VaR: exchange rate risk and jump risk

DOI10.1155/2010/196461zbMath1214.91139OpenAlexW1982916850WikidataQ58652645 ScholiaQ58652645MaRDI QIDQ544463

Fen-Ying Chen

Publication date: 15 June 2011

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/227439

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)

Cites Work

• Approximating Large Diversified Portfolios
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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