A generalized Fourier transform approach to risk measures

DOI10.1088/1742-5468/2010/01/P01005zbMath1456.91128arXiv0909.3978OpenAlexW2125846159MaRDI QIDQ3301115

Giacomo Livan, Guido Montagna, Oreste Nicrosini, V. Cazzola, Giacomo Bormetti

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.3978

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Characteristic functions; other transforms (60E10)

Related Items

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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