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"The practice of Delta-Gamma VaR: Implementing the quadratic portfolio model."

Giuseppe Castellacci, Michael J. Siclari (2003)

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DOI: 10.1016/S0377-2217(02)00782-8

access: closed

type: Journal Article

metadata version: 2020-02-21

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  - journals/eor/CastellacciS03
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  - https://dblp.org/rec/journals/eor/CastellacciS03
Giuseppe Castellacci, Michael J. Siclari:
The practice of Delta-Gamma VaR: Implementing the quadratic portfolio model. Eur. J. Oper. Res. 150(3): 529-545 (2003)

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