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VAR without correlations for portfolios of derivative securities
Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les - In: The journal of futures markets 19 (1999) 5, pp. 583-602
Persistent link: https://www.econbiz.de/10001410433
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Numerical evaluation of the critical price and American options
Allegretto, Walter; Barone-Adesi, Giovanni; Elliott, … - In: The European journal of finance 1 (1995) 1, pp. 69-78
Persistent link: https://www.econbiz.de/10001192799
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Estimating the joint tail risk under the filtered historical simulation : an application to the CCP's default and waterfall fund
Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les - In: The European journal of finance 24 (2018) 4/6, pp. 413-425
Persistent link: https://www.econbiz.de/10012244329
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Testing market efficiency with the pricing kernel
Barone-Adesi, Giovanni; Sala, Carlo - In: The European journal of finance 25 (2019) 13, pp. 1166-1193
Persistent link: https://www.econbiz.de/10012207068
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VaR without Correlations for Portfolios of Derivative Securities
Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les - In: The journal of futures markets 19 (1999) 5, pp. 583-602
Persistent link: https://www.econbiz.de/10007375180