Drawdowns preceding rallies in the Brownian motion model
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Publication:3437396
DOI10.1080/14697680600764227zbMATH Open1134.91420OpenAlexW1973164504MaRDI QIDQ3437396FDOQ3437396
Authors: Olympia Hadjiliadis, Jan Vecer 
Publication date: 9 May 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600764227
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Cites Work
- CONTINUOUS INSPECTION SCHEMES
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- On the maximum drawdown of a Brownian motion
- A note on Ritov's Bayes approach to the minimax property of the cusum procedure
- Optimality of the CUSUM procedure in continuous time.
- Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
- Formulas for stopped diffusion processes with stopping times based on the maximum
- A stopped Brownian motion formula
Cited In (14)
- Stochastic modeling and fair valuation of drawdown insurance
- A general method for analysis and valuation of drawdown risk
- Speed and duration of drawdown under general Markov models
- On the drawdown of completely asymmetric Lévy processes
- Pricing American drawdown options under Markov models
- A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process
- Omega diffusion risk model with surplus-dependent tax and capital injections
- Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
- Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies
- Drawdown: from practice to theory and back again
- Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
- Drawdowns and the speed of market crash
- Magnitude and speed of consecutive market crashes in a diffusion model
- Drawdown and drawup for fractional Brownian motion with trend
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