Capturing parameter risk with convex risk measures
From MaRDI portal
(Redirected from Publication:362040)
Recommendations
Cites work
- scientific article; zbMATH DE number 3153624 (Why is no real title available?)
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- scientific article; zbMATH DE number 1788883 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A Characterization of the Weak Convergence of Measures
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Asymptotic Statistics
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
- Coherent measures of risk
- Convex measures of risk and trading constraints
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Efficient hedging: cost versus shortfall risk
- Empirical performance of models for barrier option valuation
- Financial Modelling with Jump Processes
- Implications of parameter uncertainty on option prices
- Law invariant risk measures have the Fatou property
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Markets as a counterparty: an introduction to conic finance
- Mathematical techniques in finance. Tools for incomplete markets.
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Option hedging for semimartingales
- Quantile hedging
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Risk measure pricing and hedging in incomplete markets
- Stochastic finance. An introduction in discrete time.
- The Variance Gamma Process and Option Pricing
Cited in
(12)- Practice-relevant model validation: distributional parameter risk analysis in financial model risk management
- Update rules for convex risk measures
- Structural electricity models and asymptotically normal estimators to quantify parameter risk
- Model risk of contingent claims
- Model risk in the over-the-counter market
- DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY
- MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
- Uncertainty quantification of derivative instruments
- Risk functionals with convex level sets
- Affine processes under parameter uncertainty
- Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach
- On the calibration of distortion risk measures to bid-ask prices
This page was built for publication: Capturing parameter risk with convex risk measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q362040)
