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

@@ Property / author @@
+Giacomo Bormetti
@@ Property / author: Giacomo Bormetti / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.3978
@@ Property / arXiv ID: 0909.3978 / rank @@
+Normal rank
@@ Property / cites work @@
+VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
+Normal rank
@@ Property / cites work @@
+Q2763689
@@ Property / cites work: Q2763689 / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Linear Value-at-Risk *
@@ Property / cites work: Non-Linear Value-at-Risk * / rank @@
+Normal rank
@@ Property / cites work @@
+Analytical value-at-risk with jumps and credit risk
+Normal rank
@@ Property / cites work @@
+Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
+Normal rank
@@ Property / cites work @@
+A new Fourier transform algorithm for value-at-risk
+Normal rank
@@ Property / cites work @@
+Note on the inversion theorem
@@ Property / cites work: Note on the inversion theorem / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
+Normal rank
@@ Property / cites work @@
+FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
+Normal rank
@@ Property / cites work @@
+Introduction to Econophysics
@@ Property / cites work: Introduction to Econophysics / rank @@
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / cites work @@
+A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE  AND OTHER STYLIZED FACTS
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Probability distribution of returns in the Heston model with stochastic volatility*
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
+Normal rank
@@ Property / cites work @@
+Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Stochastic volatility models and Kelvin waves
@@ Property / cites work: Stochastic volatility models and Kelvin waves / rank @@
+Normal rank
@@ Property / cites work @@
+Theory of Financial Risk and Derivative Pricing
@@ Property / cites work: Theory of Financial Risk and Derivative Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for assets with non-Gaussian price fluctuations
+Normal rank
@@ Property / cites work @@
+Q3603819
@@ Property / cites work: Q3603819 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2125846159
@@ Property / OpenAlex ID: W2125846159 / rank @@
+Normal rank