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Risk measure
Results: 622

#	Item
31	Optimal investment with price impact Peter Bank joint work with Moritz Voß Add to Reading List Source URL: www.ccfz.ch Language: English - Date: 2014-09-13 03:10:16 Mathematical finance Probability theory Risk-neutral measure Arbitrage
32	An Anatomy of the Equity Premium∗ Paul Schneider† January 9, 2016 Abstract This paper introduces a decomposition of the forward market return in terms of higher-order realized, and option-implied risk aversion, conne Add to Reading List Source URL: www.cb.cityu.edu.hk Language: English - Date: 2016-07-08 02:31:01 Mathematical finance BlackScholes model Risk aversion Equity premium puzzle Risk premium Volatility Implied volatility Risk-neutral measure Rate of return Normal distribution
33	Estimation of Risk Neutral Measures using the Generalized Two-Factor Log-Stable Option Pricing Model J. Huston McCulloch and Seung Hwan Lee† March 26, 2008 Abstract Add to Reading List Source URL: www.econ.ohio-state.edu Language: English - Date: 2012-01-12 12:02:17 Mathematical finance Options BlackScholes model Volatility State prices Implied volatility Stable distribution Probability distribution Normal distribution Risk-neutral measure Stochastic volatility ArrowDebreu model
34	Market Price of Risk Specifications for Aﬃne Models: Theory and Evidence∗ Patrick Cheridito† Damir Filipovi´c‡ Add to Reading List Source URL: www.princeton.edu Language: English - Date: 2005-09-15 11:12:23 Mathematical finance Volatility Stochastic volatility Risk-neutral measure Normal distribution Economic model Yield curve
35	The capital adequacy problem Acceptable financial positions Single-asset risk measures Multi-asset risk measures Beyond cash-additive risk measures: Add to Reading List Source URL: www.ccfz.ch Language: English - Date: 2013-11-25 09:42:08 Mathematical finance Financial risk Actuarial science Risk measure Acceptance set Value at risk Risk Basel II Capital requirement Expected value
36	Conditional Systemic Risk with Penalized Copula 31st July 2015 Ostap Okhrin⇤ Alexander Ristig† Add to Reading List Source URL: www.cb.cityu.edu.hk Language: English - Date: 2016-07-08 02:26:53 Financial risk Actuarial science Mathematical finance Independence Financial crises Expected shortfall Risk measure Systemic risk Financial contagion Quantile function Quantile Copula
37	MATHEMATISCHES FORSCHUNGSINSTITUT OBEFRWOLFACH T a g u n g s b e r i c h t Add to Reading List Source URL: fam.tuwien.ac.at Language: English - Date: 2003-06-14 17:14:35 Mathematical finance BlackScholes model Implied volatility Stochastic volatility Risk-neutral measure Volatility Quantitative analyst Brownian motion CoxIngersollRoss model Optimal stopping Option Book:More Finance
38	Risk and performance optimization for portfolios of bonds and stocks Tom Fischer Darmstadt University of Technology∗ Armin Roehrl Approximity GmbH† Add to Reading List Source URL: www.statistik-mathematik.uni-wuerzburg.de Language: English - Date: 2016-01-19 07:11:42 Mathematical finance Financial risk Actuarial science Expected shortfall Risk measure Portfolio optimization Coherent risk measure Mathematical optimization Value at risk
39	Optimization of performance measures based on Expected Shortfall Tom Fischer, Heriot-Watt University, Edinburgh∗ Armin Roehrl, Approximity GmbH† July 01, 2005 Add to Reading List Source URL: www.statistik-mathematik.uni-wuerzburg.de Language: English - Date: 2016-01-19 08:15:50 Mathematical finance Financial risk Actuarial science Expected shortfall Risk measure Portfolio optimization Value at risk Mathematical optimization
40	Routing Hazardous Materials on Time-Dependent Networks using Conditional Value-at-Risk Changhyun Kwon∗ Iakovos Toumazis Add to Reading List Source URL: www.chkwon.net Language: English - Date: 2016-08-04 11:55:32 Actuarial science Financial risk Mathematical finance Value at risk Shortest path problem Risk Expected shortfall Coherent risk measure Sobhi Mahmassani

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