Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies
DOI10.1007/S11009-009-9139-1zbMATH Open1202.60071OpenAlexW1600138544MaRDI QIDQ973024FDOQ973024
Authors: Hongzhong Zhang, Olympia Hadjiliadis 
Publication date: 28 May 2010
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-009-9139-1
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Cites Work
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- On the maximum drawdown of a Brownian motion
- The Asymptotic Distribution of the Range of Sums of Independent Random Variables
- A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
- Title not available (Why is that?)
- Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
- Title not available (Why is that?)
- Drawdowns preceding rallies in the Brownian motion model
- PDE methods for maximum drawdown
- Positive integer powers of the tridiagonal Toeplitz matrices
- The range of a simple random walk on ℤ
- Range of Brownian motion with drift
Cited In (14)
- Stochastic modeling and fair valuation of drawdown insurance
- On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk
- 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
- Drawdowns preceding rallies in the Brownian motion model
- On the drawdown of completely asymmetric Lévy processes
- Pricing American drawdown options under Markov models
- Omega diffusion risk model with surplus-dependent tax and capital injections
- Drawdown: from practice to theory and back again
- Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
- A unified approach for drawdown (drawup) of time-homogeneous Markov processes
- Maximum drawdown insurance
- Drawdowns and the speed of market crash
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