DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY

DOI10.1142/S0219024921500345zbMath1484.91445OpenAlexW3208523431MaRDI QIDQ5061489

Gleda Kutrolli, Fred Espen Benth, Silvana Stefani

Publication date: 11 March 2022

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

Full work available at URL: https://doi.org/10.1142/s0219024921500345

zbMATH Keywords

probability densitymodel uncertaintyrisk measurevolatilityoption pricesstochastic processes in Banach space

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Uses Software

• bvarsv

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Coherent Measures of Risk
• Statistical arbitrage in the US equities market
• Pricing and hedging derivative securities in markets with uncertain volatilities
• MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
• Model Risk and Uncertainty—Illustrated with Examples from Mathematical Finance
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Time Varying Structural Vector Autoregressions and Monetary Policy
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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