We gratefully acknowledge support from
the Simons Foundation and member institutions.

Risk Management

Authors and titles for recent submissions

[ total of 8 entries: 1-8 ]
[ showing up to 25 entries per page: fewer | more ]

Wed, 21 Aug 2019

[1]  arXiv:1908.07417 (cross-list from q-fin.MF) [pdf, ps, other]
Title: A lognormal type stochastic volatility model with quadratic drift
Subjects: Mathematical Finance (q-fin.MF); Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)

Fri, 16 Aug 2019

[2]  arXiv:1908.05419 [pdf, ps, other]
Title: Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation
Comments: 25 pages, 6 figures
Subjects: Risk Management (q-fin.RM); Computational Finance (q-fin.CP)

Thu, 15 Aug 2019

[3]  arXiv:1908.05200 [pdf, other]
Title: Nonparametric modeling cash flows of insurance company
Comments: 24 pages, 9 figures
Subjects: Risk Management (q-fin.RM); Mathematical Finance (q-fin.MF)
[4]  arXiv:1908.05130 [pdf, other]
Title: Dynamic Dependence Modeling in financial time series
Subjects: Risk Management (q-fin.RM)
[5]  arXiv:1908.05105 (cross-list from q-fin.PR) [pdf, other]
Title: Performance of tail hedged portfolio with third moment variation swap
Journal-ref: Computational Economics, 2017, 50, pp 447--471
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP); Portfolio Management (q-fin.PM); Risk Management (q-fin.RM)
[6]  arXiv:1908.04959 (cross-list from q-fin.ST) [pdf, other]
Title: Computational method for probability distribution on recursive relationships in financial applications
Subjects: Statistical Finance (q-fin.ST); Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)

Wed, 14 Aug 2019

[7]  arXiv:1908.04569 [pdf, other]
Title: Forecast Encompassing Tests for the Expected Shortfall
Comments: 26 pages, 3 tables, 1 figure
Subjects: Risk Management (q-fin.RM); Econometrics (econ.EM); Statistics Theory (math.ST)

Mon, 12 Aug 2019

[8]  arXiv:1908.03281 (cross-list from q-fin.TR) [pdf, other]
Title: Latency and Liquidity Risk
Subjects: Trading and Market Microstructure (q-fin.TR); Mathematical Finance (q-fin.MF); Risk Management (q-fin.RM)
[ total of 8 entries: 1-8 ]
[ showing up to 25 entries per page: fewer | more ]

Disable MathJax (What is MathJax?)

Links to: arXiv, form interface, find, q-fin, new, 1908, contact, help  (Access key information)