Pages that link to "Item:Q278288"
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The following pages link to Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach (Q278288):
Displaying 16 items.
- 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 (Q292380) (← links)
- Accounting for risk of non linear portfolios. A novel Fourier approach (Q614629) (← links)
- Nonparametric density estimation and bandwidth selection with B-spline bases: a novel Galerkin method (Q830102) (← links)
- Analytical approximation for distorted expectations (Q900958) (← links)
- The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model. (Q1406488) (← links)
- Computation of market risk measures with stochastic liquidity horizon (Q1639562) (← links)
- A data-driven framework for consistent financial valuation and risk measurement (Q2028832) (← links)
- Bayesian portfolio selection using VaR and CVaR (Q2141202) (← links)
- Expected shortfall computation with multiple control variates (Q2293929) (← links)
- On the data-driven COS method (Q2422825) (← links)
- Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach (Q2450760) (← links)
- A test on the location of the tangency portfolio on the set of feasible portfolios (Q2656730) (← links)
- A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk (Q2843200) (← links)
- A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options (Q3464429) (← links)
- Computation of expected shortfall by fast detection of worst scenarios (Q5014243) (← links)
- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach (Q5379212) (← links)
