Drawdowns and the speed of market crash
DOI10.1007/S11009-011-9262-7zbMATH Open1282.91396OpenAlexW2151945775MaRDI QIDQ1930625FDOQ1930625
Authors: Hongzhong Zhang, Olympia Hadjiliadis 
Publication date: 11 January 2013
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-011-9262-7
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Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
Cites Work
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Cited In (24)
- Stochastic modeling and fair valuation of drawdown insurance
- A general method for analysis and valuation of drawdown risk
- Speed and duration of drawdown under general Markov models
- An econometric analysis of drawdown based measures
- On arbitrages arising with honest times
- Drawdowns preceding rallies in the Brownian motion model
- Optimal trading with a trailing stop
- Pricing American drawdown options under Markov models
- Characterization of large price variations in financial markets
- A direct solution method for pricing options involving the maximum process
- On the last exit times for spectrally negative Lévy processes
- Omega diffusion risk model with surplus-dependent tax and capital injections
- The market for crash risk
- On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory
- An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem
- Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
- On the frequency of drawdowns for Brownian motion processes
- A semi-Markovian approach to drawdown-based measures
- Maximum drawdown insurance
- Probability distribution and option pricing for drawdown in a stochastic volatility environment
- An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion
- Magnitude and speed of consecutive market crashes in a diffusion model
- Slow boom, sudden crash
- Drawdown risk measures for asset portfolios with high frequency data
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