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The concept of comonotonicity in actuarial science and finance: applications
9 references·16 citing·33 second hop
The concept of comonotonicity in actuarial science and finance: applications (2002)The concept of comonotonicity in actuaria…Modern Actuarial Risk Theory (2008)Modern Actuarial Risk TheoryThe concept of comonotonicity in actuarial science and finance: theory (2002)The concept of comonotonicity…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…The value of an Asian option (1995)The value of an Asian optionA pricing method for options based on average asset values (1990)A pricing method for options …Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Diversification and portfolio theory: a review (2020)Diversification and portfolio…Remarks on quantiles and distortion risk measures (2012)Remarks on quantiles and dist…The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)The Skorokhod Embedding Probl…Copula Theory: An Introduction (2010)Copula Theory: An IntroductionConstructing Uncertainty Sets for Robust Linear Optimization (2009)Constructing Uncertainty Sets…Can a Coherent Risk Measure Be Too Subadditive? (2008)Can a Coherent Risk Measure B…Some results on the CTE-based capital allocation rule (2007)Some results on the CTE-based…Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework (2007)Securitization of Longevity R…Risk measures and comonotonicity (2006)Risk measures and comonotonic…Copulas: A Review and Recent Developments (2006)Copulas: A Review and Recent …After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)After VaR: The Theory, Estima…Static-arbitrage upper bounds for the prices of basket options (2005)Static-arbitrage upper bounds…Financial valuation of guaranteed minimum withdrawal benefits (2005)Financial valuation of guaran…Some new classes of consistent risk measures (2004)Some new classes of consisten…Pricing of arithmetic basket options by conditioning (2004)Pricing of arithmetic basket …Economic capital allocation derived from risk measures (2002)Economic capital allocation d…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)Theory of Financial Decision Making. (1988)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)A new PDE approach for pricing arithmetic average Asian options (2001)Pricing and Hedging Spread Options (2003)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Robust solutions of uncertain linear programs (1999)Optimization of conditional value-at-risk (2000)From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization (2009)Finite Adaptability in Multistage Linear Optimization (2010)Adaptive Distributionally Robust Optimization (2018)Using copulae to bound the Value-at-Risk for functions of dependent risks (2003)Entropic Value-at-Risk: A New Coherent Risk Measure (2011)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A Quick Algorithm for Pricing European Average Options (1991)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2008Modern Actuarial Risk Theory661 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1995The value of an Asian option532 cited

Cited by

  • 2009Constructing Uncertainty Sets for Robust Linear Optimization343 cited
  • 2006Risk measures and comonotonicity311 cited
  • 2005Financial valuation of guaranteed minimum withdrawal benefits252 cited
  • 2010Copula Theory: An Introduction226 cited
  • 2010The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices224 cited
  • 2002Economic capital allocation derived from risk measures198 cited
  • 2006

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures
174 cited
  • 2007Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework147 cited
  • 2005Static-arbitrage upper bounds for the prices of basket options128 cited
  • 2012Remarks on quantiles and distortion risk measures128 cited
  • 2004Some new classes of consistent risk measures109 cited
  • 2004Pricing of arithmetic basket options by conditioning106 cited
  • 2020Diversification and portfolio theory: a review105 cited
  • 2008Can a Coherent Risk Measure Be Too Subadditive?105 cited
  • 2006Copulas: A Review and Recent Developments99 cited
  • 2007Some results on the CTE-based capital allocation rule86 cited