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Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
Date, Paresh; Bustreo, Roberto - In: IMA journal of management mathematics 27 (2016) 2, pp. 157-180
Persistent link: https://www.econbiz.de/10011567011
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Pricing and risk management of interest rate swaps
Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-chieh - In: European journal of operational research : EJOR 228 (2013) 1, pp. 102-111
Persistent link: https://www.econbiz.de/10009734148
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Risk minimisation using options and risky assets
Mohd Azdi Maasar; Roman, Diana; Date, Paresh - In: Operational research : an international journal 22 (2022) 1, pp. 485-506
Persistent link: https://www.econbiz.de/10013173306