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 …

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 …

results for maturity-randomized first-passage probabilities and allows for a derivation of diffusion and single jump risk …The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk … quantifying market risk by strictly relying on point-in-time measures cannot be deemed a satisfactory approach in general. Instead …