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~person:"Drapeau, Samuel"
~person:"Mancino, Maria Elvira"
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Drapeau, Samuel
Mancino, Maria Elvira
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Fourier-Malliavin volatility estimation : theory and practice
Mancino, Maria Elvira
;
Recchioni, Maria Cristina
; …
-
2017
Persistent link: https://www.econbiz.de/10011638985
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2
A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents
Drapeau, Samuel
;
Kupper, Michael
;
Papapantoleon, Antonis
- In:
Journal of risk
16
(
2013/14
)
6
,
pp. 3-29
Persistent link: https://www.econbiz.de/10010476246
Saved in:
3
Fourier series method for measurement of multivariate volatilities
Malliavin, Paul
;
Mancino, Maria Elvira
- In:
Finance and stochastics
6
(
2002
)
1
,
pp. 49-61
Persistent link: https://www.econbiz.de/10001643748
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