Stochastic finance. an introduction in discrete time

By Terry Lyons. 2004

403 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/71381c96d9a1f8b61e397af5c116ca7c1a5ec481

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Citations in the corpus

BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2007, background): “385 Shreve (1998), and Föllmer and Schied (2002) for systematic accounts on dynamic utility maximization, and Li and Ng (2000), Zhou and Li (2000), and Jin, Yan, and Zhou (2004) for recent studies on the mean–variance (including extensions to mean–risk) counterpart.”
Limit theorems with rate of convergence under sublinear expectations (2017, neutral): “See also Föllmer and Schied (2011).”
Generalized deviations in risk analysis (2006, methodology): “The existence of a general spectral characterization for law-invariant risk measures as in (33) was indicated in Corollary 4.58 of Föllmer and Schied [9, p. 186].”
Optimal Reinsurance with General Premium Principles (2013, neutral): “Kaluszka (2005), Bernard and Tian (2009), Chi and Tan (2010) for details.”
Optimal reinsurance designs based on risk measures: a review (2020, neutral): “See, e.g., Artzner et al. (1999), Föllmer and Schied (2004), Dhaene et al. (2006), and Mao and Cai (2018).”
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties (2007, background): “One common approach to coping with model uncertainty is to allow in principle all probability models corresponding to probability measures Q P and to penalize each such model with a penalty γ (Q); see [11,17].”
Convex risk measures and the dynamics of their penalty functions (2006, background): “44 in [13] and stronger than the weak m-stabilty in Definition 3.”
Statistical estimation of composite risk functionals and risk optimization problems (2015, background): “The currently accepted definition of a coherent risk measure was introduced in Artzner et al. (1999) for finite probability spaces and was further extended to more general spaces in Ruszczyński and Shapiro (2006), Föllmer and Schied (2011).”
Risk Measures and Robust Optimization Problems (2006, methodology): “13 of Ref.[35], as was kindly pointed out to us by Konstantinos Kardaras and Sven Lickfeld.”
RISK MEASURES ON ORLICZ HEARTS (2009, background): “In particular, for β = p = 1, (5.21) is the so-called Conditional-Value-at-Risk or AverageValue-at-Risk; see Rockafellar and Uryasev (2000, 2002) or Föllmer and Schied (2004).”
Arbitrage-free SVI volatility surfaces (2012, positive): “Moreover, as shown in Gatheral and Jacquier (2011), the SVI parameterization is not arbitrary in the sense that the large-maturity limit of the Heston implied volatility smile is exactly SVI.”
Robust Preferences and Robust Portfolio Choice (2009, background): “, FOUQUE et al. [2000], FLEMING and HERNÁNDEZ-HERNÁNDEZ [2003], and the references therein.”
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes (2006, background): “(Strictly speaking, the reference probability measure of the financial model is also a part of the preferences description for the investor; see, e.g., the book of Föllmer and Schied [5], Chapter 2.)”