Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps-Reference-Cited by-同舟云学术

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Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps

Published:2019 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Farkas Walter,Mathys Ludovic,Vasiljevic Nikola

Publisher

Elsevier BV

Reference57 articles.

1. that (a) Evolution of Absolute Risk (Kou) (b) Intra-Horizon to Point-in;? R, X ? R \ H ?;Similarly, if ? X = 0 and � ? 0, we obtain, for

2. Coherent Measures of Risk

3. Dynamic Risk Measures;Acciaio Beatrice;Advanced Mathematical Methods for Finance,2011

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. JDOI Variance Reduction Method and the Pricing of American-Style Options;SSRN Electronic Journal;2021

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