The practice of Delta–Gamma VaR: Implementing the quadratic portfolio model
| Autor: | Castellacci, Giuseppe castel@math.mit.edu, Siclari, Michael J. msiclari@olf.com |
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| Zdroj: | European Journal of Operational Research. Nov2003, Vol. 150 Issue 3, p529. 17p. |
| Databáze: | Business Source Ultimate |
| Externí odkaz: |
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