Journal ArticleDOI
Value-at-Risk estimation with stochastic interest rate models for option-bond portfolios
TLDR
In this paper, a Monte Carlo simulation based approach for measuring Value-at-Risk of a portfolio consisting of options and bonds is proposed, which allows for jump-diffusions in underlying assets and affords to fit a variety of model layout, including both nonparametric and semi-parametric structures.About:
This article is published in Finance Research Letters.The article was published on 2017-05-01. It has received 13 citations till now. The article focuses on the topics: Value at risk & Vasicek model.read more
Citations
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Journal ArticleDOI
Improvement of waste tyre recycling technology based on a new tyre markings
TL;DR: In this article, the authors proposed a method to improve the markings on tyres to observe the distribution of materials within the structure, which helped achieve rapid separation of materials from the tyre structure and simplified the technological process of recycling tyre waste.
Journal ArticleDOI
Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review
TL;DR: The literature on portfolio selection and risk measurement has considerably advanced in recent years as discussed by the authors, and the aim of the present paper is to trace the development of the literature and identify areas that require further research.
Journal ArticleDOI
The Impact Made on Project Portfolio Optimisation by the Selection of Various Risk Measures
TL;DR: The effect of selecting an appropriate risk measure and the impact of this choice on the efficient frontier of the organization’s project portfolio, has been studied.
Journal ArticleDOI
The Redesigning of Tires and the Recycling Process to Maintain an Efficient Circular Economy
TL;DR: The proposed redesign of tires refers to the inscription of the types of materials that are present in each area on the lateral surface of the tire, and has positive effects both economically and socially.
Dissertation
Modeling financial environments using geometric fractional Brownian motion model with long memory stochastic volatility
TL;DR: Empirical studies on four selected financial applications indicate that the new GFBM model performs better than the existing ones, and has strong potential to be employed as an underlying model for any financial applications that capable of reflecting the real situation more accurately.
References
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Book
Quantitative Risk Management: Concepts, Techniques, and Tools
TL;DR: The most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management can be found in this paper, where the authors describe the latest advances in the field, including market, credit and operational risk modelling.
Book
Interest Rate Models - Theory and Practice
Damiano Brigo,Fabio Mercurio +1 more
TL;DR: In this paper, the authors define basic definitions and no arbitrage, from Short Rate Models to HJM, and market models, and the Volatility Smile, and examples of market payoffs.
Journal ArticleDOI
The Impact of Jumps in Volatility and Returns
TL;DR: In this paper, the authors examined continuous-time stochastic volatility models incorporating jumps in returns and volatility and developed a likelihood-based estimation strategy and provided estimates of parameters, spot volatility, jump times, and jump sizes using S&P 500 and Nasdaq 100 index returns.
Journal ArticleDOI
The Impact of Jumps in Volatility and Returns
TL;DR: In this article, the authors examined a class of continuous-time models that incorporate jumps in returns and volatility, in addition to diffusive stochastic volatility, and developed a likelihood-based estimation strategy and provided estimates of model parameters, spot volatility, jump times and jump sizes using both S&P 500 and Nasdaq 100 index returns.