Fast Accurate Algorithms for Tail Conditional Expectation (Q5851524)
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scientific article; zbMATH DE number 5661905
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast Accurate Algorithms for Tail Conditional Expectation |
scientific article; zbMATH DE number 5661905 |
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Fast Accurate Algorithms for Tail Conditional Expectation (English)
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22 January 2010
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value-at-risk
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tail conditional expectation
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lattice
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extrapolation
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fractional steps
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