Financial events risk assessment based on historical data analysis

DOI10.1007/S10958-022-06127-WMaRDI QIDQ6159092zbMATH OpenOpenAlexFDO

Authors E. S. Sosinovich, D. M. Chubrick, Boris M. Dubrov, E. Zhuk

Publication date 1 June 2023

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-022-06127-w

Mathematics Subject Classification ID

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

Recommendations

• Introduction to the special issue on volatility modelling
• AN INVITATION TO MARKET-BASED OPTION PRICING AND ITS APPLICATIONS(<Special Issue>the 50th Anniversary of the Operations Research Society of Japan)
• A mean-reverting currency model in an uncertain environment
• Modelling the dependency between currency and debt crises: an option based approach
• Estimation and prediction under local volatility jump-diffusion model

Cites work

• Handbook of econometrics. Vol. 5
• The pricing of options and corporate liabilities

Cited in

(1)

• Investment disputes and their explicit role in option market uncertainty and overall risk instability

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