A functional Itô's calculus approach to convex risk measures with jump diffusion
Year of publication: |
2016
|
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Authors: | Siu, Tak Kuen |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 250.2016, 3 (1.5.), p. 874-883
|
Subject: | Risk management | Convex risk measure | Non-Markovian jump-diffusion model | Functional Itô's calculus | Entropic risk measure | Messung | Measurement | Risiko | Risk | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Experiment | Risikomanagement | Portfolio-Management | Portfolio selection | Finanzmathematik | Mathematical finance | Optionspreistheorie | Option pricing theory |
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