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Author : Hans Föllmer
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (763 download)
Download or read book Convex Measures of Risk and Trading Constraints written by Hans Föllmer and published by . This book was released on 2001 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Coherent and Convex Measures of Risk written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the financial risks an agent has to deal with is market risk. Market risk is caused by the uncertainty attached to asset values. There exit various measures trying to model market risk. The most widely accepted one is Value-at- Risk. However Value-at-Risk does not encourage portfolio diversification in general, whereas a consistent risk measure has to do so. In this work, risk measures satisfying these consistency conditions are examined within theoretical basis. Different types of coherent and convex risk measures are investigated. Moreover the extension of coherent risk measures to multiperiod settings is discussed.
Author : Gregor Svindland
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (32 download)
Download or read book Convex Risk Measures Beyond Bounded Risks written by Gregor Svindland and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ivan Guo
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (13 download)
Download or read book Equal Risk Pricing Under Convex Trading Constraints written by Ivan Guo and published by . This book was released on 2015 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an incomplete market model where convex trading constraints are imposed upon the underlying assets, it is no longer possible to obtain unique arbitrage-free prices for derivatives using standard replication arguments. Most existing derivative pricing approaches involve the selection of a suitable martingale measure or the optimisation of utility functions as well as risk measures from the perspective of a single trader.We propose a new and effective derivative pricing method, referred to as the equal risk pricing approach, for markets with convex trading constraints. The approach analyses the risk exposure of both the buyer and seller of the derivative, and seeks an equal risk price which evenly distributes the expected loss for both parties under optimal hedging. The existence and uniqueness of the equal risk price are established for both European and American options. Furthermore, if the trading constraints are removed, the equal risk price agrees with the standard arbitrage-free price.Finally, the equal risk pricing approach is applied to a constrained Black-Scholes market model where short-selling is banned. In particular, simple pricing formulas are derived for European calls, European puts and American puts.
Author : Marija Vukovic
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book Robust Representation of Convex Risk Measures written by Marija Vukovic and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (929 download)
Download or read book Preprints written by and published by . This book was released on 2003 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Irina Penner
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (244 download)
Download or read book Dynamic Convex Risk Measures written by Irina Penner and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kai Detlefsen
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (17 download)
Download or read book Conditional and Dynamic Convex Risk Measures written by Kai Detlefsen and published by . This book was released on 2005 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kasper Larsen
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (474 download)
Download or read book Satisfying Convex Risk Limits by Trading written by Kasper Larsen and published by . This book was released on 2003 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 106 pages
Book Rating : 4.:/5 (917 download)
Download or read book Dynamic convex risk measures written by and published by . This book was released on 2007 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Georgios Papayiannis
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (13 download)
Download or read book Convex Risk Measures for the Aggregation of Multiple Information Sources and Applications in Insurance written by Georgios Papayiannis and published by . This book was released on 2018 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a novel class of convex risk measures, based on the concept of the Fr 'echet mean, designed in order to handle uncertainty which arises from multiple information sources regarding the risk factors of interest. The proposed risk measures robustly characterize the exposure of the firm, by filtering out appropriately the partial information available in individual sources into an aggregate model for the risk factors of interest. Importantly, the proposed risks can be expressed in closed analytic forms allowing for interesting qualitative interpretations as well as comparative statics and thus facilitate their use in the everyday risk management process of the insurance firms. The potential use of the proposed risk measures in insurance is illustrated by two concrete applications, capital risk allocation and premia calculation under uncertainty.
Author : Michael Toma
Publisher : John Wiley & Sons
ISBN 13 : 1118100832
Total Pages : 224 pages
Book Rating : 4.1/5 (181 download)
Download or read book The Risk of Trading written by Michael Toma and published by John Wiley & Sons. This book was released on 2012-04-17 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Develop the skills to manage risk in the high-stakes world of financial speculation The Risk of Trading is a practical resource that takes an in-depth look at one of the most challenging factors of trading—risk management. The book puts a magnifying glass on the issue of risk, something that every trader needs to understand in order to be successful. Most traders look at risk in terms of a "stop-loss" that enables them to exit a losing trade quickly. In The Risk of Trading, Michael Toma explains that risk is ever-present in every aspect of trading and advocates that traders adopt a more comprehensive view of risk that encompasses the strategic trading plan, account size, drawdowns, maximum possible losses, psychological capital, and crisis management. Shows how to conduct a detailed statistical analysis of an individual's trading methodology through back-testing and real-time results so as to identify when the methodology may be breaking down in actual trading Reveals why traders should think of themselves as project managers who are strategically managing risk The book is based on the author's unique 'focus on the risk' approach to trading using data-driven risk statistical analytics Using this book as a guide, traders can operate more as business managers and learn how to avoid market-busting losses while achieving consistently good results.
Author : Erhan Bayraktar
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (13 download)
Download or read book Optimal Stopping for Dynamic Convex Risk Measures written by Erhan Bayraktar and published by . This book was released on 2016 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an equivalent zero-sum game of control and stopping, between an agent (the "stopper") who chooses the termination time of the game, and an agent (the "controller", or "Nature") who selects the probability measure.
Author : Andrzej Ruszczynski
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (118 download)
Download or read book Optimization of Convex Risk Functions written by Andrzej Ruszczynski and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Freddy Delbean
Publisher : Edizioni della Normale
ISBN 13 : 9788876423055
Total Pages : 0 pages
Book Rating : 4.4/5 (23 download)
Download or read book Coherent risk measures written by Freddy Delbean and published by Edizioni della Normale. This book was released on 2002-10-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The notes grew out of a course I taught at a Cattedra Galileiana at the Scuola Normale Superiore di Pisa, March 2000. The aim of these lectures was to show that it is possible to translate problems from Risk Management into mathematics and back. Part of the course was devoted to an analysis of Value at Risk and its relation to quantiles. We concentrate on the mathematics behind the concept of coherent risk measures.
Author : Pietro Penza
Publisher : John Wiley & Sons
ISBN 13 : 9780471393139
Total Pages : 324 pages
Book Rating : 4.3/5 (931 download)
Download or read book Measuring Market Risk with Value at Risk written by Pietro Penza and published by John Wiley & Sons. This book was released on 2001 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University
Author : Klaus Sandmann
Publisher : Springer Science & Business Media
ISBN 13 : 366204790X
Total Pages : 325 pages
Book Rating : 4.6/5 (62 download)
Download or read book Advances in Finance and Stochastics written by Klaus Sandmann and published by Springer Science & Business Media. This book was released on 2013-04-18 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. This volume contains a collection of original articles by a number of highly distinguished authors, on research topics that are currently in the focus of interest of both academics and practitioners.
