Risk measures for processes and BSDEs
Download full text from publisher
References listed on IDEAS
- 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.
- 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, pages 203-228.
- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010.
"Valuation equations for stochastic volatility models,"
1004.3299, arXiv.org, revised Dec 2011.
- Bayraktar, Erhan & Kardaras, Constantinos & Xing, Hao, 2012. "Valuation equations for stochastic volatility models," LSE Research Online Documents on Economics 43460, London School of Economics and Political Science, LSE Library.
- Patrick Cheridito & Freddy Delbaen & Michael Kupper, 2005. "Coherent and convex monetary risk measures for unbounded càdlàg processes," Finance and Stochastics, Springer, vol. 9(3), pages 369-387, July.
- Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
More about this item
KeywordsConvex risk measures for processes; Discounting ambiguity; Model ambiguity; Cash subadditivity; Decomposition of optional measures; BSDEs;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-27 (All new papers)
- NEP-RMG-2013-04-27 (Risk Management)
- NEP-UPT-2013-04-27 (Utility Models & Prospect Theory)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-00814702. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD). General contact details of provider: https://hal.archives-ouvertes.fr/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.