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From Smile Asymptotics To Market Risk Measures
Ronnie Sircar
, Stephan Sturm
Operations Research & Financial Engineering
Bendheim Center for Finance
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Article
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peer-review
7
Scopus citations
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Business & Economics
Smile
Indifference Pricing
Convex Risk Measures
Risk Measures
Market Risk
Implied Volatility
Dynamic Risk Measures
Implied Volatility Skew
Nonlinear Partial Differential Equations
Backward Stochastic Differential Equation
Time to Maturity
Numerical Solution
Put Option
Risk Measurement
Measure of Risk
Market Information
Calibration
Theoretical Framework
Stock Prices
Exercise
Characterization
Integrated
Mathematics
Risk Measures
Implied Volatility
Market
Convex Risk Measures
Skew
Pricing
Stock Prices
Money
Backward Stochastic Differential Equation
Volatility
Calibration
Exercise
Nonlinear Partial Differential Equations
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Numerical Solution
Demonstrate
Framework
Characterization
Social Sciences
market
pricing
stock price
maturity
money
Engineering & Materials Science
Partial differential equations
Differential equations
Calibration
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