搜索结果: 1-4 共查到“投资理论 management”相关记录4条 . 查询时间(0.066 秒)
Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
Sensitivity Analysis Quantitative Operational Risk Management Value at Risk
2011/7/22
Abstract: We study the asymptotic behaviour of the difference between the Value at Risks VaR(L) and VaR(L+S) for heavy tailed random variables L and S as an application to the sensitivity analysis of ...
Applications of time-delayed backward stochastic differential equations to pricing, hedging and management of financial and insurance risks
backward stochastic differential equations participating contracts
2010/10/20
In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise when we want to find a ...
Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture
Using Premia and Nsp Risk Management Benchmark Testing Parallel Architecture
2010/10/18
Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like arch...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/18
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...