The following pages link to (Q3003679):
Displayed 20 items.
- An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case (Q75218) (← links)
- On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility (Q292380) (← links)
- A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches (Q506065) (← links)
- Stable mixture GARCH models (Q528154) (← links)
- Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes (Q652877) (← links)
- Tempered stable Lévy motion driven by stable subordinator (Q1673024) (← links)
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization (Q1722750) (← links)
- Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (Q1945088) (← links)
- Modelling tail risk with tempered stable distributions: an overview (Q2241120) (← links)
- Periodic portfolio revision with transaction costs (Q2354016) (← links)
- Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model (Q2673808) (← links)
- Foster-Hart optimization for currency portfolios (Q2697032) (← links)
- RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL (Q2814666) (← links)
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
- Elliptical tempered stable distribution (Q5001190) (← links)
- Multi-modal tempered stable distributions and prosses with applications to finance (Q5077485) (← links)
- Forward-looking portfolio selection with multivariate non-Gaussian models (Q5139258) (← links)
- Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes (Q5232086) (← links)
- Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data (Q5881685) (← links)
- Applications of artificial neural networks to simulating Lévy processes (Q6187854) (← links)