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Capital and Value of Risk Transfer:Presented at Actuarial Approach for Financial Risks (AFIR) Colloquium,Boston,MA,November
Capital Risk and Uncertainty
2015/5/13
Capital and Value of Risk Transfer: Presented at Actuarial Approach for Financial Risks (AFIR) Colloquium,Boston,MA,November.
On a class of semi-elliptic diffusion models. Part I: a constructive analytical approach for global existence, densities, and numerical schemes
Degenerate parabolic equations financial derivatives
2010/2/28
Semi-elliptic stochastic differential equations (SDEs) are common models among practitioners. However, value functions and sensitivities of such models are described by degenerate parabolic partial d...
A Generalized Fourier Transform Approach to Risk Measures
Generalized Fourier Transform Risk Measures
2009/9/22
We introduce the formalism of generalized Fourier transforms in the context of risk management.
We develop a general framework to efficiently compute the most popular risk measures, Valueat-
Risk an...