FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES-Reference-Cited by-同舟云学术

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FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES

Published:2012-11-02 Issue:2 Volume:25 Page:400-425
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Sircar Ronnie¹,Sturm Stephan²

Affiliation:

1. Princeton University

2. Worcester Polytechnic Institute

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12015/fullpdf

Reference28 articles.

1. Coherent Measures of Risk;Artzner;Math. Finance,1999

2. A PDE Representation of the Density of the Minimal Entropy Martingale Measure in Stochastic Volatility Markets;Benth;Stoch. Stoch. Rep.,2005

3. Computing the Implied Volatility in Stochastic Volatility Models;Berestycki;Comm. Pure Appl. Math.,2004

4. Quadratic BSDEs with Convex Generators and Unbounded Terminal Conditions;Briand;Probab. Theory Related Fields,2008

Cited by 7 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. Time-Coherent Risk Measures for Continuous-Time Markov Chains;SIAM Journal on Financial Mathematics;2018-01

2. A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective;Probability, Uncertainty and Quantitative Risk;2017-03-01

3. INDIFFERENCE PRICES AND IMPLIED VOLATILITIES;Mathematical Finance;2016-05-26

4. Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver;Stochastic Processes and their Applications;2016-05

5. Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures;Applied Mathematical Finance;2014-09-15

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