The Library
An ergodic BSDE approach to forward entropic risk measures : representation and large-maturity behavior
Tools
Tools
Tools
Chong, Wing Fung, Hu, Ying, Liang, Gechun and Zariphopoulou, Thaleia (2019) An ergodic BSDE approach to forward entropic risk measures : representation and large-maturity behavior. Finance and Stochastics, 23 (1). pp. 239-273. doi:10.1007/s00780-018-0377-3
|
PDF
WRAP-ergodic-BSDE-entropic-risk-large-maturity-Liang-2018.pdf - Published Version - Requires a PDF viewer. Available under License Creative Commons Attribution 4.0. Download (1622Kb) | Preview |
|
![[img]](http://wrap.warwick.ac.uk/style/images/fileicons/application_pdf.png) |
PDF
WRAP-ergodic-BSDE-entropic-risk-maturity-Liang-2018.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only - Requires a PDF viewer. Download (642Kb) |
Official URL: https://doi.org/10.1007/s00780-018-0377-3
Abstract
Using elements from the theory of ergodic backward stochastic differential equations (BSDEs), we study the behavior of forward entropic risk measures in stochastic factor models. We derive general representation results (via both BSDEs and convex duality) and examine their asymptotic behavior for risk positions of large maturities. We also compare them with their classical counterparts and provide a parity result.
| Item Type: | Journal Article | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Subjects: | Q Science > QA Mathematics | ||||||||||||||||||
| Divisions: | Faculty of Science > Statistics | ||||||||||||||||||
| Library of Congress Subject Headings (LCSH): | Stochastic differential equations, Ergodic theory | ||||||||||||||||||
| Journal or Publication Title: | Finance and Stochastics | ||||||||||||||||||
| Publisher: | Springer | ||||||||||||||||||
| ISSN: | 0949-2984 | ||||||||||||||||||
| Official Date: | January 2019 | ||||||||||||||||||
| Dates: |
|
||||||||||||||||||
| Date of first compliant deposit: | 5 October 2018 | ||||||||||||||||||
| Volume: | 23 | ||||||||||||||||||
| Number: | 1 | ||||||||||||||||||
| Page Range: | pp. 239-273 | ||||||||||||||||||
| DOI: | 10.1007/s00780-018-0377-3 | ||||||||||||||||||
| Status: | Peer Reviewed | ||||||||||||||||||
| Publication Status: | Published | ||||||||||||||||||
| Publisher Statement: | This is a post-peer-review, pre-copyedit version of an article published in [insert journal title]. The final authenticated version is available online at: http://dx.doi.org/[insert DOI]”. | ||||||||||||||||||
| Access rights to Published version: | Open Access | ||||||||||||||||||
| RIOXX Funder/Project Grant: |
|
||||||||||||||||||
| Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
