Model Risk in Finance: Some Modeling and Numerical Analysis Issues

DOI10.1016/S1570-8659(08)00001-XMaRDI QIDQ3631183zbMATH OpenOpenAlexFDO

Authors Denis Talay

Publication date 5 June 2009

Published in Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s1570-8659(08)00001-x

zbMATH Keywords

erroneous measurementmodel riskMonte Carlo approximationrisk measurestochastic gamevalue-at-risk

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

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(14)

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