2 citations · 3 across the 4 of their papers we have counts for
5 papers
A Thermodynamic Picture of Financial Market and Model Risk
Yu Feng
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expect…
Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions
Yu Feng
Understanding and measuring model risk is important to financial practitioners. However, there lacks a non-parametric approach to model risk quantification in a dynamic setting and…
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models
Yu Feng, Ralph Rudd, Christopher Baker +3
We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due…
Model Risk Measurement under Wasserstein Distance
Yu Feng, Erik Schlögl
The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability measures. It formulates the theoretical motivation resulting f…
Transaction fees and optimal rebalancing in the growth-optimal portfolio
Yu Feng, Matus Medo, Liang Zhang +1
The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect…