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scientific article; zbMATH DE number 6275011 - MaRDI portal

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zbMath1307.91005MaRDI QIDQ5403636

G. A. Agasandyan

Publication date: 27 March 2014

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

maximum principle normal distribution gamma distribution financial markets Pareto distribution value at risk (VaR)multidimensional options options market pricing density alpha options basic butterflies butterfly options continual criterion VaR (CC-VaR)discrete financial markets function of risk priorities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Risk management in hierarchical games with random factors

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