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Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks

Mao, Tiantian; Stupfler, Gilles; Yang, Fan - In: Insurance / Mathematics & economics 111 (2023), pp. 173-192

Persistent link: https://www.econbiz.de/10014317144

Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus

Framstad, Nils Chr. - 2013 - This version August 16, 2013

While it is common knowledge that portfolio separation in a continuous-time lognormal market is due to the basic properties of the Gaussian distribution, the usual textbook exposition relies on dynamic programming and thus Itô stochastic calculus and the appropriate regularity conditions. This...

Persistent link: https://www.econbiz.de/10009787073

Option pricing with time-changed Lévy processes

Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238

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Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?

Grabchak, Michael - In: Annals of finance 10 (2014) 4, pp. 553-568

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Option pricing for symmetric Lévy returns with applications

Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52

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Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads

Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273

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Conditional law of the hitting time for a Lévy process in incomplete observation

Ngom, Waly - In: Journal of mathematical finance 5 (2015) 5, pp. 505-524

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Modeling international trade data with the Tweedie distribution for anti-fraud and policy support

Barabesi, Lucio; Cerasa, Andrea; Perrotta, Domenico; … - In: European journal of operational research : EJOR 249 (2016) 3, pp. 1031-1043

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Stochastic dynamical modelling of spot freight rates

Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd … - In: IMA journal of management mathematics 26 (2015) 3, pp. 273-297

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A flexible generalized hyperbolic option pricing model and its special cases

Yeap, Claudia; Kwok, Simon Sai Man; Choy, S. T. Boris - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 425-460

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