21 Heng Mui Keng Terrace
Risk Management Institute, NUS
in Total Papers Downloads
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Contingent claims, high peak, heavy tails, interest rate models, rational expectation, overreaction and underreaction
cumulative prospect theory, portfolio selection, hedge funds, managerial incentive, first-loss scheme
Markov chains, Large order execution, Electricity trading/production, Partitioning, Quadratic stochastic programming
biotechnology and internet stocks, asset pricing, birth-death process, convergence rate, power-type distribution, regression.
financial regulation, capital requirements, risk measure, scenario analysis, robustness, value-at-risk, expected shortfall, tail conditional expectation
comonotonic independence, Choquet integral, elicitability, robustness, model uncertainty, value-at-risk, median shortfall, backtest
Optimal order execution, order routing, dynamic programming
EM algorithm, stochastic control, recursive model, dynamic programming, monopoly pricing, real business cycle, numerical methods, stochastic approximation
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