Coherent, Convex, and Monetary Risk Measures

Basic Papers

• Artzner, P., Delbaen, F., Eber, J.M., Heath, D. (1997). Thinking coherently. Risk 10, November, 68-71
• Artzner, P., Delbaen, F., Eber, J.M., Heath, D. (1999). Coherent measures of risk. Math. Finance 9(3), 203-228
• Carr, P., Geman, H., Madan, D.B. (2001). Pricing and hedging in incomplete markets. J. Fin. Econ. 62(1), 131-167.
• Delbaen, F., (2002). Coherent risk measures on general probability spaces. Essays in Honour of Dieter Sondermann. Springer Verlag.
• Föllmer, H., Schied, A. (2002). Convex measures of risk and trading constraints. Finance and Stochastics 6(4), 429-447.
• Föllmer, H., Schied, A. (2002). Robust preferences and convex measures of risk. Advances in Finance and Stochastics. Springer Verlag.
• Frittelli, M., Rosazza Gianin, E. (2002). Putting order in risk measures. Journal of Banking and Finance 26(7), 1473-1486.

Books & Lecture Notes

• Delbaen, F. (2000). Coherent Risk Measures. Cattedra Galileiana. Scuola Normale Superiore di Pisa.
• Föllmer, H., Schied, A. (2002). Stochastic Finance, An Introduction in Discrete Time. de Gruyter Studies in Mathematics 27
• Szegö, G., ed. 2004. Risk Measures for the 21st Century. New York: John Wiley and Sons.

Recent Papers

• Artzner, P., Delbaen, F., Eber, J.M., Heath, D., Ku, H. (2002). Coherent multiperiod risk adjusted values and Bellman's principle. ETH Preprint.
• Barrieu, P., El Karoui, N. (2004). Optimal derivatives design under dynamic risk measures. Article in Mathematics of Finance , Contemporary Mathematics (A.M.S. Proceedings).
• Barrieu, P., El Karoui, N. (2004). Optimal risk transfer. Finance 25, 31-47.
• Barrieu, P., El Karoui, N. (2004). Inf-convolution of risk measures and optimal risk transfer. to appear in Finance and Stochastics.
• Cheridito, P., Delbaen, F., Kupper, M. (2004). Coherent and convex monetary risk measures for bounded cądląg processes. Stoch. Proc. Appl. 112(1), 1-22.
• Cheridito, P., Delbaen, F., Kupper, M. (2004). Coherent and convex monetary risk measures for unbounded cądląg processes. to appear in Finance and Stochastics
• Cheridito, P., Delbaen, F., Kupper, M. (2004). Dynamic monetary risk measures for bounded discrete-time processes. article math.PR/0410453 on Mathematics ArXiv
• Delbaen, F., (2003). The structure of m-stable sets and in particular of the set of risk neutral measures. ETH Preprint.
• Frittelli, M., Rosazza Gianin, E. (2004) Dynamic convex risk measures. Risk Measures in the 21th Century, G. Szegö ed., John Wiley & Sons.
• Jouini, E., Meddeb, M., Touzi, N. (2004). Vector-valued coherent risk measures. Finance and Stochastics 8(4), 531-552
• Riedel, F. (2004). Dynamic coherent risk measures. Stoch. Proc. Appl. 112(2), 185-200.
• Roorda, B., Schumacher, J.M., Engwerda, J. (2003). Coherent acceptability measures in multiperiod models. Working Paper, Tilburg University.
• Rosazza Gianin, E. (2003). Some examples of risk measures via g-expectations. Working Paper n. 41, Universita di Milano Bicocca.
• Weber, S. (2003). Distribution-invariant risk measures, information, and dynamic consistency. Preprint Humboldt-Universität zu Berlin.