Department of Mathematics
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Systemic risk measure, systemic risk allocation, feedback effects, shadow prices, systemic risk limits, systemic risk charges, cap and trade
Contingent convertible bonds, credit default swaps, pricing, calibration, hedging, intensity-based model, first-passage time model
Competitive equilibrium, incomplete markets, heterogenous agents, trading constraints, one-fund theorem
Affine, Girsanov, arbitrage, Feller
Optimal trade execution, implementation cost, discrete-time stochastic control, Bellman equation, stochastic volatility, stochastic liquidity
time-consistency, value at risk, composed value at risk, composed average value at risk
affine diffusion processes, affine transformations, diagonal diffusion matrices
Contingent convertible bonds, credit default swaps, reduced form model, pricing, calibration, hedging
Optimal trade execution, dark pool, adverse selection, stochastic volatility, stochastic liquidity, discrete-time stochastic control
Risk measures, Gateaux-differentiability, strict monotonicity, strict convexity, stochastic orders, Orlicz hearts
Portfolio execution, stochastic volatility, stochastic liquidity, dark pool, dynamic programming.
Reward measures, risk measures, monotonicity, quasi-concavity, scale invariance, distribution based
Dynamic utility functions, time-consistency, monetary utility functions, indifference prices, indifference sets
Uncertainty-aversion, stochastic orders, Allais paradox, Ellsberg paradox
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: mafi.
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File name: mafi.
coherent risk measures, convex monetary risk measures, monetary risk measures, acceptance sets, robust representations, cash-additive hulls, transformed norm risk measures, transformed loss risk measures, Orlicz spaces
variable annuities, early surrender, stochastic control, optimal stopping, Hamilton--Jacobi--Bellman variational inequality
Competitive equilibrium, heterogenous agent models
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2799651.
contingent convertible bonds, credit default swaps, reduced-form model, pricing calibration, hedging
Competitive equilibrium, heterogenous agent models, conditional-no-aggregate-uncertainty
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