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Quantitative Finance

Authors and titles for recent submissions

[ total of 20 entries: 1-20 ]
[ showing up to 25 entries per page: fewer | more ]

Mon, 25 Sep 2017

[1]  arXiv:1709.07682 [pdf]
Title: New copulas based on general partitions-of-unity and their applications to risk management (part II)
Comments: 12 pages
Subjects: Risk Management (q-fin.RM)
[2]  arXiv:1709.07527 [pdf, other]
Title: A posteriori multi-stage optimal trading under transaction costs and a diversification constraint
Comments: 29 pages, 15 figures, 6 tables
Subjects: Portfolio Management (q-fin.PM); Computational Engineering, Finance, and Science (cs.CE)
[3]  arXiv:1709.07446 [pdf, ps, other]
Title: Arbitrage and Geometry
Comments: 22 pages, 9 figures
Subjects: Mathematical Finance (q-fin.MF); Statistics Theory (math.ST)

Fri, 22 Sep 2017

[4]  arXiv:1709.07300 [pdf, ps, other]
Title: How Facebook drives investor behavior
Subjects: Trading and Market Microstructure (q-fin.TR)
[5]  arXiv:1709.07329 (cross-list from math.PR) [pdf, ps, other]
Title: Density of the set of probability measures with the martingale representation property
Comments: 21 pages
Subjects: Probability (math.PR); General Finance (q-fin.GN); Mathematical Finance (q-fin.MF)

Thu, 21 Sep 2017

[6]  arXiv:1709.06759 [pdf, ps, other]
Title: Market Dynamics. On A Muse Of Cash Flow And Liquidity Deficit
Subjects: Trading and Market Microstructure (q-fin.TR); Computational Finance (q-fin.CP)
[7]  arXiv:1709.06641 [pdf, ps, other]
Title: Dead Alphas as Risk Factors
Comments: 9 pages; to appear as an Invited Editorial in Journal of Asset Management
Subjects: Portfolio Management (q-fin.PM); Risk Management (q-fin.RM)

Wed, 20 Sep 2017

[8]  arXiv:1709.06517 [pdf]
Title: Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon
Comments: 14 pages, 11 figures
Subjects: Pricing of Securities (q-fin.PR); Numerical Analysis (math.NA); Computational Finance (q-fin.CP)
[9]  arXiv:1709.06480 [pdf, other]
Title: Kinetic theory and Brazilian income distribution
Subjects: General Finance (q-fin.GN)
[10]  arXiv:1709.06380 [pdf]
Title: Modeling of the Labour Force Redistribution in Investment Projects with Account of their Delay
Subjects: Economics (q-fin.EC)
[11]  arXiv:1709.06348 [pdf, ps, other]
Title: The bail-out optimal dividend problem under the absolutely continuous condition
Comments: Keywords: stochastic control, scale functions, refracted-reflected L\'evy processes
Subjects: Mathematical Finance (q-fin.MF); Optimization and Control (math.OC); Risk Management (q-fin.RM)
[12]  arXiv:1709.06296 [pdf, other]
Title: Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty
Subjects: Portfolio Management (q-fin.PM)
[13]  arXiv:1709.06279 [pdf, other]
Title: Universal Lévy's Stable Law of Stock Market and its Characterization
Subjects: Statistical Finance (q-fin.ST)

Tue, 19 Sep 2017

[14]  arXiv:1709.05837 [pdf, other]
Title: Optimal Liquidation Problems in a Randomly-Terminated Horizon
Subjects: Trading and Market Microstructure (q-fin.TR); Analysis of PDEs (math.AP)
[15]  arXiv:1709.05823 [pdf, other]
Title: A new approach to the modeling of financial volumes
Subjects: Statistical Finance (q-fin.ST)
[16]  arXiv:1709.05594 [pdf, other]
Title: GDP growth rates as confined Lévy flights
Subjects: General Finance (q-fin.GN); Physics and Society (physics.soc-ph)
[17]  arXiv:1709.05519 [pdf, other]
Title: Semi-Static and Sparse Variance-Optimal Hedging
Comments: 4 figures
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR)
[18]  arXiv:1709.05392 [pdf, other]
Title: Relatedness, Knowledge Diffusion, and the Evolution of Bilateral Trade
Subjects: Economics (q-fin.EC)
[19]  arXiv:1709.05529 (cross-list from cs.SY) [pdf, ps, other]
Title: Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise
Comments: 32 Pages, 2 Figures
Subjects: Systems and Control (cs.SY); Portfolio Management (q-fin.PM)
[20]  arXiv:1709.05527 (cross-list from math.PR) [pdf, ps, other]
Title: Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation
Subjects: Probability (math.PR); Mathematical Finance (q-fin.MF)
[ total of 20 entries: 1-20 ]
[ showing up to 25 entries per page: fewer | more ]

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