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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 : Robert Dalang
Publisher : Springer Science & Business Media
ISBN 13 : 3034800215
Total Pages : 487 pages
Book Rating : 4.0/5 (348 download)
Download or read book Seminar on Stochastic Analysis, Random Fields and Applications VI written by Robert Dalang and published by Springer Science & Business Media. This book was released on 2011-03-16 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains refereed research or review papers presented at the 6th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2008. The seminar focused mainly on stochastic partial differential equations, especially large deviations and control problems, on infinite dimensional analysis, particle systems and financial engineering, especially energy markets and climate models. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance.
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 : 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 : 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 : 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 : Svetlozar T. Rachev
Publisher : John Wiley & Sons
ISBN 13 : 111808618X
Total Pages : 404 pages
Book Rating : 4.1/5 (18 download)
Download or read book Risk and Uncertainty written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2011-04-22 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization The finance industry is seeing increased interest in new risk measures and techniques for portfolio optimization when parameters of the model are uncertain. This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers. They also clearly show how stochastic models, risk assessment, and optimization are essential to mastering risk, uncertainty, and performance measurement. Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization provides quantitative portfolio managers (including hedge fund managers), financial engineers, consultants, and academic researchers with answers to the key question of which risk measure is best for any given problem.
Author : Volker Krätschmer
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (17 download)
Download or read book On Sigma-additive Robust Representation of Convex Risk Measures for Unbounded Financial Positions in the Presence of Uncertainty about the Market Model written by Volker Krätschmer and published by . This book was released on 2007 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Volker Krätschmer
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)
Download or read book On Σ−additive Robust Representation of Convex Risk Measures for Unbounded Financial Positions in the Presence of Uncertainty about the Market Model written by Volker Krätschmer and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Irina Penner
Publisher :
ISBN 13 :
Total Pages : 106 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 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhaolin Hu
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (13 download)
Download or read book Convex Risk Measures written by Zhaolin Hu and published by . This book was released on 2016 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the development of financial risk management, the notion of convex risk measures has been proposed and has gained more and more attentions. Utility-based shortfall risk (SR), as a specific and important class of convex risk measures, has become popular in recent years. In this paper we focus on computational aspects of SR, which are significantly understudied but fundamental for risk assessment and management. We discuss efficient estimation of SR, sensitivity analysis of SR, as well as optimization of SR, based on Monte Carlo techniques and stochastic optimization methods. We also conduct extensive numerical study on the proposed approaches. The numerical results further demonstrate the effectiveness of these approaches.
Author : Fangda Liu
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (13 download)
Download or read book Convex Risk Functionals written by Fangda Liu and published by . This book was released on 2019 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce the family of law-invariant convex risk functionals, which includes a wide majority of practically used convex risk measures and deviation measures. We obtain a unified representation theorem for this family of functionals. Two related optimization problems are studied. In the first application, we determine worst-case values of a law-invariant convex risk functional when the mean and a higher moment such as the variance of a risk are known. Second, we consider its application in optimal reinsurance design for an insurer. With the help of the representation theorem, we can show the existence and the form of optimal solutions.
Author : Hans Föllmer
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110463458
Total Pages : 608 pages
Book Rating : 4.1/5 (14 download)
Download or read book Stochastic Finance written by Hans Föllmer and published by Walter de Gruyter GmbH & Co KG. This book was released on 2016-07-25 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry. The focus on stochastic models in discrete time has two immediate benefits. First, the probabilistic machinery is simpler, and one can discuss right away some of the key problems in the theory of pricing and hedging of financial derivatives. Second, the paradigm of a complete financial market, where all derivatives admit a perfect hedge, becomes the exception rather than the rule. Thus, the need to confront the intrinsic risks arising from market incomleteness appears at a very early stage. The first part of the book contains a study of a simple one-period model, which also serves as a building block for later developments. Topics include the characterization of arbitrage-free markets, preferences on asset profiles, an introduction to equilibrium analysis, and monetary measures of financial risk. In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk. This fourth, newly revised edition contains more than one hundred exercises. It also includes material on risk measures and the related issue of model uncertainty, in particular a chapter on dynamic risk measures and sections on robust utility maximization and on efficient hedging with convex risk measures. Contents: Part I: Mathematical finance in one period Arbitrage theory Preferences Optimality and equilibrium Monetary measures of risk Part II: Dynamic hedging Dynamic arbitrage theory American contingent claims Superhedging Efficient hedging Hedging under constraints Minimizing the hedging error Dynamic risk measures
Author : Darinka Dentcheva
Publisher : Springer Nature
ISBN 13 : 3031579887
Total Pages : 462 pages
Book Rating : 4.0/5 (315 download)
Download or read book Risk-Averse Optimization and Control written by Darinka Dentcheva and published by Springer Nature. This book was released on with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Freddy Delbaen
Publisher :
ISBN 13 :
Total Pages : 63 pages
Book Rating : 4.:/5 (634 download)
Download or read book Coherent Risk Measures written by Freddy Delbaen and published by . This book was released on 2000 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher : Cuvillier Verlag
ISBN 13 : 3736913664
Total Pages : 124 pages
Book Rating : 4.7/5 (369 download)
Download or read book Risk Measures with Preselected Tolerance Levels in Two-Stage Stochastic Mixed-Integer programming written by and published by Cuvillier Verlag. This book was released on 2005-02-23 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
