Correlation and the pricing of risks

DOI10.1007/s10436-006-0063-xzbMath1233.91320OpenAlexW2007440150MaRDI QIDQ665786

Marc Atlan, Marc Yor, Dilip B. Madan, Hélyette Geman

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-006-0063-x

zbMATH Keywords

change of measurecatastrophic risk pricingkernel pricingself sufficient filtrations

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20)

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