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  1. Content type: Research

    We consider the class of affine LIBOR models with multiple curves, which is an analytically tractable class of discrete tenor models that easily accommodates positive or negative interest rates and positive sp...

    Authors: Antonis Papapantoleon and Robert Wardenga

    Citation: Probability, Uncertainty and Quantitative Risk 2018 3:1

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  2. Content type: Research

    We develop a dynamic optimization framework to assess the impact of funding costs on credit swap investments. A defaultable investor can purchase CDS upfronts, borrow at a rate depending on her credit quality,...

    Authors: Lijun Bo

    Citation: Probability, Uncertainty and Quantitative Risk 2017 2:12

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  3. Content type: Research

    This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a frame...

    Authors: Matteo Ludovico Bedini, Rainer Buckdahn and Hans-Jürgen Engelbert

    Citation: Probability, Uncertainty and Quantitative Risk 2017 2:10

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  4. Content type: Research

    Risks embedded in asset price dynamics are taken to be accumulations of surprise jumps. A Markov pure jump model is formulated on making variance gamma parameters deterministic functions of the price level. Es...

    Authors: Dilip B. Madan

    Citation: Probability, Uncertainty and Quantitative Risk 2017 2:8

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  5. Content type: Research

    We apply to the concrete setup of a bank engaged into bilateral trade portfolios the XVA theoretical framework of (Albanese and Crépey2017), whereby so-called contra-liabilities and cost of capital are charged b...

    Authors: Claudio Albanese, Simone Caenazzo and Stéphane Crépey

    Citation: Probability, Uncertainty and Quantitative Risk 2017 2:7

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  6. Content type: Research

    The paper presents a comprehensive model of a banking system that integrates network effects, bankruptcy costs, fire sales, and cross-holdings. For the integrated financial market we prove the existence of a p...

    Authors: Stefan Weber and Kerstin Weske

    Citation: Probability, Uncertainty and Quantitative Risk 2017 2:9

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  7. Content type: Research

    We show the well-posedness of backward stochastic differential equations containing an additional drift driven by a path of finite q-variation with q∈[1,2). In contrast to previous work, we apply a direct fixpoin...

    Authors: Joscha Diehl and Jianfeng Zhang

    Citation: Probability, Uncertainty and Quantitative Risk 2017 2:5

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  8. Content type: Commentary

    In this introductory paper to the issue, I will travel through the history of how quantitative finance has developed and reached its current status, what problems it is called to address, and how they differ f...

    Authors: Mauro Cesa

    Citation: Probability, Uncertainty and Quantitative Risk 2017 2:6

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  9. Content type: Research

    In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, focusing on a the discrete time setup. The two key operational concepts used throughout ...

    Authors: Tomasz R. Bielecki, Igor Cialenco and Marcin Pitera

    Citation: Probability, Uncertainty and Quantitative Risk 2017 2:3

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  10. Content type: Research

    G-Brownian motion has a very rich and interesting new structure that nontrivially generalizes the classical Brownian motion. Its quadratic variation process is also a continuous process with independent and st...

    Authors: Zhengyan Lin and Li-Xin Zhang

    Citation: Probability, Uncertainty and Quantitative Risk 2017 2:4

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  11. Content type: Research

    Default probability distributions are often defined in terms of their conditional default probability distribution, or their hazard rate. By their definition, they imply a unique probability density function. ...

    Authors: Charles S. Tapiero and Pierre Vallois

    Citation: Probability, Uncertainty and Quantitative Risk 2017 2:2

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  12. Content type: Research

    In this paper, a new numerical scheme for a class of coupled forward-backward stochastic differential equations (FBSDEs) is proposed by using branching particle systems in a random environment. First, by the f...

    Authors: Dejian Chang, Huili Liu and Jie Xiong

    Citation: Probability, Uncertainty and Quantitative Risk 2016 1:9

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  13. Content type: Research

    Allowing for correlated squared returns across two consecutive periods, portfolio theory for two periods is developed. This correlation makes it necessary to work with non-Gaussian models. The two-period conic...

    Authors: Ernst Eberlein and Dilip B. Madan

    Citation: Probability, Uncertainty and Quantitative Risk 2016 1:1

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  14. Content type: Research

    We consider a strictly pathwise setting for Delta hedging exotic options, based on Föllmer’s pathwise Itô calculus. Price trajectories are d-dimensional continuous functions whose pathwise quadratic variations an...

    Authors: Alexander Schied and Iryna Voloshchenko

    Citation: Probability, Uncertainty and Quantitative Risk 2016 1:3

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  15. Content type: Research

    We consider the problem of approximation of the solution of the backward stochastic differential equations in Markovian case. We suppose that the forward equation depends on some unknown finite-dimensional par...

    Authors: Yu A. Kutoyants

    Citation: Probability, Uncertainty and Quantitative Risk 2016 1:4

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  16. Content type: Editorial

    Authors: Shige Peng, Rainer Buckdahn and Juan Li

    Citation: Probability, Uncertainty and Quantitative Risk 2016 1:5

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Page 1 of 1

2016 Journal Metrics

  • Speed
    31 days from submission to first decision
    39 days from acceptance to publication

    Usage 
    567 downloads
    68.0 Usage Factor

    Social Media Impact
    0 mentions

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