VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES

DOI10.1142/S0219024914500046zbMath1290.91182MaRDI QIDQ5411988

Eva Lütkebohmert, Lydienne Matchie

Publication date: 25 April 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatility; cubature methods; weak approximation schemes; structural credit risk models

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65D32: Numerical quadrature and cubature formulas

91G10: Portfolio theory

91G40: Credit risk

Cites Work

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