On the Convexity and Risk-Sensitivity of the Price of American Interest Rate Derivatives.

Luis H. R. Alvarez

Published in: SIAM J. Appl. Math. (2003)

Keyphrases

united states
risk management
higher order
sensitivity analysis
risk assessment
critical points
minimum risk
growth rate
high risk
early warning
expected utility
quasi invariant
convexity properties
risk measures
natural disasters
risk analysis
real world
search algorithm
decision making