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A stochastic processes toolkit for risk management : Geometric Brownian motion, jumps, GARCH and variance gamma models
Brigo, Damiano
;
Dalessandro, Antonio
;
Neugebauer, Matthias
- In:
Journal of risk management in financial institutions
2
(
2008/09
)
4
,
pp. 365-393
Persistent link: https://www.econbiz.de/10003907277
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2
A stochastic processes toolkit for risk management : mean reverting processes and jumps
Brigo, Damiano
;
Dalessandro, Antonio
;
Neugebauer, Matthias
- In:
Journal of risk management in financial institutions
3
(
2009/10
)
1
,
pp. 65-83
Persistent link: https://www.econbiz.de/10003939684
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