A functional Itô's calculus approach to convex risk measures with jump diffusion

DOI10.1016/J.EJOR.2015.10.032zbMATH Open1346.91272OpenAlexW1833411932MaRDI QIDQ322579FDOQ322579

Tak Kuen Siu

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.10.032

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zbMATH Keywords

risk managementconvex risk measureentropic risk measurenon-Markovian jump-diffusion modelfunctional Itô's calculus

Mathematics Subject Classification ID

Random measures (60G57) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites Work

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Cited In (5)

• Robust control in a rough environment
• Feynman-Kac for functional jump diffusions with an application to credit value adjustment
• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
• Time-Inconsistency with Rough Volatility
• Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

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