Welcome to www.quant-press.com, The Quantitative Finance Library
 
Navigation
Statistics
Go Deeper
Contact
Links





Model Risk
  • Delta Hedging Works On Market Completeness for Diffusion Processes We discuss market completeness for diffusion-driven financial models beyond the classic requirement that the volatility matrix of traded in- struments is invertible , H.Buehler (2009)
  • A Note on Hedging with Local and Stochastic Volatility Models , F.Mecurio, M.Morini (2008)
  • No-Dynamic-Arbitrage and Market Impact , J. Gatheral (2008)
  • Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance , R.Poulsen, K.R.Schenk-Hoppe, C.O.Ewald (2008)
  • A Stochastic Processes Toolkit for Risk Management , D.Brigo, A.Dalessandro, M.Neugebauer, F.Triki (2007)
  • Model risk and determination of economic capital in the Solvency 2 project , F. Planchet, P. Therond (2007)
  • Volatility Surfaces : Theory, Rules of Thumb, and Empirical Evidence , T. Daglish, J. White, W. Suo (2006)
  • Visual Portfolio Analysis , U.Wehrspohn (2003)
  • The Basis Risk of Catastrophic-Loss Index Securities , J. D. Cummins, D. Lalonde & R. D. Phillips (2002)
  • A methodology for assessing model risk and its application to the implied volatility function model , J. Hull, W. Suo (2001)
  • Incorporating Stress Tests into Market Risk Modeling , J.R.Aragones, C.Blanco, K.Dowd (2001)
  • Model Risk , E.Derman (1996)





















    • Advertising





     

    Copyright © 2006 - www.quant-press.com - Design by Kits Graphiques TeKa