A functional Itô’s calculus approach to convex risk measures with jump diffusion
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DOI: 10.1016/j.ejor.2015.10.032
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- Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
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Keywords
Risk management; Convex risk measure; Non-Markovian jump-diffusion model; Functional Itô’s calculus; Entropic risk measure;All these keywords.
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