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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...
A Generalized Fourier Transform Approach to Risk Measures
Generalized Fourier Transform Risk Measures
2010/11/2
We introduce the formalism of generalized Fourier transforms in the context of risk management.
We develop a general framework to efficiently compute the most popular risk measures, Valueat-
Risk an...
A Fourier transform method for spread option pricing
Spread options multivariate spread options jump-diffusions fast Fourier transform gamma function
2010/10/29
Spread options are a fundamental class of derivative contract written on multiple assets,
and are widely used in a range of financial markets. There is a long history of approximation
methods for co...