VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES
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Publication:5411988
DOI10.1142/S0219024914500046zbMath1290.91182MaRDI QIDQ5411988
Eva Lütkebohmert, Lydienne Matchie
Publication date: 25 April 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
91G60: Numerical methods (including Monte Carlo methods)
65D32: Numerical quadrature and cubature formulas
91G10: Portfolio theory
91G40: Credit risk
Cites Work
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