Risk measures via g-expectations
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 39 (2006)
Issue (Month): 1 (August)
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Web page: http://www.elsevier.com/locate/inca/505554
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- Samuel N. Cohen & Robert J. Elliott, 2008. "Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions," Papers 0810.0055, arXiv.org, revised Jan 2010.
- Tianxiao Wang, 2012. "Risk minimizing of derivatives via dynamic g-expectation and related topics," Papers 1208.2068, arXiv.org.
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- Michail Anthropelos, 2011. "Forward Exponential Performances: Pricing and Optimal Risk Sharing," Papers 1109.3908, arXiv.org, revised Mar 2013.
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- Tiexin Guo, 2010. "Recent progress in random metric theory and its applications to conditional risk measures," Papers 1006.0697, arXiv.org, revised Mar 2011.
- Dilip B. Madan, 2010. "Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 3(1), pages 1-25, December.
- Daniel, Engelage, 2011. "Optimal stopping with dynamic variational preferences," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2042-2074, September.
- Yang, Zhe & Elliott, Robert J., 2013. "A converse comparison theorem for anticipated BSDEs and related non-linear expectations," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 275-299.
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