Optimal high-frequency trading with limit and market orders von Guilbaud, Fabien, Pham, Huyên

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A regime-switching Heston model for VIX and S&P 500 implied volatilities von Papanicolaou, Andrew, Sircar, Ronnie

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Relative Robust Portfolio Optimization with benchmark regret von Simões, Gonçalo, McDonald, Mark, Williams, Stacy, Fenn, Daniel, Hauser, Raphael

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Estimating a regime switching pairs trading model von Elliott, Robert J., Bradrania, Reza

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Pairs trading based on statistical variability of the spread process von Bogomolov, Timofei

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A two-factor model for the electricity forward market von Kiesel, Rüdiger, Schindlmayr, Gero, Börger, Reik H.

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Maximizing survival, growth and goal reaching under borrowing constraints von Yener, Haluk

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A new sampling strategy willow tree method with application to path-dependent option pricing von Xu, Wei, Hong, Zhiwu, Qin, Chenxiang

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The payoff distribution model: an application to dynamic portfolio insurance von Hocquard, Alexandre, Papageorgiou, Nicolas, Remillard, Bruno

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Comparison of methods to estimate option implied risk-neutral densities von Lai, Wan-Ni

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Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market von Florescu, Ionuţ, Mariani, Maria Cristina, Sewell, Granville

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Hogan-Weintraub singularity and explosive behaviour in the Black-Derman-Toy model von Pirjol, Dan

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A financial CCAPM and economic inequalities von Tapiero, Charles S.

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Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities von Hilliard, Jimmy E.

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Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model von Karlsson, Patrik, Jain, Shashi, Oosterlee, Cornelis W.

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A hybrid commodity and interest rate market model von Pilz, K. F., Schlögl, E.

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Directional entropy and tail uncertainty, with applications to financial hazard von Bowden, Roger J.

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Optimal investment in the foreign exchange market with proportional transaction costs von Veraart, Luitgard

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The kth default time distribution and basket default swap pricing von Choe, Geon Ho, Jang, Hyun Jin

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Wavelet decomposition for intra-day volume dynamics von Manchaldore, Jaisimha, Palit, Imon, Soloviev, Oleg

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