VaR-optimal risk management in regime-switching jump-diffusion models
Alessandro Ramponi
| Year of publication: |
2013
|
|---|---|
| Authors: | Ramponi, Alessandro |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 3.2013, 1, p. 103-109
|
| Subject: | Regime Switching Jump-Diffusion Models | Value at Risk | Risk Management | Fourier Transform Methods | Risikomanagement | Risk management | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
| 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/10010240819