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    FS
    2010
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    On optimal portfolio diversification with respect to extreme risks
    13 years 9 months ago
    On optimal portfolio diversification with respect to extreme risks
    Download  www.stochastik.uni-freiburg.de
    Extreme losses of portfolios with heavy-tailed components are studied in the framework of multivariate regular variation. Asymptotic distributions of extreme portfolio losses are ...
    Georg Mainik, Ludger Rüschendorf
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    FS
    2010
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    Can the implied volatility surface move by parallel shifts?
    13 years 11 months ago
    Can the implied volatility surface move by parallel shifts?
    Download  www.statslab.cam.ac.uk
    This note explores the analogy between the dynamics of the interest rate term structure and the implied volatility surface of a stock. In particular, we prove an impossibility theo...
    L. C. G. Rogers, Michael Tehranchi
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    FS
    2010
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    Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
    13 years 11 months ago
    Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
    Download  www.math.uni-leipzig.de
    This paper considers a general reduced form pricing model for credit derivatives where default intensities are driven by some factor process X. The process X is not directly observ...
    Rüdiger Frey, Wolfgang Runggaldier
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    FS
    2010
    148views more  FS 2010»
    Option hedging for small investors under liquidity costs
    13 years 11 months ago
    Option hedging for small investors under liquidity costs
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    Following the framework of C¸etin, Jarrow and Protter [4] we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of th...
    Umut Çetin, H. Mete Soner, Nizar Touzi
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    FS
    2010
    115views more  FS 2010»
    Central limit theorem for the realized volatility based on tick time sampling
    13 years 11 months ago
    Central limit theorem for the realized volatility based on tick time sampling
    Download  www.fam.tuwien.ac.at
    Masaaki Fukasawa
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    FS
    2010
    138views more  FS 2010»
    Hedging variance options on continuous semimartingales
    13 years 11 months ago
    Hedging variance options on continuous semimartingales
    Download  www.math.uchicago.edu
    We find robust model-free hedges and price bounds for options on the realized variance of [the returns on] an underlying price process. Assuming only that the underlying process ...
    Peter Carr, Roger Lee
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    FS
    2010
    110views more  FS 2010»
    A generalization of Panjer's recursion and numerically stable risk aggregation
    13 years 11 months ago
    A generalization of Panjer's recursion and numerically stable risk aggregation
    Download  www.fam.tuwien.ac.at
    Portfolio credit risk models as well as models for operational risk can often be treated analogously to the collective risk model coming from insurance. Applying the classical Panj...
    Stefan Gerhold, Uwe Schmock, Richard Warnung
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    FS
    2010
    458views more  FS 2010»
    Risk-neutral compatibility with option prices
    13 years 11 months ago
    Risk-neutral compatibility with option prices
    Download  legacy.orie.cornell.edu
    Jean Jacod, Philip Protter
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    FS
    2010
    146views more  FS 2010»
    Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
    13 years 11 months ago
    Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
    Download  www.mathematik.uni-kl.de
    Peter Diesinger, Holger Kraft, Frank Seifried
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    FS
    2010
    120views more  FS 2010»
    From implied to spot volatilities
    13 years 11 months ago
    From implied to spot volatilities
    Download  math.stanford.edu
    Valdo Durrleman
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