Harmonic analysis in value at risk calculations.
From MaRDI portal
Publication:5960826
DOI10.4171/RMI/293zbMath1094.91024MaRDI QIDQ5960826
Claudio Albanese, Luis A. Seco
Publication date: 29 October 2002
Published in: Revista Matemática Iberoamericana (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/39677
Related Items (3)
Principal Component Value at Risk ⋮ The pricing of derivatives on assets with quadratic volatility ⋮ Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
This page was built for publication: Harmonic analysis in value at risk calculations.
