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Quantitative Finance

Authors and titles for recent submissions

[ total of 23 entries: 1-23 ]
[ showing up to 25 entries per page: fewer | more ]

Fri, 19 Jan 2018

[1]  arXiv:1801.06141 [pdf]
Title: A First Option Calibration of the GARCH Diffusion Model by a PDE Method
Comments: 29 pages, 7 figures
Subjects: Computational Finance (q-fin.CP)
[2]  arXiv:1801.06077 [pdf, other]
Title: The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios
Authors: Igor Halperin
Comments: 18 pages, 5 figures
Subjects: Computational Finance (q-fin.CP); Learning (cs.LG)
[3]  arXiv:1801.06028 [pdf, other]
Title: A closed-form formula for pricing bonds between coupon payments
Subjects: Pricing of Securities (q-fin.PR)
[4]  arXiv:1801.05947 [pdf, other]
Title: Large-Scale Simulation of Multi-Asset Ising Financial Markets
Authors: Tetsuya Takaishi
Comments: 10 pages, 9 figures
Subjects: Computational Finance (q-fin.CP)

Thu, 18 Jan 2018

[5]  arXiv:1801.05770 [pdf]
Title: The macroeconomics determinants of default of the borrowers: The case of Moroccan bank
Comments: in French
Subjects: Statistical Finance (q-fin.ST)
[6]  arXiv:1801.05760 [pdf]
Title: CryptoRuble: From Russia with Love
Comments: 20 pages
Journal-ref: Risk, January 2018, pp. 53-54
Subjects: General Finance (q-fin.GN); Economics (q-fin.EC)
[7]  arXiv:1801.05759 [pdf]
Title: Evaluating the role of risk networks on risk identification, classification and emergence
Comments: 21 pages, 7 Figures, 4 tables, To appear in Journal of Network Theory in Finance
Subjects: Risk Management (q-fin.RM); Computational Engineering, Finance, and Science (cs.CE); Physics and Society (physics.soc-ph)
[8]  arXiv:1801.05752 [pdf]
Title: Part 1: Training Sets & ASG Transforms
Authors: Rilwan Adewoyin
Comments: 12 pages excluding appendices
Subjects: Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST)
[9]  arXiv:1801.05673 [pdf, other]
Title: A subordinated CIR intensity model with application to Wrong-Way risk CVA
Subjects: Mathematical Finance (q-fin.MF)
[10]  arXiv:1801.05597 [pdf, other]
Title: Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models
Subjects: Computational Finance (q-fin.CP)
[11]  arXiv:1801.05446 (cross-list from cond-mat.stat-mech) [pdf, other]
Title: The Stretch to Stray on Time: Resonant Length of Random Walks in a Transient
Subjects: Statistical Mechanics (cond-mat.stat-mech); Molecular Networks (q-bio.MN); Mathematical Finance (q-fin.MF)

Wed, 17 Jan 2018

[12]  arXiv:1801.05409 [pdf, other]
Title: The Influence of Seed Selection on the Solvency II Ratio
Comments: 2 figures
Subjects: Risk Management (q-fin.RM)
[13]  arXiv:1801.05352 [pdf]
Title: Shooting Low or High: Do Countries Benefit from Entering Unrelated Activities?
Comments: 43 pages, 12 figures, 3 appendices
Subjects: General Finance (q-fin.GN); Physics and Society (physics.soc-ph)
[14]  arXiv:1801.04994 [pdf, ps, other]
Title: Consistent Valuation Across Curves Using Pricing Kernels
Comments: 50 pages
Subjects: Mathematical Finance (q-fin.MF)
[15]  arXiv:1801.05279 (cross-list from cond-mat.stat-mech) [pdf, ps, other]
Title: Greedy algorithms and Zipf laws
Subjects: Statistical Mechanics (cond-mat.stat-mech); General Finance (q-fin.GN)

Tue, 16 Jan 2018

[16]  arXiv:1801.04910 [pdf, ps, other]
Title: Urn model for products' shares in international trade
Comments: 9 pages, 5 figures
Journal-ref: J. Stat. Mech. (2017) 123403
Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Mechanics (cond-mat.stat-mech); Physics and Society (physics.soc-ph)
[17]  arXiv:1801.04841 [pdf, other]
Title: Demographic Modeling Via 3-dimensional Markov Chains
Comments: in Spanish
Journal-ref: Revista de Matematica: Teoria y Aplicaciones - 2018
Subjects: General Finance (q-fin.GN); Probability (math.PR)
[18]  arXiv:1801.04491 (cross-list from math.OC) [pdf, other]
Title: Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
Subjects: Optimization and Control (math.OC); Mathematical Finance (q-fin.MF)
[19]  arXiv:1705.05334 (cross-list from physics.soc-ph) [pdf, ps, other]
Title: Evolutionary dynamics of the cryptocurrency market
Journal-ref: Royal Society Open Science 4, 170623 (2017)
Subjects: Physics and Society (physics.soc-ph); Social and Information Networks (cs.SI); Adaptation and Self-Organizing Systems (nlin.AO); Populations and Evolution (q-bio.PE); General Finance (q-fin.GN)

Mon, 15 Jan 2018

[20]  arXiv:1801.04218 [pdf, other]
Title: Coexistence of several currencies in presence of increasing returns to adoption
Authors: Alex Lamarche-Perrin (Phys-ENS), André Orléan (PSE), Pablo Jensen (Phys-ENS)
Subjects: General Finance (q-fin.GN); Physics and Society (physics.soc-ph)
[21]  arXiv:1801.04112 [pdf, other]
Title: Regression Based Expected Shortfall Backtesting
Subjects: Risk Management (q-fin.RM)
[22]  arXiv:1801.04080 [pdf, ps, other]
Title: Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present
Authors: N. Packham
Subjects: Economics (q-fin.EC); Portfolio Management (q-fin.PM)
[23]  arXiv:1801.04045 [pdf, ps, other]
Title: Asymptotic Static Hedge via Symmetrization
Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)
[ total of 23 entries: 1-23 ]
[ showing up to 25 entries per page: fewer | more ]

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