functions in closed-form, which help with pricing and risk measure calculations. In a numerical example, we demonstrate the … implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …

. This method is especially relevant for risk management purposes such as, for example, the computation of portfolio Value at … Risk and intra-horizon Value at Risk, as we show in detail in an empirical illustration …

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 …