5 citations · 13 across the 7 of their papers we have counts for
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q-fin.MF2018
On the degree of incompleteness of an incomplete financial market
Abdelkarem Berkaoui
In order to find a way of measuring the degree of incompleteness of an incomplete financial market, the rank of the vector price process of the traded assets and the dimension of t…
q-fin.MF2017
Multi-currency reserving for coherent risk measures
Saul Jacka, Seb Armstrong, Abdel Berkaoui
We examine the problem of dynamic reserving for risk in multiple currencies under a general coherent risk measure. The reserver requires to hedge risk in a time-consistent manner b…
q-fin.MF2017
On representing and hedging claims for coherent risk measures
Saul Jacka, Seb Armstrong, Abdelkarem Berkaoui
We provide a dual characterisation of the weak-closure of a finite sum of cones in adapted to a discrete time filtration : the cone in the su…