Intra‐Horizon expected shortfall and risk structure in models with jumps

DOI10.1111/mafi.12302zbMath1522.91319arXiv2002.04675OpenAlexW3138041719MaRDI QIDQ6054364

Ludovic Mathys, Nikola Vasiljević, Walter Farkas

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.04675

zbMATH Keywords

Lévy processesexpected shortfallvalue at riskhyper-exponential distributionrisk decompositionintra-horizon risk

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70)

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Monetary risk measures for stochastic processes via Orlicz duality ⋮ JDOI variance reduction method and the pricing of American-style options ⋮ Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ First passage times in portfolio optimization: a novel nonparametric approach

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