Pricing American options with exogenous and endogenous transaction costs

Authors: Dong Yan, Xin-Jie Huang, Guiyuan Ma, Xin-Jiang He

Source: Computers & Mathematics with Applications. 200:85-101

Subject Terms: FOS: Economics and business, Mathematical Finance, Mathematical Finance (q-fin.MF)

Access URL: http://arxiv.org/abs/2509.00485

Worst-case values of target semi-variances with applications to robust portfolio selection

Authors: Cai, Jun, Jiao, Zhanyi, Mao, Tiantian

Source: European Journal of Operational Research. 327:905-921

Subject Terms: FOS: Economics and business, Portfolio Management (q-fin.PM), Risk Management (q-fin.RM), Quantitative Finance - Portfolio Management, Quantitative Finance - Risk Management

Access URL: http://arxiv.org/abs/2410.01732

Joint model for longitudinal and spatio-temporal survival data

Authors: Victor Medina-Olivares, Finn Lindgren, Raffaella Calabrese, Jonathan Crook

Source: European Journal of Operational Research. 327:892-904

Subject Terms: Machine Learning, Computational Engineering, Finance, and Science (cs.CE), FOS: Economics and business, FOS: Computer and information sciences, Risk Management, Computational Engineering, Finance, and Science, Risk Management (q-fin.RM), 1. No poverty, Machine Learning (stat.ML), Machine Learning (cs.LG)

Access URL: http://arxiv.org/abs/2311.04008

The Dial-a-Ride Problem with Limited Pickups per Trip

Authors: Boshuai Zhao, Kai Wang, Wenchao Wei, Roel Leus

Source: European Journal of Operational Research. 327:776-790

Subject Terms: FOS: Economics and business, 11. Sustainability, Theoretical Economics (econ.TH), Theoretical Economics, 7. Clean energy

Access URL: http://arxiv.org/abs/2408.07602

AI-driven scenarios for urban mobility: Quantifying the role of ODE models and scenario planning in reducing traffic congestion

Authors: Katsiaryna Bahamazava

Source: Transport Economics and Management, Vol 3, Iss, Pp 92-103 (2025)

Subject Terms: FOS: Computer and information sciences, Sustainable transportation, TA1001-1280, General Economics (econ.GN), Computer Science - Artificial Intelligence, Foresight, Regulatory changes, Transportation engineering, FOS: Economics and business, Artificial Intelligence (cs.AI), Ordinary Differential Equations, Artificial Intelligence, Transportation and communications, HE1-9990, Economics - General Economics

Access URL: http://arxiv.org/abs/2410.19915
https://doaj.org/article/b5b1778c04ce4609be68c0589886a1df

Singular control in a cash management model with ambiguity

Authors: Arnon Archankul, Giorgio Ferrari, Tobias Hellmann, Jacco J.J. Thijssen

Source: European Journal of Operational Research. 327:500-514

Subject Terms: FOS: Economics and business, Ambiguity, Risk Management, Mathematical Finance, Optimization and Control (math.OC), Optimization and Control, Risk Management (q-fin.RM), Singular control, FOS: Mathematics, Inventory models, Mathematical Finance (q-fin.MF)

File Description: application/pdf

Access URL: http://arxiv.org/abs/2309.12014
https://pub.uni-bielefeld.de/record/3006154

Optimal insurance design with Lambda-Value-at-Risk

Authors: Tim J. Boonen, Yuyu Chen, Xia Han, Qiuqi Wang

Source: European Journal of Operational Research. 327:232-246

Subject Terms: FOS: Economics and business, Risk Management, Risk Management (q-fin.RM)

Access URL: http://arxiv.org/abs/2408.09799

Valuation of power purchase agreements for corporate renewable energy procurement

Authors: Roozbeh Qorbanian, Nils Löhndorf, David Wozabal

Source: European Journal of Operational Research. 326:530-543

Subject Terms: Electricity price model, FOS: Economics and business, General Economics (econ.GN), OR in energy, Power purchase agreement, Inverse optimization, 7. Clean energy, Statistical learning, Economics - General Economics

Access URL: http://arxiv.org/abs/2403.08846
https://hdl.handle.net/1871.1/c8f4a24f-bbf6-4633-b576-1a44b94646de
https://doi.org/10.1016/j.ejor.2025.05.054
https://research.vu.nl/en/publications/c8f4a24f-bbf6-4633-b576-1a44b94646de

Temperature and Mental Health: Evidence from Helpline Calls

Authors: Janzen, Benedikt

Source: Journal of the Association of Environmental and Resource Economists. 12:1431-1457

Subject Terms: FOS: Economics and business, 03 medical and health sciences, 0302 clinical medicine, General Economics (econ.GN), 13. Climate action, 0502 economics and business, 05 social sciences, Economics - General Economics, 3. Good health

Access URL: http://arxiv.org/abs/2207.04992

Unleashing the power of text for credit default prediction: Comparing human-written and generative AI-refined texts

Authors: Zongxiao Wu, Yizhe Dong, Yaoyiran Li, Baofeng Shi

Source: European Journal of Operational Research. 326:691-706

Subject Terms: FOS: Economics and business, Quantitative Finance - Computational Finance, Risk Management (q-fin.RM), Computational Finance (q-fin.CP), Quantitative Finance - Risk Management

Access URL: http://arxiv.org/abs/2503.18029

Deep learning and NLP in cryptocurrency forecasting: Integrating financial, blockchain, and social media data

Authors: Vincent Gurgul, Stefan Lessmann, Wolfgang Karl Härdle

Source: International Journal of Forecasting. 41:1666-1695

Subject Terms: FOS: Economics and business, FOS: Computer and information sciences, Computer Science - Machine Learning, Statistical Finance (q-fin.ST), Statistics - Machine Learning, Quantitative Finance - Statistical Finance, Machine Learning (stat.ML), Machine Learning (cs.LG)

Access URL: http://arxiv.org/abs/2311.14759

An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition

Authors: Joseph de Vilmarest, Nicklas Werge

Source: International Journal of Forecasting. 41:1514-1520

Subject Terms: FOS: Economics and business, Statistical Finance (q-fin.ST), Portfolio Management (q-fin.PM), 0502 economics and business, 05 social sciences, Quantitative Finance - Statistical Finance, 0101 mathematics, 01 natural sciences, Quantitative Finance - Portfolio Management

Access URL: http://arxiv.org/abs/2303.01855

Selecting Penalty Parameters of High-Dimensional M-Estimators Using Bootstrapping after Cross Validation

Authors: Chetverikov, Denis, Sørensen, Jesper Riis-Vestergaard

Source: Journal of Political Economy. 133:3208-3248

Subject Terms: FOS: Economics and business, 0502 economics and business, 05 social sciences, Econometrics (econ.EM), FOS: Mathematics, Mathematics - Statistics Theory, Statistics Theory (math.ST), 0101 mathematics, 01 natural sciences, Economics - Econometrics

Access URL: http://arxiv.org/abs/2104.04716

No trade under verifiable information

Authors: Spyros Galanis

Source: Games and Economic Behavior. 153:1-9

Subject Terms: FOS: Economics and business, Economics - Theoretical Economics, Theoretical Economics (econ.TH)

Access URL: http://arxiv.org/abs/2506.04944

M6 investment challenge: The role of luck and strategic considerations

Authors: Staněk, Filip

Source: International Journal of Forecasting. 41:1413-1427

Subject Terms: FOS: Economics and business, Portfolio Management (q-fin.PM), I.6.3, 91G10, Quantitative Finance - Portfolio Management

Access URL: http://arxiv.org/abs/2412.04490

Numerical analysis of American option pricing in a two-asset jump-diffusion model

Authors: Hao Zhou, Duy-Minh Dang

Source: Applied Numerical Mathematics. 216:98-126

Subject Terms: FOS: Economics and business, Quantitative Finance - Computational Finance, Computational Finance (q-fin.CP), 65R20, 91-08, 65D30, 65T50

Access URL: http://arxiv.org/abs/2410.04745

On the Stability, Economic Efficiency, and Incentive Compatibility of Electricity Market Dynamics

Authors: Pengcheng You, Yan Jiang, Enoch Yeung, Dennice F. Gayme, Enrique Mallada

Source: IEEE Transactions on Automatic Control. 70:6815-6830

Subject Terms: FOS: Economics and business, 0209 industrial biotechnology, General Economics (econ.GN), Optimization and Control (math.OC), 0202 electrical engineering, electronic engineering, information engineering, FOS: Mathematics, 02 engineering and technology, 16. Peace & justice, Mathematics - Optimization and Control, Economics - General Economics

Access URL: http://arxiv.org/abs/2112.05811

Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!

Authors: Luis Gruber, Gregor Kastner

Source: International Journal of Forecasting. 41:1589-1619

Subject Terms: Methodology (stat.ME), FOS: Economics and business, FOS: Computer and information sciences, Econometrics (econ.EM), Applications (stat.AP), 0101 mathematics, Statistics - Applications, 01 natural sciences, Statistics - Methodology, Economics - Econometrics

Access URL: http://arxiv.org/abs/2206.04902

Treatment Effects in Market Equilibrium

Authors: Munro, Evan, Kuang, Xu, Wager, Stefan

Source: American Economic Review. 115:3273-3321

Subject Terms: Methodology (stat.ME), FOS: Economics and business, FOS: Computer and information sciences, Econometrics (econ.EM), 0101 mathematics, 01 natural sciences, Statistics - Methodology, Economics - Econometrics

Access URL: http://arxiv.org/abs/2109.11647

Condorcet-consistent choice among three candidates

Authors: Felix Brandt, Chris Dong, Dominik Peters

Source: Games and Economic Behavior. 153:113-130

Subject Terms: FOS: Economics and business, FOS: Computer and information sciences, Computer Science - Computer Science and Game Theory, Economics - Theoretical Economics, Theoretical Economics (econ.TH), Computer Science and Game Theory (cs.GT)

Access URL: http://arxiv.org/abs/2411.19857