Model Risk Measurement Under Wasserstein Distance
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Yu Feng & Erik Schlogl, 2018. "Model Risk Measurement under Wasserstein Distance," Papers 1809.03641, arXiv.org, revised Mar 2019.
References listed on IDEAS
- Tim Bollerslev & George Tauchen & Hao Zhou, 2009.
"Expected Stock Returns and Variance Risk Premia,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
- Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
- A. Ahmadi-Javid, 2012. "Addendum to: Entropic Value-at-Risk: A New Coherent Risk Measure," Journal of Optimization Theory and Applications, Springer, vol. 155(3), pages 1124-1128, December.
- Gurdip Bakshi & Nikunj Kapadia, 2003. "Delta-Hedged Gains and the Negative Market Volatility Risk Premium," The Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 527-566.
- Paul Glasserman & Xingbo Xu, 2014. "Robust risk measurement and model risk," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 29-58, January.
- Yuhong Xu, 2014. "Robust valuation and risk measurement under model uncertainty," Papers 1407.8024, arXiv.org.
- Low, Buen Sin & Zhang, Shaojun, 2005. "The Volatility Risk Premium Embedded in Currency Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(4), pages 803-832, December.
- A. Ahmadi-Javid, 2012. "Entropic Value-at-Risk: A New Coherent Risk Measure," Journal of Optimization Theory and Applications, Springer, vol. 155(3), pages 1105-1123, December.
- Carr, Peter & Wu, Liuren, 2016. "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, vol. 120(1), pages 1-20.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlögl, 2021.
"Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models,"
Risks, MDPI, vol. 9(1), pages 1-20, January.
- Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlogl, 2018. "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Research Paper Series 395, Quantitative Finance Research Centre, University of Technology, Sydney.
- Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlogl, 2018. "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Papers 1810.09112, arXiv.org.
- Yu Feng, 2019. "Theory and Application of Model Risk Quantification," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2019, January-A.
- M. Andrea Arias-Serna & Jean-Michel Loubes & Francisco J. Caro-Lopera, 2020. "Risk Measures Estimation Under Wasserstein Barycenter," Papers 2008.05824, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Yu Feng, 2019. "Theory and Application of Model Risk Quantification," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2019, January-A.
- Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlögl, 2021.
"Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models,"
Risks, MDPI, vol. 9(1), pages 1-20, January.
- Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlogl, 2018. "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Research Paper Series 395, Quantitative Finance Research Centre, University of Technology, Sydney.
- Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlogl, 2018. "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Papers 1810.09112, arXiv.org.
- Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011.
"Spot and forward volatility in foreign exchange,"
Journal of Financial Economics, Elsevier, vol. 100(3), pages 496-513, June.
- Sarno, Lucio & Della Corte, Pasquale & Tsiakas, Ilias, 2010. "Spot and Forward Volatility in Foreign Exchange," CEPR Discussion Papers 7893, C.E.P.R. Discussion Papers.
- Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
- Sankar, Ganesh & Ramachandran, Shankar & Lukose P J, Jijo, 2020. "Dynamics of variance risk premium: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 321-334.
- Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
- Thomas Kruse & Judith C. Schneider & Nikolaus Schweizer, 2021. "A Toolkit for Robust Risk Assessment Using F -Divergences," Management Science, INFORMS, vol. 67(10), pages 6529-6552, October.
- Makam, Vaishno Devi & Millossovich, Pietro & Tsanakas, Andreas, 2021. "Sensitivity analysis with χ2-divergences," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 372-383.
- Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
- Thibaut Lux & Antonis Papapantoleon, 2016. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Papers 1610.09734, arXiv.org, revised Nov 2018.
- Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2022.
"The Time Variation in Risk Appetite and Uncertainty,"
Management Science, INFORMS, vol. 68(6), pages 3975-4004, June.
- Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2019. "The Time Variation in Risk Appetite and Uncertainty," NBER Working Papers 25673, National Bureau of Economic Research, Inc.
- Alfredo Ibáñez, 2008. "The cross-section of average delta-hedge option returns under stochastic volatility," Review of Derivatives Research, Springer, vol. 11(3), pages 205-244, October.
- Mingbin Ben Feng & Eunhye Song, 2020. "Efficient Nested Simulation Experiment Design via the Likelihood Ratio Method," Papers 2008.13087, arXiv.org, revised May 2024.
- Anthony Coache & Sebastian Jaimungal, 2024. "Robust Reinforcement Learning with Dynamic Distortion Risk Measures," Papers 2409.10096, arXiv.org.
- Tai‐Yong Roh & Alireza Tourani‐Rad & Yahua Xu & Yang Zhao, 2021. "Volatility‐of‐volatility risk in the crude oil market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 245-265, February.
- Paul Glasserman & Wanmo Kang, 2014. "OR Forum—Design of Risk Weights," Operations Research, INFORMS, vol. 62(6), pages 1204-1220, December.
- Volk-Makarewicz, Warren & Borovkova, Svetlana & Heidergott, Bernd, 2022. "Assessing the impact of jumps in an option pricing model: A gradient estimation approach," European Journal of Operational Research, Elsevier, vol. 298(2), pages 740-751.
- Detering, Nils & Packham, Natalie, 2018. "Model risk of contingent claims," IRTG 1792 Discussion Papers 2018-036, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago.
- Qian Han & Calum G. Turvey, 2013. "A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2018-11-12 (Risk Management)
Statistics
Access and download statisticsCorrections
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:uts:rpaper:393. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Duncan Ford (email available below). General contact details of provider: https://edirc.repec.org/data/qfutsau.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.