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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. Fournier, Nicolas, 2000. "Malliavin calculus for parabolic SPDEs with jumps," Stochastic Processes and their Applications, Elsevier, vol. 87(1), pages 115-147, May.
    3. 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.
    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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