Drawdowns and the speed of market crash

DOI10.1007/S11009-011-9262-7MaRDI QIDQ1930625zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

diffusionsdrawdowndrawdown insurancespeed of market crash

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial applications of other theories (91G80)

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Cited in

(27)

• Magnitude and speed of consecutive market crashes in a diffusion model
• An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion
• Characterization of large price variations in financial markets
• Stochastic modeling and fair valuation of drawdown insurance
• Optimal trading with a trailing stop
• Pricing American drawdown options under Markov models
• A direct solution method for pricing options involving the maximum process
• Slow boom, sudden crash
• Omega diffusion risk model with surplus-dependent tax and capital injections
• Maximum drawdown insurance
• Drawdowns preceding rallies in the Brownian motion model
• An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem
• Probability distribution and option pricing for drawdown in a stochastic volatility environment
• On arbitrages arising with honest times
• On the last exit times for spectrally negative Lévy processes
• Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
• On the frequency of drawdowns for Brownian motion processes
• Drawdown risk measures for asset portfolios with high frequency data
• A general method for analysis and valuation of drawdown risk
• An econometric analysis of drawdown based measures
• A semi-Markovian approach to drawdown-based measures
• Speed and duration of drawdown under general Markov models
• A speed-based estimator of signal-to-noise ratios
• Drawdowns, drawups, and occupation times under general Markov models
• Distributional and extremal behaviour of Brownian motion with exponential resetting
• The market for crash risk
• On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory

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