arXiv 2017-08-11 EN On the overestimation of the largest eigenvalue of a covariance matrix Hayou, Soufiane
arXiv 2017-08-09 EN Conditional-Mean Hedging Under Transaction Costs in Gaussian Models Sottinen, Tommi · Viitasaari, Lauri
arXiv 2017-07-18 EN Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk He, Xue Dong · Peng, Xianhua
arXiv 2017-07-18 EN Second order stochastic differential models for financial markets Zung, Nguyen Tien
arXiv 2017-07-08 EN Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models Kisbye, Patricia · Meier, Karem
arXiv 2017-07-06 EN Option Pricing with Delayed Information Ichiba, Tomoyuki · Mousavi, Seyyed Mostafa
arXiv 2017-06-12 EN Portfolio optimization for a large investor controlling market sentiment under partial information Altay, Sühan · Colaneri, Katia · Eksi, Zehra
arXiv 2017-06-07 EN Adaptive Robust Control Under Model Uncertainty Bielecki, Tomasz R. · Chen, Tao · Cialenco, Igor · Cousin, Areski +1
arXiv 2017-05-30 EN Dynamic Index Tracking and Risk Exposure Control Using Derivatives Leung, Tim · Ward, Brian
arXiv 2017-05-27 EN Growth-Optimal Portfolio Selection under CVaR Constraints Uziel, Guy · El-Yaniv, Ran
arXiv 2017-05-23 EN Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate Cheng, Zailei
arXiv 2017-05-16 EN Analytic techniques for option pricing under a hyperexponential Lévy model Hackmann, Daniel
arXiv 2017-05-05 EN A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting Cuchiero, Christa · Klein, Irene · Teichmann, Josef
arXiv 2017-05-01 EN Particle systems with singular interaction through hitting times: application in systemic risk modeling Nadtochiy, Sergey · Shkolnikov, Mykhaylo
