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Comparative and qualitative robustness for law-invariant risk measures
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk - In: Finance and stochastics 18 (2014) 2, pp. 271-295
Persistent link: https://www.econbiz.de/10010340784
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A concept of copula robustness and its applications in quantitative risk management
Zähle, Henryk - In: Finance and stochastics 26 (2022) 4, pp. 825-875
Persistent link: https://www.econbiz.de/10013440253
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Robust representation of convex risk measures by probability measures
Krätschmer, Volker - In: Finance and stochastics 9 (2005) 4, pp. 597-608
Persistent link: https://www.econbiz.de/10003133313
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Minimax theorems for American options without time-consistency
Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker; … - In: Finance and stochastics 23 (2019) 1, pp. 209-238
Persistent link: https://www.econbiz.de/10012023712
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Robust representation of convex risk measures by probability measures
Krätschmer, Volker - In: Finance and stochastics 9 (2005) 4, pp. 597
Persistent link: https://www.econbiz.de/10008214146
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Solving optimal stopping problems under model uncertainty via empirical dual optimisation
Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker - In: Finance and stochastics 26 (2022) 3, pp. 461-503
Persistent link: https://www.econbiz.de/10013440233