搜索结果: 1-1 共查到“理论经济学 jump-diffusions”相关记录1条 . 查询时间(0.062 秒)
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach
regime switching jump-diffusion models Value at Risk risk management Fourier transform methods.
2012/9/14
In this paper we consider the problem of calculating the quantiles of a risky position,the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transfor...