"Efficient VaR and Expected Shortfall computations for nonlinear portfolios ..."

Luis Ortiz-Gracia, Cornelis W. Oosterlee (2014)

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DOI: 10.1016/J.AMC.2014.06.110

access: closed

type: Journal Article

metadata version: 2020-02-21

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Luis Ortiz-Gracia, Cornelis W. Oosterlee:
Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach. Appl. Math. Comput. 244: 16-31 (2014)

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