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Effect of volatility clustering on indifference pricing of options by convex risk measures
Kumar, Rohini - In: Applied mathematical finance 22 (2015) 1/2, pp. 63-82
Persistent link: https://www.econbiz.de/10010505169
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Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine - In: Applied mathematical finance 26 (2019) 3, pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
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Robust risk-aware option hedging
Wu, David; Jaimungal, Sebastian - In: Applied mathematical finance 30 (2023) 3, pp. 153-174
Persistent link: https://www.econbiz.de/10015051231
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Structural electricity models and asymptotically normal estimators to quantify parameter risk
Harms, Cord; Kiesel, Rüdiger - In: Applied mathematical finance 26 (2019) 5, pp. 475-522
Persistent link: https://www.econbiz.de/10012210416
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Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints
Nakano, Yumiharu - In: Applied mathematical finance 10 (2003) 2, pp. 163-181
Persistent link: https://www.econbiz.de/10001805377
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A dynamic binormal expansion technique for credit risk measurement : a Bayesian filtering approach
Woo, Wing Hoe; Siu, Tak Kuen - In: Applied mathematical finance 11 (2004) 2, pp. 165-186
Persistent link: https://www.econbiz.de/10002085494
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A new variance reduction technique for estimating value-at-risk
Korn, Ralf; Pupashenko, Mykhailo - In: Applied mathematical finance 22 (2015) 1/2, pp. 83-98
Persistent link: https://www.econbiz.de/10010505164
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Tail VaR measures in a multi-period setting
Katsuki, Yuta; Matsumoto, Koichi - In: Applied mathematical finance 21 (2014) 3/4, pp. 270-297
Persistent link: https://www.econbiz.de/10010499702
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Return and value risk using the Dirichlet process
Zarepour, Mahmoud; Bédard, Thierry; Dabrowski, André R. - In: Applied mathematical finance 15 (2008) 3/4, pp. 205-218
Persistent link: https://www.econbiz.de/10003751223
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Sharper asset ranking from total drawdown durations
Challet, Damien - In: Applied mathematical finance 24 (2017) 1/2, pp. 1-22
Persistent link: https://www.econbiz.de/10011746991