Risk parity for mixed tempered stable distributed sources of risk
Year of publication: |
January 2018
|
---|---|
Authors: | Mercuri, Lorenzo ; Roji, Edit |
Published in: |
Advances of OR in commodities and financial modeling. - New York, NY, USA : Springer. - 2018, p. 375-393
|
Subject: | Risiko | Risk | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Optionspreistheorie | Option pricing theory |
-
Option-implied objective measures of market risk
Leiss, Matthias, (2018)
-
Ahn, Jungkyu, (2023)
-
Račev, Svetlozar T., (2005)
- More ...
-
Option pricing in an exponential MixedTS Lévy process
Mercuri, Lorenzo, (2018)
-
Discrete‐Time Approximation of a Cogarch( p , q ) Model and its Estimation
Iacus, Stefano M., (2018)
-
On Properties of the MixedTS Distribution and Its Multivariate Extension
Hitaj, Asmerilda, (2018)
- More ...