排序方式: 共有22条查询结果,搜索用时 15 毫秒
1.
We relate the theory of passport options with general principles from martingale theory as well as with the theory of Bessel processcs. The calculation of the price of a passport option leads to an equality between two norms on continuous martingales. We also solve the discrete time case for passport options. 相似文献
2.
We show that when a real-valued risk measure is defined on a solid, rearrangement invariant space of random variables, then necessarily it satisfies a weak compactness, also called continuity from below, property, and the space necessarily consists of integrable random variables. As a result we see that a risk measure defined for, say, Cauchy-distributed random variable, must take infinite values for some of the random variables. 相似文献
3.
This paper uses the existence of secondary markets for debt instruments with default risk (e.g. corporate bonds) to define default insurance along the lines of financial economics. It examines whether, in the case of several risk-neutral measures, characteristics of default can be uniquely determined by the prices of contracts involving default-prone securities. 相似文献
4.
Gilles Angelsberg Freddy Delbaen Ivo Kaelin Michael Kupper Joachim Näf 《Finance and Stochastics》2011,15(2):343-363
We consider the class of law invariant convex risk measures with robust representation rh,p(X)=supfò01 [AV@Rs(X)f(s)-fp(s)h(s)] ds\rho_{h,p}(X)=\sup_{f}\int_{0}^{1} [AV@R_{s}(X)f(s)-f^{p}(s)h(s)]\,ds, where 1≤p<∞ and h is a positive and strictly decreasing function. The supremum is taken over the set of all Radon–Nikodym derivatives corresponding
to the set of all probability measures on (0,1] which are absolutely continuous with respect to Lebesgue measure. We provide
necessary and sufficient conditions for the position X such that ρ
h,p
(X) is real-valued and the supremum is attained. Using variational methods, an explicit formula for the maximizer is given.
We exhibit two examples of such risk measures and compare them to the average value at risk. 相似文献
5.
Freddy Delbaen Fabio Bellini Valeria Bignozzi Johanna F. Ziegel 《Finance and Stochastics》2016,20(2):433-453
In the present contribution, we characterise law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (Math. Finance 16:419–441, 2006), we show that these risk measures can be identified with a class of generalised shortfall risk measures. As a direct consequence, we are able to extend the results in Ziegel (Math. Finance, 2014, http://onlinelibrary.wiley.com/doi/10.1111/mafi.12080/abstract) and Bellini and Bignozzi (Quant. Finance 15:725–733, 2014) on convex elicitable risk measures and confirm that expectiles are the only elicitable coherent risk measures. Further, we provide a simple characterisation of robustness for convex risk measures in terms of a weak notion of mixture continuity. 相似文献
6.
Finance and Stochastics - It is proved that monetary utility functions that are commonotonic and time-consistent are conditional expectations. We also give additional results on atomless and... 相似文献
7.
In the context of a Brownian filtration and with a fixed finite time horizon, we provide a representation of the penalty term
of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectations. 相似文献
8.
We consider an international financial market model that consists ofN currencies. The purpose is to derive a no arbitrage condition which is not affected by the choice of numéraire between theN currencies. As a result, we show that a finiteness condition for an arbitrary chosen currency and the no arbitrage condition
for the basket currency are necessary and sufficient for the no arbitrage property of all theN currencies.
Research supported in part by Nomura Foundation for Social Science and by the European Community Stimulation Plan for Economic
Science contract Number SPES-CT91-0089. The authors thank an anonymous FEJM referee for helpful comments. 相似文献
9.
Weighted norm inequalities and hedging in incomplete markets 总被引:1,自引:0,他引:1
Freddy Delbaen Pascale Monat Walter Schachermayer Martin Schweizer Christophe Stricker 《Finance and Stochastics》1997,1(3):181-227
Let be an -valued special semimartingale on a probability space with canonical decomposition . Denote by the space of all random variables , where is a predictable -integrable process such that the stochastic integral is in the space of semimartingales. We investigate under which conditions on the semimartingale the space is closed in , a question which arises naturally in the applications to financial mathematics. Our main results give necessary and/or sufficient
conditions for the closedness of in . Most of these conditions deal with BMO-martingales and reverse H?lder inequalities which are equivalent to weighted norm inequalities. By means of these last inequalities,
we also extend previous results on the F?llmer-Schweizer decomposition. 相似文献
10.
We study the arbitrage free optionpricing problem for the constant elasticity of variance (CEV) model. To treatthestochastic aspect of the CEV model, we direct attention to the relationship between the CEV modeland squared Bessel processes. Then we show the existence of a unique equivalentmartingale measure and derive the Cox's arbitrage free option pricing formulathrough the properties of squared Bessel processes. Finally we show that the CEVmodel admits arbitrage opportunities when it is conditioned to be strictlypositive. 相似文献