The minimal entropy martingale measure in a market of traded financial and actuarial risks.
Jan DhaeneBen StassenPierre DevolderMichel VellekoopPublished in: J. Comput. Appl. Math. (2015)
Keyphrases
- financial institutions
- information theory
- decision making
- risk management
- financial markets
- risk evaluation
- stock market
- stock price
- relative entropy
- financial data
- information theoretic
- risk analysis
- shannon entropy
- financial crisis
- entropy measure
- cumulative residual entropy
- similarity measure
- individual level
- foreign exchange
- information content
- information entropy
- distance measure
- mutual information
- stock returns
- stock exchange
- market share
- fraud detection
- data mining