scientific article

zbMath1198.46016MaRDI QIDQ3551118

Christos E. Kountzakis

Publication date: 15 April 2010

Full work available at URL: http://www.m-hikari.com/ams/ams-password-2009/ams-password49-52-2009/index.html

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zbMATH Keywords

cofinal subspacecofinal wedgehedging subspacepremium functional

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Ordered topological linear spaces, vector lattices (46A40) Ordered normed spaces (46B40)

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Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ A supermartingale relation for multivariate risk measures ⋮ Measuring risk with multiple eligible assets ⋮ A Comparison of Techniques for Dynamic Multivariate Risk Measures ⋮ Time consistency for scalar multivariate risk measures

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