Estimating value-at-risk under a Heath-Jarrow-Morton framework with jump
Samuel Yau Man Ze-To
| Year of publication: |
2012
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| Authors: | Ze-To, Samuel Yau Man |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 44.2012, 19/21, p. 2729-2741
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| Subject: | Heath-Jarrow-Morton (HJM) Model | Risikomaß | Risk measure | Zinsderivat | Interest rate derivative | Futures | Optionspreistheorie | Option pricing theory | 2005-2009 |
| 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://ebvufind01.dmz1.zbw.eu/10009546636