2 citations · 3 across the 4 of their papers we have counts for
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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…
q-fin.MF2018
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…