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作者：Takahashi, Akihiko; Yamada, Toshihiro
作者单位：University of Tokyo
摘要：This paper proposes a unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More generally, we also derive an error estimate for an asymptotic expansion around a general partially elliptic diffusion and a more general Wiener functional, which is applicable to various important valuation and risk management tasks in the financial business such as the ones for multidimensional diffu...
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作者：Iancu, Dan A.; Petrik, Marek; Subramanian, Dharmashankar
作者单位：Stanford University; International Business Machines (IBM); IBM USA
摘要：This paper compares two frameworks for measuring risk in a multiperiod setting. The first corresponds to applying a single coherent risk measure to the cumulative future costs, and the second involves applying a composition of one-step coherent risk mappings. We characterize several necessary and sufficient conditions under which one measurement always dominates the other and introduce a metric to quantify how close the two measures are. Using this notion, we address the question of how tightl...
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作者：Atar, Rami; Biswas, Anup; Kaspi, Haya
作者单位：Technion Israel Institute of Technology; Technion Israel Institute of Technology
摘要：A single-server queueing model is considered with customers that have deadlines. If a customer's deadline elapses before service is offered, the customer abandons the system (customers do not abandon while being served). When the server becomes available, it offers service to the customer having the earliest deadline among those that are in the queue. We obtain a fluid limit of the queue length and abandonment processes and for the occupation measure of deadlines, in the form of measure-valued...
