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From smile asymptotics to market risk measures

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Risk measures and nonlinear expectations

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Discrete time series, processes, and applications in finance

Zumbach, Gilles O. - 2013

applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to …-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book …

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Convex risk measures for good deal bounds

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Optimal portfolio in the presence of transaction costs and convex risk measure

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Set-valued shortfall and divergence risk measures

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An ergodic BSDE risk representation in a jump-diffusion framework

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