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Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus
Framstad, Nils Chr. - 2013 - This version August 16, 2013
approach of Khanna and Kulldorff (Finance Stoch. 3 (1999), pp. 167-185) down to multivariate distributions theory, stochastic …
Persistent link: https://www.econbiz.de/10009787073
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Spectral risk measure of holding stocks in the long run
Bihary, Zsolt; Csóka, Péter; Szabó, Dávid Zoltán - 2018
We investigate how the spectral risk measure associated with holding stocks rather than a risk-free deposit, depends on the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock price follows specific processes, spectral risk becomes...
Persistent link: https://www.econbiz.de/10012011388
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Intra-horizon expected shortfall and risk structure in models with jumps
Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola - 2019
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in [BRSW04], [Ro08], [BMK09], [BP10], and [LV19]. In particular, we believe that quantifying market risk by strictly relying on...
Persistent link: https://www.econbiz.de/10012179511
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Optimal withdrawal strategies in GLWB variable annuities
Bacinello, Anna Rita; Maggistro, Rosario; Zoccolan, Ivan - 2022
Persistent link: https://www.econbiz.de/10013341541
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Credit dynamics in a first passage time model with jumps
Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009
The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...
Persistent link: https://www.econbiz.de/10011293918
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Variance Gamma model in hedging vanilla and exotic options
Bollin, Bartłomiej; Ślepaczuk, Robert - 2020
Persistent link: https://www.econbiz.de/10012322240
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The optimal martingale measure for investors with exponential utility function
Steiger, Gallus Johannes (contributor) - 2005
Persistent link: https://www.econbiz.de/10003278318
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Robust exponential hedging in a Brownian setting
Owari, Keita - 2009
Persistent link: https://www.econbiz.de/10003939988
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The uncertain mortality intensity framework : pricing and hedging unit-linked life insurance contracts
Li, Jing; Szimayer, Alexander - 2010
We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is …. We also show that the induced hedging strategies indeed produce a dynamic superhedge and subhedge under the statistical … by finite difference methods. For our contracts and choice of parameters the pricing and hedging is fairly robust with …
Persistent link: https://www.econbiz.de/10003987820
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Quadratic hedging of basis risk
Hulley, Hardy; McWalter, Thomas A. - 2008
Persistent link: https://www.econbiz.de/10003857124