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An Efficient Fourier Expansion Method for the Calculation of Value-at-Risk: Contributions of Extra-ordinary Risks
Journal article
U, Sio Chong, So, Jacky, Ding, Deng, Liu, Lihong. An Efficient Fourier Expansion Method for the Calculation of Value-at-Risk: Contributions of Extra-ordinary Risks[J]. INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2016, 3(1).
Authors:
U, Sio Chong
;
So, Jacky
;
Ding, Deng
;
Liu, Lihong
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TC[WOS]:
1
TC[Scopus]:
0
IF:
0.6
/
0.6
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Submit date：2019/07/22
Value-at-risk
Log-stable Paretain Distribution
Fourier Expansion
Efficient Option Pricing Methods Based on Fourier Series Expansions
Journal article
Deng DING, Sio Chong U. Efficient Option Pricing Methods Based on Fourier Series Expansions[J]. Journal of Mathematical Research & Exposition, 2011, 31(1), 12-22.
Authors:
Deng DING
;
Sio Chong U
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TC[Scopus]:
0
