Risk measures for processes and BSDEs
The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measures, and a dual representation of a convex risk measure for bounded \cd processes, we show that this framework provides a systematic approach to the both issues of model ambiguity, and uncertainty about the time value of money. We also establish a link between risk measures for processes and BSDEs.
|Date of creation:||17 Apr 2013|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00814702|
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References listed on IDEAS
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- Erhan Bayraktar & Ioannis Karatzas & Song Yao, 2009. "Optimal Stopping for Dynamic Convex Risk Measures," Papers 0909.4948, arXiv.org, revised Nov 2009.
- Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
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- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010.
"Valuation equations for stochastic volatility models,"
1004.3299, arXiv.org, revised Dec 2011.
- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2012. "Valuation equations for stochastic volatility models," LSE Research Online Documents on Economics 43460, London School of Economics and Political Science, LSE Library.
- Erhan Bayraktar & Song Yao, 2009. "Optimal Stopping for Non-linear Expectations," Papers 0905.3601, arXiv.org, revised Jan 2011.
- Peter Carr & Travis Fisher & Johannes Ruf, 2012. "On the Hedging of Options On Exploding Exchange Rates," Papers 1202.6188, arXiv.org, revised Nov 2013.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447. Full references (including those not matched with items on IDEAS)
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