components used in asset pricing, namely the risk physical and neutral measures and the relative pricing kernel.The analysis is … utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a … interconnection between the pricing kernel and its densities, the extension to the risk-neutral measure follows naturally …

use of counterparty risk mitigation techniques including the use of market compression. In this process groups of market … compression is a serious alternative counterparty risk mitigation technique to the use of CCPs that should be encouraged by …

as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider …

discrete ill-posed problem with box constraints. We show how this framework allows for a priori investor expectations and risk … parameters to be applied in the optimization process for robust position risk management. We use implied volatility decreases … that this model can be applied dynamically to manage portfolio risk for positions with multiple options and an underlying …