A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models

Author： Brigo Damiano   Dalessandro Antonio   Neugebauer Matthias   Triki Fares  

Publisher： Henry Stewart Publications

ISSN： 1752-8887

Source： Journal of Risk Management in Financial Institutions, Vol.2, Iss.4, 2009-01, pp. : 365-393

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Forecasting variance using stochastic volatility and GARCH

By Hansson Björn   Hördahl Peter  

The European Journal of Finance, Vol. 11, Iss. 1, 2005-02 ,pp. : 33-57

Routledge Ltd

Access to resources Recommend Favorite

Stochastic Volatility of Volatility and Variance Risk Premia

By Barndorff-Nielsen Ole E.   Veraart Almut E. D.  

Journal of Financial Econometrics, Vol. 11, Iss. 1, 2012-12 ,pp. : 1-46

Oxford University Press

Access to resources Recommend Favorite

The use of GARCH models for the calculation of minimum capital risk requirements: International evidence

By Floros Christos  

International Journal of Managerial Finance, Vol. 3, Iss. 4, 2007-10 ,pp. : 360-371

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Evaluating portfolio Value-at-Risk using semi-parametric GARCH models

By Rombouts Jeroen   Verbeek Marno  

Quantitative Finance, Vol. 9, Iss. 6, 2009-09 ,pp. : 737-745

Routledge Ltd

Access to resources Recommend Favorite

Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models

By Park Beum-Jo  

Quantitative Finance, Vol. 9, Iss. 1, 2009-02 ,pp. : 93-104

Routledge Ltd

Access to resources Recommend Favorite