Albanese, Claudio; Jackson, Ken; Wiberg, Petter - In: Quantitative Finance 4 (2004) 3, pp. 328-338
In this paper, we introduce a new Fourier method for computing value-at-risk for a portfolio with derivatives and for return models with fat tails. The new method does not assume that the characteristic function for the return model is known explicitly. We define a class of admissible models for...