VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS

DOI10.1142/S0219024914500095zbMath1290.62097OpenAlexW3123200835MaRDI QIDQ4979882

Chuan-Hsiang Han, Wei-Han Liu, Tzu-Ying Chen

Publication date: 19 June 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500095

zbMATH Keywords

importance samplingstochastic volatilityFourier transform methodbacktesting(conditional) value-at-risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

Monte Carlo calibration to implied volatility surface under volatility models

Uses Software

• QRM

Cites Work

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