Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Sharif Mozumder"'
Publikováno v:
Financial Innovation, Vol 10, Iss 1, Pp 1-26 (2024)
Abstract This study investigates the simplicity and adequacy of tail-based risk measures—value-at-risk (VaR) and expected shortfall (ES)—when applied to tail targeting of the extreme value (EV) model. We implement Lévy–VaR and ES risk measures
Externí odkaz:
https://doaj.org/article/0eb33d37675e4d4f8e63097c88849b09
Publikováno v:
Investment Management & Financial Innovations, Vol 14, Iss 3, Pp 361-380 (2017)
The authors consider Lévy processes with conditional distributions belonging to a generalized hyperbolic family and compare and contrast full density-based Lévy-expected shortfall (ES) risk measures and Lévy-spectral risk measures (SRM) with those
Externí odkaz:
https://doaj.org/article/61ba25d3874649fd9f6649ae8c2ab4fc
Publikováno v:
Computational Economics. 57:1287-1305
We investigate systematic and unsystematic option pricing biases in (a) pure jump Levy, (b) jump-diffusion, (c) stochastic volatility, and (d) GARCH models applied to the Black–Scholes–Merton model. We use options data for trades on the S&P500 in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::06eaa6deb63e98713148bda7c6e49eba
https://doi.org/10.1007/s10614-020-10029-x
https://doi.org/10.1007/s10614-020-10029-x
Publikováno v:
Applied Economics Letters. 27:161-167
Risk measures based on Gaussian return distributions are simple but inaccurate while such measures based on alternative methodologies are known to be more precise but complex. In this context, practitioners seem biased towards simplicity and tend to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1b2d9b7fc56ee0d6a74ab0c1bddaf1f8
https://doi.org/10.1080/13504851.2019.1612025
https://doi.org/10.1080/13504851.2019.1612025
Publikováno v:
Applied Economics. 50:6034-6046
This article considers modelling nonnormality in return with stable Paretian (SP) innovations in generalized autoregressive conditional heteroskedasticity (GARCH), exponential generalized autoregre...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bf0932168064c7cf796475c92d204637
https://doi.org/10.1080/00036846.2018.1488057
https://doi.org/10.1080/00036846.2018.1488057
Publikováno v:
Investment Management & Financial Innovations, Vol 14, Iss 3, Pp 361-380 (2017)
The authors consider Lévy processes with conditional distributions belonging to a generalized hyperbolic family and compare and contrast full density-based Lévy-expected shortfall (ES) risk measures and Lévy-spectral risk measures (SRM) with those
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::387296ae9beb087a2f11395043beae10
https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/9559/imfi_2017_03cont2_Mozumder.pdf
https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/9559/imfi_2017_03cont2_Mozumder.pdf
Publikováno v:
The Journal of Risk Finance. 18:88-118
Purpose The purpose of the paper is to back-test value-at-risk (VaR) models for conditional distributions belonging to a Generalized Hyperbolic (GH) family of Lévy processes – Variance Gamma, Normal Inverse Gaussian, Hyperbolic distribution and GH
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fcec793ef08cbb2edc91002179c2e71a
https://doi.org/10.1108/jrf-03-2016-0029
https://doi.org/10.1108/jrf-03-2016-0029
Publikováno v:
Economic Modelling. 59:285-296
As the price of the underlying asset changes over time, delta of the option changes and a gamma hedge is required along with delta hedge to reduce risk. This paper develops an improved framework to compute delta and gamma values with the average of a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::162d39fb25c959dbdad14641b285b2d9
https://doi.org/10.1016/j.econmod.2016.07.023
https://doi.org/10.1016/j.econmod.2016.07.023
This paper investigates Levy spectral risk measures (SRM) as a coherent alternative to generalized Pareto spectral risk measures. Specifically, using futures data from major indexes, we consider using SRM for conditional distributions belonging to th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::626c33161636cd7415edee3ff6ccdd08
https://eprints.soton.ac.uk/424793/
https://eprints.soton.ac.uk/424793/
Publikováno v:
Universal Journal of Computational Mathematics. 3:50-55
This paper comparatively investigates some iterative methods and Monte Carlo simulation technique for the dynamics underlying the celebrated Black and Scholes (BS) model. In particular we attempt to answer the question: 'How many Monte Carlo replicat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4e77ae83aa5f256dcf22fb9d55e27d8c
https://doi.org/10.13189/ujcmj.2015.030402
https://doi.org/10.13189/ujcmj.2015.030402