ﻻ يوجد ملخص باللغة العربية
The risk and return profiles of a broad class of dynamic trading strategies, including pairs trading and other statistical arbitrage strategies, may be characterized in terms of excursions of the market price of a portfolio away from a reference level. We propose a mathematical framework for the risk analysis of such strategies, based on a description in terms of price excursions, first in a pathwise setting, without probabilistic assumptions, then in a Markovian setting. We introduce the notion of delta-excursion, defined as a path which deviates by delta from a reference level before returning to this level. We show that every continuous path has a unique decomposition into delta-excursions, which is useful for the scenario analysis of dynamic trading strategies, leading to simple expressions for the number of trades, realized profit, maximum loss and drawdown. As delta is decreased to zero, properties of this decomposition relate to the local time of the path. When the underlying asset follows a Markov process, we combine these results with Itos excursion theory to obtain a tractable decomposition of the process as a concatenation of independent delta-excursions, whose distribution is described in terms of Itos excursion measure. We provide analytical results for linear diffusions and give new examples of stochastic processes for flexible and tractable modeling of excursions. Finally, we describe a non-parametric scenario simulation method for generating paths whose excursion properties match those observed in empirical data.
In this paper, we study general monetary risk measures (without any convexity or weak convexity). A monetary (respectively, positively homogeneous) risk measure can be characterized as the lower envelope of a family of convex (respectively, coherent)
We study combinations of risk measures under no restrictive assumption on the set of alternatives. We develop and discuss results regarding the preservation of properties and acceptance sets for the combinations of risk measures. One of the main resu
We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives -- endogeneity and interactivity. We examine the futures markets of WTI crude oil and gasoline for the past decade, and perform a com
While abundant empirical studies support the long-range dependence (LRD) of mortality rates, the corresponding impact on mortality securities are largely unknown due to the lack of appropriate tractable models for valuation and risk management purpos
This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their ability to