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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

Estimating risks of European option books using neural stochastic differential equation market models

Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: The journal of computational finance 26 (2022) 3, pp. 33-72

Persistent link: https://www.econbiz.de/10014314556

Partial derivatives of uncertain fields and uncertain partial differential equations

Ye, Tingqing - In: Fuzzy optimization and decision making : a journal of … 23 (2024) 2, pp. 199-217

Persistent link: https://www.econbiz.de/10015079781

Higher-order derivative of uncertain process and higher-order uncertain differential equation

Zhang, Kaixi; Liu, Baoding - In: Fuzzy optimization and decision making : a journal of … 23 (2024) 2, pp. 295-318

Persistent link: https://www.econbiz.de/10015079786

Mean-reverting stock model with floating interest rate in uncertain environment

Sun, Yiyao; Su, Taoyong - In: Fuzzy optimization and decision making : a journal of … 16 (2017) 2, pp. 235-255

Persistent link: https://www.econbiz.de/10011805601

Neyman-Pearson hedging and dynamic measures of risk

Kohlmann, Michael - 2000

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 of results from bsde theory. …

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

Neyman-Pearson hedging and dynamic measures of risk

Kohlmann, Michael - 2000

Persistent link: https://www.econbiz.de/10001475180

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

Backward nonlinear expectation equations

Belak, Christoph; Seiferling, Thomas; Seifried, Frank Thomas - In: Mathematics and financial economics 12 (2018) 1, pp. 111-134

Persistent link: https://www.econbiz.de/10011963319

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

Persistent link: https://www.econbiz.de/10011350647

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