scientific article; zbMATH DE number 6305527

DOI10.1142/S0219024914920010zbMATH Open1290.91183MaRDI QIDQ4979889FDOQ4979889

Authors: Eva Lütkebohmert, Lydienne Matchie 

Publication date: 19 June 2014

Title of this publication is not available (Why is that?)

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Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical quadrature and cubature formulas (65D32) Portfolio theory (91G10) Credit risk (91G40)

Cited In (2)

• Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
• VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES

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