Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options

DOI10.1016/j.csda.2007.12.006zbMath1285.91121arXivmath/0309276OpenAlexW1978714418MaRDI QIDQ1023678

A. C. Genz, Jules Sadefo Kamdem

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0309276

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items (3)

VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors ⋮ Sharp estimates for the CDF of quadratic forms of MPE random vectors ⋮ \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC

Uses Software

• PATSYM
• AS 106
• QSIMVN
• RiskMetrics

Cites Work

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• Probability Content of Regions Under Spherical Normal Distributions, IV: The Distribution of Homogeneous and Non-Homogeneous Quadratic Functions of Normal Variables
• Analytical value-at-risk with jumps and credit risk
• Harmonic analysis in value at risk calculations.

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