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How does the choice of Value-at-Risk estimator influence asset allocation decisions?
Scheller, Felix; Auer, Benjamin R. - In: Quantitative finance 18 (2018) 12, pp. 2005-2022
Persistent link: https://www.econbiz.de/10012262943
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Simulation-based Value-at-Risk for nonlinear portfolios
Chen, Junyao; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 19 (2019) 10, pp. 1639-1658
Persistent link: https://www.econbiz.de/10012194812
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Dynamic currency hedging with non-Gaussianity and ambiguity
Polak, Pawel; Ulrych, Urban - In: Quantitative finance 24 (2024) 2, pp. 305-327
Persistent link: https://www.econbiz.de/10014551995
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Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 4, pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
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A fast algorithm for simulation of rough volatility models
Ma, Jingtang; Wu, Haofei - In: Quantitative finance 22 (2022) 3, pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets
Ji, Jingru; Wang, Donghua; Tu, JingQing - In: Quantitative finance 18 (2018) 12, pp. 2067-2083
Persistent link: https://www.econbiz.de/10012262968
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Optimal pair-trading strategy over long/short/square positions : empirical study
Suzuki, Kiyoshi - In: Quantitative finance 18 (2018) 1, pp. 97-119
Persistent link: https://www.econbiz.de/10011905833
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A slightly depressing jump model : intraday volatility pattern simulation
Khashanah, Khaldoun; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 213-224
Persistent link: https://www.econbiz.de/10011905864
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An extended likelihood framework for modelling discretely observed credit rating transitions
Pfeuffer, Marius; Möstel, Linda; Fischer, Matthias - In: Quantitative finance 19 (2019) 1, pp. 93-104
Persistent link: https://www.econbiz.de/10012194622