Dynamic risk measures: Time consistency and risk measures from BMO martingales
β Scribed by Jocelyne Bion-Nadal
- Publisher
- Springer-Verlag
- Year
- 2007
- Tongue
- English
- Weight
- 511 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0949-2984
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π SIMILAR VOLUMES
Societies are becoming increasingly vulnerable to the multiple negative impacts associated with environmental changes. Societal vulnerability includes both (a) the risks associated with disturbances and (b) coping measures available to mitigate the consequences of disturbances (Turner et al. 2003).
## Abstract This study derives closedβform solutions to the fair value of VIX (volatility index) futures under alternate stochastic variance models with simultaneous jumps both in the asset price and variance processes. Model parameters are estimated using an integrated analysis of integrated volat