21 citations · 23 across the 14 of their papers we have counts for
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q-fin.MF2022
Profit and loss decomposition in continuous time and approximations
Gero Junike, Hauke Stier, Marcus C. Christiansen
Financial institutions and insurance companies that analyze the evolution and sources of profits and losses often look at risk factors only at discrete reporting dates, ignoring th…
q-fin.PM2022
Cost-efficient Payoffs under Model Ambiguity
Carole Bernard, Gero Junike, Thibaut Lux +1
Dybvig (1988a,b) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution ("cost-efficient payoff"). In…