Bayesian Risk Measures for Derivatives via Random Esscher Transform

DOI10.1080/10920277.2001.10596000zbMath1083.62544OpenAlexW2056111989MaRDI QIDQ5718221

Tak Kuen Siu, Hailiang Yang, Howell Tong

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2001.10596000

Mathematics Subject Classification ID

Related Items (14)

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree ⋮ A functional Itô's calculus approach to convex risk measures with jump diffusion ⋮ Risk measures for derivatives with Markov-modulated pure jump processes ⋮ Markovian forward-backward stochastic differential equations and stochastic flows ⋮ On Bayesian value at risk: from linear to non-linear portfolios ⋮ Stability advances in robust portfolio optimization under parallelepiped uncertainty ⋮ A game theoretic approach to option valuation under Markovian regime-switching models ⋮ IMPRECISE PREVISIONS FOR RISK MEASUREMENT ⋮ Option pricing and Esscher transform under regime switching ⋮ A PDE approach for risk measures for derivatives with regime switching ⋮ Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options ⋮ Robust portfolios: contributions from operations research and finance ⋮ On a multivariate Markov chain model for credit risk measurement ⋮ OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING

Uses Software

• RiskMetrics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Mathematics of financial markets
• Axiomatic characterization of insurance prices
• Subjective risk measures: Bayesian predictive scenarios analysis
• Quantile hedging
• Nonparametric risk management and implied risk aversion
• On dynamic measure of risk
• A Stochastic Control Approach to Risk Management Under Restricted Information
• Coherent Measures of Risk
• Option pricing: A simplified approach
• “Application of Coherent Risk Measures to Capital Requirements in Insurance,” Philippe Artzner, April 1999
• Investing for Retirement
• Application of Coherent Risk Measures to Capital Requirements in Insurance

This page was built for publication: Bayesian Risk Measures for Derivatives via Random Esscher Transform