CONIC CVA AND DVA FOR OPTION PORTFOLIOS
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Recommendations
- CVA and vulnerable options in stochastic volatility models
- Convex risk measures for portfolio optimization and concepts of flexibility
- CVaR robust mean-CVaR portfolio optimization
- Convex duality in constrained mean-variance portfolio optimization
- Options on realized variance and convex orders
- Conic portfolio theory
- Pricing and hedging option under portfolio constrained
- Optimal portfolios with stress analysis and the effect of a CVaR constraint
- CVA and vulnerable options pricing by correlation expansions
- A note on optimal portfolio corresponding to the CVaR ratio
Cites work
- Applied conic finance
- Arbitrage-free smoothing of the implied volatility surface
- Coherent measures of risk
- Conic coconuts: the pricing of contingent capital notes using conic finance
- Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
- DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
- scientific article; zbMATH DE number 700016 (Why is no real title available?)
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- Markets as a counterparty: an introduction to conic finance
- Martingales and stochastic integrals in the theory of continuous trading
- Theory of capacities
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