Risk measures for processes and BSDEs
Year of publication: |
2015
|
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Authors: | Réveillac, Anthony ; Penner, Irina |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | BSDEs | Decomposition of optional measures | Cash subadditivity | Model ambiguity | Discounting ambiguity | Convex risk measures for processes |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Published in Finance and Stochastics, 2015, Vol. 19, no. 1. pp. 23-66.Length: 43 pages |
Classification: | D8 - Information and Uncertainty ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: |
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