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ArticleDynamic risk measures: Time consistency and risk measures from BMO martingales

Jocelyne Bion–Nadal2007

Article2007

Dynamic risk measures: Time consistency and risk measures from BMO martingales

Jocelyne Bion–Nadal

130 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

1999Coherent Measures of Risk 2005Stochastic Integration and Differential Equations 2002Convex measures of risk and trading constraints 2002Stochastic Finance: An Introduction in Discrete Time 2002Putting order in risk measures 2000Pricing Via Utility Maximization and Entropy 1994Continuous Exponential Martingales and BMO 2006Coherent multiperiod risk adjusted values and Bellman’s principle

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2011Dynamic Risk Measures 2011Markov Decision Processes with Average-Value-at-Risk criteria 2008Time consistent dynamic risk processes 2015Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective 2013Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences 2011TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS 2014

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Year2007

Typearticle

Published2007-11-29

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations130

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-007-0057-1

openalex_workW1995117598

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Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps

2009Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk