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Short-term risk management using stochastic Taylor expansions under Lévy models

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  • Schoutens, Wim
  • Studer, Michael

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  • Schoutens, Wim & Studer, Michael, 2003. "Short-term risk management using stochastic Taylor expansions under Lévy models," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 173-188, August.
    • Handle: RePEc:eee:insuma:v:33:y:2003:i:1:p:173-188
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    References listed on IDEAS

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    1. Nualart, David & Schoutens, Wim, 2000. "Chaotic and predictable representations for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 90(1), pages 109-122, November.
    2. Remigijus Mikulevicius & Eckhard Platen, 1988. "Time Discrete Taylor Approximations for Ito Processes with Jump Component," Published Paper Series 1988-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    3. Fournier, Nicolas, 2000. "Malliavin calculus for parabolic SPDEs with jumps," Stochastic Processes and their Applications, Elsevier, vol. 87(1), pages 115-147, May.
    4. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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