Computation of market risk measures with stochastic liquidity horizon (Q1639562): Difference between revisions

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+Option pricing when underlying stock returns are discontinuous
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+A Jump-Diffusion Model for Option Pricing
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+A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
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+Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
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+Q5253267
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+Coherent Measures of Risk
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+Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
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+A dimension reduction Shannon-wavelet based method for option pricing
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+Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
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+Ten Lectures on Wavelets
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+Shannon wavelets theory
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+Q3064121
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+Q4004320
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+Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
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+Financial Modelling with Jump Processes
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