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From Smile Asymptotics To Market Risk Measures
Ronnie Sircar
, Stephan Sturm
Operations Research & Financial Engineering
Bendheim Center for Finance
Research output
:
Contribution to journal
›
Article
›
peer-review
8
Scopus citations
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Keyphrases
Implied Volatility
100%
Indifference Price
100%
Market Risk Assessment
100%
Numerical Solution
50%
Implied Volatility Skew
50%
Nonlinear Partial Differential Equations
50%
Risk Measures
50%
Market Information
50%
Stock Prices
50%
Left Tail
50%
Entropic Dynamics
50%
Volatility Skew
50%
Time to Maturity
50%
Backward Stochastic Differential Equation
50%
Convex Risk Measures
50%
Put Option
50%
Dynamic Risk Assessment
50%
Risk Measurement
50%
Dynamic Convex Risk Measures
50%
Market Assessment
50%
Mathematics
Asymptotics
100%
Risk Measure
100%
Market Risk
100%
Implied Volatility
75%
Partial Differential Equation
25%
Numerical Solution
25%
Stochastic Differential Equation
25%
Left Tail
25%
American Option
25%
Economics, Econometrics and Finance
Stock Price
25%
Option Trading
25%