Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies

DOI10.1007/S11009-009-9139-1MaRDI QIDQ973024zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

random walkBrownian motiondraw downrally

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

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Cites work

• scientific article; zbMATH DE number 3513051 (Why is no real title available?)
• scientific article; zbMATH DE number 1987559 (Why is no real title available?)
• A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Drawdowns preceding rallies in the Brownian motion model
• Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
• On the maximum drawdown of a Brownian motion
• PDE methods for maximum drawdown
• Positive integer powers of the tridiagonal Toeplitz matrices
• Range of Brownian motion with drift
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables
• The range of a simple random walk on ℤ

Cited in

(14)

• A general method for analysis and valuation of drawdown risk
• Pricing American drawdown options under Markov models
• Drawdowns and the speed of market crash
• Maximum drawdown insurance
• Stochastic modeling and fair valuation of drawdown insurance
• Speed and duration of drawdown under general Markov models
• A unified approach for drawdown (drawup) of time-homogeneous Markov processes
• Drawdown: from practice to theory and back again
• Pricing insurance drawdown-type contracts with underlying Lévy assets
• Drawdowns preceding rallies in the Brownian motion model
• On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk
• Omega diffusion risk model with surplus-dependent tax and capital injections
• On the drawdown of completely asymmetric Lévy processes
• Occupation times, drawdowns, and drawups for one-dimensional regular diffusions

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