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.MF2019
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…