Search results for "e-Finance"

Hits ?▲	Authors	Title	Venue	Year	Link
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