GitXplorerGitXplorer
r

dynamicRisk.jl

public
1 stars
0 forks
0 issues

Commits

List of commits on branch main.
Unverified
6f83b900cb16264c4ce14c9e758324733e307232

Merge branch 'main' of https://github.com/rubsc/dynamicRisk.jl

rrubsc committed 3 years ago
Unverified
24e857a874b4125c2e5d5a0ad4edf8472728ba2c

updated dependency

rrubsc committed 3 years ago
Unverified
1777089b9620377ada3ea38e8d0761330d87714a

updated dependency

rrubsc committed 3 years ago
Verified
36f9eecd524ef4686a0ac417fc44fadabc83de09

Update dynamicRisk.jl

rrubsc committed 3 years ago
Unverified
21aef8e54d2ff0b9ee965d51287959b7dfc751ed

same

rrubsc committed 3 years ago
Unverified
77e4b26f7ac8b95d0826346cd8ecfffc6370e6c5

updated import/export

rrubsc committed 3 years ago

README

The README file for this repository.

dynamicRisk.jl

Build Status Coverage

Implementations of several dynamic risk measures in julia.

ToDo:

  • nested risk measures for trees
  • nested risk measures for lattices --> Does this even work? (Markovian etc?)
  • better formulation of risk measures for SDEs
  • risk measures for jump diffusions
  • risk measures for general Ito-Lévy processes