12 citations · 17 across the 11 of their papers we have counts for
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q-fin.RM2018★ 1 cited
A sparse grid approach to balance sheet risk measurement
Cyril Bénézet, Jérémie Bonnefoy, Jean-François Chassagneux +3
In this work, we present a numerical method based on a sparse grid approximation to compute the loss distribution of the balance sheet of a financial or an insurance company. We fi…
q-fin.MF2018★ 1 cited
Utility maximization with proportional transaction costs under model uncertainty
Shuoqing Deng, Xiaolu Tan, Xiang Yu
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a numéraire-based semi-static utility maximization problem with…