A simulation environment for discontinuous portfolio value processes

DOI10.1002/ASMB.430MaRDI QIDQ2722288zbMATH OpenOpenAlexFDO

Authors Giorgio Consigli, Antonio Di Cesare

Publication date 11 July 2001

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.430

zbMATH Keywords

credit-spread curvedefault riskjump- diffusion processrisk-neutral pricingvalue-at-risk

Mathematics Subject Classification ID

Diffusion processes (60J60)

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Cites work

• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• scientific article; zbMATH DE number 1222802 (Why is no real title available?)
• scientific article; zbMATH DE number 1243473 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Martingale Analysis for Assets with Discontinuous Returns
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• Option pricing when underlying stock returns are discontinuous

Cited in

(3)

• Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process
• Simulation-based Value-at-Risk for nonlinear portfolios
• Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing

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