A functional Itô's calculus approach to convex risk measures with jump diffusion
Tak Kuen Siu (Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, Australia)
| 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
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| Subject: | Risk management | Convex risk measure | Non-Markovian jump-diffusion model | Functional Itô's calculus | Entropic risk measure | Risiko | Risk | Messung | Measurement | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Risikomanagement | Portfolio-Management | Portfolio selection | Finanzmathematik | Mathematical finance | Entscheidung unter Risiko | Decision under risk | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.10.032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011445346