Drawdowns and the speed of market crash
From MaRDI portal
Publication:1930625
DOI10.1007/s11009-011-9262-7zbMath1282.91396MaRDI QIDQ1930625
Hongzhong Zhang, Olympia Hadjiliadis
Publication date: 11 January 2013
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-011-9262-7
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G40: Stopping times; optimal stopping problems; gambling theory
91G80: Financial applications of other theories
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
Related Items
On the last exit times for spectrally negative Lévy processes, Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions, Drawdown risk measures for asset portfolios with high frequency data, A general method for analysis and valuation of drawdown risk, An econometric analysis of drawdown based measures, Omega diffusion risk model with surplus-dependent tax and capital injections, On arbitrages arising with honest times, On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory, Magnitude and speed of consecutive market crashes in a diffusion model, An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion, Stochastic modeling and fair valuation of drawdown insurance, Optimal trading with a trailing stop, Pricing American drawdown options under Markov models, A direct solution method for pricing options involving the maximum process, An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
- Mathematical methods for financial markets.
- On maximum increase and decrease of Brownian motion
- A class of remarkable submartingales
- Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies
- Semi-martingales et grossissement d'une filtration
- A stopped Brownian motion formula
- Formulas for stopped diffusion processes with stopping times based on the maximum
- An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift
- Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
- On the stochastic behaviour of optional processes up to random times
- Range of Brownian motion with drift
- MAXIMUM DRAWDOWN INSURANCE
- Elementary Solutions for Certain Parabolic Partial Differential Equations
- Drawdowns preceding rallies in the Brownian motion model
- Portfolio sensitivity to changes in the maximum and the maximum drawdown
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- On the maximum drawdown of a Brownian motion
