Analytical approximation for distorted expectations

DOI10.1016/J.SPL.2015.09.004MaRDI QIDQ900958zbMATH OpenOpenAlexFDO

Authors Xianming Sun, Michèle Vanmaele, Siqing Gan

Publication date 23 December 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://biblio.ugent.be/publication/6936023

zbMATH Keywords

coherent risk measuredistorted expectationsFourier-cosine series expansion

Mathematics Subject Classification ID

Distribution theory (60E99)

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• scientific article; zbMATH DE number 1249106 (Why is no real title available?)
• A Universal Framework for Pricing Financial and Insurance Risks
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A novel pricing method for European options based on Fourier-cosine series expansions
• Asymptotics of the risk concentration based on the tail distortion risk measure
• Balanced Milstein Methods for Ordinary SDEs
• Coherent measures of risk
• Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
• Elicitable distortion risk measures: a concise proof
• Markets as a counterparty: an introduction to conic finance
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• Remarks on quantiles and distortion risk measures
• Stochastic finance. An introduction in discrete time.
• Weighted V\@R and its properties

Cited in

(3)

• scientific article; zbMATH DE number 50805 (Why is no real title available?)
• Model risk and discretisation of locally risk-minimising strategies
• Robustness of quadratic hedging strategies in finance via Fourier transforms

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