Borak, Szymon; Misiorek, Adam; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2010
Many of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a...