A stochastic processes toolkit for risk management : Geometric Brownian motion, jumps, GARCH and variance gamma models
Damiano Brigo; Antonio Dalessandro; Matthias Neugebauer; Fares Triki
| Year of publication: |
2009
|
|---|---|
| Authors: | Brigo, Damiano ; Dalessandro, Antonio ; Neugebauer, Matthias ; Triki, Fares |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 2.2008/09, 4, p. 365-393
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| Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Theorie | Theory | ARCH-Modell | ARCH model | Risikomanagement | Risk management |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003907277