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Computational Dynamic Market Risk Measures in Discrete Time Setting

Seck, Babacar; Elliott, Robert J.; Gueyie, Jean-Pierre - arXiv.org - 2013

Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and...

Persistent link: https://www.econbiz.de/10010670790

Mathematics of financial markets

Elliott, Robert J.; Kopp, Peter E. - 2005 - 2. ed.

Persistent link: https://www.econbiz.de/10004829639

BOOK REVIEWS - Pricing Derivative Securities

Epps, T.W.; Elliott, Robert J. - In: The journal of finance : the journal of the American … 57 (2002) 2, pp. 1028-1030

Persistent link: https://www.econbiz.de/10006560406

BOOK REVIEW - Mathematics of Financial Markets

Elliott, Robert J.; Kopp, P.Ekkehard; Cvitanic, Jaksa - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 995-996

Persistent link: https://www.econbiz.de/10006570244

Incomplete markets with jumps and informed agents

Elliott, Robert J.; Jeanblanc, Monique - In: Mathematical methods of operations research 50 (1999) 3, pp. 475-492

Persistent link: https://www.econbiz.de/10006625969

Short rate analysis and marked point processes

Elliott, Robert J.; Tsoi, Allanus H.; Lui, Shiu Hong - In: Mathematical methods of operations research 50 (1999) 1, pp. 149

Persistent link: https://www.econbiz.de/10006626815

Esscher transforms and consumption-based models

Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 337-347

Persistent link: https://www.econbiz.de/10008332292

Double dividend, dynamic Laffer effects and public abatement

Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Economic modelling 27 (2010) 3, pp. 656-666

Persistent link: https://www.econbiz.de/10008389788

Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures

Elliott, Robert J.; Siu, Tak Kuen - 2010

Persistent link: https://www.econbiz.de/10008393895

A model for energy pricing with stochastic emission costs

Elliott, Robert J.; Lyle, Matthew R.; Miao, Hong - In: Energy economics 32 (2010) 4, pp. 838-848

Persistent link: https://www.econbiz.de/10008422675