Stochastic finance. An introduction in discrete time.
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risk measuresutility maximizationvariance-optimal hedgingefficient hedgingarbitrage theoryequiliibriumoptional decompositionsuper hedging
Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with discrete parameter (60G42) Portfolio theory (91G10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Financial applications of other theories (91G80)
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(only showing first 100 items - show all)- Measures of systemic risk
- Equivalence between time consistency and nested formula
- Multivariate systemic risk measures and computation by deep learning algorithms
- Commutativity, comonotonicity, and Choquet integration of self-adjoint operators
- Quantile-based risk sharing
- Budget-constrained optimal insurance with belief heterogeneity
- Pareto-optimal insurance with an upper limit on the insurer's exposure
- A framework for measures of risk under uncertainty
- Budget-constrained optimal retention with an upper limit on the retained loss
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- A limit theorem for Bernoulli convolutions and the \(\Phi \)-variation of functions in the Takagi class
- Risk measures beyond frictionless markets
- Stochastic finance. An introduction in discrete time.
- Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
- Optimal investments for the standard maximization problem with non-concave utility function in complete market model
- Systemic optimal risk transfer equilibrium
- Minimax representation of nonexpansive functions and application to zero-sum recursive games
- Conditional coherent risk measures and regime-switching conic pricing
- On the link between monetary and star-shaped risk measures
- Quantile-based risk sharing with heterogeneous beliefs
- Risk measures induced by efficient insurance contracts
- Bounds on Choquet risk measures in finite product spaces with ambiguous marginals
- Robust statistical arbitrage strategies
- Deep neural network expressivity for optimal stopping problems
- Buffered Probability of Exceedance: Mathematical Properties and Optimization
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- Option pricing: a yet simpler approach
- Range-based risk measures and their applications
- Generalized entropic risk measures and related BSDEs
- Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
- Arbitrage concepts under trading restrictions in discrete-time financial markets
- Optimal insurance under rank-dependent expected utility
- On intermediate marginals in martingale optimal transportation
- scientific article; zbMATH DE number 6304887 (Why is no real title available?)
- Risk-Sensitive Reinforcement Learning via Policy Gradient Search
- Are law-invariant risk functions concave on distributions?
- Optimal initial capital induced by the optimized certainty equivalent
- Stochastic finance. An introduction in discrete time
- Machine learning with kernels for portfolio valuation and risk management
- Optimal risk sharing in insurance networks. An application to asset-liability management
- Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps
- Robust decisions for heterogeneous agents via certainty equivalents
- On the equivalence between value-at-risk- and expected shortfall-based risk measures in non-concave optimization
- Star-shaped acceptability indexes
- Dynamic trading under integer constraints
- Aggregation of opinions and risk measures
- Diversification quotients based on VaR and ES
- A conditional version of the second fundamental theorem of asset pricing in discrete time
- The average risk sharing problem under risk measure and expected utility theory
- A review on ambiguity in stochastic portfolio optimization
- On entropy martingale optimal transport theory
- Worst-case distortion risk measure with application to robust portfolio selection
- Weakly maxitive set functions and their possibility distributions
- Stochastic finance. An introduction in discrete time
- Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
- A guaranteed deterministic approach to superhedging: financial market model, trading constraints and Bellman-Isaacs equations
- Conditional systemic risk measures
- Non-concave expected utility optimization with uncertain time horizon
- Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
- Optimal multiple stopping problem under nonlinear expectation
- Non-concave portfolio optimization with average value-at-risk
- Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks
- Discrete-time risk-aware optimal switching with non-adapted costs
- Parameter uncertainty in the Kalman-Bucy filter
- Remarks on equality of two distributions under some partial orders
- When a combination of convexity and continuity forces monotonicity of preferences
- Large deviations for risk measures in finite mixture models
- A constraint-free approach to optimal reinsurance
- Assessing the difference between integrated quantiles and integrated cumulative distribution functions
- Generalized PELVE and applications to risk measures
- A central limit theorem and hypotheses testing for risk-averse stochastic programs
- A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints
- Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures
- Risk aggregation under dependence uncertainty and an order constraint
- Are reference measures of law-invariant functionals unique?
- Optimal insurance with mean-deviation measures
- Risk sharing under heterogeneous beliefs without convexity
- Neural network approximation for superhedging prices
- Risk concentration and the mean-expected shortfall criterion
- The order-type Banach-Saks properties
- Weighted allocations, their concomitant-based estimators, and asymptotics
- Multiple-prior valuation of cash flows subject to capital requirements
- Computation of conditional expectations with guarantees
- A composite generalization of Ville's martingale theorem using e-processes
- Supermartingale shadow couplings: the decreasing case
- Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells
- Fair pricing and hedging under small perturbations of the numéraire on a finite probability space
- Viscous Hamilton-Jacobi equations in exponential Orlicz hearts
- Inf-convolution and optimal allocations for mixed-VaRs
- Law-invariant functionals that collapse to the mean
- A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
- On a robust risk measurement approach for capital determination errors minimization
- Competitive equilibria in a comonotone market
- Model uncertainty: a reverse approach
- Systemic risk: conditional distortion risk measures
- XVA analysis from the balance sheet
- Liquidity Based Modeling of Asset Price Bubbles via Random Matching
- Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Star-Shaped Risk Measures
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