Portfolio sensitivity to changes in the maximum and the maximum drawdown

DOI10.1080/14697680903008751zbMATH Open1192.91184OpenAlexW2155847265MaRDI QIDQ3577150FDOQ3577150

Authors: Libor Pospisil, Jan Vecer 

Publication date: 5 August 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903008751

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zbMATH Keywords

derivatives pricingAsian optionsderivatives hedgingderivatives securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• On the maximum drawdown of a Brownian motion
• Robust hedging of the lookback option
• Equivalence of floating and fixed strike Asian and lookback options

Cited In (17)

• 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
• Pricing insurance drawdown-type contracts with underlying Lévy assets
• Distribution of maximum loss of fractional Brownian motion with drift
• Analysis of a drawdown-based regime-switching Lévy insurance model
• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• Drawdown: from practice to theory and back again
• Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
• Maximum drawdown insurance
• Drawdowns and the speed of market crash
• Magnitude and speed of consecutive market crashes in a diffusion model
• Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
• Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
• Drawdown and drawup for fractional Brownian motion with trend
• Optimal portfolio strategy under rolling economic maximum drawdown constraints
• On the analysis of deep drawdowns for the Lévy insurance risk model

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