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VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models
(Articles)
Alessandro Ramponi
Journal of Mathematical Finance
Vol.3 No.1
,February 28, 2013
DOI:
10.4236/jmf.2013.31009
5,617
Downloads
9,816
Views
Citations
The Stochastic Volatility Model, Regime Switching and Value-at-Risk (VaR) in International Equity Markets
(Articles)
Ata Assaf
Journal of Mathematical Finance
Vol.7 No.2
,May 31, 2017
DOI:
10.4236/jmf.2017.72026
1,870
Downloads
4,447
Views
Citations
Equilibrium Equity Premium in a Semi Martingale Market When Jump Amplitudes Follow a Binomial Distribution
(Articles)
George M. Mukupa
,
Elias R. Offen
Journal of Mathematical Finance
Vol.8 No.3
,August 20, 2018
DOI:
10.4236/jmf.2018.83038
914
Downloads
1,726
Views
Citations
A Regime Switching Model for the Term Structure of Credit Risk Spreads
(Articles)
Seungmook Choi
,
Michael D. Marcozzi
Journal of Mathematical Finance
Vol.5 No.1
,February 13, 2015
DOI:
10.4236/jmf.2015.51005
3,225
Downloads
4,677
Views
Citations
A Comparative Study of Equilibrium Equity Premium under Discrete Distributions of Jump Amplitudes
(Articles)
George M. Mukupa
,
Elias R. Offen
,
Douglas Kunda
,
Edward M. Lungu
Journal of Mathematical Finance
Vol.6 No.1
,February 29, 2016
DOI:
10.4236/jmf.2016.61020
2,681
Downloads
3,545
Views
Citations
Integro-Differential Equations for a Jump-Diffusion Risk Process with Dependence between Claim Sizes and Claim Intervals
(Articles)
Heli Gao
Journal of Applied Mathematics and Physics
Vol.4 No.11
,November 22, 2016
DOI:
10.4236/jamp.2016.411205
1,324
Downloads
2,087
Views
Citations
Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates
(Articles)
Cyprian O. Omari
,
Peter N. Mwita
,
Antony G. Waititu
Journal of Mathematical Finance
Vol.7 No.4
,November 2, 2017
DOI:
10.4236/jmf.2017.74045
1,368
Downloads
4,997
Views
Citations
Pricing Options in Jump Diffusion Models Using Mellin Transforms
(Articles)
Robert Frontczak
Journal of Mathematical Finance
Vol.3 No.3
,August 15, 2013
DOI:
10.4236/jmf.2013.33037
7,445
Downloads
11,658
Views
Citations
Value-at-Risk Based on Time-Varying Risk Tolerance Level
(Articles)
Debasish Majumder
Theoretical Economics Letters
Vol.8 No.1
,January 29, 2018
DOI:
10.4236/tel.2018.81007
777
Downloads
1,672
Views
Citations
This article belongs to the Special Issue on
Financial Economics
Maximum Quasi-likelihood Estimation in Fractional Levy Stochastic Volatility Model
(Articles)
Jaya Prakasah Narayan Bishwal
Journal of Mathematical Finance
Vol.1 No.3
,November 8, 2011
DOI:
10.4236/jmf.2011.13008
5,360
Downloads
10,076
Views
Citations
The Markovian Regime-Switching Risk Model with Constant Dividend Barrier under Absolute Ruin
(Articles)
Wenguang Yu
,
Yujuan Huang
Journal of Mathematical Finance
Vol.1 No.3
,November 8, 2011
DOI:
10.4236/jmf.2011.13011
4,324
Downloads
8,333
Views
Citations
On Two Transform Methods for the Valuation of Contingent Claims
(Articles)
Chuma Raphael Nwozo
,
Sunday Emmanuel Fadugba
Journal of Mathematical Finance
Vol.5 No.2
,March 30, 2015
DOI:
10.4236/jmf.2015.52009
3,883
Downloads
5,002
Views
Citations
Valuation and Risk Assessment of a Portfolio of Variable Annuities: A Vector Autoregression Approach
(Articles)
Albina Orlando
,
Gary Parker
Journal of Mathematical Finance
Vol.8 No.2
,May 9, 2018
DOI:
10.4236/jmf.2018.82023
774
Downloads
1,885
Views
Citations
Measuring Black Swans in Financial Markets
(Articles)
J. T. Manhire
Journal of Mathematical Finance
Vol.8 No.1
,February 28, 2018
DOI:
10.4236/jmf.2018.81016
1,063
Downloads
3,378
Views
Citations
This article belongs to the Special Issue on
Stock Valuation
Does the Derivatives Usage Affect Corporate Capital Expenditure? Evidence from China
(Articles)
Guiling Zhang
,
Zhaoqi Guo
,
Jianing Liu
,
Zheng Wang
American Journal of Industrial and Business Management
Vol.13 No.11
,November 27, 2023
DOI:
10.4236/ajibm.2023.1311069
52
Downloads
200
Views
Citations
Study of Volatility Stochastic Processes in the Context of Solvency Forecasting for Sri Lankan Life Insurers
(Articles)
Ashika Mendis
Open Journal of Statistics
Vol.11 No.1
,January 20, 2021
DOI:
10.4236/ojs.2021.111004
470
Downloads
1,610
Views
Citations
This article belongs to the Special Issue on
Statistical Modeling and Analysis
Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level
(Articles)
Takashi Kato
Journal of Mathematical Finance
Vol.8 No.1
,February 28, 2018
DOI:
10.4236/jmf.2018.81015
927
Downloads
1,835
Views
Citations
Correlation Risk in the Context of Market Turbulences during the COVID-19 Pandemic and BCBS Stress Testing Principles
(Articles)
Fidelio Tata
Journal of Mathematical Finance
Vol.10 No.4
,November 4, 2020
DOI:
10.4236/jmf.2020.104036
419
Downloads
2,048
Views
Citations
Optimal Investment and Proportional Reinsurance with Risk Constraint
(Articles)
Jingzhen Liu
,
Ka Fai Cedric Yiu
,
Ryan C. Loxton
,
Kok Lay Teo
Journal of Mathematical Finance
Vol.3 No.4
,October 17, 2013
DOI:
10.4236/jmf.2013.34046
4,181
Downloads
7,562
Views
Citations
On Optimal Sparse-Control Problems Governed by Jump-Diffusion Processes
(Articles)
Beatrice Gaviraghi
,
Andreas Schindele
,
Mario Annunziato
,
Alfio Borzì
Applied Mathematics
Vol.7 No.16
,October 25, 2016
DOI:
10.4236/am.2016.716162
1,655
Downloads
2,886
Views
Citations
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