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Mean-variance hedging with model risk
Matsumoto, Koichi - In: International journal of financial engineering 4 (2017) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10011807096
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Parameter estimation risk in asset pricing and risk management : a Bayesian approach
Tunaru, Radu; Zheng, Teng - In: International review of financial analysis 53 (2017), pp. 80-93
Persistent link: https://www.econbiz.de/10011877849
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Option pricing and market risk management in the presence of jump risk
Vasiljević, Nikola - 2016
Persistent link: https://www.econbiz.de/10011933063
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Hedging the risk of delayed data in defaultable markets
Okhrati, Ramin - In: Applied mathematical finance 26 (2019) 2, pp. 101-130
Persistent link: https://www.econbiz.de/10012210262
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A profitable modification to global quadratic hedging
Augustyniak, Maciej; Godin, Frédéric; Simard, Clarence - In: Journal of economic dynamics & control 104 (2019), pp. 111-131
Persistent link: https://www.econbiz.de/10012131108
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Financial option insurance
Wang, Qi-Wen; Shu, Jian-Jun - In: Risk management : a journal of risk, crisis and disaster 19 (2017) 1, pp. 72-101
Persistent link: https://www.econbiz.de/10011729330
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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
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Portfolio protection? : it's a long (term) story...
McQuinn, Nicholas; Thapar, Ashwin; Villalon, Dan - In: The journal of portfolio management : JPM 47 (2021) 3, pp. 35-50
Persistent link: https://www.econbiz.de/10012423056
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S&P 500 index, an option-implied risk analysis
Barone-Adesi, Giovanni; Legnazzi, Chiara; Sala, Carlo - 2018
The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures. This article proposes an extensive analysis of the performances of option-implied VaR and CVaR, and compare them with classical risk measures for the S&P500 Index. Delivering...
Persistent link: https://www.econbiz.de/10011899623
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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