Value at Risk has lost the battle against Expected Shortfall on theoretical grounds, the latter satisfying all coherence properties while the former may, on carefully constructed cases, lack the sub-additivity property that is in a sense, the most important property a risk measure ought to...

In this paper the performance of locally risk-minimizing delta hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic...

We present an enterprise design pattern for managing metadata in support of financial analytics packages. The complexity of financial modelling typically requires deployment of multiple financial analytics packages, drawing data from multiple source systems. Business domain experts are typically...