multi-asset golden strategies for both the expected shortfall and the expectile risk measure, and shows that the use of … multi-asset options makes the performance of the obtained golden strategy more efficient. Practical rules are given under …

We derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly follow a multivariate … higher dimensions and avoids the so-called "curse of dimensionality." As an illustration, we apply the model to price multi-asset …

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally … quadratic growth through the correlation matrix, which is typical for many other multi-asset models. We delve into the …

of a market simulator for trading analysis. We might be the first to look into multi-asset classes in a systematic …