Risk measures for derivatives with Markov-modulated pure jump processes (Q2643673): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s10690-007-9038-9 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2046116248 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4438197 / rank
 
Normal rank
Property / cites work
 
Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3969647 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing and Esscher transform under regime switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS / rank
 
Normal rank
Property / cites work
 
Property / cites work: FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mathematics of financial markets. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust parameter estimation for asset price models with Markov modulated volatilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing for pure jump processes with Markov switching compensators / rank
 
Normal rank
Property / cites work
 
Property / cites work: An application of hidden Markov models to asset allocation problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Information and option pricings / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applied stochastic control of jump diffusions. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian Risk Measures for Derivatives via Random Esscher Transform / rank
 
Normal rank
Property / cites work
 
Property / cites work: A PDE approach to risk measures of derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY / rank
 
Normal rank

Latest revision as of 13:16, 26 June 2024

scientific article
Language Label Description Also known as
English
Risk measures for derivatives with Markov-modulated pure jump processes
scientific article

    Statements

    Risk measures for derivatives with Markov-modulated pure jump processes (English)
    0 references
    0 references
    0 references
    0 references
    27 August 2007
    0 references
    coherent risk measures
    0 references
    pure jump processes
    0 references
    Esscher transform
    0 references
    jump risk
    0 references
    American options
    0 references
    exotic options
    0 references
    regime-switching HJB equations
    0 references
    combined optimal stopping and control
    0 references
    HJB-variational inequalities
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references