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Neyman-Pearson hedging and dynamic measures of risk

Kohlmann, Michael - 2000

In both complete and incomplete markets we consider the problem of fulfilling a financial obligation xc as well as possible at time T if the initial capital is not sufficient to hedge xc. This introduces a new risk into the market and our main aim is to minimize this shortfall risk by making use...

Persistent link: https://www.econbiz.de/10011545021

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

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Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model

Matoussi, Anis; Possamaï, Dylan; Zhou, Chao - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 258-287

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Almost sure stability for uncertain differential equation

Liu, Hongjian; Ke, Hua; Fei, Weiyin - In: Fuzzy optimization and decision making : a journal of … 13 (2014) 4, pp. 463-473

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Multidimensional dynamic risk measure via conditional g-expectation

Xu, Yuhong - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 638-673

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Multi-dimensional uncertain differential equation: existence and uniqueness of solution

Ji, Xiaoyu; Zhou, Jian - In: Fuzzy optimization and decision making : a journal of … 14 (2015) 4, pp. 477-491

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A generalized stochastic differential utility driven by G-Brownian motion

Lin, Qian; Tian, Dejian; Tian, Weidong - In: Mathematics and financial economics 14 (2020) 3, pp. 547-576

Persistent link: https://www.econbiz.de/10012240314

Parameter estimation in uncertain differential equations

Yao, Kai; Liu, Baoding - In: Fuzzy optimization and decision making : a journal of … 19 (2020) 1, pp. 1-12

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Optimal stochastic control problem under model uncertainty with nonentropy penalty

Faidi, Wahid; Matoussi, Anis; Mnif, Mohamed - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-41

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Hedging under generalized good-deal bounds and model uncertainty

Becherer, Dirk; Kentia Tonleu, Klébert - In: Mathematical methods of operations research 86 (2017) 1, pp. 171-214

Persistent link: https://www.econbiz.de/10011714399