Drawdowns and the speed of market crash

DOI10.1007/s11009-011-9262-7zbMath1282.91396OpenAlexW2151945775MaRDI QIDQ1930625

Hongzhong Zhang, Olympia Hadjiliadis

Publication date: 11 January 2013

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-011-9262-7

zbMATH Keywords

diffusionsdrawdowndrawdown insurancespeed of market crash

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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