On the implied market price of risk under the stochastic numéraire
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DOI: 10.1007/s10436-017-0315-y
Abstract: This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a numéraire. An equivalent martingale measure is… read more here.
Keywords: risk; market price; price risk; market ... See more keywords
COVID−19 and oil price risk exposure
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DOI: 10.1016/j.frl.2020.101882
Abstract: This study investigates oil price risk exposure of financial and non-financial industries around the world during the COVID–19 pandemic. The empirical results show that oil supply industries benefit from positive shocks to oil price risk in… read more here.
Keywords: oil price; risk exposure; price risk; oil ... See more keywords
On the price of risk in a mean-risk optimization model
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DOI: 10.1080/14697688.2018.1436765
Abstract: We investigate a mean-risk model for portfolio optimization where the risk quantifier is selected as a semi-deviation or as a standard deviation of the portfolio return. We analyse the existence of solutions to the problem… read more here.
Keywords: risk; price risk; bound; model ... See more keywords
Weather Derivatives and the Market Price of Risk
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DOI: 10.31390/josa.1.3.07
Abstract: Weather derivatives are becoming prominent features in multiasset class portfolios of alternative risk. The pricing of these securities is nonetheless challenging since it requires an incomplete market framework. We discuss pricing formulas for temperature-based weather… read more here.
Keywords: market price; price risk; risk; weather derivatives ... See more keywords
Knowledge Discovery to Support WTI Crude Oil Price Risk Management
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DOI: 10.3390/en16083486
Abstract: The high volatility of commodity prices and various problems that the energy sector has to deal with in the era of COVID-19 have significantly increased the risk of oil price changes. These changes are of… read more here.
Keywords: price risk; oil price; oil; price ... See more keywords