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)
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scientific article; zbMATH DE number 6590038
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| English | 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 |
scientific article; zbMATH DE number 6590038 |
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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 (English)
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8 June 2016
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V\@R
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CV\@R
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Fourier transform methods
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stochastic volatility
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jump-diffusion models
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0.8352633118629456
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0.822028636932373
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0.7975730895996094
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0.7968233823776245
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0.775871217250824
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