The idea of gamblers ranking risky lotteries by their expected utilities dates back to Bernoulli
[22]. An individual's certainty equivalent amount is the certain amount of money that makes …

We propose a method for estimating Value at Risk (VaR) and related risk measures
describing the tail of the conditional distribution of a heteroscedastic financial return series …

In this paper, we present a comprehensive survey of continuous stochastic volatility models,
discussing their historical development and the key stylized facts that have driven the field …

In the 2nd edition some sections of Part I are omitted for better readability, and a brand new
chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and …

Praise for Energy and Power Risk Management" Energy and Power Risk Management
identifies and addresses the key issues in the development of the turbulent energy industry …

Since its introduction in the early 1980s, the risk-neutral valuation principle has proved to be
an important tool in the pricing and hedging of financial derivatives. Following the success of …

The aim of this dissertation is to describe more realistic models for financial assets based on
generalized hyperbolic (GH) distributions and their subclasses. Generalized hyperbolic …

We consider optimal execution strategies for block market orders placed in a limit order book
(LOB). We build on the resilience model proposed by Obizhaeva and Wang but allow for a …

In recent years products based on? nancial derivatives have become an ind-
pensabletoolforriskmanagersandinvestors. Insuranceproductshavebecome part of almost …

This is the first book about the emerging field of utility indifference pricing for valuing
derivatives in incomplete markets. René Carmona brings together a who's who of leading …