Issue 4/2022
Content (7 Articles)
Open Access
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
Jorge González Cázares, Aleksandar Mijatović
Jacobi stochastic volatility factor for the LIBOR market model
Pierre-Edouard Arrouy, Alexandre Boumezoued, Bernard Lapeyre, Sophian Mehalla
Open Access
A concept of copula robustness and its applications in quantitative risk management
Henryk Zähle
On ruin probabilities with investments in a risky asset with a regime-switching price
Yuri Kabanov, Sergey Pergamenshchikov
Open Access
Semimartingale price systems in models with transaction costs beyond efficient friction
Christoph Kühn, Alexander Molitor