Based on the coupled nonlinear volatility and option pricing model, we introduce a new
external potential on the option price to a coupled nonlinear Schrödinger model. We derive …

Quantum computers can solve specific problems that are not feasible on" classical"
hardware. Harvesting the speed-up provided by quantum computers therefore has the …

A nonlinear wave alternative for the standard Black-Scholes option-pricing model is
presented. The adaptive-wave model, representing controlled Brownian behavior of …

Increasingly there are many sources of uncertainty in markets. These sources of uncertainty
can have adverse effects on the evaluation of portfolio risk exposure. This uncertainty in the …

In financial groups, enterprise risk management is becoming increasingly important in
controlling and managing the different independent legal entities in the group. The aim of …

This study evaluates a set of parametric and non-parametric value-at-risk (VaR) models that
quantify the uncertainty in VaR estimates in form of a VaR distribution. We propose a new …

Purpose This paper aims to analyze the downside risk for the stock indices of BRICS
countries. The study also aimed to study the interrelationship, directional influence and …

Value at risk is a statistic used to anticipate the largest possible losses over a specific time
frame and within some level of confidence, usually 95% or 99%. For risk management and …

Nas últimas décadas, o uso do Value-at-Risk (VaR) tem se tornado amplamente utilizado,
com destaque para a decisão do Acordo de Basiléia, que obrigou todas as instituições …

This paper formulates a new risk measure called as credible delta-gamma-normal Value-at-
Risk (CredDGN). CredDGN is a generalization of credible Value-at-Risk (CredVaR), which …