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Motivated by the observation
that the gain-loss criterion, while offering economically meaningful prices of contingent claims,
is sensitive to the reference measure governing the underlying stock price process (a situation
referred to as ambiguity of measure), we propose a gain-loss pricing model robust to shifts in the reference measure.
Using a dual representation property of polyhedral risk measures
we obtain a one-step, gain-loss criterion based theorem of
asset pricing under ambiguity of...
We study ensembles of similar systems
under load of environmental factors. The phenomenon of adaptation
has similar properties for systems of different nature. Typically,
when the load increases above some threshold, then the adapting
systems become more different (variance increases), but the
correlation increases too. If the stress continues to increase
then the second threshold appears: the correlation achieves
maximal value, and start to decrease, but the variance continue to
increase. In many...
In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.
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