Replicating portfolio approach to capital calculation
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Publication:1691451
DOI10.1007/s00780-017-0347-1zbMath1396.91294OpenAlexW3124526398MaRDI QIDQ1691451
Damir Filipović, Mathieu Cambou
Publication date: 16 January 2018
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-017-0347-1
Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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