VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES (Q5411988)
From MaRDI portal
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)
0 references
25 April 2014
0 references
cubature methods
0 references
stochastic volatility
0 references
structural credit risk models
0 references
weak approximation schemes
0 references
