A generalized Fourier transform approach to risk measures (Q3301115): Difference between revisions

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-Giacomo Bormetti
@@ Property / author: Giacomo Bormetti / rank @@
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+Giacomo Bormetti
@@ Property / author: Giacomo Bormetti / rank @@
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+MaRDI publication profile
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+.3978
@@ Property / arXiv ID: 0909.3978 / rank @@
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@@ Property / cites work @@
+VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
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+Q2763689
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+Non-Linear Value-at-Risk *
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+Analytical value-at-risk with jumps and credit risk
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+Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
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+A new Fourier transform algorithm for value-at-risk
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+W2125846159
@@ Property / OpenAlex ID: W2125846159 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:3301115