due to future risk-free rate uncertainty. The purpose is to quantify the range of uncertainty under different scenarios ….We consider the setting where both the implied volatility and the risk free rate are calculated jointly from the observed option … prices. Due to the cumulative risk-free rate uncertainty, the corresponding system of equations is underdetermined, leading …

modeled by relaxing the unreliable normality assumption for capturing risk. In this paper, we consider the spot price and … competitive market where hedging is carried out through forward contracts that include a risk premium in their valuation. For this … results show that the volume of energy to be sold under long-term contracts depends on each electricity generator and the risk …

Arbitrage pricing model (APT) is one of the models that describe risk of investment on the capital market. The model … sources of the systematic risk of investment and which influence the behaviour of the rates of returns of funds portfolios …

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from … Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that … risk neutral measure is the mixture of lognormal distributions. The parameters of the distributions are estimated by …

In this paper, we investigate how climate risk impacts the sovereign risk, the stock market evolution, and the degree … as a percentage of GDP. Moreover, the climate risk leads to an increase in sovereign risk only across inferior quantiles … competitiveness of a country is influenced to a small extent by the level of climate risk. This could be a consequence of concerns …

The recently introduced German wind power futures have brought the opportunity to address the problem of volume risk in … structure is especially important in the context of risk management …

A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing …, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the …

A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing …, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the …

Low-volatility investing is typically implemented by sorting stocks based on simple risk measures; for example, the … outperform simple risk measures in anticipating the cross-sectional ranking in real time. The corresponding portfolios are more …