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Financial decision-making under distribution uncertainty
Kacperczyk, Marcin - 2004
Persistent link: https://www.econbiz.de/10003386915
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VarGamma stresstests
Osband, Kent - In: Journal of investment management : JOIM 11 (2013) 2, pp. 92-107
Persistent link: https://www.econbiz.de/10009763897
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Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
Fu, Ke-ang; Ng, Cheuk Yin Andrew - In: Insurance / Mathematics & economics 56 (2014), pp. 80-87
Persistent link: https://www.econbiz.de/10010385027
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Updating the option implied probability of default methodology
Vilsmeier, Johannes - In: The journal of computational finance 19 (2016) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011563457
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Risk neutral probabilities and option bounds : a geometric approach
Huang, James (contributor) - 2004
Persistent link: https://www.econbiz.de/10002625364
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A class of risk neutral densities with heavy tails
Hartvig, Niels Væver; Ledet Jensen, Jens; Pedersen, Jan - In: Finance and stochastics 5 (2001) 1, pp. 115-128
Persistent link: https://www.econbiz.de/10001553060
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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Supply streams
Song, Jing-Sheng; Zipkin, Paul Herbert - In: Manufacturing & service operations management : M & SOM 15 (2013) 3, pp. 444-457
Persistent link: https://www.econbiz.de/10009782016
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The risk-neutral non-additive probability with market frictions
Chateauneuf, Alain; Cornet, Bernard - In: Economic theory bulletin 10 (2022) 1, pp. 13-25
Persistent link: https://www.econbiz.de/10013262870
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Analytical Finance: Volume I : The Mathematics of Equity Derivatives, Markets, Risk and Valuation
Röman, Jan R. M. - 2017
This book provides an introduction to the valuation of financial instruments on equity markets. Written from the perspective of trading, risk management and quantitative research functions and written by a practitioner with many years’ experience in markets and in academia, it provides a...
Persistent link: https://www.econbiz.de/10012397488