Found 10 Documents (Results 1–10)
Calibration of a multifactor model for the forward markets of several commodities. (English) Zbl 1287.91139
Reviewer: Răzvan Răducanu (Iaşi)
Optimally stratified importance sampling for portfolio risk with multiple loss thresholds. (English) Zbl 1280.91190
Static and dynamic VaR constrained portfolios with application to delegated portfolio management. (English) Zbl 1280.91156
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