TENOR SPECIFIC PRICING

DOI10.1142/S0219024912500434zbMath1262.91142OpenAlexW3124948743MaRDI QIDQ4649506

Wim Schoutens, Dilip B. Madan

Publication date: 22 November 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500434

zbMATH Keywords

nonlinear expectationsacceptable risksdistorted expectationsCIR spot rate model

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (11)

Nonlinear equity valuation using conic finance and its regulatory implications ⋮ Benchmarking in two price financial markets ⋮ Dynamic conic hedging for competitiveness ⋮ OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY ⋮ MEASURING AND MONITORING THE EFFICIENCY OF MARKETS ⋮ CONIC TRADING IN A MARKOVIAN STEADY STATE ⋮ Bid and ask prices as non-linear continuous time G-expectations based on distortions ⋮ Two price economies in continuous time ⋮ Asset pricing theory for two price economies ⋮ CONIC PORTFOLIO THEORY ⋮ From credit valuation adjustments to credit capital commitments

Cites Work

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• Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
• Risk measures via \(g\)-expectations
• Coherent Measures of Risk
• A Theory of the Term Structure of Interest Rates
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• A multi-quality model of interest rates
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Coherent risk measures and good-deal bounds

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