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Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model

Citations

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Cited by:

  1. Samuel N. Cohen & Martin Tegn'er, 2018. "European Option Pricing with Stochastic Volatility models under Parameter Uncertainty," Papers 1807.03882, arXiv.org.
  2. Jim Gatheral, 2023. "Marco Avellaneda: Mathematician and trader," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 16-18, January.
  3. Max Nendel, 2021. "Markov chains under nonlinear expectation," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 474-507, January.
  4. Umberto Cherubini, 1997. "Fuzzy measures and asset prices: accounting for information ambiguity," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(3), pages 135-149.
  5. Marco Avellaneda & Robert Buff, 1999. "Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(1), pages 1-18.
  6. Claude Bardos & Raphaël Douady & Andrei Fursikov, 2002. "Static Hedging Of Barrier Options With A Smile: An Inverse Problem," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477102, HAL.
  7. Umberto Cherubini & Giovanni Della Lunga, 2001. "Liquidity and credit risk," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(2), pages 79-95.
  8. K. Ronnie Sircar & George Papanicolaou, 1999. "Stochastic volatility, smile & asymptotics," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(2), pages 107-145.
  9. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model uncertainty, recalibration, and the emergence of delta–vega hedging," Finance and Stochastics, Springer, vol. 21(4), pages 873-930, October.
  10. Ali Bora Yigibasioglu & Carol Alexandra, 2004. "An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds," ICMA Centre Discussion Papers in Finance icma-dp2004-07, Henley Business School, University of Reading.
  11. Rama Cont, 2006. "Model uncertainty and its impact on the pricing of derivative instruments," Post-Print halshs-00002695, HAL.
  12. Sergei Fedotov & Sergei Mikhailov, 1998. "Option Pricing Model for Incomplete Market," Papers cond-mat/9807397, arXiv.org, revised Aug 1998.
  13. Joel Vanden, 2006. "Exact Superreplication Strategies for a Class of Derivative Assets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 61-87.
  14. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2017. "Hedging with small uncertainty aversion," Finance and Stochastics, Springer, vol. 21(1), pages 1-64, January.
  15. Colino, Jesús P. & Nogales, Francisco J. & Stute, Winfried, 2008. "LIBOR additive model calibration to swaptions markets," DES - Working Papers. Statistics and Econometrics. WS ws085619, Universidad Carlos III de Madrid. Departamento de Estadística.
  16. Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
  17. Rama Cont, 2023. "In memoriam: Marco Avellaneda (1955–2022)," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 3-15, January.
  18. Muzzioli, Silvia & Torricelli, Costanza, 2004. "A multiperiod binomial model for pricing options in a vague world," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 861-887, February.
  19. Breuer, Thomas & Csiszár, Imre, 2013. "Systematic stress tests with entropic plausibility constraints," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1552-1559.
  20. Gondzio, Jacek & Kouwenberg, Roy & Vorst, Ton, 2003. "Hedging options under transaction costs and stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1045-1068, April.
  21. Jocelyne Bion-Nadal, 2007. "Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk," Papers math/0703074, arXiv.org.
  22. Sergei Fedotov & Sergei Mikhailov, 2001. "Option Pricing For Incomplete Markets Via Stochastic Optimization: Transaction Costs, Adaptive Control And Forecast," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 179-195.
  23. Yulian Fan & Huadong Zhang, 2017. "The pricing of average options with jump diffusion processes in the uncertain volatility model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-31, March.
  24. Yingzi Zhu & Marco Avellaneda, 1997. "An E-ARCH model for the term structure of implied volatility of FX options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(2), pages 81-100.
  25. Thomas Breuer & Imre Csiszar, 2013. "Measuring Model Risk," Papers 1301.4832, arXiv.org.
  26. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging," Papers 1704.04524, arXiv.org.
  27. RØdiger Frey, 2000. "Superreplication in stochastic volatility models and optimal stopping," Finance and Stochastics, Springer, vol. 4(2), pages 161-187.
  28. Kaj Nystrom & Mikko Parviainen, 2014. "Tug-of-war, market manipulation and option pricing," Papers 1410.1664, arXiv.org.
  29. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2016. "Hedging with Small Uncertainty Aversion," Papers 1605.06429, arXiv.org.
  30. Qiang Zhang & Rui Luo & Yaodong Yang & Yuanyuan Liu, 2018. "Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series," Papers 1811.03711, arXiv.org.
  31. Marco Avellaneda & Craig Friedman & Richard Holmes & Dominick Samperi, 1997. "Calibrating volatility surfaces via relative-entropy minimization," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(1), pages 37-64.
  32. Thomas Breuer & Martin Summer, 2013. "Stress Test Robustness: Recent Advances and Open Problems," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 25, pages 74-86.
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