A new Fourier transform algorithm for value-at-risk

DOI10.1088/1469-7688/4/3/008zbMath1405.91686OpenAlexW2137722087MaRDI QIDQ4610240

Petter Wiberg, Ken Jackson, Claudio Albanese

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/47

zbMATH Keywords

portfolioFourier transformvalue-at-risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50) Portfolio theory (91G10)

Related Items (4)

A subdiffusive stochastic volatility jump model ⋮ On the calibration of the 3/2 model ⋮ A generalized Fourier transform approach to risk measures ⋮ A general framework for pricing Asian options under stochastic volatility on parallel architectures

Cites Work

• Remarks on Some Nonparametric Estimates of a Density Function
• Non-Linear Value-at-Risk *
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• A Consistent Test for Bivariate Dependence
• On Estimation of a Probability Density Function and Mode
• Analytical value-at-risk with jumps and credit risk
• Monte Carlo strategies in scientific computing
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