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A liquidation risk adjustment for value at risk and expected shortfall

Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10011889543

Effect of the time to maturity on the risk of the covered call strategy

Dziawgo, Ewa - In: Eurasian economic perspectives : proceedings of the …, (pp. 67-75). 2020

This chapter illustrates the selected issues connected with the covered call strategy: the strategy design, the impact of certain variables (the price of the underlying asset and time to expiration (maturity) on the performance of the values of the ratios delta, gamma, vega, theta, and rho....

Persistent link: https://www.econbiz.de/10012793374

Quantification of risk in classical models of finance

Pichler, Alois; Schlotter, Ruben - In: Quantitative finance 22 (2022) 1, pp. 31-45

Persistent link: https://www.econbiz.de/10012872493

Portfolio stress testing applied to commodity futures

Paraschiv, Florentina; Reese, Stine Marie; Skjelstad, … - In: Computational management science 17 (2020) 2, pp. 203-240

Persistent link: https://www.econbiz.de/10012272062

Risk management strategies for finding universal portfolios

Mohr, Esther; Dochow, Robert - In: Applied mathematical optimization and modelling (APMOD 2014), (pp. 129-147). 2017

Persistent link: https://www.econbiz.de/10011738036