Showing 1 - 10 of 295
This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …
Persistent link: https://www.econbiz.de/10009581108
Problems arising in Finance have become a significant source of new developments in Stochastic Analysis. We discuss some recent case studies, in particular some decomposition and representation theorems which are motivated by problems of hedging derivatives and of intertemporal consumption choice.
Persistent link: https://www.econbiz.de/10009612020
Persistent link: https://www.econbiz.de/10001917139
We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in … the underlying space of scenarios. As a case study, we consider convex measures of risk defined in terms of a robust not … ion of bounded shortfall risk. In the context of a financial market model, it turns out that the representation theorem is …
Persistent link: https://www.econbiz.de/10009615426
Empirical studies in family economics usually rely on questionnaires, statistical or panel data. Here we try to study experimentally some crucial aspects of engaging in a marriage. First the female partner can end the relationship or suggest one of the two forms of joint venture. Whereas a full...
Persistent link: https://www.econbiz.de/10009582415
We consider a two-scaled diffusion system, when drift and diffusion parameters of the “slow” component are contaminated by the "fast" unobserved component. The goal is to estimate the dynamic function which is defined by averaging the drift coefficient of the "slow" component w.r.t. the...
Persistent link: https://www.econbiz.de/10009578564
Let Q be the set of equivalent martingale measures for a given process S, and let X be a process which is a local supermartingale with respect to any measure in Q. The optional decomposition theorem for X states that there exists a predictable integrand ф such that the difference X−ф•S is...
Persistent link: https://www.econbiz.de/10009658469
- we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of … ; supervision ; risk measures ; Basel Accord …
Persistent link: https://www.econbiz.de/10009614286
VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk …
Persistent link: https://www.econbiz.de/10009582401
The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we...
Persistent link: https://www.econbiz.de/10009632605