1 citations · 1 across the 1 of their papers we have counts for
2 papers
stat.AP2017★ 1 cited
Generalized Pareto Processes and Liquidity
Sascha Desmettre, Johan de Kock, Peter Ruckdeschel +1
Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the…
q-fin.MF2016
Hedging with Small Uncertainty Aversion
Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equ…