A functional Itô's calculus approach to convex risk measures with jump diffusion
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Publication:322579
DOI10.1016/j.ejor.2015.10.032zbMath1346.91272OpenAlexW1833411932MaRDI QIDQ322579
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.10.032
risk managementconvex risk measureentropic risk measurefunctional Itô's calculusnon-Markovian jump-diffusion model
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Related Items (4)
Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ Robust control in a rough environment ⋮ Time-Inconsistency with Rough Volatility ⋮ Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
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