References of "Föllmer, Hans 2000A805"
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See detailThe Axiomatic Approach to Risk Measures for Capital Determination
Föllmer, Hans UL; Weber, S.

E-print/Working paper (2015)

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See detailShifting Martingale Measures and the Birth of a Bubble as a Submartingale
Föllmer, Hans UL; Biagini, Francesca; Nedelcu, Sorin

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 ▲]

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See detailSpatial Risk Measures and their Local Specification: The Locally Law-Invariant Case
Föllmer, Hans UL

in Statistics & 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 ▲]

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See detailSpatial Risk Measures: Local Specification and Boundary Risk
Föllmer, Hans UL; Klüppelberg, Claudia

in Crisan, D.; Hambly, B.; Zariphopoulou, T. (Eds.) Stochastic Analysis and Applications 2014 - In Honour of Terry Lyons (2014)

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See detailProbabilistic aspects of finance
Föllmer, Hans UL; Schied, Alexander

in Bernoulli (2013), 19(4), 1306-1326

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See detailConvex Risk Measures: Basic Facts, Law-invariance and beyond, Asymptotics for Large Portfolios
Föllmer, Hans UL; Knispel, Thomas

in MacLean, Leonard C.; Ziemba, William T. (Eds.) Handbook of the Fundamentals of Financial Decision Making (2013)

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