Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach (Q278288): Difference between revisions

@@ Property / DOI @@
-.1016/j.amc.2014.06.110
@@ Property / DOI: 10.1016/j.amc.2014.06.110 / rank @@
-Normal rank
@@ Property / author @@
-Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
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@@ Property / author @@
+Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+Q91
@@ Property / Mathematics Subject Classification ID: 35Q91 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M99
@@ Property / Mathematics Subject Classification ID: 65M99 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6575985
@@ Property / zbMATH DE Number: 6575985 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+market risk
@@ Property / zbMATH Keywords: market risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+delta-gamma approximation
@@ Property / zbMATH Keywords: delta-gamma approximation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+value-at-risk
@@ Property / zbMATH Keywords: value-at-risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+expected shortfall
@@ Property / zbMATH Keywords: expected shortfall / rank @@
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@@ Property / zbMATH Keywords @@
+Fourier transform
@@ Property / zbMATH Keywords: Fourier transform / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Haar wavelets
@@ Property / zbMATH Keywords: Haar wavelets / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W3126144252
@@ Property / OpenAlex ID: W3126144252 / rank @@
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@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Accounting for risk of non linear portfolios. A novel Fourier approach
+Normal rank
@@ Property / cites work @@
+Non-Linear Value-at-Risk *
@@ Property / cites work: Non-Linear Value-at-Risk * / rank @@
+Normal rank
@@ Property / cites work @@
+Ten Lectures on Wavelets
@@ Property / cites work: Ten Lectures on Wavelets / rank @@
+Normal rank
@@ Property / cites work @@
+Analytical value-at-risk with jumps and credit risk
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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
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@@ Property / cites work @@
+Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
+Normal rank
@@ Property / cites work @@
+On the Gibbs Phenomenon and Its Resolution
@@ Property / cites work: On the Gibbs Phenomenon and Its Resolution / rank @@
+Normal rank
@@ Property / cites work @@
+Haar wavelets-based approach for quantifying credit portfolio losses
+Normal rank
@@ Property / cites work @@
+Q4004320
@@ Property / cites work: Q4004320 / rank @@
+Normal rank
@@ Property / cites work @@
+Peaks and jumps reconstruction with \(B\)-splines scaling functions
+Normal rank
@@ Property / cites work @@
+Robust Pricing of European Options with Wavelets and the Characteristic Function
+Normal rank
@@ Property / DOI @@
+.1016/J.AMC.2014.06.110
@@ Property / DOI: 10.1016/J.AMC.2014.06.110 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:278288