Yu Feng

University of Technology Sydney (UTS) - Faculty of Business

Australia

  • University of Technology Sydney (UTS) - Faculty of Business

SCHOLARLY PAPERS

2

DOWNLOADS

280

TOTAL CITATIONS

4

Scholarly Papers (2)

Actions:
Email selected abstracts
1.

Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models

Number of pages: 16 Posted: 11 Nov 2018
Yu Feng, Ralph Rudd, Christopher Baker, Qaphela Mashalaba, Melusi Mavuso and Erik Schlögl
University of Technology Sydney (UTS) - Faculty of Business, The African Institute of Financial Markets and Risk Management, The African Institute for Financial Markets and Risk Management (AIFMRM), University of Cape Town, African Institute of Financial Markets and Risk Management, University of Cape Town (UCT) - The African Institute of Financial Markets and Risk Management and The University of Technology Sydney - School of Mathematical and Physical Sciences
Downloads 154 (400,568)

Abstract:

Loading...

Model Risk, Relative Entropy, Option Pricing, Model Calibration, Model Recalibration, Stochastic Volatility

2.

Model Risk Measurement Under Wasserstein Distance

FIRN Research Paper
Number of pages: 41 Posted: 05 Oct 2018
Yu Feng and Erik Schlögl
University of Technology Sydney (UTS) - Faculty of Business and The University of Technology Sydney - School of Mathematical and Physical Sciences
Downloads 126 (472,998)
Citation 4

Abstract:

Loading...

Model Risk, Wasserstein Metric, Robust Modelling, Volatility Risk, Portfolio Optimisation, Option Hedging