Derivation of non-Gaussian closed-form solutions for the most important risk measures, under the assumption of a Student-t distribution for financial returns. Comparison with the typical techniques used in quantitative finance.

A non-Gaussian approach to risk measures

BORMETTI, GIACOMO;CISANA, ENRICA VERA;MONTAGNA, GUIDO;
2007

Abstract

Derivation of non-Gaussian closed-form solutions for the most important risk measures, under the assumption of a Student-t distribution for financial returns. Comparison with the typical techniques used in quantitative finance.
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11571/33651
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? 15
social impact