VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS (Q4979882): Difference between revisions
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Latest revision as of 10:36, 30 July 2024
scientific article; zbMATH DE number 6305521
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS |
scientific article; zbMATH DE number 6305521 |
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VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS (English)
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19 June 2014
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stochastic volatility
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Fourier transform method
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importance sampling
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(conditional) value-at-risk
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backtesting
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