The practice of Delta-Gamma VaR: Implementing the quadratic portfolio model
| Year of publication: |
2003
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|---|---|
| Authors: | Castellacci, Giuseppe ; Siclari, Michael J. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 2430034. - Vol. 150.2003, 3, p. 529-545
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