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A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
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Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan; Volkmer, Hans W. - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 653-681
Persistent link: https://www.econbiz.de/10010407941
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From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425
Persistent link: https://www.econbiz.de/10011350605
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Generalized mean-reverting 4/2 Factor Model
Cheng, Yuyang; Escobar, Marcos; Gong, Zhenxian - In: Journal of risk and financial management : JRFM 12 (2019) 4/159, pp. 121
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 …
Persistent link: https://www.econbiz.de/10012172988
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An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654
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Market risk of investment in us subprime crisis : comparison of a pure diffusion and a pure jump model
Mozumder, Sharif; Rahman, Arafatur - In: Annals of financial economics 11 (2016) 3, pp. 1-17
Persistent link: https://www.econbiz.de/10011685729
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Option valuation with liquidity risk and jumps
Zhang, Hai; Ku, Hyejin - In: Applied economics letters 25 (2018) 6, pp. 381-387
Persistent link: https://www.econbiz.de/10011854549
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Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine - In: Applied mathematical finance 26 (2019) 3, pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
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Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
asset valuation, risk assessment and measurement. Background in financial mathematics, particularly stochastic calculus, is … Benchmarking and Tactical Asset Allocation -- Part 4 Risk Management, Credit Risk and Credit Derivatives -- 26 Monte Carlo … Simulations -- 27 Value at Risk, Expected Shortfall and Other Risk Measures -- 28 Credit Risk (1) – Credit Risk Assessment …
Persistent link: https://www.econbiz.de/10013441427