backward equationconvex probability boundsIn this work, we develop an efficient methodology for analyzing risk in the wealth balance (hedging error) distribution arising from a mean square optimal dynamic hedge on a European call option, where the underlying stock price process is modeled on a ...
ValueatRisk Chapter14 TheQuestionBeingAskedinValueatRisk(VaR)“WhatlosslevelissuchthatweareX%confidentitwillnotbeexceededinNbusinessdays?”MeaningisProbability YN(0,2)Pr(Yp)pN()* % (1-)% Z VaRandRegulatoryCapital RegulatorsrequirebankstokeepcapitalformarketriskequaltotheaverageofVaRestimatesforpast60...
This methodology is applied to a numerical example where the Value-at-Risk is estimated for a hedged European call option on a stock modeled on a trinomial lattice. 展开 关键词: Dynamic hedging wealth balance distribution moments backward equation convex probability bounds ...
Value-at-risk estimates derived from extreme value data by fitting fat-tailed distributions can be so large that their validity is open to question. In thi
Value at risk (VAR) 来自 ResearchGate 喜欢 0 阅读量: 11 作者:IM Mazilu,R Trandafir,AE Sandu 摘要: The goal of this work is to present a few discretization methods for the transport and diffusion equation, which is used to describe the process that is taking place in the variation of a...
The total power, demanded by the consumer at any of the time slots, is determined by relationship (21). This equation takes into account the power generated by the solar PV system (Pω,tPV), demanded by the fixed loads (Pω,tD,Fix), controllable loads (Pω,tD,Shitf), the HVAC (P...
006-0557-5 Optimal insurance contract under a value-at-risk constraint Hung-Hsi Huang Received: 30 August 2005 / Revised: 30 March 2006 C Springer Science + Business Media, LLC 2006 Abstract This study develops an optimal insurance contract endogenously under a value-at-risk (VaR) constraint....
Mean equations for returns are very simple: each mean equation is a constant, because in our data the sample return of any asset is not dependent on its own past returns nor on the past returns of other assets. We first compare the fit of the models estimated on the whole sample of ...
Thus, the resulting model was a GLM for binomial data with a logistic link function, with the equation $$\begin{array}{l}\log \Big(\Big.\frac{p\left({\rm{choose}}\,{\rm{offer }}\,2\right)}{p\left({\rm{choose}}\,{\rm{offer }}\,1\right)}\Big)={\beta }_{1}\left({...
Although there is a suggestion that the catch levels off above a flood volume of about 380 km3, the equation gives a working approximation, over a range of realistic flood volumes, for the present purposes. 2.3. Model assumptions In finance, the time horizon over which VaR or CVaR would...