The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.

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)

zbMATH Keywords

FinanceStochastic processesSimulationRisk analysisRisk managementValue-at-riskDelta-Gamma-Theta VaRQuadratic portfolios

Mathematics Subject Classification ID

Related Items (7)

APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES ⋮ Uncertain portfolio selection with mental accounts and realistic constraints ⋮ On distributional robust probability functions and their computations ⋮ Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics ⋮ On valuing and hedging European options when volatility is estimated directly ⋮ Portfolio selection with a new definition of risk ⋮ Expected shortfall computation with multiple control variates

Cites Work

• Coherent Measures of Risk
• Analytical value-at-risk with jumps and credit risk
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