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Series expansion of the SABR joint density

Wu, Qi - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 310-345

Persistent link: https://www.econbiz.de/10009613197

Capturing deep tail risk via sequential learning of quantile dynamics

Wu, Qi; Yan, Xing - In: Journal of economic dynamics & control 109 (2019), pp. 1-17

Persistent link: https://www.econbiz.de/10012314027

Asymptotics of Portfolio Tail Risk Metrics for Elliptically Distributed Asset Returns

Lesniewski, Andrew - 2016

We develop explicit asymptotic expansions of the portfolio Value-at-Risk (VaR) and portfolio Expected Shortfall (ES) for a large family of multivariate elliptical distributions. The family includes distributions of exponential type such as Kotz distributions, and power type such as the...

Persistent link: https://www.econbiz.de/10012996706

Uniformly efficient importance sampling for the tail distribution of sums of random variables

Glasserman, Paul; Juneja, Sandeep - In: Mathematics of operations research 33 (2008) 1, pp. 36-50

Persistent link: https://www.econbiz.de/10003687581

Large deviations in multifactor portfolio credit risk

Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 17 (2007) 3, pp. 345-379

Persistent link: https://www.econbiz.de/10003626548

Cap and swaption approximations in Libor market models with jumps

Glasserman, Paul; Merener, Nicolas - In: The journal of computational finance 7 (2003) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10001805437

W-shaped implied volatility curves and the Gaussian mixture model

Glasserman, Paul; Pirjol, Dan - In: Quantitative finance 23 (2023) 4, pp. 557-577

Persistent link: https://www.econbiz.de/10014304265