arXiv 2016-05-01 EN Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options Kuklinski, Jan · Tyloo, Kevin
arXiv 2016-04-22 EN Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications * Pham, Huyên
arXiv 2016-04-21 EN Optimal trading with online parameters revisions Baradel, N · Bouchard, B · Dang, Ngoc Minh
arXiv 2016-04-18 EN High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation Dimitrov, Yuri M. · Vulkov, Lubin G.
arXiv 2016-04-12 EN The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model Pepin, Dominique
arXiv 2016-03-30 EN Numerical approximation of a cash-constrained firm value with investment opportunities Pierre, Erwan · Villeneuve, Stéphane · Warin, Xavier
arXiv 2016-03-27 EN A Flexible Galerkin Scheme for Option Pricing in Lévy Models Gaß, Maximilian · Glau, Kathrin
arXiv 2016-03-26 EN GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model Takaishi, Tetsuya
arXiv 2016-03-22 EN Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets Hendricks, Dieter
arXiv 2016-03-16 EN Market Dynamics vs. Statistics: Limit Order Book Example Malyshkin, Vladislav Gennadievich · Bakhramov, Ray
arXiv 2016-03-13 EN Contagion and Stability in Financial Networks Mousavi, Seyyed Mostafa · Mackay, Robert · Tucker, Alistair
arXiv 2016-03-09 EN Libor at crossroads: stochastic switching detection using information theory quantifiers Bariviera, Aurelio F. · Guercio, M. Belen · Martinez, Lisana B. · Rosso, Osvaldo A.
arXiv 2016-03-09 EN Interacting Default Intensity with Hidden Markov Process Yu, Feng-Hui · Ching, Wai-Ki · Gu, Jia-Wen · Siu, Tak-Kuen
arXiv 2016-03-09 EN Capital Valuation Adjustment and Funding Valuation Adjustment Albanese, Claudio · Caenazzo, Simone · Crépey, Stéphane
arXiv 2016-03-03 EN Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes Albulescu, Claudiu · Aubin, Christian · Goyeau, Daniel
arXiv 2016-02-17 EN Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling Jiao, Ying · Ma, Chunhua · Scotti, Simone
arXiv 2016-02-13 EN Local Volatility Models in Commodity Markets and Online Calibration Albani, Vinicius · Ascher, Uri M. · Zubelli, Jorge P.
