cicyt UNIZAR

Quantitative Finance

Authors and titles for Mar 2018

[ total of 52 entries: 1-25 | 26-50 | 51-52 ]
[ showing 25 entries per page: fewer | more | all ]
[1]  arXiv:1803.00261 [pdf, other]
Title: Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations
Comments: Review of a new random matrix approach to credit risk
Subjects: Risk Management (q-fin.RM); Statistical Finance (q-fin.ST)
[2]  arXiv:1803.00374 [pdf, ps, other]
Title: Exploring the relationship between money stock and GDP in the Euro Area via a bootstrap test for Granger-causality in the frequency domain
Subjects: Statistical Finance (q-fin.ST); Applications (stat.AP)
[3]  arXiv:1803.00464 [pdf]
Title: Mortality data reliability in an internal model
Subjects: Risk Management (q-fin.RM); Probability (math.PR); Applications (stat.AP)
[4]  arXiv:1803.00611 [pdf, other]
Title: Optimal investment-consumption problem post-retirement with a minimum guarantee
Authors: Hassan Dadashi
Comments: !7 pages
Subjects: Portfolio Management (q-fin.PM); Probability (math.PR)
[5]  arXiv:1803.00957 [pdf]
Title: Continuous partition-of-unity copulas and their application to risk management
Comments: 22 pages, 34 figures, 4 tables, 38 references
Subjects: Risk Management (q-fin.RM)
[6]  arXiv:1803.01381 [pdf]
Title: Generalized Information Ratio
Comments: 47 pages, 1 figure, 6 tables
Subjects: Portfolio Management (q-fin.PM)
[7]  arXiv:1803.01389 [pdf]
Title: Comparing Asset Pricing Models: Distance-based Metrics and Bayesian Interpretations
Comments: 50 pages, 1 figure, 9 tables
Subjects: Portfolio Management (q-fin.PM); Statistical Finance (q-fin.ST)
[8]  arXiv:1803.02012 [pdf, other]
Title: A Dynamic Model of Central Counterparty Risk
Subjects: Risk Management (q-fin.RM)
[9]  arXiv:1803.02019 [pdf, ps, other]
Title: Modelling stock correlations with expected returns from investors
Subjects: Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST)
[10]  arXiv:1803.02249 [pdf, other]
Title: A Term Structure Model for Dividends and Interest Rates
Subjects: Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)
[11]  arXiv:1803.02486 [pdf, other]
Title: Pricing index options by static hedging under finite liquidity
Comments: 19 pages, 12 figures
Subjects: Pricing of Securities (q-fin.PR)
[12]  arXiv:1803.02546 [pdf, ps, other]
Title: Quantile optimization under derivative constraint
Authors: Zuo Quan Xu
Subjects: Mathematical Finance (q-fin.MF)
[13]  arXiv:1803.02570 [pdf, ps, other]
Title: Why Black Swan events must occur
Subjects: Risk Management (q-fin.RM); Logic (math.LO)
[14]  arXiv:1803.02974 [pdf, ps, other]
Title: Optimal Portfolio Design for Statistical Arbitrage in Finance
Comments: 12 pages, 4 figures
Subjects: Portfolio Management (q-fin.PM)
[15]  arXiv:1803.03364 [pdf, other]
Title: Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation
Comments: 45 pages, 9 figures, 3 tables, available at SSRN: this https URL
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP); Applications (stat.AP); Computation (stat.CO)
[16]  arXiv:1803.03477 [pdf, other]
Title: Behavioural effects on XVA
Comments: 13 pages, 1 figure, 3 tables
Subjects: Pricing of Securities (q-fin.PR)
[17]  arXiv:1803.03573 [pdf, other]
Title: Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty
Comments: 21 pages, 5 figures
Subjects: Statistical Finance (q-fin.ST); Portfolio Management (q-fin.PM)
[18]  arXiv:1803.03941 [pdf, other]
Title: Calibration of Local Volatility Model with Stochastic Interest Rates by Efficient Numerical PDE Method
Subjects: Mathematical Finance (q-fin.MF)
[19]  arXiv:1803.03996 [pdf, other]
Title: Matching distributions: Recovery of implied physical densities from option prices
Authors: Jarno Talponen
Comments: JEL classification: G10, G12, G13, C14, D53, C58
Subjects: Pricing of Securities (q-fin.PR); General Finance (q-fin.GN)
[20]  arXiv:1803.04094 [pdf, other]
Title: Algorithmic Trading with Partial Information: A Mean Field Game Approach
Comments: 39 pages, 1 figure
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR); Statistical Finance (q-fin.ST); Trading and Market Microstructure (q-fin.TR)
[21]  arXiv:1803.04213 [pdf, ps, other]
Title: Robust utility maximization in markets with transaction costs
Subjects: Mathematical Finance (q-fin.MF)
[22]  arXiv:1803.04483 [pdf, other]
Title: Pathwise moderate deviations for option pricing
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR); Pricing of Securities (q-fin.PR)
[23]  arXiv:1803.04532 [pdf, other]
Title: Minimising the expectation value of the procurement cost in electricity markets based on the prediction error of energy consumption
Subjects: Economics (q-fin.EC); General Finance (q-fin.GN)
[24]  arXiv:1803.04591 [pdf, other]
Title: A Generalization of the Robust Positive Expectation Theorem for Stock Trading via Feedback Control
Comments: accepted at the European Control Conference 2018
Subjects: Statistical Finance (q-fin.ST); Computational Finance (q-fin.CP)
[25]  arXiv:1803.04892 [pdf, other]
Title: Theoretical and empirical analysis of trading activity
Comments: 27 pages
Subjects: Trading and Market Microstructure (q-fin.TR)
[ total of 52 entries: 1-25 | 26-50 | 51-52 ]
[ showing 25 entries per page: fewer | more | all ]

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