scientific article; zbMATH DE number 5010400

MaRDI QIDQ3374069zbMATH OpenFDO

Authors Stoyan V. Stoyanov, Borjana Racheva-Jotova

Publication date 9 March 2006

zbMATH Keywords

\(\alpha\)-stable lawscumulative distribution functionsprobability density functions

Mathematics Subject Classification ID

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(18)

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• Modelling tail risk with tempered stable distributions: an overview
• Numerical treatment of stochastic models used in statistical systems and financial markets
• Discussion of `On simulation and properties of the stable law' by Devroye and James
• Matrix-based numerical modelling of financial differential equations
• Stable Paretian models in finance
• Riding with the four horsemen and the multivariate normal tempered stable model
• Computing the portfolio conditional value-at-risk in the -stable case
• Stable distributions and their application in finance
• Alpha-stable paradigm in financial markets
• Model Risk in Finance: Some Modeling and Numerical Analysis Issues
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Describes a project that uses

Uses Software

• STABLE

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