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Nonlinear expectations, nonlinear evaluations and risk measures

Peng, Shige - In: Stochastic methods in finance : lectures given at the …, (pp. 165-253). 2004

Persistent link: https://www.econbiz.de/10002526468

A Note on Neumann Problems with Jumping Nonlinearities

Halidias, Nikolaos - 2018

Persistent link: https://www.econbiz.de/10012918206

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Almeida, Caio - 2010

We develop a new approach to evaluate asset pricing models (APMs) based on Minimum Discrepancy (MD) projections that generalize the Hansen-Jagannathan (HJ, 1997) distance to account for an arbitrary number of moments of asset returns. The Minimum Discrepancy projections correct APMs to become...

Persistent link: https://www.econbiz.de/10013147434

Calibration of a Nonlinear Feedback Option Pricing Model

Sanfelici, Simona - 2013

We consider an option pricing model proposed by, where the implementation of dynamic hedging strategies has a feedback … patterns of implied volatility can actually be reproduced as a consequence of dynamical hedging. The simulations are performed … maturity classes. Overall, nonlinear feedback due to hedging strategies can, at least in part, contribute to explain from a …

Persistent link: https://www.econbiz.de/10013084284

Grassmannian Flows and Applications to Nonlinear Partial Differential Equations

Beck, Margaret; Doikou, Anastasia; Malham, Simon; … - 2023

We show how solutions to a large class of partial differential equations with nonlocal Riccati-type nonlinearities can be generated from the corresponding linearized equations, from arbitrary initial data. It is well known that evolutionary matrix Riccati equations can be generated by projecting...

Persistent link: https://www.econbiz.de/10014357803

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Almeida, Caio - 2011

We develop a new approach to identify model misspecifications based on Minimum Discrepancy (MD) projections that correct asset pricing models with the use of nonlinear functions of basis assets returns. These nonlinear corrections make our method more effective than the Hansen and Jagannathan...

Persistent link: https://www.econbiz.de/10013128539