A general method for analysis and valuation of drawdown risk
From MaRDI portal
Laplace transform (44A10) Processes with independent increments; Lévy processes (60G51) Applications of continuous-time Markov processes on discrete state spaces (60J28) Financial markets (91G15) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Recommendations
- Dynamic programming and mean‐variance hedging in discrete time
- Pricing American drawdown options under Markov models
- Stochastic modeling and fair valuation of drawdown insurance
- A unified approach for drawdown (drawup) of time-homogeneous Markov processes
- On minimizing drawdown risks of lifetime investments
Cites work
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- A general framework for pricing Asian options under Markov processes
- A general framework for time-changed Markov processes and applications
- A general valuation framework for SABR and stochastic local volatility models
- A jump-diffusion model for option pricing
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- A stopped Brownian motion formula
- A unified approach for drawdown (drawup) of time-homogeneous Markov processes
- American Option Valuation under Continuous-Time Markov Chains
- Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
- Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior
- Basics of Applied Stochastic Processes
- Computable Error Bounds of Laplace Inversion for Pricing Asian Options
- Continuously monitored barrier options under Markov processes
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies
- Drawdowns and the speed of market crash
- Drawdowns preceding rallies in the Brownian motion model
- Dynamic hedging under jump diffusion with transaction costs
- Elliptic partial differential equations of second order
- Error analysis of finite difference and Markov chain approximations for option pricing
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- Financial Modelling with Jump Processes
- Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
- Formulas for stopped diffusion processes with stopping times based on the maximum
- scientific article; zbMATH DE number 1776586 (Why is no real title available?)
- scientific article; zbMATH DE number 852301 (Why is no real title available?)
- scientific article; zbMATH DE number 2237386 (Why is no real title available?)
- Magnitude and speed of consecutive market crashes in a diffusion model
- Markov chain approximation of one-dimensional sticky diffusions
- Markov chain approximations for transition densities of Lévy processes
- Maximum drawdown insurance
- Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
- Omega diffusion risk model with surplus-dependent tax and capital injections
- On magnitude, asymptotics and duration of drawdowns for Lévy models
- On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
- On the drawdown of completely asymmetric Lévy processes
- On the maximum drawdown of a Brownian motion
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- PDE methods for maximum drawdown
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
- Portfolio sensitivity to changes in the maximum and the maximum drawdown
- Pricing American drawdown options under Markov models
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Pure jump models for pricing and hedging VIX derivatives
- Russian and American put options under exponential phase-type Lévy models.
- Short proof of a discrete Gronwall inequality
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- Stochastic modeling and fair valuation of drawdown insurance
- The Fourier-series method for inverting transforms of probability distributions
- The Russian option: Reduced regret
- The Variance Gamma Process and Option Pricing
- Weak convergence methods for approximation of the evaluation of path-dependent functionals
Cited in
(20)- Drawdown: from practice to theory and back again
- Characterization of large price variations in financial markets
- Stochastic modeling and fair valuation of drawdown insurance
- Pricing American drawdown options under Markov models
- Probability distribution and option pricing for drawdown in a stochastic volatility environment
- PDE methods for maximum drawdown
- Drawdown analysis for the renewal insurance risk process
- Dynamic programming and mean‐variance hedging in discrete time
- A unified approach for drawdown (drawup) of time-homogeneous Markov processes
- A general approach for lookback option pricing under Markov models
- Drawdown risk measures for asset portfolios with high frequency data
- A general approach for Parisian stopping times under Markov processes
- Speed and duration of drawdown under general Markov models
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- Drawdowns of diffusions
- Pricing path-dependent equity and credit derivatives within a general hybrid equity-credit framework: a unified CTMC approximation approach
- Pricing and hedging autocallable products by Markov chain approximation
- Pricing American Parisian options under general time-inhomogeneous Markov models
- Drawdowns, drawups, and occupation times under general Markov models
- Analysis of Markov chain approximation for regime-switching jump-diffusions with nonsmooth coefficients: deformed contour integration approach
This page was built for publication: A general method for analysis and valuation of drawdown risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6111436)
