Zobrazeno 1 - 10
of 46
pro vyhledávání: '"Jörn Sass"'
Publikováno v:
Risks, Vol 8, Iss 4, p 114 (2020)
In this paper, we deal with the pricing of European options in an incomplete market. We use the common risk measures Value-at-Risk and Expected Shortfall to define good-deals on a financial market with log-normally distributed rate of returns. We sho
Externí odkaz:
https://doaj.org/article/632705ed8efe4394ad58a754d9ac1543
Publikováno v:
Stochastic Models. 39:323-362
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cb0febb84fe5e44970616b96e959ba01
https://doi.org/10.1080/15326349.2022.2100423
https://doi.org/10.1080/15326349.2022.2100423
Publikováno v:
Mathematical Methods of Operations Research. 95:327-359
Continuous-time regime-switching models are a very popular class of models for financial applications. In this work the so-called signal-to-noise matrix is introduced for hidden Markov models where the switching is driven by an unobservable Markov ch
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f3b3be3cfab5800f7a8cfea0691a977e
https://doi.org/10.1007/s00186-022-00784-y
https://doi.org/10.1007/s00186-022-00784-y
In this paper, we devise a stochastic asset–liability management (ALM) model for a life insurance company and analyze its influence on the balance sheet within a low-interest rate environment. In particular, a flexible procedure for the generation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::204df6c4c83492fc05775bb6e231fb32
https://publica.fraunhofer.de/handle/publica/437635
https://publica.fraunhofer.de/handle/publica/437635
Publikováno v:
Journal of Applied Probability. 58:197-216
This paper investigates a financial market where stock returns depend on an unobservable Gaussian mean reverting drift process. Information on the drift is obtained from returns and randomly arriving discrete-time expert opinions. Drift estimates are
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::db4fadddc972d91eb981d4127860e2f2
https://doi.org/10.1017/jpr.2020.82
https://doi.org/10.1017/jpr.2020.82
The risk of a future payoff is commonly quantified by calculating the costs of a hedging portfolio such that the resulting position is acceptable, i.e. that it passes a capital adequacy test. A multi-asset risk measure describes the minimal external
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::efedf5e31c2b2e89a1c9c849dfeb4319
https://publica.fraunhofer.de/handle/publica/427458
https://publica.fraunhofer.de/handle/publica/427458
Autor:
Jörn Sass, Anna-Katharina Thös
Publikováno v:
Econometrics and Statistics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::85c92ebc0afcb44f2150500328323c2f
https://doi.org/10.1016/j.ecosta.2021.11.010
https://doi.org/10.1016/j.ecosta.2021.11.010
Publikováno v:
Applied Stochastic Models in Business and Industry. 36:307-334
We consider portfolio optimization in a regime‐switching market. The assets of the portfolio are modeled through a hidden Markov model (HMM) in discrete time, where drift and volatility of the single assets are allowed to switch between different s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::add4749d5d1fcad45a0a518b3b67b8fc
https://doi.org/10.1002/asmb.2491
https://doi.org/10.1002/asmb.2491
Autor:
Christoph Belak, Jörn Sass
Publikováno v:
Finance and Stochastics. 23:861-888
We consider the problem of utility maximization in a Black-Scholes market in the presence of proportional transaction costs. While it is well-known that the value function of this problem is the unique viscosity solution of the corresponding Hamilton
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f6164ff7b5af31ea0dec6e1a42a290ec
https://doi.org/10.1007/s00780-019-00404-4
https://doi.org/10.1007/s00780-019-00404-4
A major challenge in a time-dependent reliability analysis is to find a good balance between computational effort, accuracy, and comprehension of the analysis. In this contribution, computational efforts are reduced, and comprehension is increased by
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e3326e2b6591d20f60b8821cc082896a
https://publica.fraunhofer.de/handle/publica/268862
https://publica.fraunhofer.de/handle/publica/268862