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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
of numerical methods for pricing, hedging, and risk management of financial instruments. …
Persistent link: https://www.econbiz.de/10012309311
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An assessment of model risk in pricing wind derivatives
Gracianti, Giovani; Rui, Zhou; Li, Johnny Siu-Hang; Wu, … - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 3, pp. 479-502
Persistent link: https://www.econbiz.de/10014436785
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Robustness of stable volatility strategies
Branger, Nicole; Mahayni, Antje; Zieling, Daniel - In: Journal of economic dynamics & control 60 (2015), pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
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Quadratic hedging for sequential claims with random weights in discrete time
Deng, Jun; Zou, Bin - In: Operations research letters 49 (2021) 2, pp. 218-225
Persistent link: https://www.econbiz.de/10012506620
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Deep equal risk pricing of financial derivatives with non-translation invariant risk measures
Carbonneau, Alexandre; Godin, Frédéric - In: Risks : open access journal 11 (2023) 8, pp. 1-27
) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in …The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP … several prior studies provides more flexibility within the pricing scheme. In particular, suitable choices for the risk …
Persistent link: https://www.econbiz.de/10014391590
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Option pricing with discrete time jump processes
Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2417-2445
Persistent link: https://www.econbiz.de/10010348134
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Financial Derivatives : Pricing and Risk Management
Kolb, Robert W. - 2010
Financial Derivatives explores the contemporary world of financial derivatives, starting with a presumption of only a … general public. As such, the chapters in this book provide a comprehensive understanding of financial derivatives. Financial … Derivatives is comprised of 37 chapters organized into six parts …
Persistent link: https://www.econbiz.de/10013147003
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Convex hedging of non-superreplicable claims in discrete-time market models
Tkalinski, Tomasz J. - In: Mathematical methods of operations research 79 (2014) 2, pp. 239-252
Persistent link: https://www.econbiz.de/10010347953
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Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
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On Martingale Measures and Pricing for Continuous Bond-Stock Market with Stochastic Bond
Dokuchaev, Nikolai - 2014
hedging error can vary significantly and take extreme values, for some extreme choices of the equivalent martingale measures … equivalent martingale measure is not unique for this market, and there are non-replicable claims. The martingale prices and the …. Some rational choices of the equivalent martingale measures are suggested and discussed, including implied measures …
Persistent link: https://www.econbiz.de/10013067602