jingping Yang |
Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Ralf Korn, Stefanie Müller 0004 |
The optimal-drift model: an accelerated binomial scheme. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Bruno Bouchard 0002, Ngoc-Minh Dang |
Generalized stochastic target problems for pricing and partial hedging under loss constraints - application in optimal book liquidation. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Luciano Campi, Umut Çetin, Albina Danilova |
Equilibrium model with default and dynamic insider information. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Damien Lamberton, Mohammed Adam Mikou |
Exercise boundary of the American put near maturity in an exponential Lévy model. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Dmitry B. Rokhlin |
On the game interpretation of a shadow price process in utility maximization problems under transaction costs. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Daniel Z. Zanger |
Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Giuseppe Benedetti, Luciano Campi, Jan Kallsen, Johannes Muhle-Karbe |
On the existence of shadow prices. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|
14 | Martin Hunting, Jostein Paulsen |
Optimal dividend policies with transaction costs for a class of jump-diffusion processes. |
Finance Stochastics |
2013 |
DBLP DOI BibTeX RDF |
|