An investigation of model risk in a market with jumps and stochastic volatility
Guillaume Coqueret, Bertrand Tavin
| Year of publication: |
16 September 2016
|
|---|---|
| Authors: | Coqueret, Guillaume |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 253.2016, 3 (16.9.), p. 648-658
|
| Subject: | Risk management | Model risk | Robustness and sensitivity analysis | Variance swap | Forward-start option | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Risikomanagement | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Sensitivitätsanalyse | Sensitivity analysis | Modellierung | Scientific modelling | Swap | Risiko | Risk | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.03.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011493990