Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns
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- Sadefo Kamdem, J. & Genz, A., 2008.
"Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3389-3407, March.
- Jules Sadefo Kamdem & Alan Genz, 2003. "Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options," Papers math/0309276, arXiv.org.
- J. Sadefo Kamdem & A. Genz, 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Post-Print hal-02938642, HAL.
- J. Sadefo Kamdem & A. Genz, 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Post-Print hal-02938579, HAL.
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"Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors,"
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- Jules Sadefo Kamdem, 2003. "Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors," Papers math/0309211, arXiv.org.
- Jules Sadefo Kamdem, 2011. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," Post-Print hal-02938680, HAL.
- SADEFO KAMDEM Jules, 2004. "Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors," Risk and Insurance 0403001, University Library of Munich, Germany.
- Jules Sadefo Kamdem, 2011. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," Post-Print hal-02938594, HAL.
- Jules SADEFO KAMDEM, 2004. "Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors," Computing in Economics and Finance 2004 12, Society for Computational Economics.
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Cited by:
- Sadefo Kamdem, J. & Genz, A., 2008.
"Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3389-3407, March.
- Jules Sadefo Kamdem & Alan Genz, 2003. "Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options," Papers math/0309276, arXiv.org.
- J. Sadefo Kamdem & A. Genz, 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Post-Print hal-02938642, HAL.
- J. Sadefo Kamdem & A. Genz, 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Post-Print hal-02938579, HAL.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2009-06-10 (Econometrics)
- NEP-RMG-2009-06-10 (Risk Management)
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