Value-at-Risk computational by Fourier inversion with explicit error bounds

Johannes Siven, Jeffrey Todd Lins, Anna Szymkowiak-Have

8 Citations (Scopus)

Cite this

@article{ecb2bfe0b4fc11df825b000ea68e967b,

title = "Value-at-Risk computational by Fourier inversion with explicit error bounds",

author = "Johannes Siven and Lins, {Jeffrey Todd} and Anna Szymkowiak-Have",

year = "2009",

language = "English",

volume = "6",

pages = "95--105",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Academic Press",

number = "2",

}