arXiv 2017-04-21 EN Fast Quantization of Stochastic Volatility Models Rudd, Ralph · McWalter, Thomas A. · Kienitz, Joerg · Platen, Eckhard
arXiv 2017-04-21 EN On mean-variance hedging under partial observations and terminal wealth constraints Makogin, Vitalii · Melnikov, Alexander · Mishura, Yuliya
arXiv 2017-04-20 EN Structural price model for electricity coupled markets Alasseur, Clemence · Feron, Olivier
arXiv 2017-04-14 EN Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging Herrmann, Sebastian · Muhle-Karbe, Johannes
arXiv 2017-04-11 EN Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time Bonollo, Michele · Di Persio, Luca · Mammi, Luca · Oliva, Immacolata
arXiv 2017-04-08 EN Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility Becherer, Dirk · Kentia, Klebert
arXiv 2017-04-07 EN A systemic shock model for too big to fail financial institutions Mulinacci, Sabrina
arXiv 2017-03-28 EN Smallest order closed sublattices and option spanning Gao, Niushan · Leung, Denny H.
arXiv 2017-03-27 EN A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet Sobhani, Amirhossein · Milev, Mariyan
arXiv 2017-03-25 EN Towards a probability-free theory of continuous martingales Vovk, Vladimir · Shafer, Glenn
arXiv 2017-03-24 EN A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping Källblad, Sigrid
arXiv 2017-03-20 EN Optimal Portfolio under Fractional Stochastic Environment Fouque, Jean-Pierre · Hu, Ruimeng
arXiv 2017-03-17 EN Pricing VIX Derivatives With Free Stochastic Volatility Model Lin, Wei · Li, Shenghong · Chern, Shane
arXiv 2017-03-13 EN Topological Data Analysis of Financial Time Series: Landscapes of Crashes Gidea, Marian · Katz, Yuri
arXiv 2017-03-04 EN Blockchains and Distributed Ledgers in Retrospective and Perspective Lipton, Alexander
arXiv 2017-03-03 EN Disentangling Price, Risk and Model Risk: V&R measures Frittelli, Marco · Maggis, Marco
arXiv 2017-02-28 EN Optimal Investment and Pricing in the Presence of Defaults Ishikawa, Tetsuya · Robertson, Scott
arXiv 2017-02-24 EN A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes Landriault, David · Li, Bin · Zhang, Hongzhong
