CH-8032 Zurich, Zurich 8032
ETH Zentrum HG-F 42.1
CH-8092 Zurich, 8092
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
ETH Zürich - Department of Mathematics
in Total Papers Downloads
in Total Papers Citations
Extreme Value Theory, Copula Theory, Value-at-Risk, Sub-additivity, Coherence
VIX futures, VIX options, volatility of volatility, volatility derivatives
American options, optimal stopping under constraints, out-performance options, management options
options on realized variance, variance swaps, stochastic volatility, Monte Carlo
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File name: SSRN-id2794922.
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options on realized variance, variance swaps, stochastic volatility, discrete sampling, numerical pricing methods
European options, expansion-based approximation of risk-neutral density, Gauss-Hermite series expansion, calibration
risk measures, multiple eligible assets, acceptance sets, dual representations, set-valued risk measures, superhedging with shortfall risk, optimal risk sharing
Levy-copula, Levy processes, Pseudo-differential Operators, Wavelet Finite Element Methods
acceptance sets, eligible asset, risk measures, capital adequacy, capital efficiency, Value-at-Risk, Tail Value-at-Risk
implied volatility surface, risk neutral density, discrete dividends
risk measures, acceptance sets, general eligible assets, defaultable bonds, cash subadditivity, quasiconvexity, Value-at-Risk, Tail Value-at-Risk, shortfall risk
risk propensity, net tangible value, default option, franchise value
European options, generalized Hermite series expansion, calibration
heterogeneity, asset prices, beliefs, pure-exchange economy, measure-valued stochastic process
intrinsic risk measures, monetary risk measures, acceptance sets, coherence, conicity, quasi-convexity, value at risk
herding, non-affine option pricing model, Gauss-Hermite expansion
Commodities, Cointegration, Futures, Option Pricing, Spread Options, Spark Spread, Crack Spread
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