This paper deals with various sufficient (as well as necessary and sufficient) conditions for the uniform integrability of the exponential martingales of the form Zt = exp { Btâˆ§Ï„ âˆ’ 1 2 t âˆ§ Ï„ } , t â‰¥â€¦ (More)

We propose a new procedure for the risk measurement of large portfolios. It employs the following objects as the building blocks: â€¢ coherent risk measures introduced by Artzner, Delbaen, Eber, andâ€¦ (More)

1.1. Overview. It is well known (see Soner, Shreve and CvitaniÄ‡ [8], Levental and Skorokhod [6], Cherny [2]) that in the Blackâ€“Scholesâ€“Merton model with proportional transaction costs theâ€¦ (More)

The aim of the paper is to provide as explicit as possible expressions for upper/lower prices and for superhedging/subhedging strategies based on discretetime coherent risk measures. This is done onâ€¦ (More)

This paper is the continuation of [5] and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem areâ€¦ (More)

Let B be a one-dimensional Brownian motion and f : R â†’ R be a Borel function that is locally integrable on R \ {0} . We present necessary and sufficient conditions (in terms of the function f ) forâ€¦ (More)

We propose a methodology for estimating the risk of portfolios that exhibit nonlinear dependence on the risk driving factors and have scarce observations, which is typical for portfolios ofâ€¦ (More)

The author of the paper presents a quite new theoretical model of a double radiosource designed on the basis of the data of radiotelescopic observations and the new conception of the physics ofâ€¦ (More)