VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES (Q5411988): Difference between revisions
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Revision as of 21:32, 5 March 2024
scientific article; zbMATH DE number 6288563
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES |
scientific article; zbMATH DE number 6288563 |
Statements
VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES (English)
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25 April 2014
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cubature methods
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stochastic volatility
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structural credit risk models
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weak approximation schemes
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