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Filtered Historical SimulationValue at Risk for Options : A Dimension Reduction Approach to Model the VolatilitySurface Shifts

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Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:umu-160344
Date January 2019
CreatorsGunnarsson, Fredrik
PublisherUmeå universitet, Institutionen för fysik
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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