26 citations · 34 across the 15 of their papers we have counts for
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q-fin.RM2009
Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability
Michail Anthropelos, Gordan Zitkovic
In an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming tha…
q-fin.RM2007★ 1 cited
Maturity-independent risk measures
Thaleia Zariphopoulou, Gordan Zitkovic
The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a f…