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Coherent Measures of Risk
In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirableExpand
Bond pricing and the term structure of interest rates
This paper presents a unifying theory for valuing contingent claims under a stochastic term structure of interest rates. The methodology, based on the equivalent martingale measure technique, takesExpand
Coherent multiperiod risk adjusted values and Bellman’s principle
Starting with a time-0 coherent risk measure defined for “value processes”, this work deduce risk measurements for the final value of locked-in positions and repeats a warning concerning Tail-Value-at-Risk. Expand
Modelling the evolution of demand forecasts with application to safety stock analysis in production distribution systems
In this paper, we propose a general probabilistic model for modeling the evolution of demand forecasts, referred to as the Martingale Model of Forecast Evolution (MMFE). We combine the MMFE with aExpand
A Benchmark Approach to Quantitative Finance
The benchmark approach provides a general framework for financial market modeling, which extends beyond the standard risk-neutral pricing theory. It permits a unified treatment of portfolioExpand
Martingales versus PDEs in finance: an equivalence result with examples
We provide a set of verifiable sufficient conditions for proving in a number of practical examples the equivalence of the martingale and the PDE approaches to the valuation of derivatives. The keyExpand
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation
This paper studies the binomial approximation to the continuous trading term structure model of Heath, Jarrow, and Morton (1987). The discrete time approximation makes the original methodologyExpand
A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk‐minimization versus mean‐variance hedging in a class of stochastic volatilityExpand
Pareto Equilibria with Coherent Measures of Risk
In this paper, we provide a definition of Pareto equilibrium in terms of risk measures, and present necessary and sufficient conditions for equilibrium in a market with finitely many traders (whom weExpand
We explain why and how to deal with the definition, acceptability, computation and management of risk in a genuinely multitemporal way. Coherence axioms provide a representation of a risk-adjustedExpand