Advances in finance and stochastics : essays in honour of Dieter Sondermann

By K. Sandmann, Philipp J. Schönbucher, Ramaprasad Bhar. 2002

90 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/bb528ebf075e3b625bad2a16a04a15a29b23f09b

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Citations in the corpus

• Higher moment coherent risk measures (2007, background): “A coherent risk measure, according to Artzner et al. (1999) and Delbaen (2002), is defined as a mapping r”
• Risk measure pricing and hedging in incomplete markets (2006, background): “See Carr et al. [7], Musiela and Zariphopoulou [43], [44] and [45], Barrieu and El Karoui [3] and [4], and Klöppel and Schweizer [37].”
• Constructing Uncertainty Sets for Robust Linear Optimization (2009, methodology): “For an arbitrary coherent risk measure µ, the uncertainty set in the corresponding robust optimization problem depends explicitly on the generator Q of µ given by Theorem 2.1.”