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A stochastic differential game for optimal investment of an insurer with...

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Identifying small mean-reverting portfolios

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Some integral functionals of reflected SDEs and their applications in finance

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On the perpetual American put options for level dependent volatility models...

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Tail dependence and skew distributions

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Optimal investment in the foreign exchange market with proportional...

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Patterns in high-frequency FX data: discovery of 12 empirical scaling laws

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Higher order and recurrent neural architectures for trading the EUR/USD...

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A hybrid Markov-Functional model with simultaneous calibration to the...

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Term structure of volatilities and yield curve estimation methodology

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Interest rate models on Lie groups

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Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions

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A jump-diffusion Libor model and its robust calibration

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Weak and strong Taylor methods for numerical solutions of stochastic...

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Multifractal analysis of the dollar-yuan and euro-yuan exchange rates before...

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On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent...

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A unified approach to explicit bond price solutions under a time-dependent...

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Asymptotics of the probability of minimizing 'down-side' risk under partial...

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