Title of article
The practice of Delta–Gamma VaR: Implementing the quadratic portfolio model
Author/Authors
Giuseppe Castellacci، نويسنده , , Michael J. Siclari، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
17
From page
529
To page
545
Keywords
stochastic processes , finance , simulation , Delta–Gamma–Theta VaR , Quadratic portfolios , Value-at-Risk , risk analysis , Risk management
Journal title
European Journal of Operational Research
Serial Year
2003
Journal title
European Journal of Operational Research
Record number
214647
Link To Document