In this note we generalize the limit results in [Genon-Catalot, Jeantheau, Laredo, 2000, Bernoulli ] for simple stochastic volatility models to the case where a non zero correlation is allowed between the Brownian mo- tion driving the main di¤usion process and the Brownian motion driving the...

The aim of this study is to evaluate some simulation schemes recently suggested for the Heston model by examining their ability in reproducing, on the simulated paths, the autocovariance function of the generated model, when discretely observed. This is done by applying the outcomes of previous...

In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (2006), we show that these risk measures can be identified with a class of generalized shortfall risk measures. As a...

We study the Haezendonck risk measure (introduced by [Haezendonck, J., Goovaerts, M., 1982. A new premium calculation principle based on Orlicz norms. Insurance: Mathematics and Economics 1, 41-53] and by [Goovaerts, M.J., Kaas, R., Dhaene, J., Tang, Q., 2003. A unified approach to generate risk...

In this paper we study the tail behaviour of eight major market indexes stratifying data according to the violation of a high threshold on the previous day. The distributional differences found can be exploited to improve VaR calculations in several settings, giving rise to what we call 'MCVaR'....

We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamma mixing density. We assume that the Gamma mixing density is time varying and follows an affine Garch model, trying...

We investigate whether several families of generalized quantiles (expectiles, Lp-quantiles and M-quantiles) respect various stochastic orders (the usual stochastic order, the convexity order, and the p-convexity orders).

We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the Garch process itself, and discuss their...