An investigation of model risk in a market with jumps and stochastic volatility

DOI10.1016/J.EJOR.2016.03.018zbMATH Open1346.91263OpenAlexW3121383627MaRDI QIDQ323232FDOQ323232

Guillaume Coqueret, Bertrand Tavin

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.2016.03.018

zbMATH Keywords

risk managementrobustness and sensitivity analysismodel riskvariance swapforward-start option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• A theory of the term structure of interest rates
• Financial Modelling with Jump Processes
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• Coherent measures of risk
• Stochastic Volatility for Lévy Processes
• Processes of normal inverse Gaussian type
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• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Worst-case robust decisions for multi-period mean-variance portfolio optimization
• Assessing financial model risk
• Worst-case robust Omega ratio
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Variance swap with mean reversion, multifactor stochastic volatility and jumps
• Variance swaps on time-changed Lévy processes
• On the pricing of forward starting options in Heston's model on stochastic volatility
• Equity correlations implied by index options: estimation and model uncertainty analysis
• Risk minimization in stochastic volatility models: model risk and empirical performance
• Model risk of contingent claims
• Prices and Asymptotics for Discrete Variance Swaps

Cited In (16)

• How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR
• Practice-relevant model validation: distributional parameter risk analysis in financial model risk management
• Measuring exposure to dependence risk with random Bernstein copula scenarios
• A data-driven framework for consistent financial valuation and risk measurement
• Intra‐Horizon expected shortfall and risk structure in models with jumps
• Multivariate FX models with jumps: triangles, quantos and implied correlation
• MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
• Stochastic models for risk estimation in volatile markets: a survey
• A slightly depressing jump model: intraday volatility pattern simulation
• Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios
• Model risk in the over-the-counter market
• Smiles \& smirks: volatility and leverage by jumps
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
• VIX derivatives, hedging and vol-of-vol risk
• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
• Jumps and betas: a new framework for disentangling and estimating systematic risks

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