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Source Publication：INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING
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An Efficient Fourier Expansion Method for the Calculation of Value-at-Risk: Contributions of Extra-ordinary Risks
Journal article
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2016,Volume: 3,Issue: 1
Authors:
U, Sio Chong
;
So, Jacky
;
Ding, Deng
;
Liu, Lihong
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TC[WOS]:
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TC[Scopus]:
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Submit date：2019/07/22
Value-at-risk
Log-stable Paretain Distribution
Fourier Expansion
An Accumulator Pricing Method Based on Fourier-Cosine Series Expansions
Journal article
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2015,Volume: 2,Issue: 2
Authors:
Deng DING
;
Wang, WF
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Submit date：2019/07/22
Accumulator
Fourier Cosine Expansions
Monte Carlo Simulation
Discrete Barrier Option
OptiOn On Forward
