This paper investigates the risk exposure for options and proposes MaxVaR as an alternative risk measure which captures … the risk better than Value-at-Risk especially. While VaR is a measure of end-of-horizon risk, MaxVaR captures the interim … risk exposure of a position or a portfolio. MaxVaR is a more stringent risk measure as it assesses the risk during the risk …

We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a … given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to … model risk in a common framework, and consider the trade-offs between them when choosing a model and the frequency with …

were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results …. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier …

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 … propose a Laplace-transform-based approach to computing Value at Risk (VaR) and conditional VaR (also known as the expected …

based on the superior volatility forecast for analyzing historical data. We extend the current litearure by measuring the … volatility of an underlying asset in the last predefined period and comparing the actual volatility in currency with historical … volatility in currency to make predictions of implied volatility. We calculated stock price volatility through an optimal holding …

One of the key components of financial risk management is risk measurement. This typically requires modeling …

We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in … particular the ad hoc interpolation of the volatility surface. To achieve this, we parametrize the leverage function by a family … be seen in the context of neural SDEs and (causal) generative adversarial networks: we generate volatility surfaces by …

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 …