profit and expected loss are the reward and risk metrics of such portfolios. An optimal portfolio can then be selected by … making the reward as high as possible under the risk tolerance set by the trader. Extensive back-testing applications to …-term expiry options and when acting as a seller of put and call options. …

, enabling us to study parameter uncertainty and the risk related to the estimation procedure (estimation risk). In particular …, we use the distribution of empirical parameters from IBM and EURO STOXX50. The evidence suggests that estimation risk …

challenge to the BSM framework, since the missing market network connection provides a potentially useful mechanism for risk …

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can … be traded in the market, which is incomplete since the idiosyncratic volatility risk is unhedgeable. Under an exponential …

We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy …

a systemic risk asset) with eight ordinary assets representing diverse industries. Using historical assets and options …We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally … assets that works even if the data are incomplete and asynchronous. Alternatively, to find risk-neutral parameters, the least …

options. It is assumed that the stream of the credit payments could fall by a jump. The time of the jump is modeled by the … exponential distribution. We suggest that the returns on stock are variance-gamma distributed. The value at risk, the expected … shortfall and the entropic risk measure for this portfolio are calculated in closed forms. The obtained formulas exploit the …

In this paper, we deal with the pricing of European options in an incomplete market. We use the common risk measures … Value-at-Risk and Expected Shortfall to define good-deals on a financial market with log-normally distributed rate of … returns. We show that the pricing bounds obtained from the Value-at-Risk admit a non-smooth behavior under parameter changes …