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The relationship between conditional value at risk and option prices with a closed-form solution
Mitra, Sovan - In: The European journal of finance 21 (2015) 4/6, pp. 400-425
Persistent link: https://www.econbiz.de/10010528975
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VaR-optimal risk management in regime-switching jump-diffusion models
Ramponi, Alessandro - In: Journal of mathematical finance 3 (2013) 1, pp. 103-109
Persistent link: https://www.econbiz.de/10010240819
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk...
Persistent link: https://www.econbiz.de/10012309311
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Volatility-of-volatility and tail risk hedging returns
Park, Yang-Ho - In: Journal of financial markets 26 (2015), pp. 38-63
Persistent link: https://www.econbiz.de/10011477272
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Bermudan swaption model risk analysis : a local volatility approach
Jabłecki, Juliusz - In: The journal of computational finance 22 (2018) 2, pp. 101-131
Persistent link: https://www.econbiz.de/10011976669
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The Buffett critique : volatility and long-dated options
Gupta, Neeraj J.; Kurt, Mark; White, Reilly - In: Journal of economics and finance 40 (2016) 3, pp. 524-537
Persistent link: https://www.econbiz.de/10011659004
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Exposure-based volatility : an application in corporate risk management
Fassas, Athanasios P.; Rumenov Lyaskov, Vasil - In: Investment management and financial innovations 13 (2016) 2, pp. 235-245
Persistent link: https://www.econbiz.de/10011665499
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Quadratic hedging strategies for volatility swaps
Wang, Xingchun; Fu, Jianping; Wang, Guanying; Wang, Yongjin - In: Finance research letters 15 (2015), pp. 125-132
Persistent link: https://www.econbiz.de/10011553014
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Derivatives as the price fluctuation risk management for Vietnamese coffee exporters
Dinh Xuan Cuong; Nguyen Quoc Toan - In: Research in world economy 7 (2016) 1, pp. 59-79
Persistent link: https://www.econbiz.de/10011589520
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Risk management of financial crises : an optimal investment strategy with multivariate jump-diffusion models
Wang, Chou-Wen; Huang, Hong-Chih - In: Astin bulletin : the journal of the International … 47 (2017) 2, pp. 501-525
Persistent link: https://www.econbiz.de/10011729607