Computing tails of compound distributions using direct numerical integration

DOI10.21314/JCF.2009.193zbMath1183.91185arXiv0904.0830OpenAlexW3123831838MaRDI QIDQ3400797

Xiaolin Luo, Pavel V. Shevchenko

Publication date: 5 February 2010

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.0830

zbMATH Keywords

Monte CarloFFTfast Fourier transformvalue at riskVaRdirect numerical integrationDNI

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical methods for discrete and fast Fourier transforms (65T50) Numerical integration (65D30)

Related Items (2)

THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT ⋮ A value-at-risk approach to optimisation of warranty policy

Uses Software

• QUADPACK
• UNCMND
• pchip

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