A new Fourier transform algorithm for value-at-risk

DOI10.1088/1469-7688/4/3/008MaRDI QIDQ4610240zbMATH OpenOpenAlexFDO

Authors Claudio Albanese, Ken Jackson, Petter Wiberg

Publication date 15 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10044/1/47

zbMATH Keywords

Fourier transformportfoliovalue-at-risk

Mathematics Subject Classification ID

Numerical methods for discrete and fast Fourier transforms (65T50) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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Cited in

(13)

• On the calibration of the 3/2 model
• A general framework for pricing Asian options under stochastic volatility on parallel architectures
• Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
• 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
• Reclaiming quasi-Monte Carlo efficiency in portfolio value-at-risk simulation through Fourier transform
• A generalized Fourier transform approach to risk measures
• On the applicability of a Fourier based approach to integrated market and credit portfolio models
• A VaR algorithm for warrants portfolio
• ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS
• Harmonic analysis in value at risk calculations.
• Accounting for risk of non linear portfolios. A novel Fourier approach
• A subdiffusive stochastic volatility jump model
• A fractional Hawkes process for illiquidity modeling

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