2 citations · 3 across the 4 of their papers we have counts for
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q-fin.RM2019★ 1 cited
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…
q-fin.RM2018
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…