Drawdowns preceding rallies in the Brownian motion model

DOI10.1080/14697680600764227MaRDI QIDQ3437396zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

drawdownsBrownian motion modelrallies

Mathematics Subject Classification ID

Brownian motion (60J65)

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Cites work

• A note on Ritov's Bayes approach to the minimax property of the cusum procedure
• A stopped Brownian motion formula
• CONTINUOUS INSPECTION SCHEMES
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Formulas for stopped diffusion processes with stopping times based on the maximum
• Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
• On the maximum drawdown of a Brownian motion
• Optimality of the CUSUM procedure in continuous time.

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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