位置：成果数据库 > 会议 > 会议详情页
Nonlinear VaR model of FX options portfolio based on importance sampling technique
  • 所属机构名称：浙江财经学院
  • 会议名称：2009 International Conference on Business Intelligence and Financial Engineering, BIFE 2009
  • 成果类型：会议
  • 会场：Beijing, China
  • 相关项目：期权组合非线性VaR度量模型及数值方法研究
作者： Chen, Rongda|Lu, Jinrong|
同会议论文项目
期权组合非线性VaR度量模型及数值方法研究
期刊论文 16 会议论文 6
同项目会议论文
Nonlinear VaR Model of Options Portfolio Under Multivariate Mixture of Normals Distributions
Portfolio VaR computation based on O-GARCH
A Way of Estimating Time-varying Covariance Matrix of FX Returns with Heavy-tailed Distribution
Research on the Optimized Portfolio of Individual FX Investment Products Based on Modern Portfolio T
Option pricing for merton jump diffusion model with regime-switching using FFT