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ORCIDRisk and Decision Analysis, Volume 7
Volume 7, Numbers 1-2, 2018
- Special Issue: Fractional calculus and its applications. 1-3
- Antoine Ayache, Céline Esser
, Julien Hamonier:
A new multifractional process with random exponent. 5-29 - Pierre Raphaël Bertrand, Jean-Louis Combes, Marie-Eliette Dury, Doha Hadouni:
Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models. 31-49 - Sona Kilianová, Boris Letko:
An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black-Scholes model. 51-62 - P. E. Lévy dit Véhel, Jacques Lévy Véhel:
Stochastic jump intensity models. 63-75
Volume 7, Numbers 3-4, 2018
- Qi Wu, Halis Sak, Sridhar Seshadri, Çagri Haksöz:
Optimization under supplier portfolio risk considering breach of contract and market risks. 77-89 - Noureddine Lehdili, Arshia Givi:
Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge. 91-105 - Konstantin Kogan, Charles S. Tapiero:
Merton's financial multi-agent consumption. 107-117 - Doron Nisani:
The Aumann-Serrano riskiness index. 119-122
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