This paper deals with Esscher transforms in discrete finance models.

Despite an extensive body of research, the best way to model the dependence of exchange rates remains an open question. In this paper we present a new approach which employs a flexible time-varying copula model. It allows the conditional correlation between exchange rates to be both time-varying...

In this paper we test for structural changes in the conditional dependence of two-dimensional foreign exchange data. We show that by modeling the conditional dependence structure using copulae we can detect changes in the dependence beyond linear correlation like changes in the tail of the joint...

Stochastic models play an important role in the analysis of data in many different fields, including finance and insurance. Many models are estimated by procedures that lose their good statistical properties when the underlying model slightly deviates from the assumed one. Robust statistical...

Due to the current credit crisis, critical questions are being asked concerning some of the quantitative methods used in risk management under the Basel II proposals. In this paper I have given a critical look at Extreme Value Theory and Copulas. Both their potential applications and the...

We address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so-called Range-Value-at-Risk (RVaR), as their preferences. The family of RVaR includes the Value-at-Risk (VaR) and the Expected Shortfall (ES), the two popular and competing...