The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.
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Publication:1406488
DOI10.1016/S0377-2217(02)00782-8zbMath1033.90047MaRDI QIDQ1406488
Michael J. Siclari, Giuseppe Castellacci
Publication date: 4 September 2003
Published in: European Journal of Operational Research (Search for Journal in Brave)
FinanceStochastic processesSimulationRisk analysisRisk managementValue-at-riskDelta-Gamma-Theta VaRQuadratic portfolios
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