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)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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 |
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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 (English)
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8 June 2016
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V\@R
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CV\@R
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Fourier transform methods
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stochastic volatility
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jump-diffusion models
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