Backward stochastic difference equations for dynamic convex risk measures on a binomial tree (Q3449931): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2114638289
@@ Property / OpenAlex ID: W2114638289 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q3160493
@@ Property / cites work: Q3160493 / rank @@
+Normal rank
@@ Property / cites work @@
+BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
+Normal rank
@@ Property / cites work @@
+A general theory of finite state backward stochastic difference equations
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Difference Equations with Finite States
+Normal rank
@@ Property / cites work @@
+Filtration-consistent nonlinear expectations and related \(g\)-expectations
+Normal rank
@@ Property / cites work @@
+On dynamic measure of risk
@@ Property / cites work: On dynamic measure of risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q5294265
@@ Property / cites work: Q5294265 / rank @@
+Normal rank
@@ Property / cites work @@
+Representation of the penalty term of dynamic concave utilities
+Normal rank
@@ Property / cites work @@
+Conditional and dynamic convex risk measures
@@ Property / cites work: Conditional and dynamic convex risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+HEDGE FUND PERFORMANCE: SOURCES AND MEASURES
@@ Property / cites work: HEDGE FUND PERFORMANCE: SOURCES AND MEASURES / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Mathematics of financial markets.
@@ Property / cites work: Mathematics of financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+A BSDE Approach to Convex Risk Measures for Derivative Securities
+Normal rank
@@ Property / cites work @@
+Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
+Normal rank
@@ Property / cites work @@
+How to count and guess well: Discrete adaptive filters
+Normal rank
@@ Property / cites work @@
+A PDE approach for risk measures for derivatives with regime switching
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+Q3526970
@@ Property / cites work: Q3526970 / rank @@
+Normal rank
@@ Property / cites work @@
+VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
@@ Property / cites work: VALUATIONS AND DYNAMIC CONVEX RISK MEASURES / rank @@
+Normal rank
@@ Property / cites work @@
+DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
+Normal rank
@@ Property / cites work @@
+Representation results for law invariant time consistent functions
+Normal rank
@@ Property / cites work @@
+Q4357507
@@ Property / cites work: Q4357507 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic analysis in discrete and continuous settings. With normal martingales.
+Normal rank
@@ Property / cites work @@
+Risk measures via \(g\)-expectations
@@ Property / cites work: Risk measures via \(g\)-expectations / rank @@
+Normal rank
@@ Property / cites work @@
+Q2787528
@@ Property / cites work: Q2787528 / rank @@
+Normal rank
@@ Property / cites work @@
+Subjective risk measures: Bayesian predictive scenarios analysis
+Normal rank
@@ Property / cites work @@
+A PDE approach to risk measures of derivatives
@@ Property / cites work: A PDE approach to risk measures of derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian Risk Measures for Derivatives via Random Esscher Transform
+Normal rank