FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES
From MaRDI portal
Publication:5247426
DOI10.1111/mafi.12015zbMath1314.91215arXiv1107.4632OpenAlexW2770451777MaRDI QIDQ5247426
Publication date: 24 April 2015
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1107.4632
backward stochastic differential equationsstochastic volatility modelsindifference pricingdynamic convex risk measuresvolatility skew
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (7)
Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver ⋮ Time-Coherent Risk Measures for Continuous-Time Markov Chains ⋮ Continuous equilibrium in affine and information-based capital asset pricing models ⋮ INDIFFERENCE PRICES AND IMPLIED VOLATILITIES ⋮ Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Robust Portfolio Choice and Indifference Valuation
Cites Work
- Unnamed Item
- Unnamed Item
- Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Convex measures of risk and trading constraints
- Filtration-consistent nonlinear expectations and related \(g\)-expectations
- Global optimality conditions in maximizing a convex quadratic function under convex quadratic constraints
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- The mathematics of arbitrage
- Risk measures via \(g\)-expectations
- Coherent Measures of Risk
- Stochastic Finance
- Computing the implied volatility in stochastic volatility models
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
- SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
- Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
- The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
- UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES
This page was built for publication: FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES
