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Author : Daniel Engelage
Publisher :
ISBN 13 :
Total Pages : 185 pages
Book Rating : 4.:/5 (68 download)
Download or read book On Dynamic Coherent and Convex Risk Measures written by Daniel Engelage and published by . This book was released on 2009 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank Riedel
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (129 download)
Download or read book Dynamic Coherent Risk Measures written by Frank Riedel and published by . This book was released on 2003 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, a notion of risk measure is defined for dynamic models. Three axioms, coherence, relevance and dynamic consistence, are postulated. It is shown that every dynamic risk measure that satisfies the axioms can be represented as the maximal expected present value of future losses where expectations are taken with respect to a set of probability measures. As new information arrives, this set of probability measures is updated in the Bayesian way. Moreover, dynamic consistency implies that this set satisfies a certain consistency condition.
Author : Eduard Kromer
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (13 download)
Download or read book Representation of BSDE-Based Dynamic Risk Measures and Dynamic Capital Allocations written by Eduard Kromer and published by . This book was released on 2015 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this short paper we provide a new representation result for dynamic capital allocations and dynamic convex risk measures that are based on backward stochastic differential equations. We derive this representation from a classical differentiability result for backward stochastic differential equations and the full allocation property of the Aumann-Shapley allocation. The representation covers BSDE-based dynamic convex and dynamic coherent risk measures. The results are applied to derive a representation for the dynamic entropic risk measure. Our result are also applicable in a specific way to the static case, where we are able to derive a new representation result for static convex risk measures that are Gateaux-differentiable.
Author : Julia Di Nunno
Publisher : Springer Science & Business Media
ISBN 13 : 364218412X
Total Pages : 532 pages
Book Rating : 4.6/5 (421 download)
Download or read book Advanced Mathematical Methods for Finance written by Julia Di Nunno and published by Springer Science & Business Media. This book was released on 2011-03-29 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.
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.
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 : 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 : 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:
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 : 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 : 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 : 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 : N El Karoui
Publisher : CRC Press
ISBN 13 : 9780582307339
Total Pages : 236 pages
Book Rating : 4.3/5 (73 download)
Download or read book Backward Stochastic Differential Equations written by N El Karoui and published by CRC Press. This book was released on 1997-01-17 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the texts of seminars presented during the years 1995 and 1996 at the Université Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.
Author : Zhimin Li
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Dynamic Risk Measures for Processes Via Reflected Backward Stochastic Differential Equations with Time Delayed Generators written by Zhimin Li and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we study the problem of dynamic convex risk measures via reflected backward stochastic differential equations with time delayed generators (RBSDEs with time delayed generators, in short). Under some assumptions on the generators of the equations, we prove that the RBSDEs with a convex monotone generator can define the time-consistent dynamic convex risk measure for processes, thus the relation between the generator and the dynamic convex risk measure for processes is established. Since the generator of this equation depends on the past value of the solution, it is more convincing to be used to measure the risk in the insurance and financial field when the investment strategy or portfolio needs to use the past value to replicate the liability or achieve the target.
Author : Jean-Luc Prigent
Publisher : CRC Press
ISBN 13 : 142001093X
Total Pages : 451 pages
Book Rating : 4.4/5 (2 download)
Download or read book Portfolio Optimization and Performance Analysis written by Jean-Luc Prigent and published by CRC Press. This book was released on 2007-05-07 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, cont
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.
