Fixing risk neutral risk measures

DOI10.1142/S0219024916500217MaRDI QIDQ2806368zbMATHOpenAlexFDO

Authors Harvey J. Stein

Publication date 17 May 2016

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024916500217

zbMATH Keywords

option pricingriskrisk neutral measureexpected exposures (EE), credit valuation adjustment (CVA)exposure calculationpotential future exposures (PFE)real world measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82) Credit risk (91G40)

Recommendations

• Probabilités neutres au risque et asymétrie d'information
• Risk-neutral valuation: Pricing and hedging of financial derivatives
• Optimization of risk measures
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• scientific article; zbMATH DE number 1501137
• Arbitrage pricing theory and risk-neutral measures
• Estimation of risk-neutral density surfaces
• Excess invariance and shortfall risk measures
• Liquidity-adjusted risk measures

Cites work

• Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide

Cited in

(6)

• Speed-up credit exposure calculations for pricing and risk management
• A multi-curve HJM factor model for pricing and risk management
• Risk neutrality regions
• Exposure valuations and their capital requirements
• The virtual universe of finance
• A structural approach to default modelling with pure jump processes

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