Modeling and optimization of risk
This paper surveys the most recent advances in the context of decision making under
uncertainty, with an emphasis on the modeling of risk-averse preferences using the …
uncertainty, with an emphasis on the modeling of risk-averse preferences using the …
Risk measures: robustness, elicitability, and backtesting
Risk measures are used not only for financial institutions' internal risk management but also
for external regulation (eg, in the Basel Accord for calculating the regulatory capital …
for external regulation (eg, in the Basel Accord for calculating the regulatory capital …
[图书][B] Quantitative risk management: concepts, techniques and tools-revised edition
This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …
modelling techniques of quantitative risk management. Whether you are a financial risk …
[图书][B] International Series in Operations Research & Management Science
FS Hillier, CC Price - 2001 - Springer
Conic optimization is a significant and thriving research area within the optimization
community. Conic optimization is the general class of problems concerned with optimizing a …
community. Conic optimization is the general class of problems concerned with optimizing a …
Stochastic Control of jump diffusions
B Øksendal, A Sulem - Applied Stochastic Control of Jump Diffusions, 2019 - Springer
Fix a domain\mathcal S ⊂ R^ k (our solvency region) and let Y (t)= Y^(u)(t) be a stochastic
process of the form d Y (t) &= b (Y (t), u (t)) d t+ σ (Y (t), u (t)) d B (t)\nonumber\&\quad+ ∫ …
process of the form d Y (t) &= b (Y (t), u (t)) d t+ σ (Y (t), u (t)) d B (t)\nonumber\&\quad+ ∫ …
Mathematical risk analysis
L Rüschendorf - Springer Ser. Oper. Res. Financ. Eng. Springer …, 2013 - Springer
This book gives an introduction to basic concepts and methods in mathematical risk
analysis, in particular to those parts of risk theory which are of particular relevance in finance …
analysis, in particular to those parts of risk theory which are of particular relevance in finance …
Risk-averse dynamic programming for Markov decision processes
A Ruszczyński - Mathematical programming, 2010 - Springer
We introduce the concept of a Markov risk measure and we use it to formulate risk-averse
control problems for two Markov decision models: a finite horizon model and a discounted …
control problems for two Markov decision models: a finite horizon model and a discounted …
[图书][B] Introduction to credit risk modeling
C Bluhm, L Overbeck, C Wagner - 2016 - taylorfrancis.com
Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit
risk in particular and finance in general remain important fields for the application of …
risk in particular and finance in general remain important fields for the application of …
Nonlinear expectations and stochastic calculus under uncertainty
S Peng - arXiv preprint arXiv:1002.4546, 2010 - Springer
In this book, we take the notion of nonlinear expectation as a fundamental notion of an
axiomatical system. This enables us to get directly many new and fundamental results: such …
axiomatical system. This enables us to get directly many new and fundamental results: such …
Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths
L Denis, M Hu, S Peng - Potential analysis, 2011 - Springer
In this paper we give some basic and important properties of several typical Banach spaces
of functions of G-Brownian motion paths induced by a sublinear expectation—G-expectation …
of functions of G-Brownian motion paths induced by a sublinear expectation—G-expectation …