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Pezier, Jacques's
Scholarly Papers
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Total Downloads
1,250 |
Total
Citations
6 |
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1.
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Alexander, Carol University of Reading - ICMA Centre Pezier, Jacques University of Reading - ICMA Centre
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595
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Credit risk, economic capital, market risk, risk aggregation, risk diversification, value-at-risk, factor model, risk adjust return on capital
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2.
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Pezier, Jacques University of Reading - ICMA Centre Scheller, Johanna ICMA Centre, Henley Business School at Reading
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14 Jun 11
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Last Revised:
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25 Jun 11
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315
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capital guaranteed products, constant proportionality portfolio insurance, option based portfolio insurance, jump processes, time-changed Brownian motion, dynamic replication, utility theory
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3.
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Pezier, Jacques University of Reading - ICMA Centre Scheller, Johanna ICMA Centre, Henley Business School at Reading
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01 Feb 12
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15 Apr 12
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148
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Constant proportion portfolio insurance, average price Asian options, optimal payoff profile, utility theory, life-cycle investment
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4.
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Zdorovenin, Vladimir V. University of Reading - ICMA Centre Pezier, Jacques University of Reading - ICMA Centre
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11 Dec 12
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12 Dec 12
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114
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portfolio optimisation, dynamic asset allocation, Markov process, stochastic control
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5.
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Zdorovenin, Vladimir V. University of Reading - ICMA Centre Pezier, Jacques University of Reading - ICMA Centre
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09 Jul 11
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Last Revised:
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17 Dec 12
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78
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Risk-neutral density, Real-world density, Index options, Maximum entropy, Implied volatility smoothing, Optimal portfolio
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Records 1 -
5
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