Yu Feng

University of Technology Sydney (UTS) - Faculty of Business

Australia

SCHOLARLY PAPERS

2

DOWNLOADS

166

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

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

Number of pages: 16 Posted: 11 Nov 2018
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 University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 106 (345,273)

Abstract:

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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 University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 60 (478,592)
Citation 4

Abstract:

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