We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally … assets that works even if the data are incomplete and asynchronous. Alternatively, to find risk-neutral parameters, the least … propose a Laplace-transform-based approach to computing Value at Risk (VaR) and conditional VaR (also known as the expected …

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 …

that Lévy process-based models provide a better fit to the US statutory accounting data, and identifies how parameter risk … insurance parameter risk. …

establish a link between these two approaches to risk measurement. We derive a characterization of the implied volatility in … reflect the market's assessment of the risk of a huge drop in stock prices. We analyze how this market information can be … integrated into the theoretical framework of convex monetary measures of risk. In particular, we make use of indifference pricing …