مرکز منطقه ای اطلاع رساني علوم و فناوري - The practice of Delta–Gamma VaR: Implementing the quadratic portfolio model

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 :

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 :