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The goal of this paper is to suggest a general approach for risk management by allowing jumps occurring in the … purpose, our choice is based on the local risk minimization used in Boyarchenko and Levendorski i (2000) and suggested by … short computation time. The same methodology is then extended to the computations of the standard risk measures, leading to …
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applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to …-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book …
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