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
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Publication:292380
DOI10.1007/s11009-015-9446-7zbMath1338.91155arXiv1407.1072OpenAlexW1655714305MaRDI QIDQ292380
Publication date: 8 June 2016
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.1072
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Numerical methods for trigonometric approximation and interpolation (65T40)
Uses Software
Cites Work
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