Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
It is common practice to describe the future evolution of a financial profit by a continuous-time stochastic model. A risk measure can then be viewed as a functional on a space of continuous-time stochastic processes. We extend the notions of coherent and convex risk measures to the space of...