7 citations · 14 across the 8 of their papers we have counts for
Showing 2016Show all
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q-fin.MF2016
Pointwise Arbitrage Pricing Theory in Discrete Time
Matteo Burzoni, Marco Frittelli, Zhaoxu Hou +2
We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded a…
q-fin.RM2016
On the properties of the Lambda value at risk: robustness, elicitability and consistency
Matteo Burzoni, Ilaria Peri, Chiara Maria Ruffo
Recently, financial industry and regulators have enhanced the debate on the good properties of a risk measure. A fundamental issue is the evaluation of the quality of a risk estima…