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Value at Risk For Derivatives
15 references·5 citing·37 second hop
Value at Risk For Derivatives (1999)Value at Risk For DerivativesEvaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …EVALUATING DENSITY FORECASTS (1997)EVALUATING DENSITY FORECASTSBank Capital and Value at Risk (1997)Bank Capital and Value at RiskAn Overview of Value at Risk (1997)An Overview of Value at RiskScenario Simulation: Theory and methodology (1996)Scenario Simulation: Theory a…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A Continuous-Time Arbitrage-Pricing Model With Stochastic Volatility and Jumps (1996)A Continuous-Time Arbitrage-P…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Option Pricing when the Variance is Changing (1987)Option Pricing when the Varia…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Value at Risk (2010)Value at RiskA PDE approach for risk measures for derivatives with regime switching (2007)A PDE approach for risk measu…A new Fourier transform algorithm for value-at-risk (2004)A new Fourier transform algor…Bayesian Risk Measures for Derivatives via Random Esscher Transform (2001)Bayesian Risk Measures for De…A comparison of analytical VaR methodologies for portfolios that include options (1999)A comparison of analytical Va…The Behavior of Stock-Market Prices (1965)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Chapter 49 Arch models (1994)Monte Carlo methods for security pricing (1997)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Comparing Predictive Accuracy (1994)Modeling and Forecasting Realized Volatility (2001)Testing Density Forecasts, With Applications to Risk Management (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Option pricing when underlying stock returns are discontinuous (1976)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 1987Option Pricing when the Variance is Changing377 cited
  • 1997EVALUATING DENSITY FORECASTS171 cited
  • 1996Scenario Simulation: Theory and methodology168 cited
  • 1997Bank Capital and Value at Risk124 cited
  • 1996A Continuous-Time Arbitrage-Pricing Model With Stochastic Volatility and Jumps

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45 cited

Cited by

  • 2001Bayesian Risk Measures for Derivatives via Random Esscher Transform37 cited
  • 2007A PDE approach for risk measures for derivatives with regime switching33 cited
  • 2004A new Fourier transform algorithm for value-at-risk33 cited
  • 1999A comparison of analytical VaR methodologies for portfolios that include options26 cited
  • 2010Value at Risk24 cited