scientific article; zbMATH DE number 6305527

DOI10.1142/S0219024914920010MaRDI QIDQ4979889zbMATH OpenFDO

Authors Eva Lütkebohmert, Lydienne Matchie

Publication date 19 June 2014

Mathematics Subject Classification ID

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

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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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