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A Levy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing

Eriksson, Anders - In: Quantitative Finance 10 (2010) 1, pp. 75-90

under two different equivalent martingale measures. We also present a multivariate Levy process where the marginal …

Persistent link: https://www.econbiz.de/10008609619

Multivariate models for operational risk

Bocker, Klaus; Kluppelberg, Claudia - In: Quantitative Finance 10 (2010) 8, pp. 855-869

Bocker and Kluppelberg [Risk Mag., 2005, December, 90-93] presented a simple approximation of OpVaR of a single operational risk cell. The present paper derives approximations of similar quality and simplicity for the multivariate problem. Our approach is based on the modelling of the dependence...

Persistent link: https://www.econbiz.de/10008675033