Browse ORBilu by Open Access
- What it is and what it isn't
- Green Road / Gold Road?
- Ready to Publish. Now What?
- How can I support the OA movement?
- Where can I learn more?
ORBilu is a project developed by
   The Axiomatic Approach to Risk Measures for Capital DeterminationFöllmer, Hans  ; E-print/Working paper (2015) Detailed reference viewed: 151 (1 UL)Shifting Martingale Measures and the Birth of a Bubble as a SubmartingaleFöllmer, Hans ; ; in Finance and Stochastics (2014), 18(2), 297-326 In an incomplete financial market model, we study a flow in the space of equivalent martingale measures and the corresponding shifting perception of the fundamental value of a given asset. This allows us ... [more ▼] In an incomplete financial market model, we study a flow in the space of equivalent martingale measures and the corresponding shifting perception of the fundamental value of a given asset. This allows us to capture the birth of a perceived bubble and to describe it as an initial submartingale which then turns into a supermartingale before it falls back to its initial value zero. [less ▲] Detailed reference viewed: 134 (6 UL)Spatial Risk Measures and their Local Specification: The Locally Law-Invariant CaseFöllmer, Hans in Statistics and Risk Modeling (2014), 31(1), 79101 We consider convex risk measures in a spatial setting, where the outcome of a financial position depends on the states at different nodes of a network. In analogy to the theory of Gibbs measures in ... [more ▼] We consider convex risk measures in a spatial setting, where the outcome of a financial position depends on the states at different nodes of a network. In analogy to the theory of Gibbs measures in Statistical Mechanics, we discuss the local specification of a global risk measure in terms of conditional local risk measures for the single nodes of the network, given their environment. Under a condition of local law invariance, we show that a consistent local specification must be of entropic form. Even in that case, a global risk measure may not be uniquely determined by the local specification, and this can be seen as a source of “systemic risk”, in analogy to the appearance of phase transitions in the theory of Gibbs measures [less ▲] Detailed reference viewed: 124 (5 UL)Spatial Risk Measures: Local Specification and Boundary RiskFöllmer, Hans ; in Crisan, D.; Hambly, B.; Zariphopoulou, T. (Eds.) Stochastic Analysis and Applications 2014 - In Honour of Terry Lyons (2014) Detailed reference viewed: 99 (1 UL)Probabilistic aspects of financeFöllmer, Hans ; in Bernoulli (2013), 19(4), 1306-1326 Detailed reference viewed: 110 (2 UL)Convex Risk Measures: Basic Facts, Law-invariance and beyond, Asymptotics for Large PortfoliosFöllmer, Hans ; in MacLean, Leonard C.; Ziemba, William T. (Eds.) Handbook of the Fundamentals of Financial Decision Making (2013) Detailed reference viewed: 184 (4 UL) |
||
