Measure distorted arrival rate risks and their rewards

DOI10.1186/S41546-017-0021-8MaRDI QIDQ2296098zbMATH OpenOpenAlexWikidataFDO

Authors Dilip B. Madan

Publication date 17 February 2020

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s41546-017-0021-8

zbMATH Keywords

hunt processMarkov chain approximationmatrix exponentiationmeasure distortionmomentum functionvariance gamma

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Statistical methods; risk measures (91G70)

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• The Variance Gamma Process and Option Pricing
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Cited in

(3)

• Zero covariation returns
• Conic asset pricing and the costs of price fluctuations
• Momentum and reversion in risk neutral martingale probabilities

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